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Hi !
I try to add consolidator to my future algo, in this way I have add TradeBar Consolidator to get Volume and QuoteBar Consolidator to get OHCL.
In the Backtest Below the condition " (Vol[1] < Vol[0]) " return no signal, however when i change this condition for example on " (AskOpen[0] > AskOpen[1]) " this works.
Secondly this method is very slowly to backtest. The fact that I create a seconde List for each consolidate data is that when i store the result root of both method consolidator Trade and Quote, those don't return directly a consolidate bar.
Help Please
Best
Alexandre Catarino
Hi Gmamuze Cht ,
The 'Vol' RollingWindow has values and, consequently, Vol[1] < Vol[0] is a valid condition that is working properly. I think you should review the logic of the algorithm because creating that Func is not working as expected. Why not just place the orders? I would recommend to keep it simple.
The algorithm is slow because it is creating multiple consolidators for the same Security/Symbol. I would advise you to save the consolidator in a dictionary keyed by Symbol and only add new consolidators if the dictionary doesn't contain the key.
Gmamuze Cht
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