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I'm trying to understand the flow when using consolidated data in a framework model.. I'm confused on how to implement a 4hr timeframe since my the algo consist of four different models.
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Louis Szeto
Hi Obimba
You may implement a SymbolData class for every symbol added in OnSecuritiesChanged method of your Alpha Model, using QCAlgorithm instance as an argument. Within the constructor of the SymbolData class, instantiate your consolidator there together with other models. You may also want to include a consolidator handler within that class. Remember to have a dictionary to hold the SymbolData object.
Refer to the attached backtest as an example.
Best
Louis
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Obimba Smart Chukwunenye
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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