Consolidator Interferes With Identity Indicator

[DerekMelchin]

Expected Behavior

The following algorithm logs the current close price of SPY

class SmoothTanRhinoceros(QCAlgorithm):
    def initialize(self):
        self.set_start_date(2022, 11, 9)
        self.set_end_date(2022, 12, 15)
        self._symbol = self.add_equity("SPY").symbol
        self.consolidate(self._symbol, Resolution.DAILY, lambda bar: 1)
        self._current = self.identity(self._symbol, Resolution.DAILY)
        min_ = self.min(self._symbol, 5, Resolution.DAILY)
        min_.updated += lambda x, y: self.log(f"{self.time} - Current close: {self._current.current.value};")

Actual Behavior

The logs show that the identity indicator isn't updated correctly

2022-11-11 09:31:00 :	2022-11-11 00:00:00 - Current close: 385.804146685;
2022-11-14 09:31:00 :	2022-11-12 00:00:00 - Current close: 385.804146685;
2022-11-15 09:31:00 :	2022-11-15 00:00:00 - Current close: 389.538145115;
2022-11-16 09:31:00 :	2022-11-16 00:00:00 - Current close: 386.22446588;
2022-11-17 09:31:00 :	2022-11-17 00:00:00 - Current close: 386.547036425;
2022-11-18 09:31:00 :	2022-11-18 00:00:00 - Current close: 386.547036425;

but if I comment out the self.consolidate method, it is

2022-11-11 09:31:00 :	2022-11-11 00:00:00 - Current close: 385.804146685;
2022-11-14 09:31:00 :	2022-11-12 00:00:00 - Current close: 389.538145115;
2022-11-15 09:31:00 :	2022-11-15 00:00:00 - Current close: 386.22446588;
2022-11-16 09:31:00 :	2022-11-16 00:00:00 - Current close: 389.518595385;
2022-11-17 09:31:00 :	2022-11-17 00:00:00 - Current close: 386.547036425;
2022-11-18 09:31:00 :	2022-11-18 00:00:00 - Current close: 385.36427776;

Potential Solution

N/A

Reproducing the Problem

Run algorithm above

To print out the correct close values in the research environment, run

qb = QuantBook()
symbol = qb.add_equity("SPY").symbol
qb.history(symbol, datetime(2022, 11, 5), datetime(2022, 11, 25), Resolution.DAILY).loc[symbol]['close']

System Information

QC Cloud

Checklist

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