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.
Hi @Jacky Gu,
to aggregate ticks into bars, you should use TickConsolidator instead of TradeBarConsolidator.
Here is the modified algorithm:
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.
Hi, Stefano,
Thank you so much, it works now.
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
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:
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.
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.
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.
QuantConnect™ 2018. All Rights Reserved
|