Namespace Balsam
Classes
- Bar
Encapsulates data for a single bar.
- BarSeries
Encapsulates a collection of bars and returns timeseries of open, high, low, close, volume, open interest and unadjusted close data.
- BarSeriesCollection
A collection of BarSeries accessible by symbol or index.
- BarSeriesExtensions
A static class that provides some common extension methods to BarSeries.
- BooleanSeries
A series of dates and associated true/false values.
- BooleanSeriesCollection
A collection of BooleanSeries accessible by symbol or index.
- BooleanSeriesExtensions
Utility class containing BooleanSeries extension methods.
- ChartingExtensions
Exposes some static extension methods related to charting.
- ConstraintAttribute
An attribute used to constrain values in an optimization relative to another value.
- DataSource
Encapsulates information about a datasource, typically from a call to a BarServer.
- DateHelper
A collection of utilities for manipulating dates.
- DateRange
Encapsulates a date range.
- DateRangeCollection
Encapsulates a collection of date ranges.
- DateSeries
Encapsulates series of dates conforming to ISeries interface.
- DisplayFormatAttribute
An attribute used to control formatting of properties for export.
- Dividend
Encapsulates dividend information.
- DividendCollection
Encapsulates a collection of dividends.
- Drawdown
Represents statistics about a single drawdown.
- DrawdownCollection
A collection of drawdowns.
- EquityCurveStats
Calculates comprehensive performance statistics on an equity curve
- Excel
Extension methods for exporting to Excel.
- Execution
Encapsulates information about a trade execution.
- ExecutionCollection
Encapsulates a collection of executions returning average price and total statistics.
- ExtensionMethods
Collection of helper extension methods
- FilteredWave
Encapsulates information from the zigzag indicator.
- FilteredWaveGenerator
Generates filtered waves (aka zig-zag indicator) in real-time as data is added.
- Future
A class for parsing future symbols.
- ISeriesExtensions
Encapsulates some extension methods common to ISeries.
- Indicators
A static class providing common technical and statistical functions.
- Instrument
Encapsulates relevant information about a particular trading vehicle.
- InstrumentCollection
A collection of instruments indexed by symbol.
- IntegerSeries
Encapsulates a series of paired date/integer observations.
- IntegerSeriesExtensions
Integer series extension methods.
- LimitFillModel
Abstract base class for limit fill models that control how limit orders are filled.
- LimitFillRandom
Fills are determined by FillProbability when limit price equals extreme of the bar.
- LimitOrder
Limit order
- MarketOrder
Market order
- MarketProfile
A class used to build a market profile.
- MessageEventArgs
A class used to pass messages to listeners.
- NonconcurrentAttribute
Disables automatic concurrency for an ISeries field within a strategy or money manager.
- NondeterministicAttribute
Used to mark fields where concurrency should not be automatically maintained.
- Observation
Encapsulates numeric observations associated with a particular date.
- ObservationSeries
Encapsulates a collection of observations. Note this does not support concurrency for backtesting via the ISeries interface like TimeSeries does.
- Observation<T>
Encapsulates multiple values associated with a particular date.
- OptimizationCompletedEventArgs
Encapsulates various results from a completed optimization.
- OptimizationIterationEventArgs
A class used to report the results and status of an optimization iteration.
- OptimizeAttribute
An attribute to control optimization variables
- Optimizer
Runs simulations across a range of parameter values and collate results using brute force search.
- OptimizerBase
Provides common functionality used across optimizers.
- Order
An abstract base class representing an order.
- OrderCollection
Encapsulates a collection of orders using order id as the key.
- OrderFilledEventArgs
Encapsulates order status information for filled orders.
- OrderHandler
Provides order handling and tracking.
- OrderRejectedEventArgs
Encapsulates order status information for rejected orders.
- OrderStatusEventArgs
Encapsulates order status information.
- OrderSubmittingEventArgs
Encapsulates order status information for a new order.
- PlotInstruction
Encapsulates instructions to plot a series on a chart.
- Position
Represents a position which can contain multiple entries and exits and even multiple legs for a spread.
- PositionCollection
Used to encapsulate positions and provide a read-only collection to user
- PositionPricing
A class used to maintain pricing information for a position.
- PriceCrossLimit
Limit fill model that fills limit orders when price crosses the limit price.
- PriceTouchLimit
Limit fill model that fills limit orders when price touches the limit price.
- Range
Encapsulates a high/low range.
- RegressionResult
A class that encapsulates the result of simple linear regression.
