Class BarSeries

Namespace

Balsam

Assembly

Balsam.Backtester.dll

Encapsulates a collection of bars and returns timeseries of open, high, low, close, volume, open interest and unadjusted close data.

public class BarSeries : SeriesBase<Bar>, ISeries, IEnumerable<Bar>, IEnumerable, ICloneable

Inheritance

object

SeriesBase<Bar>

BarSeries

Implements

ISeries

IEnumerable<Bar>

IEnumerable

ICloneable

Derived

ContinuousSeries

Inherited Members

SeriesBase<Bar>.WarnOnOperatorRelativeIndexing

SeriesBase<Bar>.Dates

SeriesBase<Bar>.Name

SeriesBase<Bar>.Symbol

SeriesBase<Bar>.Count

SeriesBase<Bar>.MaxBarsBack

SeriesBase<Bar>.FirstDate

SeriesBase<Bar>.LastDate

SeriesBase<Bar>.CurrentDate

SeriesBase<Bar>.Last

SeriesBase<Bar>.Previous

SeriesBase<Bar>.IsActive

SeriesBase<Bar>.Indexing

SeriesBase<Bar>.Index

SeriesBase<Bar>.this[int]

SeriesBase<Bar>.this[TimeSpan]

SeriesBase<Bar>.this[DateTime]

SeriesBase<Bar>.Tag

SeriesBase<Bar>.Add(DateTime, Bar)

SeriesBase<Bar>.Remove(int)

SeriesBase<Bar>.Remove(DateTime)

SeriesBase<Bar>.RemoveNonTradingDays()

SeriesBase<Bar>.Trim()

SeriesBase<Bar>.Trim(Bar)

SeriesBase<Bar>.Insert(DateTime, Bar)

SeriesBase<Bar>.Clear()

SeriesBase<Bar>.Merge(SeriesBase<Bar>)

SeriesBase<Bar>.Merge(SeriesBase<Bar>, bool)

SeriesBase<Bar>.Save(string)

SeriesBase<Bar>.ToString()

SeriesBase<Bar>.ToDictionary()

SeriesBase<Bar>.AdjustDates(Func<DateTime, DateTime>)

SeriesBase<Bar>.CopyTo(Bar[])

SeriesBase<Bar>.CopyTo(Bar[], int)

SeriesBase<Bar>.CopyTo(int, Bar[], int, int)

SeriesBase<Bar>.CheckIndexing(params SeriesBase<Bar>[])

SeriesBase<Bar>.SubsetCore(DateTime, DateTime)

SeriesBase<Bar>.SubsetCore(int, int)

SeriesBase<Bar>.OnClone()

SeriesBase<Bar>.MergeCore(SeriesBase<Bar>, bool)

SeriesBase<Bar>.OnSetIndex(DateTime)

SeriesBase<Bar>.OnGetValue(int)

SeriesBase<Bar>.GetEnumerator()

object.Equals(object)

object.Equals(object, object)

object.GetHashCode()

object.GetType()

object.MemberwiseClone()

object.ReferenceEquals(object, object)

Extension Methods

BarSeriesExtensions.ConvertDatesToMonthEnd(BarSeries, bool)

BarSeriesExtensions.DataIntegrityReport(BarSeries)

BarSeriesExtensions.Head(BarSeries, int)

BarSeriesExtensions.Print(BarSeries, DateTime, int)

BarSeriesExtensions.Print(BarSeries, int)

BarSeriesExtensions.Tail(BarSeries, int)

Indicators.Atr(BarSeries, int)

Indicators.PercentChange(BarSeries)

Indicators.PercentChange(BarSeries, int)

Indicators.Roc(BarSeries, int)

Indicators.Stochastic(BarSeries, int)

Indicators.TrueRange(BarSeries)

ISeriesExtensions.CompareSeries(ISeries, ISeries, int, int)

TimeSeriesExtensions.ToTimeSeries(ISeries, Func<object, double>)

ISeriesExtensions.Print<T>(SeriesBase<T>, int)

BarSeriesExtensions.ToBarSeries(IEnumerable<Bar>)

IntegerSeriesExtensions.ToIntegerSeries<TSource>(IEnumerable<TSource>, Func<TSource, DateTime>, Func<TSource, int>)

Statistics.Sample<T>(IEnumerable<T>, int, bool)

TimeSeriesExtensions.ToTimeSeries<TSource>(IEnumerable<TSource>, Func<TSource, DateTime>, Func<TSource, double>)

Excel.ExportToExcel(object)

Clipboard.CopyToClipboard(object)

Constructors

BarSeries()

Creates an empty BarSeries.

public BarSeries()

BarSeries(IEnumerable<Bar>)

Creates a new BarSeries using the specified bars.

public BarSeries(IEnumerable<Bar> bars)

