Consolidator Types

TradeBar consolidators aggregate TradeBar objects into TradeBar objects of the same size or larger. Follow these steps to create and manage a TradeBar consolidator based on custom start and end periods:

1. Create the consolidator.

To set the time period for the consolidator, you can use the built-in CalendarInfo objects or create your own. The following list describes each technique:

• Standard Periods

The following table describes the helper methods that the Calendar class provides to create the built-in CalendarInfo objects:

Method	Description
Calendar.WeeklyCalendar.WEEKLY	Computes the start of week (previous Monday) of the given date/time
Calendar.MonthlyCalendar.MONTHLY	Computes the start of month (1st of the current month) of the given date/time
Calendar.QuarterlyCalendar.QUARTERLY	Computes the start of quarter (1st of the starting month of the current quarter) of the given date/time
Calendar.YearlyCalendar.YEARLY	Computes the start of year (1st of the current year) of the given date/time

_consolidator = new TradeBarConsolidator(Calendar.Weekly);
// Alias:
// _consolidator = CreateConsolidator(Calendar.Weekly, typeof(TradeBar));

self._consolidator = TradeBarConsolidator(Calendar.WEEKLY)
# Alias:
# self._consolidator = self.create_consolidator(Calendar.WEEKLY, TradeBar)

• Custom Periods

If you need something more specific than the preceding time periods, define a method to set the start time and period of the consolidated bars. The method should receive a datetimeDateTime object that's based in the data time zone and should return a CalendarInfo object, which contains the start time of the bar in the data time zone and the duration of the consolidation period. The following example demonstrates how to create a custom consolidator for weekly bars:

_consolidator = new TradeBarConsolidator(datetime => {
    var period = TimeSpan.FromDays(7);

    var timeSpan = new TimeSpan(17, 0, 0);
    var newDateTime = datetime.Date + timeSpan;
    var delta = 1 + (int)newDateTime.DayOfWeek;
    if (delta > 6)
    {
        delta = 0;
    }
    var start = newDateTime.AddDays(-delta);

    return new CalendarInfo(start, period);
});

# Define a consolidation period method
def _consolidation_period(self, dt: datetime) -> CalendarInfo:
    period = timedelta(7)

    dt = dt.replace(hour=17, minute=0, second=0, microsecond=0)
    delta = 1+dt.weekday()
    if delta > 6:
        delta = 0
    start = dt-timedelta(delta)

    return CalendarInfo(start, period)

# Create the consolidator with the consolidation period method
self._consolidator = TradeBarConsolidator(self._consolidation_period)

2. Add an event handler to the consolidator.

_consolidator.DataConsolidated += ConsolidationHandler;

self._consolidator.data_consolidated += self._consolidation_handler

LEAN passes consolidated bars to the consolidator event handler in your algorithm. The most common error when creating consolidators is to put parenthesis () at the end of your method name when setting the event handler of the consolidator. If you use parenthesis, the method executes and the result is passed as the event handler instead of the method itself. Remember to pass the name of your method to the event system. Specifically, it should be ConsolidationHandlerself._consolidation_handler, not ConsolidationHandler()self._consolidation_handler().

3. Define the consolidation handler.

void ConsolidationHandler(object sender, TradeBar consolidatedBar)
{

}

def _consolidation_handler(self, sender: object, consolidated_bar: TradeBar) -> None:
    pass

If you use a custom consolidation period method, LEAN passes the consolidated bar to the consolidation handler when the consolidation period ends. The Timetime and EndTimeend_time properties of the consolidated bar reflect the data time zone, but the Timetime property of the algorithm still reflects the algorithm time zone.

4. Update the consolidator.

You can automatically or manually update the consolidator.

• Automatic Updates

To automatically update a consolidator with data from the security subscription, call the AddConsolidatoradd_consolidator method of the Subscription Manager.

self.subscription_manager.add_consolidator(self._symbol, self._consolidator)

SubscriptionManager.AddConsolidator(_symbol, _consolidator);

• Manual Updates

Manual updates let you control when the consolidator updates and what data you use to update it. If you need to warm up a consolidator with data outside of the warm-up period, you can manually update the consolidator. To manually update a consolidator, call its Updateupdate method with a TradeBar object. You can update the consolidator with data from the Slice object in the OnDataon_data method or with data from a history request.

# Example 1: Update the consolidator with data from the Slice object
def on_data(self, slice: Slice) -> None:
    trade_bar = slice.bars[self._symbol]
    self._consolidator.update(trade_bar)

# Example 2: Update the consolidator with data from a history request
history = self.history[TradeBar](self._symbol, 30, Resolution.MINUTE)
for trade_bar in history:
    self._consolidator.update(trade_bar)

// Example 1: Update the consolidator with data from the Slice object
public override void OnData(Slice slice)
{
    var tradeBar = slice.Bars[_symbol];
    _consolidator.Update(tradeBar);
}

// Example 2: Update the consolidator with data from a history request
var history = History<TradeBar>(_symbol, 30, Resolution.Minute);
foreach (var tradeBar in history)
{
    _consolidator.Update(tradeBar);
}

5. If you create consolidators for securities in a dynamic universe and register them for automatic updates, remove the consolidator when the security leaves the universe.

SubscriptionManager.RemoveConsolidator(_symbol, _consolidator);

self.subscription_manager.remove_consolidator(self._symbol, self._consolidator)

If you have a dynamic universe and don't remove consolidators, they compound internally, causing your algorithm to slow down and eventually die once it runs out of RAM. For an example of removing consolidators from universe subscriptions, see the GasAndCrudeOilEnergyCorrelationAlphaGasAndCrudeOilEnergyCorrelationAlpha in the LEAN GitHub repository.

You can also use the Consolidateconsolidate helper method to create calendar consolidators and register them for automatic updates.

