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Multiple tickers Historical data consolidation in Python

Hello,

In tutorial, link below is showing how to consolidate historical data in Research.

https://www.quantconnect.com/docs/research/historical-data

And, I would like to consolidate 5 mins into one bar just like the tutorial did. Should I do the same way the tutorial did? or is there other way in API?

 

Thanks!

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Depends. If you just want to access a raw DataFrame of historical data (to train a model at start of algorithm, for instance), you can just do everything in Pandas like in that tutorial. Otherwise, if you want the consolidated data to be streamed in during a backtest, take a look at the Consolidator objects here

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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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