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Best Practice for Multiple Timeframes for one Symbol?

For my Forex algorithm, I am subscribed to 'EURUSD Resolution.Minute' level data and using a 30 minute consolidator. Like so:

self.Consolidate("EURUSD", timedelta(minutes=30), self.OnDataConsolidated)

I would also like to get the 'EURUSD Resolution.Daily' data as that works better in some environments.

Is the best practice to just create another consolidator with 1440 minutes? (one day), or use "timedelta(days=1)"? I would like to make sure the bar is the same as the Resolution.Daily one, as that works well for me. 

 

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By using "Resolution.Minute" with "timedelta(days=1)" I do not achieve the same results as using "Resolution.Daily"

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You can do:

self.Consolidate("EURUSD", Resolution.Daily, self.OnDailyDataConsolidated)

with the minute resolution data.

As for why it's different, using daily resolution data or the above consolidated bar outputs the Trade/Quote bars for the trading day. Using a timedelta argument on the other hand, consolidates data based on a window that depends on when it is called.

For instance, let's say EURUSD's Close is:

8/2/2020 17:00 $1.3 # Market Opens
22:00 $1.4
8/3/2020 00:00 $1.5 # Market "closes"/"opens"
17:00 $1.6

When the consolidator is called on market open (Sunday, 5PM EST on 8/2/2020), the closing price for the bar would be $1.5 (Note: FOREX hours are set to "close" and re-"open" at midnight in LEAN during weekdays). 

On the other hand, let's say you used a timedelta argument then the closing price would be $1.6.

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This was very helpful, exactly what I needed, thank you!

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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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