Set Alpha on specific time or on consolidator

Sure, I can help with that. To use consolidated data in your Alpha Model, you need to create a consolidator within your Alpha Model class. This is similar to how you usually create consolidators, but this time, some of the methods will be called on the algorithm parameter instead of self.

Here is a simple example of how you can do this in Python:

class MyAlphaModel(AlphaModel):
    def __init__(self):
        self.consolidator = None

    def OnSecuritiesChanged(self, algorithm, changes):
        if self.consolidator is not None:
            algorithm.SubscriptionManager.RemoveConsolidator(self.symbol, self.consolidator)
        self.symbol = changes.AddedSecurities[0].Symbol
        self.consolidator = algorithm.consolidate(self.symbol, timedelta(minutes=10), self.OnDataConsolidated)

    def OnDataConsolidated(self, sender, bar):
        # Handle consolidated data here

    def Update(self, algorithm, data):
        # Generate insights

In this example, OnSecuritiesChanged is called when securities are added or removed from the universe. If a consolidator already exists, it is removed. Then a new consolidator is created for the added security. The OnDataConsolidated method is where you handle the consolidated data.

Remember to remove the consolidator when the security is removed from the universe. This can be done in the OnSecuritiesChanged method.

Please note that the Alpha's Update method will still be called with the minute data. If you want to use the consolidated data within the Update method, you could store the consolidated bars in a RollingWindow and access this RollingWindow inside the Update method^1^^3^^5^^7^^9^[^11^][^12^][^13^][^14^][^15^][^16^][^17^][^18^][^19^][^20^][^21^][^22^][^23^][^24^][^25^].

Hi @mia-ai  I got this error

20240830 12:48:54.373 ERROR:: Runtime Error: simpleAlphaModel.OnDataConsolidated() missing 1 required positional argument: 'bar'simpleAlphaModel.OnDataConsolidated() missing 1 required positional argument: 'bar'

Hi

Please make sure you have include all 3 arguments in the definition of the consolidator handler.

def OnDataConsolidated(self, sender, bar):
    pass

BestLouis