Hello guys,

I'm generating my own 1-second resolution OHLC data from Tick data and storing them to my file system. My OHLC data is containing additional information usually not available from TradeBar such VWAP and more. I'm wondering what's the best way to acheive this without customizing too much Lean and avoiding potential future merge conflicts. I was tempted to inherit from TradeBar and create my CustomTradeBar data but looks like I'll need further changes to tell to Lean to use my custom data with my Custom universe selector (by default Lean is using TradeBar).

I don't want to deal with Tick data directly in Lean for performance reason.

Thanks in advance for further thoughts?