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In Ninjatrader, I can define a data series class:
Definition
An IntSeries is a special type of data structure that holds a series of int values and always contains the same number of elements as bars in a chart.
#region Variables
private IntSeries myIntSeries; // Define a IntSeries variable
#endregion
// Create a IntSeries object and assign it to the variable
protected override void Initialize()
{
myIntSeries = new IntSeries(this); // "this" refers to the indicator, or strategy
// itself. This syncs the IntSeries object
// to historical data bars
}
Is there a way that I should convert this type of class for my strategy to work in QuantConnect?
Thanks,
Dan
Hi Dan Hill, it looks like NinjaTrader's IntSeries is Lean/QuantConnect's RollingWindow, since it holds a series with a fixed number of elements of a given data type:
// RollingWindow of a TradeBar. RollingWindow<TradeBar> _window = new RollingWindow<TradeBar>(3600); // In OnData: // Inject data into the rolling window. _window.Add(data["SPY"]);Is that what you are looking for?
Dan Hill
I will try that. Thanks
Dan Hill
Would that same method work for the following:
myTime = new DataSeries(this);
myTime[0] = ToJulianDate(Time[0]);
I don't know NinjaTrader's API to answer that question.
If you could discribe what you want to do, the community could teach you the QuantConnect way.
Dan Hill
Thanks for the help. I am trying to save the time of each bar in another format. I was thinking that I needed to create a class for the timeseries where I could update the value of each 1 min bar as I convert it to Julian format. I do not quite have the syntax down correct in this example.
For example:
private RollingWindow<MyTimeState> mytime;
// class to hold the current state of a time instance
public class MyTimeState
{
public readonly DateTime Time0;
public MyTimeState()
{
Time0 = Time[0];
}
}
private void OnData(TradeBars Data)
{
MyTimeState.Add(Time[0]);
}
Dan Hill
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