I've noticed discrepencies with my consolidators such that for markets which open @ 9:30am and close @ 4pm; FWIW my resolution is minute, but I don't think this issue stems from that. This issue is messing up the timing of my trades in a significant way:

  • 1m, 5m, 15m, 30m: no issues as they always run when needed
  • 1hr: updates @ 10am, 11am instead of 9:30am, 10:30am, 11:30am, etc.
  • 4hr: updates @ 12pm, 4pm instead of @ 9:30am, 1:30pm
  • 1D: not an issue
  • 1W: updates mid-week and may even change due to holidays instead of encompassing Mon - Fri
  • 1M: does not encompass entire month (months don't all have same # of days)

I had the thought of rolling my own custom consolidators, but I came across this issue. Am I stuck waiting for a solution on this? I'm coding in Python.


I thought that setting a WarmUp period in the algorithm would update my indicators automatically. It turns out this is not the case; I've managed to find a solution on this forum and elsewhere for that but I think this is an unnecessary setup and clutters up my algo. Does this pull request seek to solve that issue?