Parameters

bars IEnumerable<Bar>

BarSeries(int)

Creates an emtpy BarSeries with the specified capacity.

public BarSeries(int capacity)

Parameters

capacity int

Properties

Close

Gets the timeseries of closing prices.

public TimeSeries Close { get; }

Property Value

TimeSeries

High

Gets the timeseries of high prices.

public TimeSeries High { get; }

Property Value

TimeSeries

Instrument

Gets/sets the instrument associated with this BarSeries.

public Instrument Instrument { get; set; }

Property Value

Instrument

Low

Gets the timeseries of low prices.

public TimeSeries Low { get; }

Property Value

TimeSeries

Open

Gets the timeseries of opening prices.

public TimeSeries Open { get; }

Property Value

TimeSeries

OpenInterest

Gets the timeseries of open interest.

public TimeSeries OpenInterest { get; }

Property Value

TimeSeries

UnadjustedClose

Gets the timeseries of unadjusted closing prices.

public TimeSeries UnadjustedClose { get; }

Property Value

TimeSeries

Volume

Gets the timeseries of volume.

public TimeSeries Volume { get; }

Property Value

TimeSeries

Methods

Add(Bar)

Adds a bar to the end of the collection.

public void Add(Bar bar)

Parameters

bar Bar

Add(BarSeries, double, bool)

Adds the specfied value to a BarSeries.

public static BarSeries Add(BarSeries series, double value, bool modifyUnadjustedClose = false)

Parameters

series BarSeries

value double

modifyUnadjustedClose bool

Returns

BarSeries

Adjust(MathematicalOperation, double, int, bool)

Adjusts opens, highs, lows, closes and (optionally) unadjusted closes by a specified value. Useful for back-adjusting.

public void Adjust(MathematicalOperation operation, double value, int digitsToRound = -1, bool modifyUnadjustedClose = false)

Parameters

operation MathematicalOperation

value double

digitsToRound int

Number of digits to round. -1 disables rounding.

modifyUnadjustedClose bool

Clone(bool)

Returns a copy of this BarSeries.

public BarSeries Clone(bool deepCopy = false)

Parameters

deepCopy bool

Set to true to return totally independent objects. Generally not necessary since Bar object is read-only.

Returns

BarSeries

Compare(BarSeries, BarSeries, bool, int, int)

Compares two BarSeries and reports any discrepancies to the console.

public static void Compare(BarSeries left, BarSeries right, bool includeVolumeAndOpenInt = true, int maxDisrepancies = 100, int digitsToRound = 15)

Parameters

left BarSeries

right BarSeries

includeVolumeAndOpenInt bool

maxDisrepancies int

digitsToRound int

Use -1 to force strict comparison.

Compress(ICompressionProvider)

Compresses the series using the specified compression provider.

public BarSeries Compress(ICompressionProvider compressionProvider)

Parameters

compressionProvider ICompressionProvider

Returns

BarSeries

Divide(BarSeries, double, bool)

Divides a BarSeries by the specified value.

public static BarSeries Divide(BarSeries series, double denominator, bool modifyUnadjustedClose = false)

Parameters

series BarSeries

denominator double

modifyUnadjustedClose bool

Returns

BarSeries

Divide(double, BarSeries, bool)

Divides a value by a BarSeries returning a new BarSeries.

public static BarSeries Divide(double numerator, BarSeries series, bool modifyUnadjustedClose = false)

Parameters

numerator double

series BarSeries

modifyUnadjustedClose bool

Returns

BarSeries

Equals(BarSeries)

Returns true if all observations of the specified BarSeries are identical to this BarSeries.

public bool Equals(BarSeries series)

Parameters

series BarSeries

Returns

bool

Equals(BarSeries, BarSeries)

Returns true if the specified BarSeries are identical across all bars.

public static bool Equals(BarSeries left, BarSeries right)

Parameters

left BarSeries

right BarSeries

Returns

bool

ExportToFileCore(StreamWriter, string, bool)

The core file export code.

protected override void ExportToFileCore(StreamWriter sw, string delimiter = ",", bool includeHeader = false)

Parameters

sw StreamWriter

delimiter string

includeHeader bool

GetValue(int)

Returns the bar at the specified index regardless of indexing strategy.

public Bar GetValue(int index)

Parameters

index int

Returns

Bar

Insert(Bar)

Inserts the specified bar into the collection.

public void Insert(Bar bar)

Parameters

bar Bar

Load(Stream, PersistenceFormat)

Loads a BarSeries from a stream using the specified format.

public static BarSeries Load(Stream stream, PersistenceFormat format)

Parameters

stream Stream

format PersistenceFormat

Returns

BarSeries

Load(string)

Loads a BarSeries from a file. Format is determined by the file extension.

public static BarSeries Load(string fileName)

