Wrong weekly ADX values in consolidator

To address the issues in your C# code, ensure that you have the necessary using directives and references for the types and namespaces used. Here's the corrected version of your code with the appropriate using directives:

using QuantConnect.Algorithm;
using QuantConnect.Data;
using QuantConnect.Data.Market;
using QuantConnect.Indicators;
using QuantConnect.Util;

public class ADXData
{
    private QCAlgorithm _bot;
    private Symbol _symbol;
    public AverageDirectionalIndex DailyAdx { get; private set; }
    private IDataConsolidator _weeklyConsolidator;
    private RollingWindow<TradeBar> _weeklyBars; // Store weekly TradeBars
    private AverageDirectionalIndex _weeklyAdx; // ADX for weekly bars

    public ADXData(QCAlgorithm algorithm, Symbol symbol)
    {
        _bot = algorithm;
        _symbol = symbol;

        // Initialize the RollingWindow to hold 14 weeks of weekly bars
        _weeklyBars = new RollingWindow<TradeBar>(14);

        // Initialize daily ADX with a 14-period
        DailyAdx = _bot.ADX(symbol, 14, Resolution.Daily);

        // Initialize the weekly ADX with a 14-period
        _weeklyAdx = new AverageDirectionalIndex(14);

        // Use a calendar consolidator to aggregate daily bars into weekly bars
        _weeklyConsolidator = Calendar.Weekly();
        _weeklyConsolidator.DataConsolidated += OnWeeklyConsolidatorBar;

        // Add the consolidator for daily data
        algorithm.SubscriptionManager.AddConsolidator(symbol, _weeklyConsolidator);

        // Warm up the indicators with historical data
        WarmUpIndicators(algorithm, symbol);
    }

    private void WarmUpIndicators(QCAlgorithm algorithm, Symbol symbol)
    {
        // Get daily history for warming up the weekly bars
        var dailyHistory = algorithm.History<TradeBar>(symbol, 100, Resolution.Daily);
        foreach (var bar in dailyHistory)
        {
            DailyAdx.Update(bar);
            // Feed the historical data into the weekly consolidator to build weekly bars
            _weeklyConsolidator.Update(bar);
        }
    }

    private void OnWeeklyConsolidatorBar(object sender, TradeBar consolidatedWeeklyBar)
    {
        // Log the consolidated bar details for debugging
        LogHelper.LogInfo(_bot, $"Consolidated Weekly Bar: O={consolidatedWeeklyBar.Open}, H={consolidatedWeeklyBar.High}, L={consolidatedWeeklyBar.Low}, C={consolidatedWeeklyBar.Close}");

        // Update the weekly ADX using the consolidated weekly bar
        _weeklyAdx.Update(consolidatedWeeklyBar);

        // Add the weekly bar to the RollingWindow for historical purposes
        _weeklyBars.Add(consolidatedWeeklyBar);

        // Log ADX and directional movement
        var diPlus = _weeklyAdx.PositiveDirectionalIndex.Current.Value;
        var diMinus = _weeklyAdx.NegativeDirectionalIndex.Current.Value;
        var adxValue = _weeklyAdx.Current.Value;

        LogHelper.LogInfo(_bot, $"DI+ = {diPlus}, DI- = {diMinus}, ADX = {adxValue}");

        // Optionally log the rolling window contents
        if (_bot._loggingVerbosity >= 3)
        {
            LogHelper.LogInfo(_bot, $"Rolling Window (weekly bars): {_weeklyBars.Count} bars at {consolidatedWeeklyBar.Time}");
        }
    }

    public void OnData(Slice slice)
    {
        if (slice.Bars.TryGetValue(_symbol, out var bar))
        {
            // Update daily ADX with the latest bar
            DailyAdx.Update(bar);
        }
    }
}

Ensure that your project references the necessary QuantConnect libraries to access these types.

Sources: Data Consolidation Algorithm, Calendar Consolidators - QuantConnect.com, Average Directional Index - QuantConnect.com, Time Period Consolidators - QuantConnect.com, Futures Fast Trend Following, with Trend Strength