_consolidator = Consolidate(_symbol, Calendar.Weekly, ConsolidationHandler);

self._consolidator = self.consolidate(self._symbol, Calendar.WEEKLY, self._consolidation_handler)

If you use the Consolidateconsolidate helper method, the consolidation handler doesn't receive an object argument.

void ConsolidationHandler(TradeBar consolidatedBar)
{

}

def _consolidation_handler(self, consolidated_bar: TradeBar) -> None:
    pass

QuoteBar consolidators aggregate QuoteBar objects into QuoteBar objects of the same size or larger. Follow these steps to create and manage a QuoteBar consolidator based on custom start and end periods:

1. Create the consolidator.

To set the time period for the consolidator, you can use the built-in CalendarInfo objects or create your own. The following list describes each technique:

• Standard Periods

The following table describes the helper methods that the Calendar class provides to create the built-in CalendarInfo objects:

Method	Description
Calendar.WeeklyCalendar.WEEKLY	Computes the start of week (previous Monday) of the given date/time
Calendar.MonthlyCalendar.MONTHLY	Computes the start of month (1st of the current month) of the given date/time
Calendar.QuarterlyCalendar.QUARTERLY	Computes the start of quarter (1st of the starting month of the current quarter) of the given date/time
Calendar.YearlyCalendar.YEARLY	Computes the start of year (1st of the current year) of the given date/time

_consolidator = new QuoteBarConsolidator(Calendar.Weekly);
// Alias:
// _consolidator = CreateConsolidator(Calendar.Weekly, typeof(QuoteBar));

self._consolidator = QuoteBarConsolidator(Calendar.WEEKLY)
# Alias:
# self._consolidator = self.create_consolidator(Calendar.WEEKLY, QuoteBar)

• Custom Periods

If you need something more specific than the preceding time periods, define a method to set the start time and period of the consolidated bars. The method should receive a datetimeDateTime object that's based in the data time zone and should return a CalendarInfo object, which contains the start time of the bar in the data time zone and the duration of the consolidation period. The following example demonstrates how to create a custom consolidator for weekly bars:

_consolidator = new QuoteBarConsolidator(datetime => {
    var period = TimeSpan.FromDays(7);

    var timeSpan = new TimeSpan(17, 0, 0);
    var newDateTime = datetime.Date + timeSpan;
    var delta = 1 + (int)newDateTime.DayOfWeek;
    if (delta > 6)
    {
        delta = 0;
    }
    var start = newDateTime.AddDays(-delta);

    return new CalendarInfo(start, period);
});

# Define a consolidation period method
def _consolidation_period(self, dt: datetime) -> CalendarInfo:
    period = timedelta(7)

    dt = dt.replace(hour=17, minute=0, second=0, microsecond=0)
    delta = 1+dt.weekday()
    if delta > 6:
        delta = 0
    start = dt-timedelta(delta)

    return CalendarInfo(start, period)

# Create the consolidator with the consolidation period method
self._consolidator = QuoteBarConsolidator(self._consolidation_period)

2. Add an event handler to the consolidator.

_consolidator.DataConsolidated += ConsolidationHandler;

self._consolidator.data_consolidated += self._consolidation_handler

LEAN passes consolidated bars to the consolidator event handler in your algorithm. The most common error when creating consolidators is to put parenthesis () at the end of your method name when setting the event handler of the consolidator. If you use parenthesis, the method executes and the result is passed as the event handler instead of the method itself. Remember to pass the name of your method to the event system. Specifically, it should be ConsolidationHandlerself._consolidation_handler, not ConsolidationHandler()self._consolidation_handler().

3. Define the consolidation handler.

void ConsolidationHandler(object sender, QuoteBar consolidatedBar)
{

}

def _consolidation_handler(self, sender: object, consolidated_bar: QuoteBar) -> None:
    pass

If you use a custom consolidation period method, LEAN passes the consolidated bar to the consolidation handler when the consolidation period ends. The Timetime and EndTimeend_time properties of the consolidated bar reflect the data time zone, but the Timetime property of the algorithm still reflects the algorithm time zone.

4. Update the consolidator.

You can automatically or manually update the consolidator.

• Automatic Updates

To automatically update a consolidator with data from the security subscription, call the AddConsolidatoradd_consolidator method of the Subscription Manager.

self.subscription_manager.add_consolidator(self._symbol, self._consolidator)

SubscriptionManager.AddConsolidator(_symbol, _consolidator);

• Manual Updates

Manual updates let you control when the consolidator updates and what data you use to update it. If you need to warm up a consolidator with data outside of the warm-up period, you can manually update the consolidator. To manually update a consolidator, call its Updateupdate method with a QuoteBar object. You can update the consolidator with data from the Slice object in the OnDataon_data method or with data from a history request.

# Example 1: Update the consolidator with data from the Slice object
def on_data(self, slice: Slice) -> None:
    quote_bar = slice.quote_bars[self._symbol]
    self._consolidator.update(quote_bar)

# Example 2: Update the consolidator with data from a history request
history = self.history[QuoteBar](self._symbol, 30, Resolution.MINUTE)
for quote_bar in history:
    self._consolidator.update(quote_bar)

// Example 1: Update the consolidator with data from the Slice object
public override void OnData(Slice slice)
{
    var quoteBar = slice.QuoteBars[_symbol];
    _consolidator.Update(quoteBar);
}

// Example 2: Update the consolidator with data from a history request
var history = History<QuoteBar>(_symbol, 30, Resolution.Minute);
foreach (var quoteBar in history)
{
    _consolidator.Update(quoteBar);
}

5. If you create consolidators for securities in a dynamic universe and register them for automatic updates, remove the consolidator when the security leaves the universe.

SubscriptionManager.RemoveConsolidator(_symbol, _consolidator);

self.subscription_manager.remove_consolidator(self._symbol, self._consolidator)

If you have a dynamic universe and don't remove consolidators, they compound internally, causing your algorithm to slow down and eventually die once it runs out of RAM. For an example of removing consolidators from universe subscriptions, see the GasAndCrudeOilEnergyCorrelationAlphaGasAndCrudeOilEnergyCorrelationAlpha in the LEAN GitHub repository.

