Hello QuantConnect Community! We have a question, we are trying to do is choosing a universe of 10 companies, and consolidating the bars in bars of 30 minutes. Save the first bar from 9 to 9:30 and if the price is above the High of the first bar (opening bar) then it will buy. Then we create an trailing stop that closes the transactions (0.95 from the highest price) by selling if the price falls by 5% (0.95 of the high). The problem is that the trailing stop is not being executed, and is apparently consolidating only 2 tickers. I leave my code here, I hope you can help me!

class DynamicOptimizedContainmentField(QCAlgorithm):

def Initialize(self):

self.stopMarketTicket = None
self.stopMarketOrderFillTime = datetime.min
self.highestPrice = 0
self.SetStartDate(2021, 3, 26) # Set Start Date\
self.SetEndDate(2021, 4, 26)
self.SetCash(1000000) # Set Strategy Cash
self.UniverseSettings.Resolution = Resolution.Minute
self.UniverseSettings.Leverage = 2

self.symbols = {}
self.stopPrice = self.GetParameter("stop")

def SelectCoarse(self, coarse):
sortedCoarse = sorted(coarse, key=lambda c:c.DollarVolume, reverse=True)
return [c.Symbol for c in sortedCoarse][:10]

def OnSecuritiesChanged(self, changes):

for security in changes.AddedSecurities:
symbol = security.Symbol
if symbol not in self.symbols:
self.symbols[symbol] = SymbolData(self, symbol)
self.Schedule.On(self.DateRules.EveryDay(symbol), self.TimeRules.At(13,30), self.ClosePositions)

for security in changes.RemovedSecurities:
symbol = security.Symbol
if symbol in self.symbols:
symbolData = self.symbols.pop(symbol, None)
self.SubscriptionManager.RemoveConsolidator(symbol, symbolData.consolidator)

def OnData(self, data):

for symbol, symbol_data in self.symbols.items():

if symbol_data.openingBar is None: continue

if not data.Bars.ContainsKey(symbol):

if data.Bars[symbol].Close > symbol_data.openingBar.High and not self.Securities[symbol].Invested:
quantity = self.CalculateOrderQuantity(symbol, 0.08) # orders 8% of portfolio
self.MarketOrder(symbol, quantity)
self.stopMarketTicket = self.StopMarketOrder(symbol, -self.Portfolio[symbol].Quantity, data[symbol].Close * 0.95)

if self.Securities[symbol].Invested and data.Bars[symbol].Close > symbol_data.highestPrice:
self.highestPrice = self.Securities[symbol].Close
updateFields = UpdateOrderFields()
updateFields.StopPrice = self.highestPrice * 0.95

def OnOrderEvent(self, orderEvent):
if orderEvent.Status != OrderStatus.Filled:
self.symbols[orderEvent.Symbol].openingBar = None
if self.symbols[orderEvent.Symbol].stopMarketTicket is not None and self.symbols[orderEvent.Symbol].stopMarketTicket.OrderId == orderEvent.OrderId:
self.symbols[orderEvent.Symbol].stopMarketOrderFillTime = self.Time

def ClosePositions(self):
for symbolData in self.symbols.values():
symbolData.openingBar = None
self.Liquidate() # liquidate entire portfolio

def OnDataConsolidated(self, sender, bar):
self.Log(f"Bar at {self.Time} for {bar.Symbol}")
if bar.Time.hour == 9 and bar.Time.minute == 30:
self.symbols[bar.Symbol].openingBar = bar

class SymbolData:

def __init__(self, algorithm, symbol):

self.algorithm = algorithm
self.symbol = symbol
self.consolidator = TradeBarConsolidator(timedelta(minutes = 30))
self.consolidator.DataConsolidated += self.OnDataConsolidated
self.openingBar = None

algorithm.SubscriptionManager.AddConsolidator(symbol, self.consolidator)

def OnDataConsolidated(self, sender, bar):
self.algorithm.Debug(f"Data Consolidatoed for {self.symbol} at {bar.EndTime} with bar: {bar}")