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Hi. I would like to call a function much like onData() gets called on an hour tick set by my resolution but i need to call this function every second to check for some stuff without changing my hourly resolution for my trades. any pointers? thanks.
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Alexandre Catarino
If we want to access second-resolution data, that is the lowest resolution we have to subcribe to.
In your algorithm, you will create a consolidator that will consolidate second-resolution data into hour-resolution bars. The trades will be placed in an event handler attached to the consolidator. Since you are using second-resolution data, your trades will be filled at that resolution.
Please checkout the docs, under Consolidating Data, for further explanation and code snippets.
Noel Hernandez
So something like this for executing something every second but for hour trading ...
AddCrypto("BTCUSD", Resolution.Second, Market.GDAX);
var hourConsolidator= new TradeBarConsolidator(3600);
hourConsolidator.DataConsolidated += HourHandler;
SubscriptionManager.AddConsolidator(symbolData.Symbol, hourConsolidator);
var secondConsolidator= new TradeBarConsolidator(1);
secondConsolidator.DataConsolidated += SecondsHandler;
SubscriptionManager.AddConsolidator(symbolData.Symbol, secondConsolidator);
Alexandre Catarino
Yes and no.
Since you are subscribing to second-resolution data, the data will arrive OnData event handler, so you don't need to create the secondConsolidator.
Noel Hernandez
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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