Overall Statistics
```from QuantConnect.Python import PythonQuandl
from QuantConnect.Data.Custom import *
from System import *
from QuantConnect import *
from QuantConnect.Data import *
from QuantConnect.Algorithm import *
from QuantConnect.Indicators import *
from QuantConnect.Securities import *
from QuantConnect.Data.Consolidators import *
from datetime import timedelta
from collections import deque
from QuantConnect.Orders import OrderStatus
import pandas as pd
import numpy as np
from datetime import timedelta, datetime

### <summary>
### Example structure for structuring an algorithm with indicator and consolidator data for many tickers.
### </summary>
### <meta name="tag" content="consolidating data" />
### <meta name="tag" content="indicators" />
### <meta name="tag" content="using data" />
### <meta name="tag" content="strategy example" />
class MultipleSymbolConsolidationAlgorithm(QCAlgorithm):

# Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
def Initialize(self):

self._contract = None
self._nextContract = None

self._bb = None
self._nextBb = None

self._newDay = True
self.reset = True

# brokerage model
self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage,
AccountType.Margin)

self.SetStartDate(2014, 12, 1)
self.SetEndDate(2016, 2, 1)
self.SetCash(100000)
self.SetWarmUp(TimeSpan.FromDays(5))

future.SetFilter(TimeSpan.Zero, TimeSpan.FromDays(185))

def OnData(self, slice):

if (self.Time.minute==0):
self.Log('OnData')

if not self.InitContract(slice): return

if self.reset:
self.reset=False

if (self.Time.minute==0):

if (self._bb != None and self._bb.IsReady):

price = 0.
if (slice.Bars.ContainsKey(self._contract.Symbol)):

#self.Log(self._contract.Symbol)

price = slice.Bars[self._contract.Symbol].Close

args = (self.Time,self._contract,price,self._bb.LowerBand,self._bb.MiddleBand,self._bb.UpperBand)
self.Log('onData: {} contract: {}, price: {}, BBL: {}, BBM: {}, BBU: {}'.format(*args))

if (slice.Bars.ContainsKey(self._nextContract.Symbol)):

price = slice.Bars[self._nextContract.Symbol].Close

args = (self.Time,self._nextContract,price,self._nextBb.LowerBand,self._nextBb.MiddleBand,self._nextBb.UpperBand)
self.Log('onData: {} contract: {}, price: {}, BBL: {}, BBM: {}, BBU: {}'.format(*args))

else:

return

def InitContract(self, slice):

if not self._newDay:
return True

if (self._contract != None and (self._contract.Expiry - self.Time).days >=3):
return True

for chain in slice.FutureChains.Values:
contracts = chain.Contracts.Values

#self.Log(str(chain))

skip = 0
if (self._contract != None):
self.Log('Expiry days away {} - {} - {}'.format((self._contract.Expiry-self.Time).days, self._contract.Expiry, self.Time.date))
if (self._contract != None and (self._contract.Expiry-self.Time).days <= 3):
skip = 1

chainContracts = list(contracts) #[contract for contract in chain]
chainContracts = sorted(chainContracts, key=lambda x: x.Expiry)

if (len(chainContracts) < skip+2):
return False

first = chainContracts[skip]
second = chainContracts[skip+1]

if (first != None and second != None):

self.Log('RESET: ' + first.Symbol.Value + ' - ' + second.Symbol.Value)
self.reset=True

if (first != None and (self._contract == None or self._contract.Symbol != first.Symbol)):

if (self._nextContract != None):

self._bb = self._nextBb
self._contract = self._nextContract

else:

self._contract = first

oneHour.DataConsolidated += self.OnHour

self._bb = self.BB(self._contract.Symbol, 20, 2, MovingAverageType.Exponential, Resolution.Hour)

history = self.History(self._contract.Symbol, 50*60, Resolution.Minute).reset_index(drop=False)
self.Log(len(history))

for bar in history.itertuples():

#if (bar.EndTime.Minute == 0 and (self.Time-bar.EndTime).TotalMinutes >=2):

if (bar.time.minute == 0 and ((self.Time-bar.time)/pd.Timedelta(minutes=1)) >=2):

self.Log(str(bar))
#self._bb.Update(self._contract.Symbol, bar.time, bar.close)
self._bb.Update(bar.time, bar.close)

if (second != None and (self._nextContract == None or (self._nextContract.Symbol != second.Symbol))):

self._nextContract = second
oneHour.DataConsolidated += self.OnHour