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Hi
I'm trying to understand how to use consolidators within the Algorithm Framework.
My current understanding (which may be wrong) is that OnData() can be empty because new data is fed to the Update() method in the Alpha class.
My algorithm uses a consolidator to make data synchronised with New York 17:00 as follows:
var nyCloseConsolidator = new QuoteBarConsolidator(NYDaily);
nyCloseConsolidator.DataConsolidated += OnNYClose;
SubscriptionManager.AddConsolidator(setupData.Symbol, nyCloseConsolidator);
My question is how & where is this done in the framework? Any guidance would be helpful.
Cheers
Tony
Alexandre Catarino
Hi Tony Shacklock ,
In Framework algorithms (but also in Classic algorithms), consolidators can be created in OnSecuritiesChanged:
public override void OnSecuritiesChanged(QCAlgorithm algorithm, SecurityChanges changes) { foreach (var added in changes.AddedSecurities) { var nyCloseConsolidator = new QuoteBarConsolidator(NYDaily); nyCloseConsolidator.DataConsolidated += OnNYClose; algorithm.SubscriptionManager.AddConsolidator(added.Symbol, nyCloseConsolidator); } }If we are using a Universe Selection Model that removes securities from its members, we need to put in place logic to remove the consolidator from the SubscriptionManager (see RsiAlphaModel for example).
Tony Shacklock
Thank you Alexandre.
It is clearer now.
Cheers, Tony
Tony Shacklock
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