Hi !

I try to add consolidator to my future algo, in this way I have add TradeBar Consolidator to get Volume and QuoteBar Consolidator to get OHCL.

In the Backtest Below the condition " (Vol[1] < Vol[0]) " return no signal, however when i change this condition for example on " (AskOpen[0] > AskOpen[1]) " this works.

Secondly this method is very slowly to backtest. The fact that I create a seconde List for each consolidate data is that when i store the result root of both method consolidator Trade and Quote, those don't return directly a consolidate bar.

Help Please

Best

 

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