Parameters

fileName string

Returns

BarSeries

Load(string, PersistenceFormat)

Loads a BarSeries from a file using the specified format.

public static BarSeries Load(string fileName, PersistenceFormat format)

Parameters

fileName string

format PersistenceFormat

Returns

BarSeries

Merge(BarSeries, bool)

Merges the specified BarSeries into the existing one.

public void Merge(BarSeries series, bool overwrite = false)

Parameters

series BarSeries

overwrite bool

Multiply(BarSeries, double, bool)

Multiplies a BarSeries by the specified value.

public static BarSeries Multiply(BarSeries series, double value, bool modifyUnadjustedClose = false)

Parameters

series BarSeries

value double

modifyUnadjustedClose bool

Returns

BarSeries

OnAdd(DateTime, Bar)

Adds the specified bar to the end of the collection. If the date of the bar does not equal the specified date, a new bar is created with the specified date.

protected override void OnAdd(DateTime date, Bar value)

Parameters

date DateTime

value Bar

OnAdjust(MathematicalOperation, double, int, bool)

Adjusts the entire barseries using the specified mathematical operation.

protected virtual void OnAdjust(MathematicalOperation operation, double value, int digitsToRound, bool modifyUnadjustedClose)

Parameters

operation MathematicalOperation

value double

digitsToRound int

modifyUnadjustedClose bool

OnClear()

Clears the BarSeries.

protected override void OnClear()

OnCompress(ICompressionProvider)

Calls the specified compression provider and converts to a BarSeries as necessary.

protected virtual BarSeries OnCompress(ICompressionProvider compressionProvider)

Parameters

compressionProvider ICompressionProvider

Returns

BarSeries

OnDatesChanged()

Recreates internal list of bars with the updated dates and nulls out TimeSeries properties forcing them to be recreated on the next access.

protected override void OnDatesChanged()

OnInsert(int, DateTime, Bar)

Inserts the specified item into the collection.

protected override void OnInsert(int index, DateTime date, Bar item)

Parameters

index int

date DateTime

item Bar

OnRemove(int)

Removes a bar at the specified index.

protected override void OnRemove(int index)

Parameters

index int

OnSetIndex(int)

Ensures that the OHLCVIU timeseries stay in sync with the parent.

protected override void OnSetIndex(int index)

Parameters

index int

OnSetValue(int, Bar)

Sets the specified bar at the specified index.

protected override void OnSetValue(int index, Bar value)

Parameters

index int

value Bar

OnTrim()

Trims the BarSeries

protected override void OnTrim()

ParseDouble(string)

Converts string to double with support for N/A values.

protected static double ParseDouble(string text)

Parameters

text string

Returns

double

RaiseNegative(BarSeries)

Returns a new BarSeries where prices are adjusted so that the lowest low is one tick above zero. The unadjusted close is not modified.

public static BarSeries RaiseNegative(BarSeries series)

Parameters

series BarSeries

Returns

BarSeries

RaiseNegative(BarSeries, double, bool)

Returns a new BarSeries where if the lowest low is negative, the whole series is adjusted so that the low of the series is equal to the specified minimum.

public static BarSeries RaiseNegative(BarSeries series, double minimum, bool modifyUnadjustedClose)

Parameters

series BarSeries

minimum double

modifyUnadjustedClose bool

Returns

BarSeries

Save(Stream, PersistenceFormat)

Saves the BarSeries to the specified stream in the specified format.

public void Save(Stream stream, PersistenceFormat format)

Parameters

stream Stream

format PersistenceFormat

Save(string, PersistenceFormat)

Saves the barseries using the specified format.

public void Save(string path, PersistenceFormat format)

Parameters

path string

Path can be a filename or directory. Use a trailing backslash to specify a directory; it will then use the symbol + default extension as the filename.

format PersistenceFormat

Save(string, PersistenceFormat, bool)

Save a BarSeries using the specified parameters.

public void Save(string fileName, PersistenceFormat format, bool compress)

Parameters

fileName string

format PersistenceFormat

compress bool

Subset(DateTime)

Returns a new BarSeries starting at the specified start date.

public BarSeries Subset(DateTime startDate)

Parameters

startDate DateTime

Returns

BarSeries

Subset(DateTime, DateTime)

Returns a new BarSeries containing only the range of dates specified by the startDate and endDate parameters.

public BarSeries Subset(DateTime startDate, DateTime endDate)

Parameters

startDate DateTime

endDate DateTime

Returns

BarSeries

Subset(int, int)

Returns a subset of this BarSeries starting at the specified index with the specified count.

public BarSeries Subset(int index, int count)

Parameters

index int

The starting index.

count int

The number of observations to return. Automatically adjusted to prevent out-of-bounds errors.

