Consolidator Types

Count Consolidators

Introduction

Count consolidators aggregate data based on a number of bars or ticks. This type of consolidator aggregates n samples together, regardless of the time period the samples cover. Managing count consolidators is similiar to managing time period consolidators, except you create count consolidators with an integer argument instead of a time-based argument.

Consolidate Trade Bars

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 a number of samples:

  1. Create the consolidator.
  2. To create a count consolidator, pass the number of samples to the consolidator constructor.

    _consolidator = new TradeBarConsolidator(10);
    self.consolidator = TradeBarConsolidator(10)
  3. Add an event handler to the consolidator.
  4. _consolidator.DataConsolidated += ConsolidationHandler;
    self.consolidator.DataConsolidated += 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().

  5. Define the consolidation handler.
  6. void ConsolidationHandler(object sender, TradeBar consolidatedBar)
    {
    
    }
    def consolidation_handler(self, sender: object, consolidated_bar: TradeBar) -> None:
        pass

    When the consolidator receives the n-th bar or tick, it passes the consolidated bar to the event handler.

  7. Update the consolidator.
  8. You can automatically or manually update the consolidator.

    • Automatic Updates
    • To automatically update a consolidator with data from the security subscription, call the AddConsolidator method of the Subscription Manager.

      self.SubscriptionManager.AddConsolidator(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 Update method with a TradeBar object. You can update the consolidator with data from the Slice object in the OnData method or with data from a history request.

      # Example 1: Update the consolidator with data from the Slice object
      def OnData(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);
      }
  9. 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.
  10. SubscriptionManager.RemoveConsolidator(_symbol, _consolidator);
    self.SubscriptionManager.RemoveConsolidator(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.

Consolidate Quote Bars

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 a number of samples:

  1. Create the consolidator.
  2. To create a count consolidator, pass the number of samples to the consolidator constructor.

    _consolidator = new QuoteBarConsolidator(10);
    self.consolidator = QuoteBarConsolidator(10)
  3. Add an event handler to the consolidator.
  4. _consolidator.DataConsolidated += ConsolidationHandler;
    self.consolidator.DataConsolidated += 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().

  5. Define the consolidation handler.
  6. void ConsolidationHandler(object sender, QuoteBar consolidatedBar)
    {
    
    }
    def consolidation_handler(self, sender: object, consolidated_bar: QuoteBar) -> None:
        pass

    When the consolidator receives the n-th bar or tick, it passes the consolidated bar to the event handler.

  7. Update the consolidator.
  8. You can automatically or manually update the consolidator.

    • Automatic Updates
    • To automatically update a consolidator with data from the security subscription, call the AddConsolidator method of the Subscription Manager.

      self.SubscriptionManager.AddConsolidator(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 Update method with a QuoteBar object. You can update the consolidator with data from the Slice object in the OnData method or with data from a history request.

      # Example 1: Update the consolidator with data from the Slice object
      def OnData(self, slice: Slice) -> None:
          quote_bar = slice.QuoteBars[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);
      }
  9. 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.
  10. SubscriptionManager.RemoveConsolidator(_symbol, _consolidator);
    self.SubscriptionManager.RemoveConsolidator(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.

Consolidate Trade Ticks

Tick consolidators aggregate Tick objects into TradeBar objects. Follow these steps to create and manage a Tick consolidator based on a number of samples:

  1. Create the consolidator.
  2. To create a count consolidator, pass the number of samples to the consolidator constructor.

    _consolidator = new TickConsolidator(10);
    self.consolidator = TickConsolidator(10)
  3. Add an event handler to the consolidator.
  4. _consolidator.DataConsolidated += ConsolidationHandler;
    self.consolidator.DataConsolidated += 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().

  5. Define the consolidation handler.
  6. void ConsolidationHandler(object sender, TradeBar consolidatedBar)
    {
    
    }
    def consolidation_handler(self, sender: object, consolidated_bar: TradeBar) -> None:
        pass

    When the consolidator receives the n-th bar or tick, it passes the consolidated bar to the event handler.

  7. Update the consolidator.
  8. You can automatically or manually update the consolidator.

    • Automatic Updates
    • To automatically update a consolidator with data from the security subscription, call the AddConsolidator method of the Subscription Manager.

      self.SubscriptionManager.AddConsolidator(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 Update method with a Tick object. You can update the consolidator with data from the Slice object in the OnData method or with data from a history request.

      # Example 1: Update the consolidator with data from the Slice object
      def OnData(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);
      }
  9. 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.
  10. SubscriptionManager.RemoveConsolidator(_symbol, _consolidator);
    self.SubscriptionManager.RemoveConsolidator(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.

Consolidate Quote Ticks

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 a number of samples:

  1. Create the consolidator.
  2. To create a count consolidator, pass the number of samples to the consolidator constructor.

    _consolidator = new TickQuoteBarConsolidator(10);
    self.consolidator = TickQuoteBarConsolidator(10)
  3. Add an event handler to the consolidator.
  4. _consolidator.DataConsolidated += ConsolidationHandler;
    self.consolidator.DataConsolidated += 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().

  5. Define the consolidation handler.
  6. void ConsolidationHandler(object sender, QuoteBar consolidatedBar)
    {
    
    }
    def consolidation_handler(self, sender: object, consolidated_bar: QuoteBar) -> None:
        pass

    When the consolidator receives the n-th bar or tick, it passes the consolidated bar to the event handler.

  7. Update the consolidator.
  8. You can automatically or manually update the consolidator.

    • Automatic Updates
    • To automatically update a consolidator with data from the security subscription, call the AddConsolidator method of the Subscription Manager.

      self.SubscriptionManager.AddConsolidator(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 Update method with a Tick object. You can update the consolidator with data from the Slice object in the OnData method or with data from a history request.

      # Example 1: Update the consolidator with data from the Slice object
      def OnData(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);
      }
  9. 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.
  10. SubscriptionManager.RemoveConsolidator(_symbol, _consolidator);
    self.SubscriptionManager.RemoveConsolidator(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 see our Videos. You can also get in touch with us via Discord.

Did you find this page helpful?

Contribute to the documentation: