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Andy Visser INVESTOR

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I'm looking over some examples of how to consolidate bars. Inside the example "How Do I Use Consolidators" it shows how an event can be set up to trigger once per day while using minute resolution. I'm unsure about how I could use the consolidated bars with the indicators and then reference them minutely. I'm fairly new to QuantConnect and C# in general, having come from Quantopian its a bit of a learning curve.

Ideally what I'd like to do is have multuple indicators on multiple resolutions (10SMA, 20SMA, 14 RSI, etc, etc, and have each of the indicators work with 1min, 5min, 15min, 30min resolution) and have the entry/exit logic running every minute.

I appreciate any help or direction from somebody who might be in the knowhow here :)

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Andy Visser

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Alexandre Catarino

100.3k ,

The procedure to add indicators to a consolidator to have them updated automatically with the desired resolution is:

private SimpleMovingAverage _sma;



// In Initialize

// Create Consolidator

var consolidator = 

    new TradeBarConsolidator(TimeSpan.FromMinutes(30));

            	

// Create indicators

_sma = new SimpleMovingAverage(22);

            	

// Register indicators to the consolidator 

// to be updated at its frequency

RegisterIndicator("SPY", _sma, consolidator);

				

// Add the consolidator to the subscription

// manager to get updated with data from security 

SubscriptionManager.AddConsolidator("SPY", consolidator);

If the goal is to create several indicators with multiple resolutions, we can put the above code snippet in a loop. Then we need to add the indicators to a dictionary to be able to access their values.

Please checkout the attached project for a working example.

Andy Visser

109 ,

That's everything I need and then some, again, the help is much appreciated!

Andy Visser

109 ,

Another question... I need to access the previous value of an indicator. For example. at 10:00 I need the SMA of the 5min bars from 9:55-9:59. And, at 10:01 I'd still like to be able to access the bar from 9:55-9:59. I'm trying to save these in a variable like prev5minSMA at the end of the OnData loop but without some nasty code to check the minute on the clock or counters I'm stuck. I noticed in one example you could assign an event handler to the consolidator but for me to stick this in the "for" loop you provided I'd need to pass the minute to it as well I think?

Sorry if this all sounds a little sloppy, been a few years since I really dove into programming, especially with C#, thanks!

Andy Visser

109 ,

Currently, at the end of my OnData I've got something like this (if it helps you to understand my problem any)

if (prev_adx_5 != _adx[5]) prev_adx_5 = _adx[5];

The final goal is to check if two lines have crossed (DI Plus and DI Minus. Maybe theres a really simple answer to this but it's beyond me.

Andy Visser

109 ,

Also, I'd like to be able to check the slope of the lines (up or down). Sorry for all the consecutive posts but I seem unable to edit previous ones.

Jared Broad

STAFF ,

If you can please post new topics to new discussion threads -- this will help others find the topic later.

Andy Visser

109 ,

Sorry, I figured since the topic was regarding consolidated bars and indicators it'd be appropriate here, I'll start a new thread.

Jared Broad

STAFF ,

We made this video to help with consolidators this morning; along with this blog post :)

https://www.quantconnect.com/blog/consolidators-data-build-bars/

https://www.youtube.com/watch?v=bbZy__qd1aA

Jackson Dude

491 ,

Thank you for the link. But it appears not to work

Nico Xenox

11k ,

Jackson Caldwell,

I think it moved to here:

Andy Visser INVESTOR

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