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.