Hi

I've set up two consolidators, one for days starting/ending at New York 17:00 and one for weeks starting/ending at at New York Friday 17:00, each with their own event handler. Both will be used for several Forex and CFD symbols. My question is what order are the event handlers called? For each symbol I'd like the weekly event handler to execute before the daily, but I don't know to ensure that.

Cheers

Tony

Here's the relevant initialisation code:

// Set up instrument data. foreach (string inst in _fxPairs) { // Security fxPair = AddForex(inst, _resolution, Market.Oanda, false); // To match TradingView data. Security fxPair = AddForex(inst, _resolution, Market.FXCM, false); // To match Research environment. JPDPSetup instrumentData = new JPDPSetup(fxPair.Symbol, // QC symbol _dataLookback, // day rolling window size _smaLen, // SMA length _smaSlopeLen, // Length for SMA slope _atrLen // ATR length ); _setupByInstrument.Add(inst, instrumentData); } foreach (string inst in _cfds) { // Instrument Data Security cfd = AddCfd(inst, _resolution, Market.Oanda, false); JPDPSetup instrumentData = new JPDPSetup(cfd.Symbol, // QC symbol _dataLookback, // day rolling window size _smaLen, // SMA length _smaSlopeLen, // Length for SMA slope _atrLen // ATR length ); _setupByInstrument.Add(inst, instrumentData); } foreach (var kvp in _setupByInstrument) { // This is required because we're using closures below, for more information see: // http://stackoverflow.com/questions/14907987/access-to-foreach-variable-in-closure-warning var setupData = kvp.Value; // Daily consolidation var nyCloseConsolidator = new QuoteBarConsolidator(NYDaily); nyCloseConsolidator.DataConsolidated += (sender, baseData) => { // The consolidated bar. var bar = (IBaseDataBar)baseData; // the consolidated bar setupData.DailyBarWindow.Add(bar); // Update indicators and rolling windows. setupData.Sma.Update(bar.Time, bar.Close); setupData.SmaWindow.Add(setupData.Sma); setupData.Atr.Update(bar); // Strategy actions. OnNYClose(sender, baseData); }; SubscriptionManager.AddConsolidator(setupData.Symbol, nyCloseConsolidator); // Weekly consolidation var nyWeekConsolidator = new QuoteBarConsolidator(NYWeekly); nyWeekConsolidator.DataConsolidated += OnNYWeekClose; SubscriptionManager.AddConsolidator(setupData.Symbol, nyWeekConsolidator); // Order management _entries = new List<OrderGroup>(); // *** Think this through. }

 

Author

Tony Shacklock

October 2019