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Ensure bar size != 1day works #22

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ogallagher opened this issue Aug 27, 2021 · 1 comment
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Ensure bar size != 1day works #22

ogallagher opened this issue Aug 27, 2021 · 1 comment

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@ogallagher
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I’ve only tested with 1-day trade bars for market samples so far, but want to support other bar sizes.
@ogallagher
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As of now I fixed marketsense.persistent.TradeBar.convertTimeSeries to handle datetimes in addition to dates, but the issue becomes making sure that the sample has enough bars to have at least 1 within the sample and 1 future to guess at. This has always been a minor problem with daily bars, but is now much worse and can cause an IndexOutOfBoundsException for hourly bars, as the number of closed market hours between, for example, Friday and Monday is so many.

@ogallagher ogallagher mentioned this issue Aug 31, 2021
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@ogallagher