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I recently got help and implemented a strategy with a 1hr consolidation, starting at 9:30am, onwards. It works a litte better for me, esp. since the last candle ends at 3:30 when the market is still open and we can act on it.
https://www.quantconnect.com/forum/discussion/7455/time-consolidation-ending-at-30-039-example-9-30-10-30-and-last-bar-at-3-30/p1However I see that it is much slower esp when dealing with say QC500 universe etc. Is there a way to cache these candles so that I dont have to do consolidate for every backtest?
Rahul Chowdhury
Hey Seersquant,
It's not possible to cache bar data for use later. Bars need to be consolidated for each backtest.
Slow back tests are frustrating. Our engineering team is always working towards improving processing speeds so that we can run faster backtests. You can speed up back tests by having more efficient data management, such as by making more efficient history calls or by removing consolidators which are not in use.
Please contact support at support@quantconnect.com for more help if this issue persists.
Seersquant
Thanks for input Rahul. I believe Minute/Hour/Daily bars are consolidated and stored. In the future having a version of Hourly Bars ending at '30 would be very helpful ( feature request :) )
Seersquant
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