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

KG LLP

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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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KG LLP

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Jack Simonson

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)

KG LLP

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