Hey there,

I'm trying to consolidate 500ticks data using TradeBarConsolidator,

using the following reference : 

https://github.com/QuantConnect/Lean/blob/master/Algorithm.Python/DataConsolidationAlgorithm.py

I tried to adapt it to futures:

class DynamicCalibratedContainmentField(QCAlgorithm):

def Initialize(self):
self.SetStartDate(2020, 3, 1) # Set Start Date
self.SetEndDate(2020,3,2) #Set End Date
self.SetCash(50000)

ticker = Futures.Indices.NASDAQ100EMini
self.AddFuture(ticker, Resolution.Tick )
#self.ESSMA = self.SMA(futureES.Symbol, 2)
CountConsolidator = TradeBarConsolidator(500)
CountConsolidator.DataConsolidated += self.BarHandler
self.SubscriptionManager.AddConsolidator(ticker, CountConsolidator)

def BarHandler(self, sender, bar):
# With hourly data the bar period is 3-hours
self.Debug(str(bar.EndTime - bar.Time) + " " + bar.ToString())
def OnData(self, data):
'''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
Arguments:
data: Slice object keyed by symbol containing the stock data
'''
for contract in data.FutureChains:
contracts = list(filter(lambda x: x.Expiry > self.Time, contract.Value))
if len(contracts) == 0:
return
self.Debug(f"{self.Time} Last Price: {contracts[0].LastPrice}")

Is the following request supported?