Post contains problem, can anyone assist?

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I've tried to use the code in this post, and it works fine, but when converting from a minute timeframe to an hourly timeframe from 8am-8pm it does not include the last hour 7-8pm, it only includes it on the very last bar, not the dates prior to that. Each hourly bar before that only goes from 8AM to 6PM. I should see 8AM to 7PM for each date.

Converter to convert OHLC data to a larger timeframe[^]

The code from the Author post:

C#

// bars to convert should be order by date time
static public Collection<Bar> to_larger_timeframe(IEnumerable<Bar> bars_to_convert, TimeSpan time)
{
    var bars_converted = new Collection<Bar>();
    long current_tick_interval = -1;
    DateTime boundary_adjusted_time = default(DateTime);
    double current_bar_open = default(double);
    double current_bar_high = default(double);
    double current_bar_low = default(double);
    double current_bar_close = default(double);

    if (bars_to_convert.Count() == 0)
        return bars_converted;

    foreach (var bar in bars_to_convert)
    {
        var this_tick_interval = bar.Time.Ticks / time.Ticks;
        if (this_tick_interval != current_tick_interval)
        {
            if (current_tick_interval != -1)
            {

                bars_converted.Add(new Bar( Time: boundary_adjusted_time, 
                    Open: current_bar_open, 
                    High: current_bar_high, 
                    Low: current_bar_low, 
                    Close: current_bar_close));
            }
            current_tick_interval = this_tick_interval;
            boundary_adjusted_time = new DateTime(current_tick_interval * time.Ticks);
            current_bar_open = bar.Open;
            current_bar_high = bar.High;
            current_bar_low = bar.Low;
            current_bar_close = bar.Close;
        }
        else
        {
            current_bar_high = bar.High > current_bar_high ? bar.High : current_bar_high;
            current_bar_low = bar.Low < current_bar_low ? bar.Low : current_bar_low;
            current_bar_close = bar.Close;
        }
    }
    // Add the final bar
    bars_converted.Add(new Bar(boundary_adjusted_time, current_bar_open, current_bar_high, current_bar_low, current_bar_close));
    return bars_converted;
}

here is the output:

