OnData on Minute timeframe not get called

Here’s an explanatory example and answer for Manoj's question:

No, using hourly consolidators (even when attached in OnSecurityChanges) does NOT change how often OnData is called. OnData still runs for every bar of your data subscription’s resolution (e.g., every minute for minute data). Consolidators let you process aggregated data, but do not modify the data subscription frequency.

Below is an example with comments:

from AlgorithmImports import *

class ConsolidatorExampleAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        # Set requested data range
        self.set_start_date(2021, 1, 1)
        self.set_end_date(2022, 1, 1)
        self.set_cash(100000)

        # Add an equity at minute resolution
        self._symbol = self.add_equity("SPY", Resolution.MINUTE).symbol

        # Create an hourly consolidator for SPY.
        # This consolidator will aggregate minute bars into an hourly bar
        hourly_consolidator = TradeBarConsolidator(timedelta(hours=1))
        # We attach an event handler to process the hourly bar once it's ready
        hourly_consolidator.data_consolidated += self.on_hourly_data

        # Finally, we add the consolidator to our algorithm
        self.subscription_manager.add_consolidator(self._symbol, hourly_consolidator)

    def on_data(self, data: Slice) -> None:
        # This method is called once every minute bar of the subscribed resolution.
        # Even though we have an hourly consolidator, OnData still fires each minute.
        if data.bars.contains_key(self._symbol):
            bar = data.bars[self._symbol]
            self.debug(f"OnData() Minute Bar - Time: {bar.end_time}, Open: {bar.open}, Close: {bar.close}")

    def on_hourly_data(self, sender, bar: TradeBar) -> None:
        # This method is called when the hourly consolidator produces a new consolidated bar.
        self.debug(f"Hourly consolidator bar - Time: {bar.end_time}, Open: {bar.open}, Close: {bar.close}")

    def on_security_changes(self, changes: SecurityChanges) -> None:
        # If universe selection changes add/remove symbols, you can create or remove consolidators here.
        # This does not affect how often OnData is called. OnData depends on the resolution of each subscription.
        self.debug("OnSecurityChanges called")

Key points for Manoj:

• OnData is called for each new bar of your subscription resolution (e.g., every minute for minute data)—this is independent of consolidators.
• Adding consolidators (even in OnSecurityChanges when your universe changes) does not affect OnData’s frequency.
• Consolidators fire their own handler (e.g., on_hourly_data here) whenever their aggregated period completes (e.g., hourly).
• To process higher timeframe bars, use a consolidator and handle it in its event.

Let me know if you’d like an example that dynamically adds/removes consolidators in OnSecurityChanges!

Sources: Time Period Consolidators - QuantConnect.com, Data Consolidation Algorithm, Mixed-Mode Consolidators - QuantConnect.com, Futures Fast Trend Following, with Trend Strength, Manually Removed Consolidators Algorithm

Sure please show example on dynamically adds/removes consolidators in OnSecurityChanges. It does not work when I add symbols dynamically using Coarse and Fine universe , and at the same time have AddEquity ("SPY", Resolution.Minute) in initialize() . I am not getting OnData being called on Minute timeframe. 

@mia can you respond

This seems to be related to Quantconnect not being able to handle Equities and Indexes being pumped at the same time, Indexes get pumped initially , and after that Equities are the only once that get pumped