Combining Multiple Time Frames

Is it possible with quant connect scripting to calculate signal based on inter and intra day data to determine a position?
EG Decide on long/short position of daily EOD data and combine it with 1hr/15min data for best entry point.

As far as I could work out each script serves a single timeframe only, please correct me thought :)

Many thanks
Update Backtest

Yes, you simply use consolidators for this.

Simply set the algorithm at the highest frequency you plan on using and derive the other data points from consolidators. In your Initialize() you put:

TradeBarConsolidator consolidator = new TradeBarConsolidator(TimeSpan.FromMinutes(30));
consolidator.DataConsolidated += ThirtyMinHandler;
SubscriptionManager.AddConsolidator(_ticker, consolidator);

and then create the following function to catch the data when it reaches the consolidation period:

public void ThirtyMinHandler(object sender, TradeBar data) {
// handle the data each 30 minutes here

For more info, check out this answer here.

Thanks, I'll try it out :)

Update Backtest


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