Filtered Universe Resolution

this is what I tried to do. The first time OnData is called, I create a consolidated data for each security in the universe, but the fiveMinHandler only has the first security's bar. 

class main(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2019, 7, 21) 
        self.SetEndDate(2019, 7 ,23)
        self.SetCash(100000) 
        self.priceTarget = [1,10]
        self.outstandingShares = 10e06
        self.UniverseSettings.Resolution= Resolution.Minute
        self.AddUniverse(self.coarseFilter, self.fineFilter)
        self.subscribe = True
        self.TF= True
        
    def coarseFilter(self, coarse):
        result = [x.Symbol for x in coarse if (x.HasFundamentalData and x.AdjustedPrice > self.priceTarget[0] and x.AdjustedPrice < self.priceTarget[1])]
        return [x for x in result]
        
    def fineFilter(self,fine):
        result = [x.Symbol for x in fine if x.EarningReports.BasicAverageShares.OneMonth < self.outstandingShares]
        return [x for x in result]

    def OnData(self, data):
        if self.subscribe:
            for security in data.Values:
                fiveMinConsolidator = TradeBarConsolidator(timedelta(minutes=5))
                fiveMinConsolidator.DataConsolidated += self.fiveMinHandler
                self.SubscriptionManager.AddConsolidator(security.Symbol, fiveMinConsolidator)
                self.subscribe = False

    def fiveMinHandler(self, sender, bar):
        if self.TF: 
            self.Debug(bar.Symbol)
            self.TF= False

Hi Omid,

To change the data resolution for assets filtered through universe selection, we need to create a dictionary symbolData{} to store the Securities and their Consolidators. Then, in the OnSecuritiesChanged() method, we can update this dictionary after each Universe Selection and remove old consolidators so we no longer receive data from them. Please see the attached backtest and log as an example. In this example, I have limited fine selection to 2 securities and changed the data resolution to 30 minutes to show enough information without exceeding the log data maximum, but you can easily modify the code to suit your desired strategy.

Hope this helps!

Thank you Alethea, this is very helpful!