class BasicTemplateFuturesConsolidationAlgorithm(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 3, 10)
        self.SetEndDate(2021, 3, 15)
        self.SetCash(1000000)

        futureSP500 = self.AddFuture(Futures.Indices.SP500EMini, Resolution.Minute)
        futureSP500.SetFilter(30, 182)

        # dictionary to save class object containing consolidator and 
        self.consolidator = {}
        
        # we set a warmup period for the first bar
        self.SetWarmUp(timedelta(1))

    def OnData(self,slice):
        pass

    def OnSecuritiesChanged(self, changes):
        for security in changes.AddedSecurities:
            # Custom consolidator
            self.consolidator[security.Symbol] = CustomDaily(self)
            self.consolidator[security.Symbol].consolidator = TradeBarConsolidator(self.consolidator[security.Symbol].Consolidator)
            self.consolidator[security.Symbol].consolidator.DataConsolidated += self.CustomDailyHandler
            self.SubscriptionManager.AddConsolidator(security.Symbol, self.consolidator[security.Symbol].consolidator)
            
        for security in changes.RemovedSecurities:
            consolidator = self.consolidators.pop(security.Symbol)
            self.SubscriptionManager.RemoveConsolidator(security.Symbol, consolidator.consolidator)
            consolidator.DataConsolidated -= self.OnDataConsolidated
            
    def CustomDailyHandler(self, sender, bar):
        self.Debug("Bar starts at " + str(bar.Time) + ", ends at " + str(bar.EndTime))
        self.Debug(str(bar))
        
        # marked we've passed the first bar of this symbol
        self.consolidator[bar.Symbol].start = True
        
class CustomDaily:

    def __init__(self, algo):
        self.algo = algo
        self.start = False
        self.consolidator = None
        
    def Consolidator(self, dt):
        # after the first bar of all, we concolidate every 1 day
        if self.start:
            return CalendarInfo(dt, timedelta(1))
        else:
            # first bar will consolidate at next day's 1700
            if self.algo.Time.hour > 17:
                return CalendarInfo(dt, dt.replace(hour=17, minute=0, second=0) - dt)
            else:
                return CalendarInfo(dt, dt.replace(hour=17, minute=0, second=0) - dt + timedelta(1))