Last(0) and MarketSeries.Close.Count - 1 index gving different values

lec0456
02 Apr 2018, 00:54

Hi, This is a simple but important issue, can I please get a response from spotware?

PanagiotisCharalampous
02 Apr 2018, 12:11

Hi lec0456,

Can you share your indicator and an example that will allow us to reproduce the issue, so that we can investigate further?

Best Regards,

Panagiotis

lec0456
02 Apr 2018, 17:56

The indicator is here:

/algos/indicators/show/399

Here is some code:

using System;
using cAlgo.API;
using cAlgo.API.Indicators;
using cAlgo.Indicators;

namespace cAlgo.Robots
{
    [Robot]
    public class NewRobot : Robot
    { 
        Dividers div;
        protected override void OnStart()
        {
            div = Indicators.GetIndicator<Dividers>(false, false, false);
        }
        protected override void OnBar()
        {
        Print("Div:"+div.Dayend[MarketSeries.Close.Count - 1]+" "+div.Dayend.Last(0)+" "+div.Dayend.LastValue);
        }
    }
}

PanagiotisCharalampous
03 Apr 2018, 15:06

Hi lec0456,

Dayend IndicatorDataSeries and Robots MarketSeries have different lengths. When you call

 div.Dayend[MarketSeries.Close.Count - 1]

you are requesting data out of the bound of Dayend series and that is why you receive NaN value. If you change it to 

div.Dayend[div.Dayend.Count - 1]

it should work same as Last(0) and LastValue.

Best Regards,

Panagiotis

lec0456
03 Apr 2018, 18:19

ok, but the problem is then that the index of the indicator does not match up with the index of the robot.

Dayend should return a non nan value on the first bar of a new day within a cbot.  If the onBar is triggering in sync with the MarketSeries index and the indicator is using a different index the values will not matchup.  That is why if I use div.Dayend.Last(0) it will not give me the corresponding value for the specific time of day that the cBot is at.

if (!double.IsNaN(div.Dayend[MarketSeries.Close.Count - 1]))
{
    Print("****" + EESTDate(MarketSeries.OpenTime.Last(0)).Date + "*****" + EESTDate(MarketSeries.OpenTime.Last(0)).DayOfWeek.ToString());
}

The above code works fine. But if I change it to div.Dayend.Last(0) it does not work.

PanagiotisCharalampous
04 Apr 2018, 10:20

Hi lec0456,

Ok I think I understand your point. Maybe you could tweak a bit the indicator and replace the NaN values with 0 so that it behaves as you expected. See below

        public override void Calculate(int index)
        {
            if (index - 1 < 0)
                return;

            DateTime CurrentDate = MarketSeries.OpenTime[index].AddHours(2);
            DateTime PreviousDate = MarketSeries.OpenTime[index - 1].AddHours(2);
            int DateDifference = (int)(CurrentDate.Date - PreviousDate.Date).TotalDays;

            //**Dayend
            if (CurrentDate.DayOfWeek != PreviousDate.DayOfWeek && PreviousDate.DayOfWeek != DayOfWeek.Sunday)
            {
                if (!HideDayLabels)
                    ChartObjects.DrawText("DayLabel" + index, " " + Convert.ToString(CurrentDate.DayOfWeek), index, MarketSeries.Low.Minimum(PeriodsPerDay), VerticalAlignment.Bottom, HorizontalAlignment.Right);
                if (!HideDayDividers)
                    ChartObjects.DrawVerticalLine("Dayend" + index, index, Colors.Orange, 1, LineStyle.DotsRare);
                Dayend[index] = MarketSeries.Median[index];
                //Print(CurrentDate.Date+" "+DateDifference);
            }
            else
            {
                Dayend[index] = 0;
            }

            //** Weekend

            //if(DateDifference>1)
            if (CurrentDate.DayOfWeek < PreviousDate.DayOfWeek || DateDifference > 6)
            {
                if (!HideWeekDividers)
                    ChartObjects.DrawVerticalLine("Weekend" + index, index, Colors.Red, 1, LineStyle.DotsRare);
                Weekend[index] = MarketSeries.Median[index];
                //Print(CurrentDate.Date+" "+DateDifference);
            }
        }

With the above change, NaN values will be replaced with zeros and will not be skipped by last value functions.

Let me know if this works for you.

Best Regards,

Panagiotis

lec0456
04 Apr 2018, 11:09

Well, problem is that that indicator is an Overlay, so If I put zeros in it, it will mess up the display.

I can survive by using the MarketSeries index. I was just trying to clean up some of my code with the newer API.

But at least I confirmed the behavior. And  that it is by design, I suggest placing a note in the API documentation so that developers know how to work with it. Or including the nan values in the series. 

It is confusing because lastvalue works fine with all the market series stuff and most indicators are based off of them. But some cases, where nan values are possible, it could take a while before figuring out the indexes are off.