You can also use the Consolidateconsolidate helper method to create calendar consolidators and register them for automatic updates.

_consolidator = Consolidate<QuoteBar>(_symbol, Calendar.Weekly, TickType.Quote, ConsolidationHandler);

self._consolidator = self.consolidate(self._symbol, Calendar.WEEKLY, TickType.QUOTE, self._consolidation_handler)

If you use the Consolidateconsolidate helper method, the consolidation handler doesn't receive an object argument.

void ConsolidationHandler(QuoteBar consolidatedBar)
{

}

def _consolidation_handler(self, consolidated_bar: QuoteBar) -> None:
    pass

Tick consolidators aggregate Tick objects into TradeBar objects. Follow these steps to create and manage a Tick consolidator based on custom start and end periods:

1. Create the consolidator.

To set the time period for the consolidator, you can use the built-in CalendarInfo objects or create your own. The following list describes each technique:

• Standard Periods

The following table describes the helper methods that the Calendar class provides to create the built-in CalendarInfo objects:

Method	Description
Calendar.WeeklyCalendar.WEEKLY	Computes the start of week (previous Monday) of the given date/time
Calendar.MonthlyCalendar.MONTHLY	Computes the start of month (1st of the current month) of the given date/time
Calendar.QuarterlyCalendar.QUARTERLY	Computes the start of quarter (1st of the starting month of the current quarter) of the given date/time
Calendar.YearlyCalendar.YEARLY	Computes the start of year (1st of the current year) of the given date/time

_consolidator = new TickConsolidator(Calendar.Weekly);
// Alias:
// _consolidator = CreateConsolidator(Calendar.Weekly, typeof(Tick));

self._consolidator = TickConsolidator(Calendar.WEEKLY)
# Alias:
# self._consolidator = self.create_consolidator(Calendar.WEEKLY, Tick)

• Custom Periods

If you need something more specific than the preceding time periods, define a method to set the start time and period of the consolidated bars. The method should receive a datetimeDateTime object that's based in the data time zone and should return a CalendarInfo object, which contains the start time of the bar in the data time zone and the duration of the consolidation period. The following example demonstrates how to create a custom consolidator for weekly bars:

_consolidator = new TickConsolidator(datetime => {
    var period = TimeSpan.FromDays(7);

    var timeSpan = new TimeSpan(17, 0, 0);
    var newDateTime = datetime.Date + timeSpan;
    var delta = 1 + (int)newDateTime.DayOfWeek;
    if (delta > 6)
    {
        delta = 0;
    }
    var start = newDateTime.AddDays(-delta);

    return new CalendarInfo(start, period);
});

# Define a consolidation period method
def _consolidation_period(self, dt: datetime) -> CalendarInfo:
    period = timedelta(7)

    dt = dt.replace(hour=17, minute=0, second=0, microsecond=0)
    delta = 1+dt.weekday()
    if delta > 6:
        delta = 0
    start = dt-timedelta(delta)

    return CalendarInfo(start, period)

# Create the consolidator with the consolidation period method
self._consolidator = TickConsolidator(self._consolidation_period)

2. Add an event handler to the consolidator.

_consolidator.DataConsolidated += ConsolidationHandler;

self._consolidator.data_consolidated += self._consolidation_handler

LEAN passes consolidated bars to the consolidator event handler in your algorithm. The most common error when creating consolidators is to put parenthesis () at the end of your method name when setting the event handler of the consolidator. If you use parenthesis, the method executes and the result is passed as the event handler instead of the method itself. Remember to pass the name of your method to the event system. Specifically, it should be ConsolidationHandlerself._consolidation_handler, not ConsolidationHandler()self._consolidation_handler().

3. Define the consolidation handler.

void ConsolidationHandler(object sender, TradeBar consolidatedBar)
{

}

def _consolidation_handler(self, sender: object, consolidated_bar: TradeBar) -> None:
    pass

If you use a custom consolidation period method, LEAN passes the consolidated bar to the consolidation handler when the consolidation period ends. The Timetime and EndTimeend_time properties of the consolidated bar reflect the data time zone, but the Timetime property of the algorithm still reflects the algorithm time zone.

4. Update the consolidator.

You can automatically or manually update the consolidator.

• Automatic Updates

To automatically update a consolidator with data from the security subscription, call the AddConsolidatoradd_consolidator method of the Subscription Manager.

self.subscription_manager.add_consolidator(self._symbol, self._consolidator)

SubscriptionManager.AddConsolidator(_symbol, _consolidator);

• Manual Updates

Manual updates let you control when the consolidator updates and what data you use to update it. If you need to warm up a consolidator with data outside of the warm-up period, you can manually update the consolidator. To manually update a consolidator, call its Updateupdate method with a Tick object. You can update the consolidator with data from the Slice object in the OnDataon_data method or with data from a history request.

# Example 1: Update the consolidator with data from the Slice object
def on_data(self, slice: Slice) -> None:
    ticks = slice.ticks[self._symbol]
    for tick in ticks:
        self._consolidator.update(tick)

# Example 2: Update the consolidator with data from a history request
ticks = self.history[Tick](self._symbol, timedelta(minutes=3), Resolution.TICK)
for tick in ticks:
    self._consolidator.update(tick)

// Example 1: Update the consolidator with data from the Slice object
public override void OnData(Slice slice)
{
    var ticks = slice.Ticks[_symbol];
    foreach (var tick in ticks)
    {
    	_consolidator.Update(tick);
    }
}

// Example 2: Update the consolidator with data from a history request
var ticks = History<Tick>(_symbol, TimeSpan.FromMinutes(3), Resolution.Tick);
foreach (var tick in ticks)
{
    _consolidator.Update(tick);
}

5. If you create consolidators for securities in a dynamic universe and register them for automatic updates, remove the consolidator when the security leaves the universe.

