Tradebar Consolidation and Rolling Windows in Alpha Model

Apologies- i selected my algorithm to include but since there are no backtests due to the error, looks like it did not uplaod to the post. Here is the code:

class PriceActionModel(QCAlgorithm):
    
    def Initialize(self):
        
        self.SetStartDate(2021, 1, 1)  
        self.SetEndDate(2021, 12, 31)
        self.SetCash(25000)
        self.ticker = self.AddEquity("SPY", Resolution.Minute).Symbol
        self.window.Add(data[self.ticker])
        self.UniverseSettings.Resolution = Resolution.Minute

        symbol = [Symbol.Create(self.ticker, SecurityType.Equity, Market.USA)]
        self.AddUniverseSelection(ManualUniverseSelectionModel(symbol))
        
        self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage)
        self.SetExecution(ImmediateExecutionModel())
        self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
        self.AddAlpha(PriceActionAlphaModel(self, self.ticker))
        self.SetRiskManagement(MaximumDrawdownPercentPerSecurity(0.03))
    

class PriceActionAlphaModel(AlphaModel):
    
    def __init__(self, algorithm, tkr):
        self.period = timedelta(days=1)
        self.symbol = tkr
        self.symbolData = SymbolData(algorithm)
        self.takeProfitPercentage = 0.01
    
    def Update(self, algorithm, data):
        
        insights = []

        if self.window.IsReady:
            tickD = self.window[0]
            tickC = self.window[1]
            tickB = self.window[2]
            tickA = self.window[3]
            
            if not self.Portfolio.Invested and (tickA.Close > tickB.Close) and (tickB.Close > tickC.Close) and (tickC.Close < tickD.Close):
                insights.append(Insight(self.symbol, self.period, InsightType.Price, InsightDirection.Up, 1, None))
                self.quantity = self.Portfolio[self.symbol].Quantity
                self.price = self.Portfolio[self.symbol].Price * (1 + self.takeProfitPercentage)
                self.LimitOrder(self.symbol, -self.quantity, self.price)
            
            elif not self.Portfolio.Invested and (tickA.Close < tickB.Close) and (tickB.Close < tickC.Close) and (tickC.Close > tickD.Close):        
                insights.append(Insight(self.symbol, self.period, InsightType.Price, InsightDirection.Down, 1, None))
                self.quantity = self.Portfolio[self.symbol].Quantity
                self.price = self.Portfolio[self.symbol].Price * (1 + self.takeProfitPercentage)
                self.LimitOrder(self.symbol, self.quantity, self.price)
            
            self.symbolData.Updated = False
                
        return insights
        
    def OnSecuritiesChanged(self, algorithm, changes):
        self.changes =  changes


class SymbolData:
    
    def __init__(self, algorithm):
        algorithm.Consolidate("SPY", timedelta(minutes=5), self.DailyBarHandler)
        self.Updated = False
        
    def DailyBarHandler(self, consolidated):
        self.Updated = True



"""    
class SymbolData:
    
    def __init__(self, algorithm, symbol):
        self.Symbol = symbol
        self.five_consolidator = TradeBarConsolidator(timedelta(minutes = 5))    ## 5-period TradeBar Consolidator
        self.five_consolidator.DataConsolidated += self.FiveMinuteConsolidator  ## Add fuction to do what you want every 5-minutes with your data
        
        #self.fifteen_consolidator = TradeBarConsolidator(timedelta(days = 15))    ## 5-period TradeBar Consolidator
        #self.fifteen_consolidator.DataConsolidated += self.FifteenMinuteConsolidator  ## Add fuction to do what you want every 5-minutes with your data
        
        algorithm.SubscriptionManager.AddConsolidator(symbol, self.five_consolidator)  ## Register consolidator
        #algorithm.SubscriptionManager.AddConsolidator(symbol, self.fifteen_consolidator)  ## Register consolidator
        
    def FiveMinuteConsolidator(self, sender, bar):
        pass
        
    def FifteenMinuteConsolidator(self, sender, bar):
        pass
"""

Hey James,

You are getting the error because you never instantiated the rolling window.  You'll need something like:

self.window = RollingWindow[TradeBar](5)

Here's an example algorithm that uses RollingWindow as well.