I'm writing an algorithm that will be monitoring futured tick level data (Specifically on /ZB). I would also like to have a 1 minute consolidator to capute the high/low for that period. I'm having trouble accomplishing this. Attached is code/backtest where I've commented out the two ways that I've tried to do this. Both of these throw errors:

//Add Future Contract var futureBond30Yr = AddFuture(Futures.Financials.Y30TreasuryBond, Resolution.Tick); futureBond30Yr.SetFilter(TimeSpan.Zero, TimeSpan.FromDays(182)); var oneMinute = new TickConsolidator(TimeSpan.FromMinutes(1)); //bind event handler to data consolidated event. oneMinute.DataConsolidated += OnMinuteBar; //register the consolidator for data. (Both of these throw errors) //SubscriptionManager.AddConsolidator(Futures.Financials.Y30TreasuryBond, oneMinute); //SubscriptionManager.AddConsolidator(futureBond30Yr.Symbol, oneMinute);

 

Also in thinking about this, sicne this is a future would this really need to pick the specific future contract that its monitoring ( /ZB next expiration for example), and if thats true then it would probably also need to reset the consolidator after futures roll.. 

I'm more of an options guy than a futures guy so some of this is new to me