import numpy as np
class Consolidate(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2018,10, 7) #Set Start Date
self.SetEndDate(2018,12,11) #Set End Date
self.SetCash(100000) #Set Strategy Cash
self.AddEquity("SPY", Resolution.Minute)
consolidator = TradeBarConsolidator(10)
consolidator.DataConsolidated += self.OnDataConsolidated
self.SubscriptionManager.AddConsolidator("SPY", consolidator)
self.tradeBarWindow = RollingWindow[TradeBar](3)
def OnDataConsolidated(self, sender, bar):
self.tradeBarWindow.Add(bar)
self.Log(self.tradeBarWindow[0])
def OnData(self, data):
if not self.Portfolio.Invested:
self.SetHoldings("SPY", 1)