4/20/2016 10:00:00 AM 15.17 15.94 15.16 15.57
4/20/2016 11:00:00 AM 15.56 15.7 14.93 15.21
4/20/2016 12:00:00 PM 15.22 15.25 15 15.11
4/20/2016 1:00:00 PM 15.12 15.28 15.02 15.21
4/20/2016 2:00:00 PM 15.22 15.22 14.9 15.09
4/20/2016 3:00:00 PM 15.09 15.88 15.01 15.75
4/20/2016 4:00:00 PM 15.75 15.99 15.74 15.85
4/20/2016 5:00:00 PM 15.85 15.9 15.83 15.89
4/20/2016 6:00:00 PM 15.9 15.9 15.85 15.89
4/21/2016 8:00:00 AM 16.12 16.13 15.78 16
4/21/2016 9:00:00 AM 16 16.41 15.83 16.36
4/21/2016 10:00:00 AM 16.36 16.59 15.85 16.03
4/21/2016 11:00:00 AM 16.02 16.5 15.94 16.49
4/21/2016 12:00:00 PM 16.49 16.73 16.22 16.31
4/21/2016 1:00:00 PM 16.32 16.65 16.23 16.42
4/21/2016 2:00:00 PM 16.41 16.84 16.28 16.43
4/21/2016 3:00:00 PM 16.43 16.68 16.3 16.35
4/21/2016 4:00:00 PM 16.32 16.81 16.25 16.59
4/21/2016 5:00:00 PM 16.59 16.75 16.56 16.75
4/21/2016 6:00:00 PM 16.73 16.79 16.72 16.76
4/22/2016 8:00:00 AM 16.28 16.49 16.16 16.41
4/22/2016 9:00:00 AM 16.43 16.59 15.95 15.97
4/22/2016 10:00:00 AM 15.97 16.78 15.88 16.63
4/22/2016 11:00:00 AM 16.63 16.72 16.04 16.05
4/22/2016 12:00:00 PM 16.05 16.56 16.02 16.44
4/22/2016 1:00:00 PM 16.44 16.45 15.9 16.02
4/22/2016 2:00:00 PM 16.02 16.06 15.57 15.62
4/22/2016 3:00:00 PM 15.61 15.8 15.39 15.48
4/22/2016 4:00:00 PM 15.51 15.56 15.36 15.46
4/22/2016 5:00:00 PM 15.48 15.5 15.44 15.46
4/22/2016 6:00:00 PM 15.45 15.5 15.45 15.47
4/25/2016 8:00:00 AM 15.78 15.99 15.71 15.88
4/25/2016 9:00:00 AM 15.87 16.2 15.75 16.1
4/25/2016 10:00:00 AM 16.1 16.42 15.94 16.29
4/25/2016 11:00:00 AM 16.3 16.6 16.12 16.6
4/25/2016 12:00:00 PM 16.6 16.6 16.05 16.12
4/25/2016 1:00:00 PM 16.12 16.23 16 16.04
4/25/2016 2:00:00 PM 16.04 16.38 15.9 16.19
4/25/2016 4:00:00 PM 15.87 16.46 15.54 15.59
4/25/2016 5:00:00 PM 15.6 15.61 15.57 15.58
4/25/2016 6:00:00 PM 15.58 15.6 15.54 15.59
4/26/2016 8:00:00 AM 15.38 15.51 15.33 15.46
4/26/2016 9:00:00 AM 15.47 15.72 15.26 15.27
4/26/2016 10:00:00 AM 15.27 15.66 15.22 15.63
4/26/2016 11:00:00 AM 15.63 15.69 15.15 15.24
4/26/2016 12:00:00 PM 15.24 15.33 15.04 15.25
4/26/2016 1:00:00 PM 15.25 15.35 15.14 15.22
4/26/2016 2:00:00 PM 15.21 15.3 15 15.23
4/26/2016 3:00:00 PM 15.22 15.43 15.14 15.21
4/26/2016 4:00:00 PM 15.21 15.34 14.87 15.34
4/26/2016 5:00:00 PM 15.35 15.45 15.31 15.43
4/26/2016 6:00:00 PM 15.44 15.45 15.39 15.4
4/26/2016 7:00:00 PM 15.4 15.42 15.35 15.4

What I have tried:

I can see that I am adding data correctly to bars_to_convert, but in bars_converted it is leaving out 7PM from each date except the last. I've been trying to fix for hours and I'm stumped. I can see the 7pm-7:59pm in the class ConvertOpenHighLowCloseData, by getting bar.Time, but its not adding it to bars_converted. If anyone could please help me I would appreciate

Posted 26-Apr-16 16:33pm

scotty356

Updated 26-Apr-16 17:17pm

Patrice T

v4

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Comments

Sergey Alexandrovich Kryukov 26-Apr-16 22:46pm

Will you better talk to the author of that post?
—SA

scotty356 26-Apr-16 22:58pm

I've used codeproject for years but have never posted anything. How do I do contact them. It looks like its from 2012 so not sure if the author is still around. Hoping someone that knows their stuff might notice the issue right away.

Sergey Alexandrovich Kryukov 26-Apr-16 23:13pm

If you comment on any post, or add a message in "Discussions" section, the author of that post gets a notification. As I can see, you already done that.

If the author doesn't support the code, you should better address to us with your ultimate goals and problems, not related to a particular article.

—SA

scotty356 26-Apr-16 23:59pm

I'm basically trying to group together stock prices by hour instead of every minute. lets say I have 30 days worth of data, for each day the data that I have is for every minute between 8am and 7:59pm. I have datetime,double open, double high, double low, double close in a collection. Instead of having 720 items for each day, I want to cut that down to 12, one for each hour in another collection. Each of those 12 from that day should contain the Open price from the first minute open in that hour, the close price from the last minute close in that hour, the highest high found throughout that hour, the lowest low from that hour. The code in the post works fine except that last 12th hour never shows up until day 30. Any suggestions or a way to do it differently that you can think of? Thanks so much

Richard MacCutchan 27-Apr-16 3:06am

Make sure the close time is one minute past 7, or fix the code that does the compares. Unfortunately you did not indicate where that test is.

