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How to make constant-volume bars?

Hi, is it possible to make constant-volume bars? i.e. rather than having for instance a 5 minute bar, it would be a bar that shows the OHLC values for a certain volume amount, 2000 contracts transacted or something similar.

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There is no built-in way to create constant volume bars. All of QuantConnect's pricing data is associated with a period. In order to create constant-volume bars, higher resolution bars would need to be read in OnData() and for every 2000 contracts, a TradeBar could be manually constructed. 

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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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