I am trying to add multiple time consolidators to the multiple symbol consolidation algorithm. I want to use both 5 and 15 minute time frames. The problem is the algorithm is only trading the last symbol in the equity list but Im not sure where the problem is. Any help would be appriciated. 

Update Backtest

for symbol in self.Data.keys():
symbolData = self.Data[symbol]

you loop through and safe only the last one? maybe its this line

Update Backtest


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