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I've attempted to make an algorithm that would use a universe for selecting stocks, and then consolidate 1-minute bars into 5-minute bars and add these to a rolling window in a separate SymbolData class. But despite several days of looking for possible solutions on the forum and trying to fix the code, I haven't been able to find a way to successfully add tradebars to the rolling window in the SymbolData class and not receive a "Rolling window is empty" error in the OnData method.
I've attached the algorithm and would appreciate any suggestions to get this algorithm to work. Thanks!
Mads
Thank you Arthur. I thought I had already tried that, but I must apparently have coded it wrong.
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