EMini Custom Consolidation

Hi Joe,

It seems like you're on the right track with your code, but there are a few things that might need to be adjusted.

Firstly, you're trying to create a rolling window of the daily high price for the S&P500 futures. In QuantConnect, you can use the RollingWindow class to store the last 'n' pieces of data. You've correctly initialized a RollingWindow in your Initialize method. However, you're trying to add self.consolidator.WorkingData to the window, which might not be the correct data you want. Instead, you should add the high price of the current bar to the window.

Secondly, you're using a QuoteBarConsolidator to consolidate the data into daily bars. However, you're creating a new QuoteBarConsolidator in your OnDailyData method, which might not be necessary. You should create and register the consolidator in your Initialize method, and then use its DataConsolidated event to update your rolling window.

Here's a simplified example of how you can do this:

class MyAlgorithm(QCAlgorithm):
    def Initialize(self):
        self.SetStartDate(2018,10, 10)
        self.SetEndDate(2018,10,25)
        self.SetCash(100000)

        self.symbol = self.AddFuture(Futures.Indices.SP500EMini, Resolution.Minute).Symbol
        self.window = RollingWindow[TradeBar](2)

        consolidator = TradeBarConsolidator(timedelta(days=1))
        consolidator.DataConsolidated += self.OnDataConsolidated
        self.SubscriptionManager.AddConsolidator(self.symbol, consolidator)

    def OnDataConsolidated(self, sender, bar):
        self.window.Add(bar)

    def OnData(self, data):
        if not self.window.IsReady: return
        currBar = self.window[0]
        self.Debug(f"Current high: {currBar.High}")

In this example, OnDataConsolidated is called every time the consolidator produces a new consolidated bar, and the bar is added to the rolling window. Then, in the OnData method, you can access the most recent bar in the window with self.window[0].

Please note that this is a simplified example and you might need to adjust it according to your needs. For example, you might need to handle rolling over the futures contract, or adjust the time zone for the consolidator.

I hope this helps! Let me know if you have any other questions.

Sources:

• Rolling Window
• Data Consolidation
• Futures in QuantConnect

I am still unable to get a rolling 24 hour high price, resetting at 9pm London, if anyone reading has the key :)

Hi Joe,

To get a rolling 24-hour high price that resets at 9pm London time, you can use a combination of data consolidation and rolling windows. However, the provided extracts do not contain enough information to provide a confident answer on how to implement this in QuantConnect.

I would recommend checking out the QuantConnect documentation on data consolidation and rolling windows for more information on how to implement these features.

You might also find it helpful to look at the QuantConnect forum for examples of similar implementations.