Returns

BarSeries

Subtract(BarSeries, double, bool)

Subtracts the specfied value from a BarSeries.

public static BarSeries Subtract(BarSeries series, double value, bool modifyUnadjustedClose = false)

Parameters

series BarSeries

value double

modifyUnadjustedClose bool

Returns

BarSeries

Subtract(double, BarSeries, bool)

Subtracts a BarSeries from a value returning a new BarSeries.

public static BarSeries Subtract(double value, BarSeries series, bool modifyUnadjustedClose = false)

Parameters

value double

series BarSeries

modifyUnadjustedClose bool

Returns

BarSeries

Sync(ISeries)

Returns a new BarSeries synced to an outside series.

public BarSeries Sync(ISeries series)

Parameters

series ISeries

Returns

BarSeries

Sync(ISeries, SyncOption)

Returns a new BarSeries synced to an outside series using the specified sync option to handle missing values.

public BarSeries Sync(ISeries series, SyncOption option)

Parameters

series ISeries

option SyncOption

Returns

BarSeries

Sync(IEnumerable<DateTime>)

Returns a new series synced to the specified enumerable of dates.

public BarSeries Sync(IEnumerable<DateTime> dates)

Parameters

dates IEnumerable<DateTime>

Returns

BarSeries

Sync(IEnumerable<DateTime>, SyncOption)

Returns a new series synced to the specified enumerable of dates using the specified sync option to handle missing values.

public BarSeries Sync(IEnumerable<DateTime> dates, SyncOption option)

Parameters

dates IEnumerable<DateTime>

option SyncOption

Returns

BarSeries

SyncCore(IEnumerable<DateTime>, SyncOption)

Core synchronization code.

protected override SeriesBase<Bar> SyncCore(IEnumerable<DateTime> dates, SyncOption option)

Parameters

dates IEnumerable<DateTime>

option SyncOption

Returns

SeriesBase<Bar>

ToDaily(TimeSpan)

Compresses an intraday series to daily using the specified session end time.

public BarSeries ToDaily(TimeSpan sessionEndTime)

Parameters

sessionEndTime TimeSpan

Returns

BarSeries

ToIntraday(int)

Compresses an intraday series to the specified number of minutes.

public BarSeries ToIntraday(int minutes)

Parameters

minutes int

Returns

BarSeries

ToMonthly()

Compresses to monthly using the default options.

public BarSeries ToMonthly()

Returns

BarSeries

ToWeekly()

Compresses to weekly using the default options.

public BarSeries ToWeekly()

Returns

BarSeries

Operators

operator +(BarSeries, double)

Adds the specified value to the BarSeries, leaving volume and open interest unchanged.

public static BarSeries operator +(BarSeries left, double right)

Parameters

left BarSeries

right double

Returns

BarSeries

operator +(double, BarSeries)

Adds the specified value to the BarSeries, leaving volume and open interest unchanged.

public static BarSeries operator +(double left, BarSeries right)

Parameters

left double

right BarSeries

Returns

BarSeries

operator /(BarSeries, TimeSeries)

Divides the BarSeries by the specified TimeSeries.

public static BarSeries operator /(BarSeries left, TimeSeries right)

Parameters

left BarSeries

right TimeSeries

Returns

BarSeries

operator /(BarSeries, double)

Divides the BarSeries by the specified value, leaving volume and open interest unchanged.

public static BarSeries operator /(BarSeries left, double right)

Parameters

left BarSeries

right double

Returns

BarSeries

operator /(double, BarSeries)

Divides the BarSeries by the specified value, leaving volume and open interest unchanged.

public static BarSeries operator /(double left, BarSeries right)

Parameters

left double

right BarSeries

Returns

BarSeries

operator *(BarSeries, TimeSeries)

Multiplies the BarSeries by the specified TimeSeries, leaving volume, open interest and unadjusted close unchanged.

public static BarSeries operator *(BarSeries left, TimeSeries right)

Parameters

left BarSeries

right TimeSeries

Returns

BarSeries

operator *(BarSeries, double)

Multiplies the BarSeries by the specified value, leaving volume and open interest unchanged.

public static BarSeries operator *(BarSeries left, double right)

Parameters

left BarSeries

right double

Returns

BarSeries

operator *(double, BarSeries)

Multiplies the BarSeries by the specified value, leaving volume and open interest unchanged.

public static BarSeries operator *(double left, BarSeries right)

Parameters

left double

right BarSeries

Returns

BarSeries

operator -(BarSeries, double)

Subtracts the specified value from the BarSeries, leaving volume and open interest unchanged.

public static BarSeries operator -(BarSeries left, double right)

Parameters

left BarSeries

right double

Returns

BarSeries

operator -(double, BarSeries)

Subtracts a BarSeries from a value, leaving volume and open interest unchanged.

public static BarSeries operator -(double left, BarSeries right)

Parameters

left double

right BarSeries

Returns

BarSeries