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:
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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:
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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.
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