Get consolidated bars for every stock in universe by Tim De Lise

Tim De Lise INVESTOR

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Day 1 newb here. I am just playing around with creating my first trading algorithm. I am working in python, and I followed the tutorial about how to set up consolidated trade bars. I have set up a five minute trade bar which works when just using a single stock as argument, like in the tutorial.

I wish to get 5 minute bars for multiple stocks. I was hoping the following would work, but it doesn't.

self.SubscriptionManager.AddConsolidator(["AAPL","SPY"], fiveMinuteConsolidator)

So then I tried this:

self.SubscriptionManager.AddConsolidator("AAPL", fiveMinuteConsolidator)

self.SubscriptionManager.AddConsolidator("SPY", fiveMinuteConsolidator)

Which will backtest without error but only seems to trigger callback for "SPY" data. I would love to get data for both symbols at the same time in the fiveMinuteBarHandler function.

It seems bulky to have to re-define a different callback for each symbol.

ANy help is greatly appreciated

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Tim De Lise

Accepted Answer

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Alexandre Catarino

Pro ,

It is not possible to get both symbols at the same time at fiveMinuteBarHandler.
If you want to use the same data consolidated event for every symbol, you can use the following code snippet;

for ticker in [ "SPY", "AAPL" ]:

    consolidator = TradeBarConsolidator(timedelta(minutes=5))

    consolidator.DataConsolidated += self.fiveMinuteBarHandler

    self.SubscriptionManager.AddConsolidator(ticker, consolidator)

Data from symbols will arrive at fiveMinuteBarHandler one at a time. Since you need the same at the same time, you need to put some logic in place check whether you are receiving the bar of the second symbol with the same time.

Tim De Lise

1.6k Pro ,

Thanks for the reply. I realized this was the only way to do it, and as it was my first day I have also realized there are other functions in place that make the job easier than using the consolidated trade bars. I am using the `self.History` function now to retreive data for multiple stocks at once. I can get a 5 mintue history and construct the bar myself.

Tim De Lise INVESTOR

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