Class IntradayToDailyCompression

Namespace

Balsam.Compression

Assembly

Balsam.Backtester.dll

Compresses intraday data to daily. Has support for start, end, and settlement times.

public class IntradayToDailyCompression : CompressionProvider, ICompressionProvider

Inheritance

object

CompressionProvider

IntradayToDailyCompression

Implements

ICompressionProvider

Inherited Members

CompressionProvider.IncludePartialPeriod

CompressionProvider.GetDefaultCompressor(ISeries)

CompressionProvider.Compress(ISeries)

CompressionProvider.Compress(ISeries, ICompressor)

object.Equals(object)

object.Equals(object, object)

object.GetHashCode()

object.GetType()

object.MemberwiseClone()

object.ReferenceEquals(object, object)

object.ToString()

Extension Methods

Excel.ExportToExcel(object)

Clipboard.CopyToClipboard(object)

Constructors

IntradayToDailyCompression(TimeSpan)

Initializes a new intraday to daily compression object using the specified session end time.

public IntradayToDailyCompression(TimeSpan sessionEndTime)

Parameters

sessionEndTime TimeSpan

IntradayToDailyCompression(TimeSpan, TimeSpan)

Initializes a new intraday to daily compression object using the specified session start and end times.

public IntradayToDailyCompression(TimeSpan sessionStartTime, TimeSpan sessionEndTime)

Parameters

sessionStartTime TimeSpan

sessionEndTime TimeSpan

IntradayToDailyCompression(TimeSpan, TimeSpan, TimeSpan?)

Initializes a new intraday to daily compressor using the specified start, end, and settlement times.

public IntradayToDailyCompression(TimeSpan sessionStartTime, TimeSpan sessionEndTime, TimeSpan? settlementTime)

Parameters

sessionStartTime TimeSpan

sessionEndTime TimeSpan

settlementTime TimeSpan?

Properties

IncludeTimeOfDay

Gets/sets whether the date includes a time component. Default is true.

public bool IncludeTimeOfDay { get; set; }

Property Value

bool

SessionEndTime

Gets/sets the end of the trading session.

public TimeSpan SessionEndTime { get; }

Property Value

TimeSpan

SessionStartTime

Gets/sets the start of the trading session.

public TimeSpan SessionStartTime { get; }

Property Value

TimeSpan

SettlementTime

Gets/sets the time used for the close of the bar. If null, SessionEndTime is used.

public TimeSpan? SettlementTime { get; }

Property Value

TimeSpan?

UseFixedDates

Gets/sets whether to use equally spaced dates. Defaults to true. When false, the last date observed is used. Be careful with this option as using actual dates can introduce look-ahead bias.

public bool UseFixedDates { get; set; }

Property Value

bool

Methods

OnCompress(ISeries, ICompressor)

Compresss the specified series.

protected override ISeries OnCompress(ISeries series, ICompressor compressor)

Parameters

series ISeries

compressor ICompressor

Returns

ISeries