How Can Consolidators Be Interfaced with the Framework?

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Hi everyone,

So here is my problem. I need hourly data that contains extended market data. After some lengthy debugging and digging, I have discovered that Resolution.Hour market data does not include extended market data. (I hope this particular fact gets better documentation soon because it took me quite a while to figure this out).

However, I know that Resolution.Minute market data DOES include extended market data. Great. I will just use a handy data consolidator to consolidate up to the hour resolution!

This is all well and good, but my question is this:

How does a symbol set to Resolution.Minute and then consolidated to hourly data work with the whole Framework idea (alphas, portfolio model, etc.) of QuantConnect?

Will the alpha's Update method be called for the consolidated resolution (hourly) or the resolution declared within AddEquity (minute)?

If it is the minute resolution, is there a way for an Alpha to understand that a symbol's data is consolidated and not take the initially declared resolution?

Any insight on this issue is appreciated. Thanks.

Update Backtest







 
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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.


Hi Daniel,

  • The Framework can handle consolidated data
  • The Alpha’s Update will be called with the Minute data
  • To use consolidated data with an Alpha model, we can use the SymbolData pattern to create and store the consolidators and indicators indicators, then we can check if we have received a new bar of Consolidated data in Update. I've shown this in the attached backtest.

Best,
Shile Wen

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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.


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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