Time Series and Bars

A TimeSeries contains the aggregated data of a security/commodity into fixed intervals. Each interval ending is represented by a Bar.

A Bar contains aggregated data of a security/commodity during a time period. “Aggregated” means that the Tick object does not contain direct exchange data. It merges all the orders operated during the time period and extract:

• an open price
• a high price
• a low price
• a close price
• a volume

A Bar is the basic building block of a TimeSeries. Then the time series is used for backtesting or live trading.

Since release 0.12 the TimeSeries and Bars supports different data types for storing the data and calculating. Since release 0.12 the bar creation and management has moved to the TimeSeries. That means it is possible to add the data of a bar directly to the TimeSeries via #addBar(…) functions

Time series for backtesting

In order to backtest a strategy you need to fill a time series with past data. To do that you just have to create a TimeSeries and add data to it. The following example shows how to create a BaseTimeSeries with help of the SeriesBuilder and how to add data to the series:

TimeSeries series = new BaseTimeSeries.SeriesBuilder().withName("my_2017_series").build();

ZonedDateTime endTime = ZonedDateTime.now();
series.addBar(endTime, 105.42, 112.99, 104.01, 111.42, 1337);
series.addBar(endTime.plusDays(1), 111.43, 112.83, 107.77, 107.99, 1234);
series.addBar(endTime.plusDays(2), 107.90, 117.50, 107.90, 115.42, 4242);
    //...

Those examples show how to load time series in order to backtest strategies over them.

For this use case, the TimeSeries class provides helper methods to split the series into sub-series, run a trading strategy, etc.

Time series for live trading

Live trading involves building a time series for current prices. In this use case you just have to initialize your series.

TimeSeries series = new BaseTimeSeries("my_live_series");

Then for each tick/bar received from the broker/exchange you have to add it to your series:

series.addBar(ZonedDateTime.now(), 105.42, 112.99, 104.01, 111.42, 1337));

Or if you are receiving interperiodic prices and want to add it to the last bar:

series.addPrice(105.44); // will update the close price of the last bar (and min/max price if necessary)

The TimeSeries#addTrade(Number, Number) function allows you to update the last Bar of the series with price and volume data:

series.addTrade(price, volume);

You can use the TimeSeries#addBar(Bar, boolean) function, thats replaces the last Bar of the series if the boolean flag is true.

series.addBar(bar, true) // last bar will be replaced

In this mode, we strongly advise you to:

• initialize your series with the last data from the exchange (as it’s described above for backtesting). It ensures your trading strategy will get enough data to be relevant.
• call the TimeSeries#setMaximumTickCount(int) method on your series. It ensures that your memory consumption won’t increase infinitely.

Warning! Setting a maximum tick count to the series will turn it into a moving time series. In this mode trying to get a removed tick will return the first tick found (i.e. the oldest still in memory). It may involve approximations but only for old ticks.