Skip to content

WIP: Add built-in rolling window to all consolidators#9366

Open
JosueNina wants to merge 2 commits intoQuantConnect:masterfrom
JosueNina:feature-8425-rolling-window-consolidators
Open

WIP: Add built-in rolling window to all consolidators#9366
JosueNina wants to merge 2 commits intoQuantConnect:masterfrom
JosueNina:feature-8425-rolling-window-consolidators

Conversation

@JosueNina
Copy link
Copy Markdown
Collaborator

Description

Adds built-in rolling window history to consolidators, making previous bars accessible via indexer (e.g. consolidator[1])

  • Introduces ConsolidatorBase with a RollingWindow, indexer and IEnumerable. All consolidators inherit from it
  • DataConsolidatorPythonWrapper also exposes Window for custom Python consolidators

Related Issue

Closes #8425

Motivation and Context

N/A

Requires Documentation Change

N/A

How Has This Been Tested?

It was tested using unit tests.

Types of changes

  • Bug fix (non-breaking change which fixes an issue)
  • Refactor (non-breaking change which improves implementation)
  • Performance (non-breaking change which improves performance. Please add associated performance test and results)
  • New feature (non-breaking change which adds functionality)
  • Breaking change (fix or feature that would cause existing functionality to change)
  • Non-functional change (xml comments/documentation/etc)

Checklist:

  • My code follows the code style of this project.
  • I have read the CONTRIBUTING document.
  • I have added tests to cover my changes.
  • All new and existing tests passed.
  • My branch follows the naming convention bug-<issue#>-<description> or feature-<issue#>-<description>

Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment

Labels

None yet

Projects

None yet

Development

Successfully merging this pull request may close these issues.

Built-in RollingWindow in Consolidators

1 participant