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)