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This algorithm is cloned from
https://github.com/QuantConnect/Lean/blob/master/Algorithm.CSharp/MultipleSymbolConsolidationAlgorithm.cs
How do I change the BarPeriod and OnData to be calulated/called every 2 hours for the last 20 Trading Hours (account for weekend, Holiday, etc.)
I want the SMA to be pased on last 10 periods. Each period will have the price of the position at then end of 2 Hours, else the last price.
I am looking at similar posts to understand how to use this properly, but so far no luck
Thanks.
Gurumeher Sawhney
In order to calculate an SMA every 2 hours, consolidators need to be used. Consolidators combine smaller data points into larger bars and then indicators can register to these consolidators. The code for creating this SMA looks like this:
def Initialize(self): # ...other initialization... self.AddEquity("SPY", Resolution.Minute) consolidator = TradeBarConsolidator(120) self._sma = SimpleMovingAverage(10) self.RegisterIndicator("SPY", self._sma, consolidator) self.SubscriptionManager.AddConsolidator("SPY", consolidator)Note that the consolidator needs to be subscribed to the symbol data, and the indicator needs to be registered to the consolidated data.
Pranav Shah
Thanks for the comment. I will look into Consolidators.
Pranav Shah
I am trying to work with Consolidators and Indicators. My first confusion is the data returned by the Consolidator. I started with code base I found at - MultipleSymbolConsolidationAlgorithm
I made changes to grab the data every 2 hours. However the result is not clear to me.
My goal is to check for SMA every 2 hours. Once the data is grabbed, I want to do something, however right now it seems like I have to wait another 2 hours before I could access the data I grabbed.
The Log shows the following:
1998-01-05 12:00:00 HandleConsolidatedData - Time: Mon 1/5/1998 10:00:00 AM ; EndTime: Mon 1/5/1998 12:00:00 PM ; Value: 37.832367750000 ; Price: 37.832367750000
1998-01-05 12:00:00 HandleConsolidatedData - Time: Mon 1/5/1998 8:00:00 AM ; EndTime: Mon 1/5/1998 10:00:00 AM ; Value: 37.455820240000 ; Price: 37.455820240000
Questions:
Pranav Shah
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