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Consolidator for custom tick data

Hi,

I have custom tick data. How can I consolidate it into 1 minute data?

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We can consolidate custom tick data when our custom tick data class inherits from Tick:

public class MyTickData : Tick
{
public MyTickData() { }

public MyTickData(Symbol symbol, string line, DateTime baseDate)
{
var csv = line.Split(',');
DataType = MarketDataType.Tick;
Symbol = symbol;
Time = baseDate.Date.AddMilliseconds(csv[0].ToInt32());
Value = csv[1].ToDecimal() / 10000m;
TickType = TickType.Trade;
Quantity = csv[2].ToInt32();
Exchange = csv[3].Trim();
SaleCondition = csv[4];
Suspicious = csv[5].ToInt32() == 1;
}

public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
{
return new MyTickData(config.Symbol, line, date);
}

public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)
{
var source = "path/to/local/file";
return new SubscriptionDataSource(source, SubscriptionTransportMedium.LocalFile, FileFormat.Csv);
}
}

Then normally use TickConsolidator:

// In Initialize
AddData<MyTickData>("BAC", Resolution.Tick);

var consolidator = new TickConsolidator(TimeSpan.FromMinutes(1));
consolidator.DataConsolidated += OnMinuteData;
SubscriptionManager.AddConsolidator("BAC", consolidator);


private void OnMinuteData(object sender, TradeBar bar)
{
Log(bar.ToString());
}

 

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Thanks a lot, Alexandre

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0

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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