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Bar-series-and-bars.md

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Bar Series and Bars

A BarSeries 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 Bar 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 BarSeries. Then the bar series is used for backtesting or live trading.

Since release 0.12 the BarSeries 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 BarSeries. That means it is possible to add the data of a bar directly to the BarSeries via #addBar(...) functions

Bar series for backtesting

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

BarSeries series = new BaseBarSeriesBuilder().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);
//...

You can also use a Builder for creating bars:

BaseBar bar = BaseBar.builder(DecimalNum::valueOf, Number.class)
                .timePeriod(Duration.ofDays(1))
                .endTime(endTime)
                .openPrice(openPrice)
                .highPrice(highPrice)
                .lowPrice(lowPrice)
                .closePrice(closePrice)
                .volume(volume)
                .build();

series.addBar(bar);

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

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

Bar series for live trading

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

BarSeries series = new BaseBarSeries("my_live_series");

Then for each 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 BarSeries#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 BarSeries#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 BarSeries#setMaximumBarCount(int) method on your series. It ensures that your memory consumption won't increase infinitely.

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