Class BackAdjuster

Namespace

Balsam.Utility

Assembly

Balsam.Backtester.dll

A class for back-adjusting individual futures contracts based on volume.

public class BackAdjuster

Inheritance

object

BackAdjuster

Inherited Members

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)

Methods

Build(IEnumerable<BarSeries>)

Backadjust daily series.

public ContinuousSeries Build(IEnumerable<BarSeries> series)

Parameters

series IEnumerable<BarSeries>

Returns

ContinuousSeries

Build(IEnumerable<BarSeries>, RollSettings)

Builds a continuous series using the specified parameters.

public ContinuousSeries Build(IEnumerable<BarSeries> series, RollSettings rollSettings)

Parameters

series IEnumerable<BarSeries>

rollSettings RollSettings

Returns

ContinuousSeries

Build(IEnumerable<BarSeries>, RollSettings, Func<BarSeries, Future>, SettlementPriceCollection)

Builds a continuous series using the specified parameters.

public ContinuousSeries Build(IEnumerable<BarSeries> series, RollSettings rollSettings, Func<BarSeries, Future> symbolResolver, SettlementPriceCollection settlements = null)

Parameters

series IEnumerable<BarSeries>

rollSettings RollSettings

symbolResolver Func<BarSeries, Future>

settlements SettlementPriceCollection

Returns

ContinuousSeries

Exceptions

ArgumentNullException

InvalidOperationException

ArgumentOutOfRangeException

Build(IEnumerable<BarSeries>, Func<BarSeries, Future>)

Backadjusts daily series using the specified symbol resolver.

public ContinuousSeries Build(IEnumerable<BarSeries> series, Func<BarSeries, Future> symbolResolver)

Parameters

series IEnumerable<BarSeries>

symbolResolver Func<BarSeries, Future>

Returns

ContinuousSeries

GetRollDetail()

Returns the roll schedule from last processed contract.

public IEnumerable<RollDetail> GetRollDetail()

Returns

IEnumerable<RollDetail>

GetVolumeDetail()

Returns the contract volumes from the last processed contract.

public TimeSeriesCollection GetVolumeDetail()

Returns

TimeSeriesCollection

OnMessage(MessageEventArgs)

Raises a message event.

protected virtual void OnMessage(MessageEventArgs e)

Parameters

e MessageEventArgs

Events

Message

Raises a message event.

public event EventHandler<MessageEventArgs> Message

Event Type

EventHandler<MessageEventArgs>