Conversion of NinjaTrader Data Series Class

In Ninjatrader, I can define a data series class:

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


// 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?






Update Backtest

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.

Is that what you are looking for?


I will try that.  Thanks


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.


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)





Update Backtest


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