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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.
LE
By using "Resolution.Minute" with "timedelta(days=1)" I do not achieve the same results as using "Resolution.Daily"
Adam W
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 $1.6When 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.
LE
This was very helpful, exactly what I needed, thank you!
LE
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