Hi there,
I am looking to run a Zipline backtest that utilizes multiple timeframes; 1 minute data, 5 minute, 15 minute, and 30 minute.
Currently, I am only using the usstock-1min bundle, and am trying to aggregate that data myself into 5, 15, and 30 minute bars. Structurally, what is the best way to about this? Please keep in mind that I am looking to run this backtest on hundreds of securities as well.
Thank you!