SubscriptionManager.RemoveConsolidator(_symbol, _consolidator);

self.subscription_manager.remove_consolidator(self._symbol, self._consolidator)

If you have a dynamic universe and don't remove consolidators, they compound internally, causing your algorithm to slow down and eventually die once it runs out of RAM. For an example of removing consolidators from universe subscriptions, see the GasAndCrudeOilEnergyCorrelationAlphaGasAndCrudeOilEnergyCorrelationAlpha in the LEAN GitHub repository.

You can also use the Consolidateconsolidate helper method to create calendar consolidators and register them for automatic updates.

_consolidator = Consolidate(_symbol, Calendar.Weekly, ConsolidationHandler);

self._consolidator = self.consolidate(self._symbol, Calendar.WEEKLY, self._consolidation_handler)

If you use the Consolidateconsolidate helper method, the consolidation handler doesn't receive an object argument.

void ConsolidationHandler(TradeBar consolidatedBar)
{

}

def _consolidation_handler(self, consolidated_bar: TradeBar) -> None:
    pass

Tick quote bar consolidators aggregate Tick objects that represent quotes into QuoteBar objects. Follow these steps to create and manage a Tick quote bar consolidator based on custom start and end periods:

1. Create the consolidator.

To set the time period for the consolidator, you can use the built-in CalendarInfo objects or create your own. The following list describes each technique:

• Standard Periods

The following table describes the helper methods that the Calendar class provides to create the built-in CalendarInfo objects:

Method	Description
Calendar.WeeklyCalendar.WEEKLY	Computes the start of week (previous Monday) of the given date/time
Calendar.MonthlyCalendar.MONTHLY	Computes the start of month (1st of the current month) of the given date/time
Calendar.QuarterlyCalendar.QUARTERLY	Computes the start of quarter (1st of the starting month of the current quarter) of the given date/time
Calendar.YearlyCalendar.YEARLY	Computes the start of year (1st of the current year) of the given date/time

_consolidator = new TickQuoteBarConsolidator(Calendar.Weekly);
// Alias:
// _consolidator = CreateConsolidator(Calendar.Weekly, typeof(Tick), TickType.Quote);

self._consolidator = TickQuoteBarConsolidator(Calendar.WEEKLY)
# Alias:
# self._consolidator = self.create_consolidator(Calendar.WEEKLY, Tick, TickType.QUOTE)

• Custom Periods

If you need something more specific than the preceding time periods, define a method to set the start time and period of the consolidated bars. The method should receive a datetimeDateTime object that's based in the data time zone and should return a CalendarInfo object, which contains the start time of the bar in the data time zone and the duration of the consolidation period. The following example demonstrates how to create a custom consolidator for weekly bars:

_consolidator = new TickQuoteBarConsolidator(datetime => {
    var period = TimeSpan.FromDays(7);

    var timeSpan = new TimeSpan(17, 0, 0);
    var newDateTime = datetime.Date + timeSpan;
    var delta = 1 + (int)newDateTime.DayOfWeek;
    if (delta > 6)
    {
        delta = 0;
    }
    var start = newDateTime.AddDays(-delta);

    return new CalendarInfo(start, period);
});

# Define a consolidation period method
def _consolidation_period(self, dt: datetime) -> CalendarInfo:
    period = timedelta(7)

    dt = dt.replace(hour=17, minute=0, second=0, microsecond=0)
    delta = 1+dt.weekday()
    if delta > 6:
        delta = 0
    start = dt-timedelta(delta)

    return CalendarInfo(start, period)

# Create the consolidator with the consolidation period method
self._consolidator = TickQuoteBarConsolidator(self._consolidation_period)

2. Add an event handler to the consolidator.

_consolidator.DataConsolidated += ConsolidationHandler;

self._consolidator.data_consolidated += self._consolidation_handler

LEAN passes consolidated bars to the consolidator event handler in your algorithm. The most common error when creating consolidators is to put parenthesis () at the end of your method name when setting the event handler of the consolidator. If you use parenthesis, the method executes and the result is passed as the event handler instead of the method itself. Remember to pass the name of your method to the event system. Specifically, it should be ConsolidationHandlerself._consolidation_handler, not ConsolidationHandler()self._consolidation_handler().

3. Define the consolidation handler.

void ConsolidationHandler(object sender, QuoteBar consolidatedBar)
{

}

def _consolidation_handler(self, sender: object, consolidated_bar: QuoteBar) -> None:
    pass

If you use a custom consolidation period method, LEAN passes the consolidated bar to the consolidation handler when the consolidation period ends. The Timetime and EndTimeend_time properties of the consolidated bar reflect the data time zone, but the Timetime property of the algorithm still reflects the algorithm time zone.

4. Update the consolidator.

You can automatically or manually update the consolidator.

• Automatic Updates

To automatically update a consolidator with data from the security subscription, call the AddConsolidatoradd_consolidator method of the Subscription Manager.

self.subscription_manager.add_consolidator(self._symbol, self._consolidator)

SubscriptionManager.AddConsolidator(_symbol, _consolidator);

• Manual Updates

Manual updates let you control when the consolidator updates and what data you use to update it. If you need to warm up a consolidator with data outside of the warm-up period, you can manually update the consolidator. To manually update a consolidator, call its Updateupdate method with a Tick object. You can update the consolidator with data from the Slice object in the OnDataon_data method or with data from a history request.

# Example 1: Update the consolidator with data from the Slice object
def on_data(self, slice: Slice) -> None:
    ticks = slice.ticks[self._symbol]
    for tick in ticks:
        self._consolidator.update(tick)

# Example 2: Update the consolidator with data from a history request
ticks = self.history[Tick](self._symbol, timedelta(minutes=3), Resolution.TICK)
for tick in ticks:
    self._consolidator.update(tick)

// Example 1: Update the consolidator with data from the Slice object
public override void OnData(Slice slice)
{
    var ticks = slice.Ticks[_symbol];
    foreach (var tick in ticks)
    {
    	_consolidator.Update(tick);
    }
}

// Example 2: Update the consolidator with data from a history request
var ticks = History<Tick>(_symbol, TimeSpan.FromMinutes(3), Resolution.Tick);
foreach (var tick in ticks)
{
    _consolidator.Update(tick);
}

5. If you create consolidators for securities in a dynamic universe and register them for automatic updates, remove the consolidator when the security leaves the universe.

