Hi there,
I was wondering what is the right way of using consolidators to obtain bars that have a time offset, for instance, if i want to have 30-minute bars that are offset by 5 minutes: 9:35, 10:05, 10:35,...
I've tried using a 5-minute TradeBar consolidator and then using a SequentialConsolidator(6), but that does not work. Is there a built-in way to do this?
I couldn't find it in the documentation.
Thanks!
Derek Melchin
Hi Marc,
To consolidate data on a schedule like this, create a Time Period Consolidator with a custom CalendarInfo period.
Best,
Derek Melchin
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Marc Demers
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