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TradeBar QuoteBar Future Synchronisation & Time

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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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.


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