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I noticed all of the examples of consolidators include subscribing to an asset, creating a consolidator, an event handler and then adding it to the subscription manager.
What if I wanted to create weekly consolidated bars for each one of the assets returned by my coarse and fine filters for universe selection, create moving averages for them and then check if conditions are met on a weekly basis?
Can you initialize consolidators in the OnData method, or do they always have to be part of the Initialize method?
Rahul Chowdhury
Hi John,
You can create consolidators outside of Initialize. In fact, you can create a consolidator anywhere you have access to QCAlgorithm. When using universe selection, the best practice is creating a SymbolData class and storing the consolidators for each symbol within it.
We can also remove consolidators from our algorithm as symbols leave our universe. This is important to do so that we don't have useless consolidators slowing down our algorithm.
Check out the back test below to see how it works.
John Radosta
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