Multiple timeframes

[tonyugabriel]

Wondering if there is a way to use multiple timeframes at once. For example providing 5 minute resolution bars but be able to write logic on 1hour bars? I can code around this but wondering if there is already such a feature or plans for one?

[edtechre]

Hi @tonyugabriel,

Do you mean running an execution for every 1 hour on 5 minute bars, or do you mean somehow aggregating the 5 min bars into 1 hour bars before running an execution?

[tonyugabriel]

Hi,

My thinking is I would like the trade executions to run on 5minute data so the stop loss / take profit would be more acuurate as to exactly when you got stopped out, but the logic i use to decide on taking a position would be on 1 hour bars. So for example lets take a simple moving cross over stratey with a sl/tp, that would be calculated off 1 hour bars but when I then take a position the engine is using 5 minute bars to decide when the sl/tp is hit. I could make a custom data source that aggregates the 5min bars into hourly as extra columns but wondering if there is a way to provid both sets of bars to the engine itself.