scotty356 27-Apr-16 19:29pm

I tried to add additional bars and it still isn't working for whatever reason. I'd like to fix the code however I am not good @ coding.
These lines that are commented out, is it the same as what i rewrote it to? I'm guessing it was some type of inline if statement. which i don't understand why they would set current_bar_high to current_bar_high if its false.
//current_bar_high = bar.High > current_bar_high ? bar.High : current_bar_high;
//current_bar_low = bar.Low < current_bar_low ? bar.Low : current_bar_low;
if (bar.High > current_bar_high)
{
current_bar_high = bar.High;
}
if (bar.Low > current_bar_low)
{
current_bar_low = bar.Low;
}

I'm attempting to rewrite/modify the code. I don't really understand the code in the class, not sure how it knows how to split the time between each hour.
i know im passing in a timespan, so i think its using that span of time and the Ticks to determine where to start the hour and where to stop. Maybe it would be best to try and start with a datetime.hour and if next value is in the same hour go from there instead of these tick things that I don't understand.

scotty356 28-Apr-16 2:25am

I still am struggling to figure this out. I've attempted to write it in a different way. still not getting correct result: here is the code:

using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using System.Collections.ObjectModel;

namespace ConvertOpenHighLowCloseDataLibrary
{
static public class ConvertTimeframe
{
// bars to convert should be order by date time
static public Collection<bar> toLargerTimeframe(IEnumerable<bar> barsToConvert, TimeSpan time)
{
var convertedBarsCollection = new Collection<bar>();

DateTime StartTime = default(DateTime);
double previousBarOpen = default(double);
double previousBarHigh = default(double);
double previousBarLow = default(double);
double previousBarClose = default(double);

if (barsToConvert.Count() == 0)
return convertedBarsCollection;
int iCount = 0;

foreach (var bar in barsToConvert)
{
if (iCount == 0)
{
previousBarOpen = bar.Open;

StartTime = bar.Time;
previousBarOpen = bar.Open;
previousBarHigh = bar.High;
previousBarLow = bar.Low;
iCount++;
continue;
}
if (bar.Time >= StartTime && bar.Time < StartTime.AddTicks(time.Ticks)) {
if (bar.High > previousBarHigh)
{
previousBarHigh = bar.High;
}
if (bar.Low < previousBarLow)
{
previousBarLow = bar.Low;
}
previousBarClose = bar.Close;

}
else
{
if (bar.Time.Date != StartTime.Date)
{
previousBarOpen = bar.Open;
StartTime = bar.Time;
previousBarOpen = bar.Open;
previousBarHigh = bar.High;
previousBarLow = bar.Low;
}
else
{
convertedBarsCollection.Add(new Bar(Time: StartTime, Open: previousBarOpen, High: previousBarHigh, Low: previousBarLow, Close: previousBarClose));
previousBarOpen = bar.Open;
StartTime = bar.Time;
previousBarOpen = bar.Open;
previousBarHigh = bar.High;
previousBarLow = bar.Low;
}

}

iCount++;

}
convertedBarsCollection.Add(new Bar(Time: StartTime, Open: previousBarOpen, High: previousBarHigh, Low: previousBarLow, Close: previousBarClose));

return convertedBarsCollection;
}
}
}

Any help is greatly appreciated. Do you know of anyone that might be able to help fix this?

Richard MacCutchan 28-Apr-16 3:43am

It looks like the author of this code has not been active on the site for some years, so your chances of getting help are not very high. If you do not understand the code then it is even less likely that you can give a reasonable explanation of what is going wrong. I can only suggest you step through the code with your debugger to try and identify where the problem lies.

scotty356 28-Apr-16 18:07pm

Thx. Do you know of another site that can help me with this? Even if have to pay an expert to fix it in 5min. I'm just not good enough to figure it outand its really trying my patience It's been a couple days and I'm stuck on this banging my head against the wall. I've stepped through it so many times its not funny, still cant find out what is going on.

Richard MacCutchan 29-Apr-16 3:51am

Sorry, no. You could try responding to other people who have posted messages on the article forum to see if anyone there can help you.

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