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