Question on how to use Custom Resolutions correctly?

jarym · Postby **jarym** » 13 Jan 2024

I am exploring the Custom Resolution mechanism and as a test I set myself the goal of creating the equivalent of a 5000 tick chart but that breaks every 4 hours (similar to 'Break on Session' but breaking bars every 4 hours instead of at the session).

I started with the 'Bar formation' sample and made some small adjustments - I'm using the 'Quantity' field here to refer to number of ticks to process before completing bar (set at 5000 in my settings). First problem is I can't tell if its working and the 2nd problem is my strategy which works fine on a regular 5000 tick bar suddenly rarely starts taking trades.

Is this the right way to code what I'm trying to do?

Code: Select all

#region Properties
private int _ticks_per_bar = DefaultSettings.Quantity;
private int _current_tick_count = 0;
private Int64 _last_tick_time = 0;
private OHLC m_OHLC = new OHLC();
#endregion

public void Init(IBaseOptions baseOptions, IParams customParams)
{
    object obj = null;

    customParams.GetValue((int)EFields.QuantityField, out obj);
    if (obj != null)
    {
        _ticks_per_bar = (int)obj;
    }

    Trace.TraceInformation(string.Format("Init {0}: Quantity={1}", ToString(), _ticks_per_bar));
}

public void OnData(ICustomBar Bar, Int64 time_in_ticks, Int32 tickId, double open, double high, double low, double close, long volumeAdded, long upVolumeAdded, long downVolumeAdded, ECustomBarTrendType trend, bool isBarClose)
{
    if ( _last_tick_time == 0 ) _last_tick_time = time_in_ticks;

    _current_tick_count++;
    bool tickThreshold = _current_tick_count >= _ticks_per_bar;
    bool timeThreshold = IsCrossingBoundary(_last_tick_time, time_in_ticks);
    if(tickThreshold || timeThreshold)
    {
        Bar.CloseBar();
        _current_tick_count = 0;
        m_OHLC.Clear();
    }

    m_OHLC.Update(open, high, low, close, volumeAdded, upVolumeAdded, downVolumeAdded, time_in_ticks, tickId);
    Bar.UpdateBar(m_OHLC.Time_in_ticks, m_OHLC.TickId, m_OHLC.Open, m_OHLC.High, m_OHLC.Low, m_OHLC.Close, m_OHLC.BarVolume, m_OHLC.BarUpVolume, m_OHLC.BarDownVolume, m_OHLC.Trend, true, true);

    _last_tick_time = time_in_ticks;
}

public void Reset()
{
    _current_tick_count = 0;
    _last_tick_time = 0;
    m_OHLC.Clear();
}
#endregion

	
public static bool IsCrossingBoundary(Int64 lastTickTime, Int64 currentTickTime)
{
    // Convert ticks to DateTime
    DateTime lastTime = new DateTime(lastTickTime);
    DateTime currentTime = new DateTime(currentTickTime);

    // Calculate the next boundary time from current time
    DateTime nextBoundary = GetNextBoundary(currentTime);

    // Check if crossing the boundary
    return currentTime >= nextBoundary && lastTime < nextBoundary;
}

private static DateTime GetNextBoundary(DateTime time)
{
    // Define the boundary hours
    int[] boundaryHours = new int[] { 4, 8, 12, 16, 20, 24 };
	
    // Find the next boundary hour
    foreach (int hour in boundaryHours)
    {
        DateTime boundaryTime = DateTime.Today.AddHours(hour);
	if (time < boundaryTime)
	{
            return boundaryTime;
        }
    }

    // If no boundary is found for today, return the first boundary of the next day
    return DateTime.Today.AddDays(1).AddHours(boundaryHours[0]);
}