Consolidators with continuos future.

Based on the provided extracts, your usage of consolidators seems correct. You have created three consolidators with different timeframes (30 minutes, 60 minutes, and 1 day) for the Dow30EMini continuous future. Each consolidator has its own handler method (YM30MinHandler, YM60MinHandler, YM1DayHandler), which is the correct way to handle different consolidations.

Here are some key points to remember when using consolidators:

1. The consolidator's output data format is usually the same as the input data format. They aggregate small TradeBar objects into a large TradeBar.

2. When defining the consolidation handler, avoid putting parenthesis () at the end of your method name when setting the event handler of the consolidator. If you use parenthesis, the method executes and the result is passed as the event handler instead of the method itself. So, it should be self.YM30MinHandler, not self.YM30MinHandler().

3. You can automatically update the consolidator with data from the security subscription. However, the provided extracts do not include information on how to do this for futures. For equities, you would use the AddConsolidator method of the Subscription Manager, like so: self.SubscriptionManager.AddConsolidator(self.symbol, self.consolidator). Please refer to the QuantConnect documentation for the correct method to use for futures.

Remember, the provided extracts do not include all possible information about consolidators. For more detailed information, please refer to the QuantConnect documentation.

Hi Victor

I'm not sure I understand you correctly, but I'm guessing you want to 

1. Use continuous futures
2. Make a consolidated bar of m bars/minutes
3. Update your indicator every n consolidated bars received

I would suggest doing it with this:

def Initialize(self):
   self.symbol = self.AddFuture(Futures.Indices.Dow30EMini,
                                resolution = Resolution.Minute,
                                extendedMarketHours = True,
                                dataNormalizationMode = DataNormalizationMode.BackwardsRatio,
                                dataMappingMode = DataMappingMode.OpenInterest,
                                contractDepthOffset = 0).Symbol
   
   # Set up your consolidator say you want to consolidate every 5 tradebars
   self.consolidator = TradeBarConsolidator(5)
   self.consolidator.DataConsolidated += self.OnConsolidation
   self.SubscriptionManager.AddConsolidator(self.symbol, self.consolidator)
   
   # We add RollingWindow of TradeBars in order to let you access 
   # all tradebars before updating your indicator
   # say you update your indicator every 3 consolidated bars
   self.window = RollingWindow[TradeBar](3)
   
   # Set up your indicator
   self.indicator = <YOUR_INDICATOR>
   
def OnConsolidation(self, _, consolidated_bar):
   # We add the consolidated bar to the RollingWindow
   self.window.Add(consolidated_bar)
   
   # If the RollingWindow is ready that means we have accumulated sufficient bars
   if self.window.IsReady:
       # Say you want to update with a combination of average of first bar open + last bar close + middle bar mid-price
       value = self.window[2].Open / 3 + self.window[0].Close / 3 + self.window[0].High / 6 + self.window[1].Low / 6
       self.indicator.Update(consolidated_bar.EndTime, value)
       
       # Remember to reset the RollingWindow to restart counting
       self.window.Reset()

Best
Louis