| Backtester

Sync data

Sometimes it's helpful to align dates across series, particularly when working outside of the context of the backtester which manages different periodicities and missing dates with its built-in concurrency management. To force dates to match another series, use the .Sync() method. A simple example with some dummy data will hopefully make this clear. Note how the dummy TimeSeries each have three observations but the dates only overlap on two of them.

var a = new TimeSeries()
{
    { new DateTime(2024, 1, 1), 1},
    { new DateTime(2024, 1, 2), 2},
    { new DateTime(2024, 1, 4), 4 }
};
a.Name = "TimeSeries A";

var b = new TimeSeries()
{
    { new DateTime(2024, 1, 1), 10},
    { new DateTime(2024, 1, 3), 30},
    { new DateTime(2024, 1, 4), 40 }
};
b.Name = "TimeSeries B";

a.Print();
b.Print();

var synced = a.Sync(b);
synced.Name = "A synced to B";
synced.Print();

synced = b.Sync(a);
synced.Name = "B synced to A";
synced.Print();

In the output below, notice how syncing uses dates from the series we passed into the Sync method while preserving the values of the original series on which Sync was called. If a date is missing from the original series, the previous value is carried forward by default.

TimeSeries A
Count: 3 MaxBarsBack: 0
1/1/2024 to 1/4/2024
  0 1/1/2024 1
  1 1/2/2024 2
  2 1/4/2024 4
_______________________
TimeSeries B
Count: 3 MaxBarsBack: 0
1/1/2024 to 1/4/2024
  0 1/1/2024 10
  1 1/3/2024 30
  2 1/4/2024 40
_______________________
A synced to B
Count: 3 MaxBarsBack: 0
1/1/2024 to 1/4/2024
  0 1/1/2024 1
  1 1/3/2024 2
  2 1/4/2024 4
B synced to A
_______________________
Count: 3 MaxBarsBack: 0
1/1/2024 to 1/4/2024
  0 1/1/2024 10
  1 1/2/2024 10
  2 1/4/2024 40

If we call Sync using the SyncOption overload, we can change the default behavior to fill in missing dates with NaN or the default value of the underlying data type.

synced = a.Sync(b, SyncOption.NaN);
synced.Name = "A synced to B with SyncOption.NaN";
synced.Print();

synced = b.Sync(a, SyncOption.ZeroOrDefault);
synced.Name = "B synced to A with SyncOption.ZeroOrDefault";
synced.Print();

A synced to B with SyncOption.NaN
Count: 3 MaxBarsBack: 0
1/1/2024 to 1/4/2024
   0 1/1/2024 1
   1 1/3/2024 NaN
   2 1/4/2024 4
___________________________________________
B synced to A with SyncOption.ZeroOrDefault
Count: 3 MaxBarsBack: 0
1/1/2024 to 1/4/2024
   0 1/1/2024 10
   1 1/2/2024 0
   2 1/4/2024 40

Table of Contents

Sync data