I want to go thru as many stocks as possible, and 15 minutes before close, I want to see the volume untill that moment - for "today", and also be able to count with volumes, open and close from past 20 day.

It seems like this is too big of a task for quantconnect platform, I got bunch of weird errors, some from docker and some OutOfMemoryException.

I started using History, than I moved to MovingWindow, taking 30 stocks for 100 days. But still have performance issues. And Im nowhere close to the numbers I want to be. 

Do I am missing something? Or is there any better way of doing this? Thanks for any help.