SubscriptionManager.RemoveConsolidator(_symbol, _consolidator);

self.subscription_manager.remove_consolidator(self._symbol, self._consolidator)

If you have a dynamic universe and don't remove consolidators, they compound internally, causing your algorithm to slow down and eventually die once it runs out of RAM. For an example of removing consolidators from universe subscriptions, see the GasAndCrudeOilEnergyCorrelationAlphaGasAndCrudeOilEnergyCorrelationAlpha in the LEAN GitHub repository.

You can also use the Consolidateconsolidate helper method to create calendar consolidators and register them for automatic updates.

_consolidator = Consolidate<QuoteBar>(_symbol, Calendar.Weekly, TickType.Quote, ConsolidationHandler);

self._consolidator = self.consolidate(self._symbol, Calendar.WEEKLY, TickType.QUOTE, self._consolidation_handler)

If you use the Consolidateconsolidate helper method, the consolidation handler doesn't receive an object argument.

void ConsolidationHandler(QuoteBar consolidatedBar)
{

}

def _consolidation_handler(self, consolidated_bar: QuoteBar) -> None:
    pass

<dataType> consolidators aggregate various types of data objects into <dataType> objects of the same size or larger. If you consolidate custom data or alternative datasets, check the definition of the data class to see its data type. Follow these steps to create and manage a <dataType> consolidator based on custom start and end periods:

1. Create the consolidator.

To set the time period for the consolidator, you can use the built-in CalendarInfo objects or create your own. The following list describes each technique:

• Standard Periods

The following table describes the helper methods that the Calendar class provides to create the built-in CalendarInfo objects:

Method	Description
Calendar.WeeklyCalendar.WEEKLY	Computes the start of week (previous Monday) of the given date/time
Calendar.MonthlyCalendar.MONTHLY	Computes the start of month (1st of the current month) of the given date/time
Calendar.QuarterlyCalendar.QUARTERLY	Computes the start of quarter (1st of the starting month of the current quarter) of the given date/time
Calendar.YearlyCalendar.YEARLY	Computes the start of year (1st of the current year) of the given date/time

_consolidator = new DynamicDataConsolidator(Calendar.Weekly);
// Alias:
// _consolidator = CreateConsolidator(Calendar.Weekly, typeof(<dataType>));

self._consolidator = DynamicDataConsolidator(Calendar.WEEKLY)
# Alias:
# self._consolidator = self.create_consolidator(Calendar.WEEKLY, <dataType>)

• Custom Periods

If you need something more specific than the preceding time periods, define a method to set the start time and period of the consolidated bars. The method should receive a datetimeDateTime object that's based in the data time zone and should return a CalendarInfo object, which contains the start time of the bar in the data time zone and the duration of the consolidation period. The following example demonstrates how to create a custom consolidator for weekly bars:

_consolidator = new DynamicDataConsolidator(datetime => {
    var period = TimeSpan.FromDays(7);

    var timeSpan = new TimeSpan(17, 0, 0);
    var newDateTime = datetime.Date + timeSpan;
    var delta = 1 + (int)newDateTime.DayOfWeek;
    if (delta > 6)
    {
        delta = 0;
    }
    var start = newDateTime.AddDays(-delta);

    return new CalendarInfo(start, period);
});

# Define a consolidation period method
def _consolidation_period(self, dt: datetime) -> CalendarInfo:
    period = timedelta(7)

    dt = dt.replace(hour=17, minute=0, second=0, microsecond=0)
    delta = 1+dt.weekday()
    if delta > 6:
        delta = 0
    start = dt-timedelta(delta)

    return CalendarInfo(start, period)

# Create the consolidator with the consolidation period method
self._consolidator = DynamicDataConsolidator(self._consolidation_period)

2. Add an event handler to the consolidator.

_consolidator.DataConsolidated += ConsolidationHandler;

self._consolidator.data_consolidated += self._consolidation_handler

LEAN passes consolidated bars to the consolidator event handler in your algorithm. The most common error when creating consolidators is to put parenthesis () at the end of your method name when setting the event handler of the consolidator. If you use parenthesis, the method executes and the result is passed as the event handler instead of the method itself. Remember to pass the name of your method to the event system. Specifically, it should be ConsolidationHandlerself._consolidation_handler, not ConsolidationHandler()self._consolidation_handler().

3. Define the consolidation handler.

void ConsolidationHandler(object sender, <dataType> consolidatedBar)
{

}

def _consolidation_handler(self, sender: object, consolidated_bar: <dataType>) -> None:
    pass

If you use a custom consolidation period method, LEAN passes the consolidated bar to the consolidation handler when the consolidation period ends. The Timetime and EndTimeend_time properties of the consolidated bar reflect the data time zone, but the Timetime property of the algorithm still reflects the algorithm time zone.

4. Update the consolidator.

You can automatically or manually update the consolidator.

• Automatic Updates

To automatically update a consolidator with data from the data subscription, call the AddConsolidatoradd_consolidator method of the Subscription Manager.

self.subscription_manager.add_consolidator(self._symbol, self._consolidator)

SubscriptionManager.AddConsolidator(_symbol, _consolidator);

• Manual Updates

Manual updates let you control when the consolidator updates and what data you use to update it. If you need to warm up a consolidator with data outside of the warm-up period, you can manually update the consolidator. To manually update a consolidator, call its Updateupdate method with a <dataType> object. You can update the consolidator with data from the Slice object in the OnDataon_data method or with data from a history request.

