I am working on a strategy that uses multiple time frames of the VWAP indicator and I struggle to get the rolling window updated. For normal price bars, I get the first entry (current price) from the rolling window but strangely enough not the second, previous, one. 

The big hazzle is all about when using a TradeBarConsolidator for 10, 15, and 60 minutes. I get the VWAP updated, that seems to work, but for magic reasons, I cannot get the updated value in the rolling window.

I have tried updating the RollingWindow in the BarHandler, like so:


However, that throws a runtime error:

Runtime Error: Trying to dynamically access a method that does not exist throws a TypeError exception.

Technically, I could use the scheduler to update the RollingWindow every 10 / 15 / 60 minute, but I am concerned that would not correctly time sync let alone it looks a like a pretty stupid solution. 

Is there a good way to update the rolling window(s) of an indicator on multiple timeframes? 

I really don't know what's so hard, so any help (in python) is appreciated. Backtest attached. 

Thanks in advance!