Fail to get Tick data and consolidated data by Jacky Gu

Jacky Gu

| Reward Discussion

Hi, I want to get tick data and minute data for a symbol. Seem they can not get together.

If I erased the consolidator code below, the tick data can be recieved.

//Set consolidator
TradeBarConsolidator consolidator = new TradeBarConsolidator(TimeSpan.FromMinutes(5));
consolidator.DataConsolidated += OnDataMinute;
SubscriptionManager.AddConsolidator(Symbol, consolidator);

I think the problem is because aboved code. But I don't know how to solved it.

Thanks.

Update Backtest

Jacky Gu

Accepted Answer

Update Backtest

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Stefano Raggi

Hi @Jacky Gu,

to aggregate ticks into bars, you should use TickConsolidator instead of TradeBarConsolidator.

Here is the modified algorithm:

Jacky Gu

149 ,

Hi, Stefano,

Thank you so much, it works now.

Jacky Gu

149 ,

Another Question:

I amend the Enddate and FromMinutes interval, then an Runtime error happen:

Runtime Error: Execution Security Error: Operation timed out - 4.66666666666667 minutes max. Check for recursive loops. (Open Stacktrace)

Following is the code which I have changed.

Thanks.

           SetStartDate(2016, 1, 1);

           SetEndDate(2016, 1, 14); //Changed from 2016-1-4 to 2016-1-14

           //SetEndDate(DateTime.Now.Date.AddDays(-1));

            

           //Set consolidator

           TickConsolidator consolidator = new TickConsolidator(TimeSpan.FromMinutes(15));//Changed from 5 minutes to 15 minutes

Stefano Raggi

The error is not caused by the resolution but by the loop in the OnData method.
The Ticks class is a DataDictionary<List<Tick>> not only a list of ticks.
Please look at the code in the attached backtest:

Jacky Gu

149 ,

Hi, Thanks for your suggestion.

But it's still not workable. Whatever I change the code in OnData funciton or even I cancel all code inside, the same runtime error happen.

Here is the code.

Jacky Gu

Update Backtest

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