Back

Consolidators in the Framework

Hi

I'm trying to understand how to use consolidators within the Algorithm Framework.

My current understanding (which may be wrong) is that OnData() can be empty because new data is fed to the Update() method in the Alpha class.

My algorithm uses a consolidator to make data synchronised with New York 17:00 as follows:

var nyCloseConsolidator = new QuoteBarConsolidator(NYDaily);
nyCloseConsolidator.DataConsolidated += OnNYClose;
SubscriptionManager.AddConsolidator(setupData.Symbol, nyCloseConsolidator);

My question is how & where is this done in the framework? Any guidance would be helpful.

Cheers

Tony

Update Backtest







0

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 Tony Shacklock ,

In Framework algorithms (but also in Classic algorithms), consolidators can be created in OnSecuritiesChanged:

public override void OnSecuritiesChanged(QCAlgorithm algorithm, SecurityChanges changes)
{
foreach (var added in changes.AddedSecurities)
{
var nyCloseConsolidator = new QuoteBarConsolidator(NYDaily);
nyCloseConsolidator.DataConsolidated += OnNYClose;
algorithm.SubscriptionManager.AddConsolidator(added.Symbol, nyCloseConsolidator);
}
}

If we are using a Universe Selection Model that removes securities from its members, we need to put in place logic to remove the consolidator from the SubscriptionManager (see RsiAlphaModel for example).

0

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.


Thank you Alexandre.

It is clearer now.

Cheers, Tony

0

Update Backtest





0

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.


Loading...

This discussion is closed