public void getBarData()
{
// series
Assert.AreEqual(bars, defaultSeries.GetBarData());
// Constrained series
Assert.AreEqual(bars.Count, constrainedSeries.GetBarData().Count);
Assert.AreEqual(bars[0], constrainedSeries.GetBarData()[0]);
// Empty series
Assert.AreEqual(0, emptySeries.GetBarData().Count);
}
public BaseTimeSeries(ITimeSeries defaultSeries, int seriesBeginIndex, int seriesEndIndex)
: this(defaultSeries.Name, defaultSeries.GetBarData().ToList(), seriesBeginIndex, seriesEndIndex, true)
{
if (defaultSeries.GetBarData() == null || defaultSeries.GetBarData().isEmpty())
{
throw new ArgumentException("Cannot create a constrained series from a time series with a null/empty list of bars");
}
if (defaultSeries.GetMaximumBarCount() != int.MaxValue)
{
throw new ArgumentException("Cannot create a constrained series from a time series for which a maximum bar count has been set");
}
}
/**
* Runs the provided strategy over the managed series (from startIndex to finishIndex).
* <p>
* @param strategy the trading strategy
* @param orderType the {@link OrderType} used to open the trades
* @param amount the amount used to open/close the trades
* @param startIndex the start index for the run (included)
* @param finishIndex the finish index for the run (included)
* @return the trading record coMing from the run
*/
public ITradingRecord Run(IStrategy strategy, OrderType orderType, decimal amount, int startIndex, int finishIndex)
{
int runBeginIndex = Math.Max(startIndex, _timeSeries.GetBeginIndex());
int runEndIndex = Math.Min(finishIndex, _timeSeries.GetEndIndex());
// log.trace("Running strategy (indexes: {} -> {}): {} (starting with {})", runBeginIndex, runEndIndex, strategy, orderType);
ITradingRecord tradingRecord = new BaseTradingRecord(orderType);
for (int i = runBeginIndex; i <= runEndIndex; i++)
{
// For each bar between both indexes[]
if (strategy.ShouldOperate(i, tradingRecord))
{
tradingRecord.Operate(i, _timeSeries.GetBar(i).ClosePrice, amount);
}
}
if (!tradingRecord.IsClosed())
{
// If the last trade is still opened, we search out of the run end index.
// May works if the end index for this run was inferior to the actual number of bars
int seriesMaxSize = Math.Max(_timeSeries.GetEndIndex() + 1, _timeSeries.GetBarData().Count);
for (int i = runEndIndex + 1; i < seriesMaxSize; i++)
{
// For each bar after the end index of this run[]
// --> Trying to close the last trade
if (strategy.ShouldOperate(i, tradingRecord))
{
tradingRecord.Operate(i, _timeSeries.GetBar(i).ClosePrice, amount);
break;
}
}
}
return(tradingRecord);
}
