We demonstrate using the QuantConnect consolidators to build TradeBars of any period.

Consolidators are a collection of classes for building merged TradeBars. They are used internally in the Lean Algorithmic Trading Engine but can be manually applied in your algorithm.

1. Create your consolidator object:
var _consolidator = new TradeBarConsolidator( TimeSpan.FromHours(4) ); 2. Add an event handler method for the data output:
_consolidator.DataConsolidated += SpyFourHours; 3. Add it to subscription manager so you get data updates:
SubscriptionManager.AddConsolidator("SPY", _consolidator); 4. Create your event handler method:
public void SpyFourHours(Object o, TradeBar bar)
//Do Work