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Any way for a bar handler to trigger every 60 minutes but at 10:30, 11:30...

At present, the bar handler for 60 minutes will trigger at 10 AM, 11 AM, 12 PM and so on. Is there a way to specify the bar handler to trigger at 10:30 AM, 11:30 AM and so on?

In other words, is there a way to specify the boundary of the time as well as the duration of the time?

 

I looked around in the documentation, but could not find anything. I thought I will schedule an event, but then I will not have the high,low information. The only other way that I can see out of this is to have a 30 minute bar handler and then construct the high and low myself.

 

But I hope there is an elegant way to do this within the existing code.

 

Thank you for any inputs

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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.


Hi KG,

There is a way to do this, although it doesn't utilize a consolidator. The way a consolidator would work is that on the first day it is being used, it would log 60-min consolidated data at 9:30, 10:30, ... 15:30, and the market closes at 16:00. The consolidator requires an additional 30 minutes worth of data, and as such, on the next day, it will log at 10:00, 11:00... until 16:00, and then these patterns will repeat on alternate days. To get a security price every 60 minutes starting at 9:30 every day, you can write a bit of code and call it as a scheduled event, such as below. If you check the output in the console, you can see that the price outputs are the same, and so this code should help as a hack to get the data you need.

def Initialize(self):

self.SetStartDate(2013,10, 1) #Set Start Date
self.SetEndDate(2013,10,31) #Set End Date
self.SetCash(100000) #Set Strategy Cash
self.AddEquity("SPY", Resolution.Minute)

## 60 minute consolidator
consolidator = TradeBarConsolidator(60)
consolidator.DataConsolidated += self.OnDataConsolidated
self.SubscriptionManager.AddConsolidator("SPY", consolidator)

## Scheduled event -- must occur every 30 minutes rather than every 60 minutes to avoid
## the issue caused by the 60 minute TradeBar consolidator
self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.Every(timedelta(minutes=30)),
self.custom_consolidator)

def OnDataConsolidated(self, sender, bar):
## Log the output of a standard 60 minute TradeBar consolidator
self.Debug(str(self.Time) + " > New Bar > " + str(bar.Close))

def custom_consolidator(self):
## Logic below will ensure SPY price is logged every hour from 10:30 to 15:30
if self.Time.minute == 30 and self.Time.hour < 17 and self.Time.hour > 9:
self.Debug(str(self.Time) + " > New Custom Bar > " + str(self.Portfolio['SPY'].Price))

def OnData(self, data):
if not self.Portfolio.Invested:
self.SetHoldings("SPY", 1)
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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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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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