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?