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Custom consolidator in Python

Hi, I have read the following:

https://github.com/QuantConnect/Lean/issues/2456

and I am trying to execute the attached strategy without success.

Is there any plan to implement this?

 

 

Update Backtest








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Hi Islander,

We can define a custom period function that accepts a datetime and returns a CalendarInfo with the necessary information, and pass this function through the QuoteBarConsolidator class. In this function, while the specific value for start is not relevant, it is helpful in calculating the timedelta end - start ), which should be less than timedelta(1). I’ve attached a backtest with the necessary changes.

Best,
Shile Wen

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.


Update Backtest





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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