There is a bug when using consolidators with Calendar.Monthly and Calendar.Yearly with daily resolution data.

Specifically, a 1-day consolidated bar will be thrown out of the consolidated handler on the start date of the backtest:

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This is the code:

class PensiveFluorescentPinkBeaver(QCAlgorithm):



    def Initialize(self):

        

        # Set Start Date

        self.SetStartDate(2019, 1, 1)

        self.SetEndDate(2019, 5, 1)

        

        # Set Strategy Cash

        self.SetCash(100000) 

        

        # AAPL

        symbol = self.AddEquity("AAPL", Resolution.Daily).Symbol



        # Consolidate daily bars to monthly Bars

        self.Consolidate(symbol, Calendar.Monthly, self.MonthlyHandler)



    def OnData(self, data: Slice):

        pass

    

    def MonthlyHandler(self, bar):



        self.Debug(bar.Close)