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What would be a smart way to do DAILY consolidation of Futures data?
Currently, Futures is offered in granularity of Tick, Second and Minute.
I don't think consolidating a QuoteBar by 1,440 minutes (24 hours x 60 minutes) would be accurate.
It would be accurate if there is always 1,440 minutes of QuoteBars in one day. However, some days could have less than 1,440 minutes of QuoteBars (I know, news flash).
I suppose I could create a rolling window of TradeBars. Manually update a daily TradeBar with OHLC by evaluating each QuoteBar's OHLC.
Derek Melchin
Hi Michael,
We can consolidate futures QuoteBars into daily bars by specifying a 1 day duration.
CountConsolidator = QuoteBarConsolidator(timedelta(days=1))See the attached algorithm for reference. It's a modification of the algorithm explained in this related thread.
Best,
Derek Melchin
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Michael Bloomfield
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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