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Any ideas how to achieve above?
Problem so far: My default algo subscribes to multiple cryptos at Resolution.Second. It's desired that OnData is called every second because predictions are carried out and ~100 indicators updated.
But when subscribing all securities to Resolution.Tick and creating 1 sec consolidators, the conslidated data handlers are called at somewhat arbitrary time intervals. Please let me know if this shouldn't be the case, assuming now that's okay based on Jared' comment "Tick data doesn't fill forward as there is no time period for a tick; its a spot value." . Is there a flag to set? Happy to provide some code otherwise
Again, can I still get Data Slice every second forward filled while subscribed to Tick? Think I cannot subscribe to both (Tick, Second) and currently considering taking Tick handling into the Brokerage class (tricky with referencing.) or even running a separate process.
Thanks for any hints, Sebastian
Jing Wu
As Jared suggested, there is no time period for a tick its a spot value. Tick data can not fill forward. The number of ticks in one second is non-deterministic. OnData() should be called every second and you'll get a list of ticks within one second in the bar data. If there's not tick data in a second, OnData() won't get called. Same thing for the second data consolidator. If there's no tick, the consolidated handler method won't get called.
There is a boolean argument in AddCrypto to control the data fill forward
AddCrypto(ticker, resolution, market, fillDataForward, leverage) # for example the second resolution self.AddCrypto("BTCUSD", Resolution.Second, Market.GDAX, True)Setting the fillDataForward to be true in Tick resolution doesn't take effect.
Sebastian Lueneburg
Thank you Jing. Helpful to read the ff is off with ticks and the consolidator is not called without a tick coming in. I have refactored to requesting Second Resolution in the QC.Algorithm and handle the small use case for ticks in the Brokerage class.
Sebastian Lueneburg
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