I'm aware that there is an example as to how to consolidate futures:

https://github.com/QuantConnect/Lean/blob/master/Algorithm.Python/BasicTemplateFuturesConsolidationAlgorithm.py

An example as to how to consolidate stocks:

https://github.com/QuantConnect/Lean/blob/master/Algorithm.Python/DataConsolidationAlgorithm.py

 

But how does one go about consolidating forex bars ?

thirtyMinuteConsolidator = QuotebarConsolidator(timedelta(minutes=30))

thirtyMinuteConsolidator.DataConsolidated += self.ThirtyMinuteBarHandler

self.SubscriptionManager.AddConsolidator(self.forex_symbol, thirtyMinuteConsolidator)
 

From what I understand you'd have to use Quotebarconsolidators.

But that doesn't seem to work. 

 

Any advice would me much appreicated thanks.