class DynamicOptimizedContainmentField(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2019, 9, 26)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.UniverseSettings.Resolution = Resolution.Hour
        
        self.AddUniverse(self.SelectCoarse)
        
        self.symbols = {}

    def SelectCoarse(self, coarse):
        sortedCoarse = sorted(coarse, key=lambda c:c.DollarVolume, reverse=True)
        return [c.Symbol for c in sortedCoarse][:10]
        
    
    def OnSecuritiesChanged(self, changes):
        for security in changes.AddedSecurities:
            symbol = security.Symbol
            if symbol not in self.symbols:
                self.symbols[symbol] = SymbolData(self, symbol)
                
        for security in changes.RemovedSecurities:
            symbol = security.Symbol
            if symbol in self.symbols:
                symbolData = self.symbols.pop(symbol, None)
                self.SubscriptionManager.RemoveConsolidator(symbol, symbolData.consolidator)
                
class SymbolData:
    
    def __init__(self, algorithm, symbol):
        self.algorithm = algorithm
        self.symbol = symbol
        
        self.consolidator = TradeBarConsolidator(timedelta(minutes=30))
        self.consolidator.DataConsolidated += self.OnDataConsolidated
        
        algorithm.SubscriptionManager.AddConsolidator(symbol, self.consolidator)
        
        
    def OnDataConsolidated(self, sender, bar):
        self.algorithm.Debug(f"Data Consolidatoed for {self.symbol} at {bar.EndTime} with bar: {bar}")