I believe I now realize that the issue may be that I need to be creative with some sort of rolling window setups but for the life of me I can't figure it out… 

I've shifted my strategy quite a bit but to know real luck…

Here is where my head is at now:

I realize that the consolidator limits the visibility of the ADX. But I thought that I could create some RollingWindows and:

1.  Have the consolidator that goes for 30 minutes in second time frame (1800 seconds)
2. Have it consolidate at that period in the slowbarhandler
3. Automatically update those
4. Setup an ADX with period 14 but do not assign it

In Initialize():
slow_consolidator = new TradeBarConsolidator(TimeSpan.FromSeconds(1800)); 
            slow_consolidator.DataConsolidated += SlowBarHandler;
            SubscriptionManager.AddConsolidator(ContinuousContract.Symbol, slow_consolidator);
            AdxSlow = new AverageDirectionalIndex(14);

After those are done, I try to:

1. Assign the WorkingBar of the consolidator to  workingbar_slow
2. Then I add that to the 1 member rollingwindow <tradebar> slowbar
3. After making sure that the only member [0] of slowbar is not null and that slow_roll (which you can find in the slowbarhandler below) has it's full 13 Tradebar, we move into the part that ruins me
4. To not overwrite slow_roll, we assign combinedWindow (a 13 Tradebar rollingwindow) to the formers value
5. We then concatenate slowbar onto CombinedWindow - making a 14 Tradebar rollingwindow
6. Once we do a sanity check that the combinedWindow has no null values we iterate through all combinedwindow to update the AdxSlow indicator…

In OnData():
			
			workingbar_slow = slow_consolidator.WorkingBar;
            slowbar.Add(workingbar_slow);
            if (slowbar[0] != null && slow_roll.Count == 13)
            {
                combinedWindow = slow_roll;
                combinedWindow.Concat(slowbar);
                if( combinedWindow.All(x => x != null))
                {
                    foreach( TradeBar bar in combinedWindow)
                    {
                        AdxSlow.Update(bar);
                    }
                }
            }
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And in the slowbarHandler:
            slow_consolidator.DataConsolidated += (sender, consolidated) => slow_roll.Add(consolidated);

After all this (for a non-coder)… this still doesn't work.  The debug on the slowbar does show it adding samples appropriately and all the others are non-null.. but essentially it only still updates every 1800 seconds… 

The reason I want this is because I want to see if something happens in between the firing of the consolidators. It's essential to how I've built strategies on Tradingview, which rely on tradebars (though if someone has a compelling reason to move to quotebars, I'm all ears).  And I'm trying to bring it over to QC.

Hopefully someone can spot an error in my ways… I'm not quite sure what is wrong but ultimately the Adx is just not updating (I had also tried to reset it at the end of the OnData but had no luck with that either.

Thanks in Advance

Thanks for the response Yuri. It was really helpful.

C# does it a bit differently due to the declarations. 

// in Initialize
fast_roll = new RollingWindow<TradeBar>(13);
fast_window = new RollingWindow<TradeBar>(13);
fastbar = new RollingWindow<TradeBar>(1);
// and aside from the consolidator data usually used: 
fast_consolidator.DataConsolidated += (sender, consolidatedBar) =>
	{
       fast_roll.Add(consolidatedBar);
       AdxFast.Update(consolidatedBar);
     }; 
// in Ondata
			workingbar_fast = fast_consolidator.WorkingBar; // for ease of lookup in debugging
           
            if(workingbar_fast != null && !IsWarmingUp) // as the working bar is null when the consolidator fires
            {
                fastbar.Add(workingbar_fast); // to actually fill the fastbar
                if (fastbar.Count()==1 && fast_roll.Count() == 13 && AdxFast.IsReady)// to make sure they are full 
                {
                    fastWindow = fast_roll.Concat(fastbar); // Concatenate the 13 member and 1 member to make a 14 tradebar fastWindow
                    foreach( TradeBar bar in fastWindow) // loop through those to update the Adx
                    {
                        AdxFast.Update(bar);
                    }
                    
                    AdxFast.Update(fastbar[0]); // update the ADX with the (only) tradebar in fastbar (so fastbar[0])
                }
            }
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We don't need anything in FastBarHandler actually

Probably some redundancy here but… it works!