- RegressionSeries
A series of regression results
- Roll
A class used to encapsulate roll information.
- RollCollection
Used to encapsulate a collection of rolls and provide summary statistics.
- SeriesBase<T>
An abstract base class that implements basic functionality common to all timeseries.
- SeriesCollectionBase<T>
An abstract class for collections of ISeries objects which supports access by key or index.
- SeriesManager
An abstract class for maintaining concurrency across series and supporting data management for backtesting.
- SeriesManager.TestDates
Exposes read-only collection of test dates.
- SettingsManager
A static class for managing default settings.
- Signal
Encapsulates an integer series of +1/0/-1 trading signals.
- SimulationOptions
Encapsulates various simulation settings.
- SimulationResult
Encapsulates simulation results.
- SpreadLegCollection
A collection of legs that makes a spread position.
- StandAloneStrategyAttribute
An attribute indicating that a strategy needs no outside data other than the primary series.
- Statistics
A static utility class exposing various statistical functions.
- StopLimitOrder
Stop limit order
- StopOrder
Stop order.
- Strategy
An abstract base class that exposes common methods and properties for testing trading strategies.
- StrategyProvidedDataAttribute
An attribute indicating that a strategy provides its own data and does not need to have the primary series set.
- SuppressExportAttribute
Suppresses a field or property from being exported.
- TimeSeries
Encapsulates a series of paired date/double observations.
- TimeSeriesCollection
A collection of TimeSeries that can be accessed by symbol or index.
- TimeSeriesExtensions
A static utility class that provides common indicator extensions to TimeSeries.
- Trade
Encapsulates trade information. Used to size positions in the money manager by setting the Quantity property.
- TradeCollection
Encapsulates a collection of trades.
- TradeStatFields
Provides string constants mapping to TradeStats, EquityCurveStats, and PerformanceStats properties.
- TradeStats
Encapsulates the results of a strategy simulation.
- TradeStatsCollection
A collection of TradeStats.
- TradeStatsCollection.TradeStatRank
Encapsulates directive for ranking trade stats relative to one another.
- TradeStatsComparer
Implements a simple TradeStats comparer that uses trade count and P&L to determine if TradeStats are equal.
- TransactionCostModel
Abstract base class for all transaction cost models.
- VariableDictionary
A dictionary of variables accessible by key or index.
Structs
- CorrelationCoefficient
Encapsulates a correlation coefficient and related t-stat.
- Periodicity
A structure that encapsulates periodicity information.
- RegressionCoefficient
A structure that encapusulates a regression coefficient and its standard error.
- TPO
A structure that holds a market profile price/count observation.
Interfaces
- IInstrument
Defines the minimum requirements to specify an Instrument.
- IOrder
Defines the contract orders must implement.
- IPortfolioHolding
The minimum information necessary to define a holding.
- IPosition
Defines the contract a position must implement.
- IReportWriter
Defines an interface for use with reporting destinations (e.g. Excel)
- ISeries
Defines common methods and properties that all time series must implement.
- IStrategy
Defines the contract a strategy must implement.
- ITrade
Interface used to provide polymorphism between Order and Trade objects primarily for transaction cost modeling.
Enums
- BarUnit
The bar unit of measure.
- ComparisonOperator
Comparison choices.
- CompressionOperator
Controls how compressed TimeSeries values are calculated.
- DrawdownCollection.DrawdownSort
Specifies how drawdowns are to be sorted.
- IndeterminateOrderHandling
Controls how an indeterminate price sequence for liquidating orders on the same bar are handled.
- IndexKind
Type of indexing for ISeries
- InstrumentType
Instrument type
- LimitMoveOption
Determines how the strategy engine processes limit moves.
- MarketOrderFillPrice
Controls the simulation price for market orders
- MathematicalOperation
Mathematical operations
- MultiplierSizeCalculation
Controls how quantity for multiplier orders is calculated.
- OptionSide
Option type
- OrderSide
Order side
- OrderStatus
Order status
- PersistenceFormat
The file format used to save to disk.
- PositionSide
Position side
- RollTrigger
Continuous contract roll methodologies
- SeverityLevel
Severity level of messages.
- SignalType
The type of signal.
- SimulationMode
Simulation mode
- SimulationStatus
Simulation status
- SimulationTime
Simulation time. Control what part of the bar the simulation engine sees.
- SortDirection
Sort direction
- SyncOption
Synchronization options for missing dates.
- TickRounding
Controls rounding of stop and limit order prices.
- TimeInForce
Order time in force.