Hi All! I would like to get 5mins, 30mins and 1hour data of NQ future. My code is as below:

 

self.contract_symbol = Symbol.CreateFuture(Futures.Indices.MicroNASDAQ100EMini, Market.CME, datetime(2023,8,28))

        continuous_future_symbol = Symbol.Create(Futures.Indices.MicroNASDAQ100EMini, SecurityType.Future, Market.CME)

        contract_symbols = self.FutureChainProvider.GetFutureContractList(continuous_future_symbol, self.Time)

        self.contract_symbol2 = sorted(contract_symbols, key=lambda symbol: symbol.ID.Date)[0]

        self.contract_symbol = self.AddFutureContract(self.contract_symbol2, Resolution.Minute).Symbol

 

        self.nq_5min = self.Consolidate(self.contract_symbol, timedelta(minutes=5), self.FiveMinuteBarHandler)

        self.nq_half_hour = self.Consolidate(self.contract_symbol, timedelta(minutes=30), self.ThirtyMinuteBarHandler)

        self.nq_1hour = self.Consolidate(self.contract_symbol, timedelta(hours=1), self.OneHourBarHandler)

 

    def FiveMinuteBarHandler(self, consolidated):

        self.Debug(f"{self.Time}|FiveMinuteBarHandler fired! ")

 

    def ThirtyMinuteBarHandler(self, consolidated):

        self.Debug(f"{self.Time}|ThirtyMinuteBarHandler fired! ")

 

    def OneHourBarHandler(self, consolidated):

        self.Debug(f"{self.Time}|OneHourBarHandler fired! ")

 

However, when I try to call the History function like below, i have an error message since nq_1hour, nq_half_hour and nq_5min are not symbol object:

hourly_data = self.History(self.nq_1hour, 100, Resolution.Hour, extendedMarketHours = False)

 

half_hour_data = self.History(self.nq_half_hour, 3000, Resolution.Minute, extendedMarketHours = False)

 

data = self.History(self.nq_5min, 3000, Resolution.Minute, extendedMarketHours = False)

 

But if i use self.History(

, 3000, Resolution.Minute, extendedMarketHours = False), i can only get unconsolidated data. May I know how can I get consolidated data of different timeframe?