Consolidator Types
Calendar Consolidators
Introduction
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Examples
The following method shows how to create a consolidation period that consolidates data into 20-minute TradeBar objects, starting at 9:30 AM:
public CalendarInfo ConsolidationPeriod(DateTime datetime)
{
var period = TimeSpan.FromMinutes(20);
var openTime = datetime.Date + new TimeSpan(9, 30, 0);
var start = openTime + (int)((datetime - openTime) / period) * period;
return new CalendarInfo(start, period);
} def consolidation_period(self, dt: datetime) -> CalendarInfo:
period = timedelta(minutes=20)
open_time = dt.replace(hour=9, minute=30, second=0, microsecond=0)
start = open_time + ((dt - open_time) // period) * period
return CalendarInfo(start, period)
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