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)