I'm using a custom consolidator for the Futures/Forex Week (17:00 Sunday - 17:00 Friday EST), to feed some indicators. From the docs

def CustomWeeklyConsolidator(self, dt: datetime) -> CalendarInfo:
period = timedelta(7)

dt = dt.replace(hour=17, minute=0, second=0, microsecond=0)
delta = 1+dt.weekday()
if delta > 6:
delta = 0
start = dt-timedelta(delta)

return CalendarInfo(start, period)

However my algo itself uses intraday Resolution.Second data (all one symbol). Therefore warming up the algorithm for a few weeks seems inefficient and time consuming. 

self.AddForex("EURUSD", Resolution.Second, Market.Oanda)
self.SetWarmUp(21, Resolution.Daily)

The above seems to get me 3 weeks of second-level data. Warming the algorithm up like this does work however, just takes a long time.

On the history request doc:

eurusd = self.AddForex("EURUSD", Resolution.Daily).Symbol
self.df = self.History([eurusd], 3)

Is it possible to use a history request to get this custom weekly time frame? Can I just substitute my consolidator for “Resolution.Daily” in the above? I would then still need to get it into my custom indicator somehow, for which current registration looks like: 

self.customIndicator = self.indicators.CustomIndicator('weeklyIndicator', None, 1)
self.RegisterIndicator(self.pair, self.customIndicator, weeklyconsolidator)

Or can I feed the daily history request into the custom consolidator as slices?

Or, easiest, is it possible to simply warm up the algorithm with daily/weekly resolution data? (and maybe second/minute data for a shorter period if I need it)


Thanks for any pointers.