Conversion of NinjaTrader Data Series Class by Dan Hill

Dan Hill INVESTOR

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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

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Dan Hill

Accepted Answer

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Mikhail Socrates

2.3k ,

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

529 ,

I will try that. Thanks

Dan Hill

529 ,

Would that same method work for the following:

myTime = new DataSeries(this);

myTime[0] = ToJulianDate(Time[0]);

Mikhail Socrates

2.3k ,

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

529 ,

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 INVESTOR

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