Convert to Different Timeframes

Compression

The Balsam.Compression namespace contains classes designed to compress or convert data to different timeframes and even different bar types. The BarSeries class itself exposes the following convenience methods which call common compression routines using their default values:

• ToIntraday() converts intraday data to higher timeframes. For example, to convert one minute bars to hourly, call ToIntraday(60).
• ToDaily() converts intraday data to daily bars ending at a specified time of day.
• ToWeekly() converts daily data to weekly assuming a Friday week end.
• ToMonthly() converts data to monthly bars.

For more fine-grained control, call the Compress() method and pass in a compressor object. In the EventStudy example, we forced the weekly bars to use a Friday date even when Friday was a holiday by setting the UseFixedDates property of the WeeklyCompression object to true.

.Compress(new WeeklyCompression() { UseFixedDates = true });

Custom compression algorithms can be created by implementing ICompressionProvider or by inheriting from the abstract base class CompressionProvider and implementing the abstract OnCompress method.

Conversion

Other classes within this namespace transform data in other ways that can be helpful. For example, SessionCompression can be used to extract the day session from 24 hour trading by passing in the start and end times for regular trading hours. A new BarSeries will be returned containing only bars within the specified time range which could then be compressed further to create daily bars if desired.

BinaryBarServer server = new BinaryBarServer(@"c:\data\intraday");
var data = server.LoadSymbol("@ES");
//assuming regular trading hours from 8:30AM CT to 3:15PM CT.
var rth = data.Compress(new SessionCompression(new TimeSpan(8, 30, 0), new TimeSpan(15, 15, 0)));
var daily = rth.ToDaily(new TimeSpan(15, 15, 0));