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Hi, I have read the following:
https://github.com/QuantConnect/Lean/issues/2456and I am trying to execute the attached strategy without success.
Is there any plan to implement this?
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Shile Wen
Hi Islander,
We can define a custom period function that accepts a datetime and returns a CalendarInfo with the necessary information, and pass this function through the QuoteBarConsolidator class. In this function, while the specific value for start is not relevant, it is helpful in calculating the timedelta ( end - start ), which should be less than timedelta(1). I’ve attached a backtest with the necessary changes.
Best,
Shile Wen
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