Share New Research 
I would like to be able to use data on a short resolution, minute for example, but then revieve hourly quote bars in the Update method of my AlphaModel for generating insights. Is this possible?
QUANTCONNECT COMMUNITY
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
QuantConnect™ 2024. All Rights Reserved
Shile Wen
Hi Riley,
We would need to create a consolidator within our Alpha Model class in a similar fashion as we usually do for consolidators, except this time, some of the methods will be called on the algorithm parameter instead of self. An example can be seen in the attached backtest.
Best,
Shile Wen
James Candan
I have a similar set up, but I don't understand how to affect insights with consolidated data. Can you elaborate with an example within Update()?
Shile Wen
Hi James,
You could store the consolidated bars in a RollingWindow and access this RollingWindow inside the Update method. To make sure that we only return Insights on the frequency of the Consolidated bars, we can have a boolean field to track that a new bar has been formed. I've shown this in the attached backtest.
Best,
Shile Wen
Daniel Rosenwald
Hi Shile Wen ,
Forgive me for reviving this older post, but it is very on topic. What if my Alpha Model uses SymbolData objects to store indicators for each symbol in the universe. How would you go about feeding consolidated data into each SymbolData's indicator? Would you instantiate the consolidator within the init of each SymbolData object? Can you give an example?
Best,
Daniel
Varad Kabade
Hi Daniel Rosenwald,
To use SymbolData for indicators using consolidator, we would need to create consolidator object for each SymbolData object. In the attached backtest, I have implemented an example using two indicators in our AlphaModel.
Best,
Varad Kabade
Riley Bolen
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
To unlock posting to the community forums please complete at least 30% of Boot Camp.
You can continue your Boot Camp training progress from the terminal. We hope to see you in the community soon!