How to stream 3-minute or 1-hour aggregated bars?

[yiqianghan]

Hello there, thank you for providing this awesome tool, it works really well with backtrader with minute bar streaming.

I would like to know whether you have any suggestions for getting data streaming in other timeframes. I know Alpaca trade API provides REST API with different timeframe options, but I thought backtrader live mode works only with streamed data feed?

Here are some more contexts of my question:

• In my backtrader algo, I have some calculations regarding longer timeframe that are done in every next() call, therefore, if I stream 1-minute bar and try to resample it on the fly while processing the 3 minutes information in every next(), it will mess up with my calculation.

• In backtrader backtesting mode, I compared results using 3 minutes data vs. 1-minute data with 3-minute resampling, the results are different, and the results with 3-minute aggregated data are what I wanted.

• In paper trade mode, I need to make sure the streamed raw data is in the 3-minute timeframe so I do not have to worry about the local resampling issue. So far, I haven't figured out this using the alpaca stream class.

Do you have any suggestions that we can do within the alpaca proxy agent framework? TIA