Help Consolidating Tick Data With Python

Hi Ariel,

I never did it before but I don't see why it would not be possible in Python, especially if you say it is possible in C#. From the little I've been learning so far on LEAN:

1- The Python API is very close to the C# API. So if you know how to do it in C#, look for the same API/way in Python and you should be good to go.

2- I've also come across this, which might help you: 

https://www.quantconnect.com/docs/algorithm-reference/consolidating-data#Consolidating-Data-Manually-Consolidating-Bar-Count

You would most likely use TickConsolidator instead of TradeBarConsolidator… something like that…

Yeah, I could not use my development environment to answer you but I got the idea to go look at the API reference and found this:

https://lean-api-docs.netlify.app/classQuantConnect_1_1Data_1_1Consolidators_1_1TickConsolidator.html

Hope this helps.

Cheers,

Fred

Hi Ariel, Fred

Thank you for your answer, Fred!

We hereby attached an example of using TickConsolidator. Enjoy!

Best
Louis

Ah thank you Fred and Louis for your help, I really appreciate it! I can't believe that I missed that!

I am struggling to link my subscription manager to the consolidated data, in order to be used with MACD. I haven't really gone into programming how the algorithm will trade based on its' data yet though, but would you mind taking a look at my code? I would appreciate any pointers you may be able to give me.

class HGMACD(QCAlgorithm):

    def Initialize(self):
        
        self.contract = None

        self.SetStartDate(2021, 10, 25)    #Set Start Date
        self.SetEndDate(2021, 10,29)      #Set End Date
        self.SetCash(5000)             #Set Strategy Cash
        self.SetWarmUp(TimeSpan.FromDays(3)) # Set warm up
        # Subscribe and set our expiry filter for the futures chain
        futureHG = self.AddFuture(Futures.Metals.Copper)
        futureHG.SetFilter(0, 182)
        
    def OnData(self, slice):
        
        for chain in slice.FutureChains:
            contracts = [contract for contract in chain.Value]
            if len(contracts) == 0:
                self.oi_contract = None
                self.macd = None
                break
            
            self.popularContracts = [contract for contract in chain.Value] #if contract.OpenInterest > 1000]
 
            if len(self.popularContracts) == 0:
                continue
            
            contract = sorted(self.popularContracts, key=lambda k : k.OpenInterest, reverse=True)
            self.liquidContract = contract
            
            # Set up consolidators.
            on512T = TickConsolidator(512)
            on512T.DataConsolidated += self.On512TData
            self.SubscriptionManager.AddConsolidator(contract, on512T)
           
    def On512TData(self, sender, bar):
        self.macd = MovingAverageConvergenceDivergence(12, 26, 9, MovingAverageType.Exponential)
        self.RegisterIndicator(contract, self.macd, on512T)
        
        if (self.macd != None and self.macd.IsReady):
            if bar.Symbol == self.contract.Symbol:
                tolerance = 0.00
                signalDeltaPercent = (self.macd.Current.Value - self.macd.Signal.Current.Value)/self.macd.Fast.Current.Value
                
                if signalDeltaPercent < -tolerance:
                #if self.macd.Current.Value < 0
                #Go long
                    self.SetHoldings(symbol, 1)

                elif signalDeltaPercent > tolerance:
            #if self.macd.Current.Value > 0
            #Go short
                    self.SetHoldings(symbol, -1)
            
                else:
                    self.Liquidate
        else:
            self.Log('MACDs not ready yet')
            
            

Hi Ariel Nechemia,
Thank you for your patience. The above algorithm recreates and registers the indicator on every on512Data call. We need to create the indicator once and store the object in the dictionary to resolve the issue. Refer to the attached backtest.
Best,
Varad Kabade