Hi All-

I've built a strategy upon minutely universe resolution. Now that it's mostly stable I want to speed things up a bit, but second data is too computationally intensive. Something like a few seconds (5 or 10 seconds) for the OnData rate seems to be more appropriate for the strategy. 

I couldn't find anything in the Documentation or Forum covering this, but I do know that OnData is set by the universe resolution. 

Attached is the time and data related code I have currently. Basically just a rollingwindow that consolidates the minutely data into daily bars. I removed the fluff for the sake of readability. 

So, is a custom resolution possible to feed into OnData??

PS: This algo only trades Equities (for now) 

    def Initialize(self):



        self.SetStartDate(2022, 8, 1)

        self.SetCash(1000000)

        self.rebalanceTime = datetime.min

        self.AddUniverse(self.CoarseSelectionFilter, self.FineSelectionFilter)

        self.UniverseSettings.Resolution = Resolution.Minute

        self.AddEquity("SPY")

        self.Schedule.On(self.DateRules.EveryDay("SPY"), self.TimeRules.BeforeMarketClose("SPY", 10), self.ExitPositions)

        self.Schedule.On(self.DateRules.EveryDay("SPY"), self.TimeRules.At(9, 31), self.ScanTargets)

        self.Schedule.On(self.DateRules.EveryDay("SPY"), self.TimeRules.Midnight, self.ClearFills)

        self.Data = {}

        self.AddRiskManagement(TrailingStopRiskManagementModel(0.05))

        

    def OnData(self, data):

        for symbol in self.Targets.keys():

            symbolData = self.Data[symbol]



            if not symbolData.IsReady: 

               continue



            open_orders = self.Transactions.GetOpenOrders(symbol)





            if not self.Portfolio[symbol].Invested and len(open_orders) == 0 and symbol not in self.filled_today.keys(): 

            # Strategy logic.....

            

     def CoarseSelectionFilter(self, coarse):

     	# filter logic.... 

            

            

     def OnSecuritiesChanged(self, changes):

        for security in changes.AddedSecurities:

            symbol = security.Symbol

            if symbol not in self.Data:

                self.Data[symbol] = SymbolData(self, symbol)

        

        for security in changes.RemovedSecurities:

            symbol = security.Symbol

            if symbol in self.Data:

                symbolData = self.Data.pop(symbol, None)

                self.SubscriptionManager.RemoveConsolidator(symbol, symbolData.consolidator)



class SymbolData:

    def __init__(self, algorithm, symbol):

        self.algorithm = algorithm

        self.symbol = symbol

        self.Bars = RollingWindow[TradeBar](6)

        self.consolidator = TradeBarConsolidator(timedelta(days=1))

        self.consolidator.DataConsolidated += self.OnDataConsolidated

        algorithm.SubscriptionManager.AddConsolidator(symbol, self.consolidator)

    

    def OnDataConsolidated(self, sender, bar):

        self.Bars.Add(bar)

    

    @property

    def IsReady(self):

        return self.Bars.IsReady