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Creating Consolidated Data From Universe Filters

I noticed all of the examples of consolidators include subscribing to an asset, creating a consolidator, an event handler and then adding it to the subscription manager. 

What if I wanted to create weekly consolidated bars for each one of the assets returned by my coarse and fine filters for universe selection, create moving averages for them and then check if conditions are met on a weekly basis?

Can you initialize consolidators in the OnData method, or do they always have to be part of the Initialize method?

 

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Hi John,

You can create consolidators outside of Initialize. In fact, you can create a consolidator anywhere you have access to QCAlgorithm. When using universe selection, the best practice is creating a SymbolData class and storing the consolidators for each symbol within it.

We can also remove consolidators from our algorithm as symbols leave our universe. This is important to do so that we don't have useless consolidators slowing down our algorithm.

Check out the back test below to see how it works.

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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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0

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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