Data Resolution Conversion

Yes, LEAN can handle the conversion of minute resolution data to higher resolutions like hourly or daily. You don't need to have separate hourly or daily files if you have minute resolution data.

You can use the Consolidate method to combine your minute data into higher resolution data. For example, if you want to convert minute data to hourly data, you can use the Consolidate method with a TimeSpan of one hour.

In addition, when you add your custom data to your algorithm using the AddData method, you can specify the resolution at which to poll the data source for updates. The resolution argument should match the resolution of your custom dataset. The lowest reasonable resolution is every minute. Anything more frequent than every minute is very slow to execute. The frequency that LEAN checks the data source depends on the resolution argument.

Here is an example of how you can add your custom data with a specific resolution:

class MyAlgorithm(QCAlgorithm): 
 def Initialize(self) -> None:
 self.symbol = self.AddData(MyCustomDataType, "<name>", Resolution.Minute).Symbol

In this example, <name> should be replaced with the name of your data, and MyCustomDataType should be replaced with the name of your custom data class.

Please note that the polling frequency of each resolution is as follows:

• Daily: Every 30 minutes
• Hour: Every 30 minutes
• Minute: Every minute
• Second: Every second
• Tick: Constantly checks for new data

For more information, you can refer to the QuantConnect Documentation.