Share New Research 
My algorithm depends on looking at several different bar resolutions: 15minute, daily, weekly, and monthly.
How would I go about building an algorithm like this that needs all this data? I need to select assets that have certain patterns on those resolutions, so it seems inevitable that I need to consolidate every asset.
I have other basic filters like average trading volume is above a million, but I can't set just that as the filter in the CoarseFilter because if an asset passes that criteria I would then need all of its consolidation bars.
Any ideas?
Derek Melchin
Hi Dylan,
We recommend filtering the universe down to a manageable set of securities, then adding consolidators after they've been added to the universe. Adding consolidators for every security in CoarseFilter and then warming them up with a History request would cause a timeout.
Best,
Derek Melchin
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.
Dylan Mozlowski
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.
To unlock posting to the community forums please complete at least 30% of Boot Camp.
You can continue your Boot Camp training progress from the terminal. We hope to see you in the community soon!