Hello everyone,

my current algorithm is working with five-second bars consolidated from second resolution data. Now I'd like to use an average true range for the five-second bars of the last minute. If I use

self.atr_five_sec[symbol] = self.ATR(symbol, 60, MovingAverageType.Simple, Resolution.Second)

I get a different average true range based on one-second bars. I would need something like

self.atr_five_sec[symbol] = self.ATR(symbol, 12, MovingAverageType.Simple, Resolution.FiveSecond)

but that is not working of course as there is no five-second resolution. How is this being done correctly?

Kind regards,

Christian Lauer