# Example 1: Update the consolidator with data from the Slice object
def on_data(self, slice: Slice) -> None:
    if self._symbol in slice:
        self._consolidator.update(slice[self._symbol])

# Example 2: Update the consolidator with data from a history request
history = self.history[<dataType>](self._symbol, 30, Resolution.DAILY)
for data in history:
    self._consolidator.update(data)

// Example 1: Update the consolidator with data from the Slice object
public override void OnData(Slice slice)
{
    if slice.ContainsKey(_symbol)
    {
        _consolidator.Update(slice[_symbol]);
    }
}

// Example 2: Update the consolidator with data from a history request
var history = History<<dataType>>(_symbol, 30, Resolution.Daily);
foreach (var data in history)
{
    _consolidator.Update(data);
}

5. If you create consolidators for securities in a dynamic universe and register them for automatic updates, remove the consolidator when the security leaves the universe.

SubscriptionManager.RemoveConsolidator(_symbol, _consolidator);

self.subscription_manager.remove_consolidator(self._symbol, self._consolidator)

If you have a dynamic universe and don't remove consolidators, they compound internally, causing your algorithm to slow down and eventually die once it runs out of RAM. For an example of removing consolidators from universe subscriptions, see the GasAndCrudeOilEnergyCorrelationAlphaGasAndCrudeOilEnergyCorrelationAlpha in the LEAN GitHub repository.

You can also use the Consolidateconsolidate helper method to create calendar consolidators and register them for automatic updates.

_consolidator = Consolidate(_symbol, Calendar.Weekly, ConsolidationHandler);

self._consolidator = self.consolidate(self._symbol, Calendar.WEEKLY, self._consolidation_handler)

If you use the Consolidateconsolidate helper method, the consolidation handler doesn't receive an object argument.

void ConsolidationHandler(<dataType> consolidatedBar)
{

}

def _consolidation_handler(self, consolidated_bar: <dataType>) -> None:
    pass

To reset a consolidator, call its Resetreset method.

self._consolidator.reset() 

_consolidator.Reset();

If you are live trading Equities or backtesting Equities without the adjusted data normalization mode, reset your consolidators when splits and dividends occur. When a split or dividend occurs while the consolidator is in the process of building a bar, the open, high, and low may reflect prices from before the split or dividend. To avoid issues, call the consolidator's Resetreset method and then warm it up with ScaledRawSCALED_RAW data from a history request.

def on_data(self, data: Slice):
    # When a split or dividend occurs...
    if (data.splits.contains_key(self._symbol) and data.splits[self._symbol].type == SplitType.SPLIT_OCCURRED or 
        data.dividends.contains_key(self._symbol)):
        # If the consolidator is working on a bar...
        if self._consolidator.working_data:
            # Get adjusted prices for the time period of the working bar.
            history = self.history[TradeBar](self._symbol, self._consolidator.working_data.time, self.time, data_normalization_mode=DataNormalizationMode.SCALED_RAW)
            # Reset the consolidator.
            self._consolidator.reset()
            # Warm-up the consolidator with the adjusted price data.
            for bar in history:
                self._consolidator.update(bar)

public override void OnData(Slice data)
{
    // When a split or dividend occurs...
    if ((data.Splits.ContainsKey(_symbol) && data.Splits[_symbol].Type == SplitType.SplitOccurred) ||
        data.Dividends.ContainsKey(_symbol))
    {
        // If the consolidator is working on a bar...
        if (_consolidator.WorkingData != null)
        {
            // Get adjusted prices for the time period of the working bar.
            var history = History<TradeBar>(_symbol, _consolidator.WorkingData.Time, Time, dataNormalizationMode: DataNormalizationMode.ScaledRaw);
            // Reset the consolidator.
            _consolidator.Reset();
            // Warm-up the consolidator with the adjusted price data.
            foreach (var bar in history)
            {
                _consolidator.Update(bar);
            }
        }
    }
}

The following examples demonstrate some common practices for calendar consolidators.

Example 1: Daily Futures Bars

Daily bars from the CME and Yahoo Finance represent the price action from 5 PM Central Time (CT) to 4 PM CT on the following day. In contrast, the regular daily resolution bars on QuantConnect represent the price action from 12 AM Eastern Time (ET) to 12 AM ET the following day. To create daily bars that represent the same period of time as the daily bars from the CME, the following algorithm consolidates minute bars (during regular and extended market hours) into daily bars that span from 5 PM CT to 4 PM CT on the following day. The algorithm then uses these consolidated daily bars to place take profit and stop loss orders as a function of the daily Average True Range .

public class CalendarConsolidatorExampleAlgorithm : QCAlgorithm
{
    private Future _future;
    private decimal _takeProfitPrice, _stopLossPrice;
    // Create an ATR indicator to set take profit and stop loss levels.
    private AverageTrueRange _atr = new(10);
    // Create a day tracker to avoid over-trading.
    private int _day = -1;

    public override void Initialize()
    {
        SetStartDate(2021, 1, 1);
        SetEndDate(2022, 1, 1);
        // Add ES Futures data and configure the continuous contract settings 
        // so you can update the ATR with a smooth feed of prices.
        _future = AddFuture(
            Futures.Indices.SP500EMini,
            extendedMarketHours: true,
            dataNormalizationMode: DataNormalizationMode.BackwardsRatio,
            dataMappingMode: DataMappingMode.OpenInterest,
            contractDepthOffset: 0
        );
        // Create a calendar consolidator to generate daily ES Futures bars
        // since market starts at 6pm EST to 5pm EST next day.
        var consolidator = new TradeBarConsolidator(FutureTradingHour);
        consolidator.DataConsolidated += OnConsolidated;
        // Warm up the consolidator and ATR indicator.
        var history = History<TradeBar>(_future.Symbol, 14500, Resolution.Minute);
        foreach (var bar in history)
        {
            consolidator.Update(bar);
        }
        // Subscribe the consolidator for automatic updates with ES data.
        SubscriptionManager.AddConsolidator(_future.Symbol, consolidator);
    }

