Class TimeSeries<T>

Class to encapsulate time-series data. The class is designed to receive its data from an asynchronous task.

Inheritance

object

TimeSeries<T>

TimeSeriesAsset

TimeSeriesFloat

Inherited Members

object.Equals(object)

object.Equals(object, object)

object.GetHashCode()

object.GetType()

object.MemberwiseClone()

object.ReferenceEquals(object, object)

object.ToString()

Namespace: TuringTrader.SimulatorV2

Assembly: TuringTrader.Simulator.dll

Syntax

public class TimeSeries<T>

Type Parameters

Name	Description
T

Constructors

TimeSeries(Algorithm, string, List<BarType<T>>)

Create new time series.

Declaration

public TimeSeries(Algorithm owner, string name, List<BarType<T>> data)

Parameters

Type	Name	Description
Algorithm	owner	parent/ owning algorithm
string	name	time series name
List<BarType<T>>	data	time series data

TimeSeries(Algorithm, string, Task<List<BarType<T>>>)

Create new time series.

Declaration

public TimeSeries(Algorithm owner, string name, Task<List<BarType<T>>> retrieve)

Parameters

Type	Name	Description
Algorithm	owner	parent/ owning algorithm
string	name	time series name
Task<List<BarType<T>>>	retrieve	data retrieval task

TimeSeries(Algorithm, string, Task<object>, Func<object, List<BarType<T>>>)

Create new time series. The retrieval function is untyped, requiring an additional extraction function to unpack the data.

Declaration

public TimeSeries(Algorithm owner, string name, Task<object> retrieve, Func<object, List<BarType<T>>> extract)

Parameters

Type	Name	Description
Algorithm	owner	parent algorithm
string	name	time series name
Task<object>	retrieve	data retrieval task
Func<object, List<BarType<T>>>	extract	data extraction function, typically a cast and member access

Fields

Name

Name of the time series. For assets, this is the nickname used to initially load the data. For indicators, this name is typically derived from any input series, the indicator's name, and its parameters.

Declaration

public readonly string Name

Field Value

Type	Description
string

Owner

Algorithm instance owning this time series. This is the algorithm instance that holds this time series in its cache. Note that for child algorithms, this is not the same instance that generated the data.

Declaration

public readonly Algorithm Owner

Field Value

Type	Description
Algorithm

Time

Time series indexer to return timestamp at offset. Same as Date property.

Declaration

public TimeSeries<T>.TimeIndexer<T> Time

Field Value

Type	Description
TimeSeries<T>.TimeIndexer<T>

_retrieveUntyped

Task to retrieve time series' data. Note that these data are untyped, and that an extract function is required to wait for the result, and unpack them.

Declaration

protected readonly Task<object> _retrieveUntyped

Field Value

Type	Description
Task<object>

Properties

Data

The time series data. Note that accessing this field will wait for the retrieval task to finish and then extract the data.

Declaration

public List<BarType<T>> Data { get; }

Property Value

Type	Description
List<BarType<T>>

Date

Time series indexer to return timestamp at offset. Same as Time property.

Declaration

public TimeSeries<T>.TimeIndexer<T> Date { get; }

Property Value

Type	Description
TimeSeries<T>.TimeIndexer<T>

this[DateTime]

Indexer to return time series value at a specific date.

Declaration

public T this[DateTime date] { get; }

Parameters

Type	Name	Description
DateTime	date

Property Value

Type	Description
T	value at date

this[int]

Indexer to return time series value at offset.

Declaration

public T this[int offset] { get; }

Parameters

Type	Name	Description
int	offset	number of bars to offset, positive indices are in the past

Property Value

Type	Description
T	value at offset

Methods

Take(int)

Retrieve last n values.

Declaration

public List<T> Take(int n)

Parameters

Type	Name	Description
int	n

Returns

Type	Description
List<T>	List of values