Gap. Consolidating Data › Getting Started › Data Shapes and Sizes says Forex is the only asset class without TradeBar data. CFD data is quote-only too: the CFD Handling Data pages list only quotes and ticks. Nothing warns that a TradeBarConsolidator on a Forex or CFD symbol fails in add_consolidator with "Type mismatch found between consolidator and symbol. Symbol: XAUUSD does not support input type: TradeBar. Supported types: QuoteBar."
Evidence (Sep 24–30). 21 errors from 21 users. Symbols: XAUUSD 9, EURUSD 7, US30USD 2, other Forex pairs 2.
Proposed change.
- Data Shapes and Sizes: "Forex and CFD data have only quotes, so consolidators aggregate them into
QuoteBar objects."
- Time Period Consolidators › Consolidate Trade Bars and the Forex and CFD Handling Data pages: note that
TradeBarConsolidator can't consume Forex or CFD data; use QuoteBarConsolidator instead.
Gap. Consolidating Data › Getting Started › Data Shapes and Sizes says Forex is the only asset class without
TradeBardata. CFD data is quote-only too: the CFD Handling Data pages list only quotes and ticks. Nothing warns that aTradeBarConsolidatoron a Forex or CFD symbol fails inadd_consolidatorwith "Type mismatch found between consolidator and symbol. Symbol: XAUUSD does not support input type: TradeBar. Supported types: QuoteBar."Evidence (Sep 24–30). 21 errors from 21 users. Symbols: XAUUSD 9, EURUSD 7, US30USD 2, other Forex pairs 2.
Proposed change.
QuoteBarobjects."TradeBarConsolidatorcan't consume Forex or CFD data; useQuoteBarConsolidatorinstead.