Merge pull request #3022 from AlexCatarino/feature-3007-calendar-consolidators

Implements Calendar (Weekly/Monthly) Consolidator

Algorithm/QCAlgorithm.Python.cs

@@ -928,6 +928,44 @@ namespace QuantConnect.Algorithm
             return Consolidate(symbol, period, null, handler.ConvertToDelegate<Action<BaseData>>());
         }
 
+        /// <summary>
+        /// Registers the <paramref name="handler"/> to receive consolidated data for the specified symbol
+        /// </summary>
+        /// <param name="symbol">The symbol who's data is to be consolidated</param>
+        /// <param name="calendarType">The consolidation calendar type</param>
+        /// <param name="handler">Data handler receives new consolidated data when generated</param>
+        /// <returns>A new consolidator matching the requested parameters with the handler already registered</returns>
+        public IDataConsolidator Consolidate(Symbol symbol, Func<DateTime, CalendarInfo> calendarType, PyObject handler)
+        {
+            return Consolidate(symbol, calendarType, null, handler);
+        }
+
+        /// <summary>
+        /// Registers the <paramref name="handler"/> to receive consolidated data for the specified symbol
+        /// </summary>
+        /// <param name="symbol">The symbol who's data is to be consolidated</param>
+        /// <param name="calendarType">The consolidation calendar type</param>
+        /// <param name="tickType">The tick type of subscription used as data source for consolidator. Specify null to use first subscription found.</param>
+        /// <param name="handler">Data handler receives new consolidated data when generated</param>
+        /// <returns>A new consolidator matching the requested parameters with the handler already registered</returns>
+        private IDataConsolidator Consolidate(Symbol symbol, Func<DateTime, CalendarInfo> calendarType, TickType? tickType, PyObject handler)
+        {
+            // resolve consolidator input subscription
+            var type = GetSubscription(symbol, tickType).Type;
+
+            if (type == typeof(TradeBar))
+            {
+                return Consolidate(symbol, calendarType, tickType, handler.ConvertToDelegate<Action<TradeBar>>());
+            }
+
+            if (type == typeof(QuoteBar))
+            {
+                return Consolidate(symbol, calendarType, tickType, handler.ConvertToDelegate<Action<QuoteBar>>());
+            }
+
+            return Consolidate(symbol, calendarType, tickType, handler.ConvertToDelegate<Action<BaseData>>());
+        }
+
         /// <summary>
         /// Gets indicator base type
         /// </summary>