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Constructing Data Series
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Author:  harsh [ Mon Oct 21, 2019 5:52 pm ]
Post subject:  Constructing Data Series

Hi Team,

Is there any simpler way to construct data series fro historical Bar data? What I can think of now is to subscribe for data using SubscriptionManager/IQFeed/BarFactory and keep adding the data to the list on Bar event.

Also, we need to create data series for a large number of instruments and wide date-range. It could easily become several GBs of data. Do you think framework data storage can handle this amount of data efficiently?

Thanks,

Author:  skuvv [ Fri Oct 25, 2019 10:00 am ]
Post subject:  Re: Constructing Data Series

I'm not sure I understand your problem.
DataManager.GetHistoricalBars() returns completed BarSeries.
From other hand, adding new bars to BarSeries is quite simple and looks like barSeries.Add(bar).

Author:  harsh [ Fri Oct 25, 2019 5:29 pm ]
Post subject:  Re: Constructing Data Series

I meant storing bars into framework's storage when I mentioned 'construct data series'.

Also, we need to create data series for a large number of instruments and wide date-range. It could easily become several GBs of data. Do you think framework data storage can handle this amount of data efficiently?

Author:  skuvv [ Mon Oct 28, 2019 11:14 am ]
Post subject:  Re: Constructing Data Series

harsh wrote:
I meant storing bars into framework's storage when I mentioned 'construct data series'.

For saving bars you can use this method DataManager.Save(bar)

harsh wrote:
Is there any simpler way to construct data series fro historical Bar data?

Can you show your code? Maybe I can advise something.

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