class ModulatedDynamicFlange(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2019, 7, 12)  # Set Start Date
        self.SetEndDate(2019, 7, 15)
        self.SetCash(100000)  # Set Strategy Cash
        
        tickers = ["SPY" , "AAPL", "TSLA", "AMZN"]
        # Dictionary to hold our rolling windows
        self.data = {}
        
        for ticker in tickers:
            # Add minute equity data to our algorithm and save the symbol
            symbol = self.AddEquity(ticker, Resolution.Minute).Symbol
            # Store a instance of a rolling window for each symbol
            self.data[symbol] = RollingWindow[TradeBar](65)
            # Define a 30 minute consolidator for each symbol
            consolidator = TradeBarConsolidator(timedelta(minutes = 30))
            # Add that consolidator to our symbol
            self.SubscriptionManager.AddConsolidator(ticker, consolidator)
            # Set OnConsolidated as our event handler for that consolidator
            consolidator.DataConsolidated += self.OnConsolidated
        
        # Every monday at market open we will do calculations on our data
        self.Schedule.On(self.DateRules.Every(DayOfWeek.Monday), self.TimeRules.AfterMarketOpen("SPY", 1), self.MakeCalculations)
        
            
    def OnConsolidated(self, sender, bar):
        self.Debug(bar.Symbol.Value + " thirty minute bar consolidated at " + str(bar.Time) + " with closing price " + str(bar.Close) )
        # Store consolidated bar in corresponding rolling window
        self.data[bar.Symbol].Add(bar)
        
    
    def MakeCalculations(self):
        # If rolling windows not ready, we will wait until the next monday
        if not all([window.IsReady for window in self.data.values()]):
            return
       
       ## Our Calculations go here...