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When using TradeBarConsolidator(Calendar.Weekly), the consolidation handler for the Mon-Fri consolidated bar is not called until the following week on Tue at midnight – I presume because that's the first bar received that's outside of the consolidation window. But that creates a one-day lag for using that consolidated bar.
I'm trying to make weekly trade decisions and I'd like the consolidated bar to be available on Monday, before the market opens, instead of on Tuesday. Is there a way to do this with the built-in consolidators? Maybe a way to force consolidation on a schedule?
Mike Lin
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