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Consolidated candle data-caching

I recently got help and implemented a strategy with a 1hr consolidation, starting at 9:30am, onwards. It works a litte better for me, esp. since the last candle ends at 3:30 when the market is still open and we can act on it. 

https://www.quantconnect.com/forum/discussion/7455/time-consolidation-ending-at-30-039-example-9-30-10-30-and-last-bar-at-3-30/p1

However I see that it is much slower esp when dealing with say QC500 universe etc. Is there a way to cache these candles so that I dont have to do consolidate for every backtest?

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Hey Seersquant,

It's not possible to cache bar data for use later. Bars need to be consolidated for each backtest.

Slow back tests are frustrating. Our engineering team is always working towards improving processing speeds so that we can run faster backtests. You can speed up back tests by having more efficient data management, such as by making more efficient history calls or by removing consolidators which are not in use.

Please contact support at support@quantconnect.com for more help if this issue persists.

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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.


Thanks for input Rahul. I believe Minute/Hour/Daily bars are consolidated and stored. In the future having a version of Hourly Bars ending at '30 would be very helpful ( feature request :) )

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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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