Discrepancy between ConvertDateToBar behavior of Bars and DataSeries?

Author: mkbryan

Creation Date: 4/8/2015 10:52 PM

Wealth Lab » WealthScript (.NET) » Discrepancy between ConvertDateToBar behavior of Bars and DataSeries?

mkbryan

4/8/2015 10:52 PM

After looking through the Forum and the wiki, there doesn't appear anything like this issue. See the source code below.

Here's the recipe for the runtime error (null reference):
1) Switch between running with only line #37 or line #38 compiled.
2) With only line #37 compiled (and line #38 commented out), the runtime error occurs
3) With only line #38 compiled (and line #37 commented out), there is no runtime error.

There is an unexpected difference between the Bars.ConvertDateToBar and the DataSeries.ConvertDateToBar methods.

While I'll be using the QuickRef documented Bars method to move forward, can anyone explain the different behaviors?

CODE:
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After looking through the Forum and the wiki, there doesn't appear anything like this issue. See the source code below.

Here's the recipe for the runtime error (null reference):
1) Switch between running with only line #37 or line #38 compiled.
2) With only line #37 compiled (and line #38 commented out), the runtime error occurs
3) With only line #38 compiled (and line #37 commented out), there is no runtime error.

There is an unexpected difference between the Bars.ConvertDateToBar and the DataSeries.ConvertDateToBar methods.

While I'll be using the QuickRef documented Bars method to move forward, can anyone explain the different behaviors?

[code]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using System.Reflection;
using System.IO;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
   class TOSData : DataSeries
   {
      // the current bar is the WealthScript array index for the strategy for loop, which processes each bar
      private static DateTime cd;   // the current bar timestamp in the strategy for loop
      public void SetCurrentTime(DateTime dt)   // need only be called once inside strategy loop
      {
         cd = dt;
      }
      // constructor from source DataSeries with same length as source
      // base class constructor returns series of zeros and there is no copy constructor
      // so, we need to copy the source data into this data
      public TOSData(DataSeries source) : base(source, "TOSData " + source.Description) 
      {
         for (int i = 0; i < source.Count; i++)
         {
            ((DataSeries)this)[i] = source[i];   // copy the source data to this data
         }
      }
      // implicit conversion operator for the value of the current bar
      public static implicit operator double(TOSData td)
      {
         Bars ba = td.FindParentBars();
         
         MyStrategy.CurrentStrategy.PrintDebug("td null? " + (td == null));   // always prints False
         
         int bar = td.ConvertDateToBar(cd, false);        // runtime error "Object reference not set to an instance of an object"
         //int bar = ba.ConvertDateToBar(cd, false);      // works as expected
         
         return ((DataSeries)td)[bar];
      }
   }

public class MyStrategy : WealthScript
   {
      // the current WealthScript strategy for debug infracture
      private static MyStrategy cs;
      public static MyStrategy CurrentStrategy { get { return cs; } }

protected override void Execute()
      {
         // setup debug infrastructure
         ClearDebug();
         cs = this;
               
         TOSData high = new TOSData(High);               // for thinkscript indexing
         
         // go through every bar on the chart
         for (int bar = 0; bar < Bars.Count; bar++)
         {
            high.SetCurrentTime(Bars.Date[bar]);      // save the current Date to get timestamp of the current bar
            
            double pval = high;                           // TOSData implicit conversion operator to double
            AnnotateBar(pval.ToString(),bar,true,Color.DarkBlue);         // write high price above bar
         } 
         PlotSeries(PricePane, high, Color.DarkGreen, WealthLab.LineStyle.Dots, 8);      // this works
      } 
   }   
}[/code]

Eugene

4/9/2015 6:10 AM

Imagine that, I seem to not have had any necessity to use DataSeries.ConvertDateToBar before (vs. Bars). It works if creating a DataSeries the conventional way, though:

CODE:
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mkbryan

4/9/2015 5:31 PM

Thanks for checking that out, Eugene.

The odd behavior comes from the TOSData object call to ConvertDateToBar and TOSData is derived from DataSeries. ConvertDateToBar is not defined in TOSData and is not virtual AFIK so the DataSeries method should be called. What is the source line that declares the DataSeries ConvertDateToBar method?

The null reference issue may be more of a .NET or C# runtime issue, but it is real and should probably be viewed as a "Beware of Pitfall" sign to other WealthScript developers.

In any case, there are ways to avoid this. Namely using the Bars method or the DateTimeToBar method of WealthScript.

For now, I'll put this one in the "Newbie stumbling" category. :-)

Eugene

4/10/2015 2:51 AM

Marc,

Out of curioisity, what objective are you trying to reach with that design pattern?

mkbryan

4/10/2015 5:15 PM

I'm setting up an infrastructure to port thinkscript code that has already been validated. There are some particularly long sections of thinkscript code, and the port would be error prone. The error risk is due to thinkscript data access, which is relative to the current bar. For example, in thinkscript, open[1] refers to the prior bars open price. Because of the length of code I'm porting, the goal is change as little of the thinkscript as possible to get the same results running in WealthLab. The TOSData indexer (which was left of out the example code) and operator double provider the relative bar data access into a DataSeries.

Also, the thinkscript is used on multiple timeframes, but manually, i.e. the human looks at multiple charts, which are each in different timeframes. So the ConvertDateToBar will facilitate the multi-timeframe analysis within WealthLab. My evaluation of WealthLab is based on (among other things) making the multi-timeframe analysis part of a Strategy. WLP seems to offer the means to this end. The proof in the pudding.

BTW, since the example code, I'm using the very handy GOP for the DateTime and Bars objects.