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Datasets -Daily and second resolution

Guys 

Do we have some code snippet where we can maintain a two sets of data with different resolution for a symbol ?

I mean one set with daily resoultion (sepecifically past ) and one set with current market data with second resolution . 

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We can handle 2 or more data resolutions using consolidators.
Please checkout the QuantConnect Universe lesson "How do I Use Consolidators?".
It implements exactly what you are asking for.

If you want to have a indicator with daily resolution and the current data with second resolution, it is even simpler. You just need to specify the resolution when you create the indicator. In Initialize method:

// request SPY data with second resolution
AddSecurity(SecurityType.Equity, Symbol, Resolution.Second);

// create a 15 day exponential moving average
fast = EMA(Symbol, 15, Resolution.Daily);

// create a 30 day exponential moving average
slow = EMA(Symbol, 30, Resolution.Daily);

Under the hood, the engine will create a daily resolution bar that will update the indicators.

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thanks  Alexandre

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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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