using System;
using System.Collections;
using System.Collections.Generic; 
using QuantConnect.Securities;  
using QuantConnect.Models;   

namespace QuantConnect 
{   
    /*
    *   TimeSpanConsolidator Demonstration: Assemble generic timespan bar lengths: e.g. 10 minutes:
    *
    *   _consolidator = new Consolidator(_barPeriod);
    *
    *   if (_consolidator.Update(data["MSFT"])) {   UseBar    }
    */
    public class TimeSpanConsolidator : QCAlgorithm
    {
        //Set the consolidator period:
        private TimeSpan _barPeriod = TimeSpan.FromMinutes(10);
        
        //Consolidator Class:
        private Consolidator _consolidator;
        
        //Initialize the data and resolution you require for your strategy:
        public override void Initialize()
        {
            SetStartDate(2013, 1, 1); SetStartDate(2014, 1, 1);     
            SetCash(25000);
            AddSecurity(SecurityType.Equity, "MSFT", Resolution.Minute);
            
            //Setup Consolidator bar bar
            _consolidator = new Consolidator(_barPeriod);
        } 

        //Data Event Handler: New data arrives here. "TradeBars" type is a dictionary of strings so you can access it by symbol.
        public void OnData(TradeBars data)
        {   
            //Date gets updated until the consolidator period and then returns true:
            if (_consolidator.Update(data["MSFT"]))
            {
                var bar = _consolidator.Bar;
                Log("T: " + bar.Time.ToShortTimeString() + " O: " + bar.Open + " H: " + bar.High + " L: " + bar.Low + " C: " + bar.Close);
                
            }
        }
    }
}

using System;
using System.Collections;
using System.Collections.Generic;
using QuantConnect.Securities;
using QuantConnect.Models;

namespace QuantConnect 
{
    
    /*
    *   TimeSpanConsolidator Helper Routine: Assemble generic timespan bar lengths: e.g. 10 minutes:
    *
    *   1. Setup the new Consolidator class with the timespan period:
    *   var _consolidator = new Consolidator(TimeSpan.FromMinutes(10));
    *
    *   2. Add in the data with the update routine. It will return true when bar ready
    *   if (_consolidator.Update(data["MSFT"])) {   UseBar    }
    */
    public class Consolidator 
    {
        private TradeBar _resultBar;
        private TradeBar _workingBar;
        private DateTime _start;
        private TimeSpan _period;
        
        //Result:
        public TradeBar Bar
        {
            get
            {
                return _resultBar;
            }
        }
        
        //Constructor: Set the period we'd like to scan
        public Consolidator(TimeSpan span) 
        {
            this._period = span;
            this._resultBar = new TradeBar();
            this._workingBar = new TradeBar(new DateTime(), "", Decimal.Zero, Decimal.MinValue, Decimal.MaxValue, 0, 0);
        }
        
        //Submit this bar, return true if we've started a new one.
        public bool Update(TradeBar newBar)
        {
            //Intialize:
            if (_start == new DateTime()) 
            {
                _start = newBar.Time;
            }
            
            //While we're less than end date, keep adding to this bar:
            if (newBar.Time < (_start + _period))
            {
                //Building bar:
                AddToBar(newBar);
                return false;
            } 
            else 
            {
                //Completed bar: start new one:
                _resultBar = _workingBar;
                //Create a new bar:
                _workingBar = new TradeBar(newBar.Time, newBar.Symbol, Decimal.Zero, Decimal.MinValue, Decimal.MaxValue, 0, 0);
                //Start of this bar:
                _start = newBar.Time;
                AddToBar(newBar);
                return true;
            }
        }
        
        //Add to a tradebar
        private void AddToBar(TradeBar newBar)
        {
            //Add this data to working bar:
            if (_workingBar.Time == new DateTime()) _workingBar.Time = newBar.Time;
            if (_workingBar.Symbol == "") _workingBar.Symbol = newBar.Symbol;
            if (_workingBar.Open == Decimal.Zero) _workingBar.Open = newBar.Open;
            if (newBar.High > _workingBar.High) _workingBar.High = newBar.High;
            if (newBar.Low < _workingBar.Low) _workingBar.Low = newBar.Low;
            _workingBar.Close = newBar.Close;
            _workingBar.Volume = newBar.Volume;
        }
    }

}