    private CalendarInfo FutureTradingHour(DateTime datetime)
    {
        // Set the open time of the bar to be 6 PM EST.
        var start = datetime.Date.AddHours(datetime.Hour < 18 ? -6 : 18);
        // Set the close time of the bar to be 5 PM EST the next day, which is 23 hours later.
        return new CalendarInfo(start, TimeSpan.FromHours(23));
    }

    private void OnConsolidated(object sender, TradeBar bar)
    {
        // Update the ATR indicator since we want the daily ATR to set the stop price.
        _atr.Update(bar);
        // Set the daily take profit and stop price levels as a function of the previous 
        // close price and the ATR.
        _takeProfitPrice = bar.Close + _atr * 2m;
        _stopLossPrice = bar.Close - _atr * 2m;
    }

    public override void OnData(Slice slice)
    {
        // Liquidate the current contract in the continuous contract series
        // when it's about to expire.
        if (slice.SymbolChangedEvents.TryGetValue(_future.Symbol, out var changedEvent))
        {
            Liquidate(changedEvent.OldSymbol);
        }

        // If we're not invested, buy the current contract in the continuous contract series.
        if (!Portfolio.Invested && Securities[_future.Mapped].Price != 0 && _day != slice.Time.Day)
        {
            MarketOrder(_future.Mapped, 1);
        }
        // If we're already invested, check if we've hit the TP/SL level.
        else if (Portfolio.Invested && slice.Bars.TryGetValue(_future.Symbol, out var bar))
        {
            // Check if the current price is above profit taker or below stop loss.
            if (bar.Close > _takeProfitPrice || bar.Close < _stopLossPrice)
            {
                // Exit the position.
                Liquidate();
            }
        }
        // Update the daily tracker so we only update our position once per day.
        _day = slice.Time.Day;
    }
}

class CalendarConsolidatorExampleAlgorithm(QCAlgorithm):
    
    def initialize(self) -> None:
        self.set_start_date(2021, 1, 1)
        self.set_end_date(2022, 1, 1)
        # Create an ATR indicator to set take profit and stop loss levels.
        self._atr = AverageTrueRange(10)
        # Create a day tracker to avoid overtrading.
        self._day = -1
        # Add ES Futures data and configure the continuous contract settings 
        # so you can update the ATR with a smooth feed of prices.
        self._future = self.add_future(
            Futures.Indices.SP_500_E_MINI,
            extended_market_hours=True,
            data_normalization_mode=DataNormalizationMode.BACKWARDS_RATIO,
            data_mapping_mode=DataMappingMode.OPEN_INTEREST,
            contract_depth_offset=0
        )
        # Create a calendar consolidator to generate daily ES Futures bars
        # since market starts at 6pm EST to 5pm EST next day.
        consolidator = TradeBarConsolidator(self._future_trading_hour)
        consolidator.data_consolidated += self._on_consolidated
        # Warm up the consolidator and ATR indicator.
        history = self.history[TradeBar](self._future.symbol, 14500, Resolution.MINUTE)
        for bar in history:
            consolidator.update(bar)
        # Subscribe the consolidator for automatic updates with ES data.
        self.subscription_manager.add_consolidator(self._future.symbol, consolidator)
    
    def _future_trading_hour(self, dt: datetime) -> CalendarInfo:
        # Set the open time of the bar to be 6 PM EST.
        start = dt.replace(hour=0, minute=0, second=0, microsecond=0)
        if dt.hour < 18:
            start -= timedelta(hours=6)
        else:
            start += timedelta(hours=18)
        # Set the close time of the bar to be 5 PM EST the next day, which is 23 hours later.
        return CalendarInfo(start, timedelta(hours=23))

    def _on_consolidated(self, sender: object, bar: TradeBar) -> None:
        # Update the ATR indicator since we want the daily ATR to set the stop price.
        self._atr.update(bar)
        # Set the daily take profit and stop price levels as a function of the previous 
        # close price and the ATR.
        self._take_profit_price = bar.close + self._atr.current.value * 2
        self._stop_loss_price = bar.close - self._atr.current.value * 2

    def on_data(self, slice: Slice) -> None:
        # Liquidate the current contract in the continuous contract series
        # when it's about to expire.
        changed_event = slice.symbol_changed_events.get(self._future.symbol)
        if changed_event:
            self.liquidate(changed_event.old_symbol)

        # If we're not invested, buy the current contract in the continuous contract series.
        if (not self.portfolio.invested and 
            self.securities[self._future.mapped].price and 
            self._day != slice.time.day):
            self.market_order(self._future.mapped, 1)
        # If we're already invested, check if we've hit the TP/SL level.
        elif self.portfolio.invested and self._future.symbol in slice.bars:
            current_price = slice.bars[self._future.symbol].close
            # Check if the current price is above profit taker or below stop loss.
            if current_price > self._take_profit_price or current_price < self._stop_loss_price:
                # Exit the position.
                self.liquidate()
        
        # Update the daily tracker so we only update our position once per day.
        self._day = slice.time.day

Example 2: Create Daily QuoteBar Objects That Start at 5 PM

The following algorithm consolidates minute resolution Forex data into daily QuoteBar objects that open and close at 5 PM Eastern Time.

public class CalendarConsolidatorExampleAlgorithm : QCAlgorithm
{
    private dynamic _pair;

    public override void Initialize()
    {
        SetStartDate(2020, 1, 1);
        // Add the USDJPY Forex pair.
        _pair = AddForex("USDJPY");
        // Create an EMA indicator for the pair.
        _pair.Ema = new ExponentialMovingAverage(10);
        // Create a QuoteBar consolidator with a custom consolidation period.
        var consolidator = new QuoteBarConsolidator(DailyForexConsolidationPeriod);
        // Attach a consolidation handler that will receive the consolidated bars.
        consolidator.DataConsolidated += ConsolidationHandler;
        // Subscribe the consolidator for automatic updates with the prices of the pair.
        SubscriptionManager.AddConsolidator(_pair.Symbol, consolidator);
        // Register the indicator for automatic updates with the consolidated bars.
        RegisterIndicator<IndicatorDataPoint>(_pair.Symbol, _pair.Ema, consolidator);
        // Warm up the consolidator and indicator.
        var history = History<QuoteBar>(_pair.Symbol, 29000, Resolution.Minute);
        foreach (var bar in history)
        {
            consolidator.Update(bar);
        }
    }

