Feature Request: Working Data for Indicators

In QuantConnect, you can indeed access the current working data of a consolidator, which is the incomplete bar data, using the WorkingData property. This allows you to get the TradeBar a TradeBarConsolidator is currently consolidating. This can be useful for comparing current minute price data to the open of the current hour data, even if that hour isn't complete yet.

Here is an example of how you can use the WorkingData property:

# Add WorkingData to window and reset the consolidator
def OnDailyData(self):
    self.window.Add(self.consolidator.WorkingData)
    self.consolidator = QuoteBarConsolidator(timedelta(1))

(Source: Standardizing-consolidated-daily-data-to-match-default-daily-data)

However, it's important to note that using ComputeNextValue for indicators like Simple Moving Average (SMA) can change the internal state of the indicator and register the supplied intraday point as part of the private window of the SMA object. This means that the SMA calculated at the end of that day could be incorrect.

For some indicators, supplying an intraday data point does not change the internal state of the indicator, and ComputeNextValue works as a "what-if" calculator. But for SMA, you would need to manually calculate the "what-if" scenario.

For example, you can calculate the SMA manually like this:

# SMA' = (4*SMA(4) + P@15 minutes before close)/5

(Source: Resolution-daily-simplemovingaverage-indicator-using-today-039-s-intraday-value-is-this-possible-using-computenextvalue-or-something-similar)

In conclusion, while there is no built-in method for "what-if" intraday calculations in QuantConnect, you can use the WorkingData property of consolidators to access the current working data and manually calculate the "what-if" scenarios for your indicators.