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Hi,
Doggie52/Lean-Zoned-Time-Of-Day-Consolidator
I have been working on a quotebar consolidator that consolidates bars once a day at a specific time in a specific timezone.
Usage:
- Set your data resolution to at leastÂ
Resolution.Hour. If your time of day has a minute-component, you will needÂResolution.Minute. Same if your time of day has a second-component (Resolution.Second). - Example: Consolidate bars at 3AM London time every day:
MyConsolidator = new ZonedTimeOfDayQuoteBarConsolidator(
dailyCloseTime: TimeSpan.FromHours( 3 ),
closeTimeZone: "Europe/London",
exchangeTimeZone: security.Exchange.TimeZone.ToString()
);I have tested this in backtests and am currently using it on my live deployment without issues.
Hopefully some of you find this useful. Submit issues and PRs in the repository linked if you have suggestions or comments.
Doggie52/Lean-Zoned-Time-Of-Day-Consolidator
Thanks!
Douglas Stridsberg
To achieve a similar goal, you can use Alex's approach of manually closing and resetting the consolidator but I'd like to think my solution is a bit more intuitive and more flexible as it can be easily used inside Alphas (just replace your current consolidator code).
Wade Wright
Thank you very much for this nice piece of work.
Douglas Stridsberg
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