    // Define the consolidation period.
    private CalendarInfo DailyForexConsolidationPeriod(DateTime dt)
    {
        // Set the start of the bar to be 5 PM ET.
        var start = dt.Date;
        if (dt.Hour < 17)
        {
            start = start.AddHours(-7);
        }
        else
        {
            start = start.AddHours(17);
        }
        // Set the end of the bar to be 5 PM ET the next day.
        return new CalendarInfo(start, TimeSpan.FromDays(1));
    }

    private void ConsolidationHandler(object sender, QuoteBar consolidatedBar)
    {
        // Wait until the indicator is ready and the algorithm is running.
        if (!_pair.Ema.IsReady || IsWarmingUp)
        {
            return;
        }
        // Plot the closing price and the EMA.
        Plot(consolidatedBar.Symbol.ToString(), "Close", consolidatedBar.Close);
        Plot(consolidatedBar.Symbol.ToString(), "EMA", _pair.Ema.Current.Value);
    }
}

class CalendarConsolidatorExampleAlgorithm(QCAlgorithm):
    
    def initialize(self) -> None:
        self.set_start_date(2020, 1, 1)
        # Add the USDJPY Forex pair.
        self._pair = self.add_forex("USDJPY")
        # Create an EMA indicator for the pair.
        self._pair.ema = ExponentialMovingAverage(10)
        # Create a QuoteBar consolidator with a custom consolidation period.
        consolidator = QuoteBarConsolidator(self._daily_forex_consolidation_period)
        # Attach a consolidation handler that will receive the consolidated bars.
        consolidator.data_consolidated += self._consolidation_handler
        # Subscribe the consolidator for automatic updates with the prices of the pair.
        self.subscription_manager.add_consolidator(self._pair.symbol, consolidator)
        # Register the indicator for automatic updates with the consolidated bars.
        self.register_indicator(self._pair.symbol, self._pair.ema, consolidator)
        # Warm up the consolidator and indicator.
        history = self.history[QuoteBar](self._pair.symbol, 29000, Resolution.MINUTE)
        for bar in history:
            consolidator.update(bar)
    
    # Define the consolidation period.
    def _daily_forex_consolidation_period(self, dt: datetime) -> CalendarInfo:
        # Set the start of the bar to be 5 PM ET.
        start = dt.replace(hour=0, minute=0, second=0, microsecond=0)
        if dt.hour < 17:
            start -= timedelta(hours=7)
        else:
            start += timedelta(hours=17)
        # Set the end of the bar to be 5 PM ET the next day.
        return CalendarInfo(start, timedelta(1))

    def _consolidation_handler(self, sender: object, consolidated_bar: QuoteBar) -> None:
        # Wait until the indicator is ready and the algorithm is running.
        if not self._pair.ema.is_ready or self.is_warming_up:
            return
        # Plot the closing price and the EMA.
        self.plot(str(consolidated_bar.symbol), 'Close', consolidated_bar.close)
        self.plot(str(consolidated_bar.symbol), 'EMA', self._pair.ema.current.value)

Example 3: Monthly Candlesticks

The following algorithm consolidates minute-resolution data into monthly TradeBar objects and then plots them as candlesticks .

public class CalendarConsolidatorExampleAlgorithm : QCAlgorithm
{
    public override void Initialize()
    {
        // Add an asset.
        var symbol = AddEquity("SPY").Symbol;
        // Create a consolidator that produces monthly TradeBar objects.
        // This is the stardard way:
        //var consolidator = new TradeBarConsolidator(Calendar.Monthly);
        // However, you can acomplish the same thing with a custom period:
        var consolidator = new TradeBarConsolidator(CustomMonthly);
        // Add a consolidation handler that plots the monthly bars as candlesticks.
        consolidator.DataConsolidated += (_, bar) => Plot(
            "Monthly Candlestick", symbol.Value, bar.Open, bar.High, bar.Low, bar.Close
        );
        // Register the consolidator for automatic updates.
        SubscriptionManager.AddConsolidator(symbol, consolidator);
    }

    public CalendarInfo CustomMonthly(DateTime dt)
    {
        // Set the start time to the beginning of the month.
        var start = dt.AddDays(1 - dt.Day).Date;
        // Set the end time to the beginning of next month.
        var end = start.AddMonths(1);
        return new CalendarInfo(start, (end - start));
    }
}

from dateutil.relativedelta import relativedelta


class CalendarConsolidatorExampleAlgorithm(QCAlgorithm):
    
    def initialize(self) -> None:
        # Add an asset.
        symbol = self.add_equity("SPY").symbol
        # Create a consolidator that produces monthly TradeBar objects.
        # This is the stardard way:
        #consolidator = TradeBarConsolidator(Calendar.MONTHLY)
        # However, you can acomplish the same thing with a custom period:
        consolidator = TradeBarConsolidator(self._custom_monthly)
        # Add a consolidation handler that plots the monthly bars as candlesticks.
        consolidator.data_consolidated += lambda _, bar: self.plot(
            "Monthly Candlestick", symbol.value, bar.open, bar.high, bar.low, bar.close
        )
        # Register the consolidator for automatic updates.
        self.subscription_manager.add_consolidator(symbol, consolidator)
    
    def _custom_monthly(self, dt: datetime) -> CalendarInfo:
        # Set the start time to the beginning of the month.
        start = dt.replace(day=1).date()
        # Set the end time to the beginning of next month.
        end = start + relativedelta(months=1)
        return CalendarInfo(start, end - start)

Other Examples

For more examples, see the following algorithms: