Exception-Invalid-date-sequencing

2024-03-15T12:58:02Z - 2024-03-15T12:58:02Z ago

Hello everyone!
Would anyone know why I am getting this error in the Initialize below?

QUOTE:
System.InvalidOperationException
HResult=0x80131509
Message=Invalid date sequencing: 02/01/2023 17:00 to 02/01/2023 17:00
Source=WealthLab.Core
StackTrace:
at WealthLab.Core.TimeSeriesBase.DetermineScale()
at WealthLab.Core.TimeSeriesSynchronizer.Synchronize(TimeSeries source, TimeSeriesBase master, Nullable`1 preFillNans, MarketDetails market)
at Biblioteca.Magic.Initialize(BarHistory bars) at D:\csharp-projects\weatlh-lab-2024\Weatlh-lab-2024\Biblioteca\Strat.cs:linha 141
at WealthLab.Backtest.UserStrategyExecutor.CalculateAttr(List`1 symbols)

141 line:

CODE:
rsiClose20 = TimeSeriesSynchronizer.Synchronize(
        RSI.Series(higherScaleBarsCompressed.Close, 20),
        bars.Open
    );

CODE:
public override void Initialize(BarHistory bars)
{
    // Sync the indicators from other scales?
    //* Create temporary series, plot charts, access parameters, etc.
    averageScaleBars = BarHistorySynchronizer.Synchronize(
        BarHistoryCompressor.ToHour(bars, 1),
        bars.Open
    );
    if (Parameters[1].AsInt == 1)
    {
        PlotAverageBars();
    }
    //* 100-period EMA for M15
    trendEMA = EMA.Series(bars.Close, 100);
    PlotTimeSeriesLine(trendEMA, $"EMA(Close, {100})", "Price");
    //* Trading hours
    americanMarketHours = MarketHours.Series(
        bars.Close,
        MarketGroups.America_USD_CAD,
        1
    );
    europeanMarketHours = MarketHours.Series(
        bars.Close,
        MarketGroups.Europe_EUR_GBP_CHF,
        1
    );
    asianMarketHours = MarketHours.Series(
        bars.Close,
        MarketGroups.Asia_AUD_JPY_NZD,
        1
    );
    // Plot trading hours
    if (Parameters[0].AsInt == 1)
    {
        PlotMarketHours();
    }
    //* Plot MACD for M15
    macd = EMA.Series(bars.Close, 12) - EMA.Series(bars.Close, 26);
    macdSignalLine = EMA.Series(macd, 9);
    macdHistogram = macd - macdSignalLine;
    if (Parameters[4].AsInt == 1)
    {
        var shortPeriod = 12;
        var longPeriod = 26;
        var signalPeriod = 9;
        PlotMACD(bars, shortPeriod, longPeriod, signalPeriod);
    }
    //* RSI Close 20 on H4
    var higherScaleBarsCompressed = BarHistoryCompressor.ToHour(bars, 4);
    higherScaleBars = BarHistorySynchronizer.Synchronize(
        higherScaleBarsCompressed,
        bars.Open
    );
    // Between 45 and 55 is ranged. Higher than 55 is uptrend. Lower than 45 is downtrend.
    rsiClose20 = TimeSeriesSynchronizer.Synchronize(
        RSI.Series(higherScaleBarsCompressed.Close, 20),
        bars.Open
    );
    if (Parameters[5].AsInt == 1)
    {
        PlotTimeSeriesLine(rsiClose20, "RSI(Close, 20) H4", "RSI", WLColor.Blue);
    }
    //* TrendScore on H4
    // The trend is uptrend when the TrendScore is equal to 10. The trend is downtrend when the TrendScore is equal to -10.
    trendScore = TimeSeriesSynchronizer.Synchronize(
        TrendScore.Series(higherScaleBarsCompressed),
        bars.Open
    );
    if (Parameters[6].AsInt == 1)
    {
        PlotTimeSeriesLine(trendScore, "TrendScore H4", "TrendScore", WLColor.Blue);
    }
    //* Draw stop and target lines
    PlotStopsAndLimits(4);
}

431

Solved

9 Replies

Closed

Bookmark

Notify

Sort

Eugene8

2024-03-15T13:18:46Z - 2024-03-15T13:18:46Z ago

Probably because of somewhat defective intraday ASCII, see this:

Error Parsing ASCII Data: Invalid date sequencing

It's an open issue at the moment.

Eugene8

2024-03-15T13:33:46Z - 2024-03-15T13:33:46Z ago

QUOTE:
Message=Invalid date sequencing: 02/01/2023 17:00 to 02/01/2023 17:00

If the data is ASCII, you can open the file in a text editor and fix the bad data manually.

vcortescunha8

2024-03-15T15:31:59Z - 2024-03-15T15:31:59Z ago

Strange... the data seems okay to me.

*I emailed the csv file in question to support@wealth-lab.com.

CODE:
20230102,16:58:00,1.06559,1.06571,1.06553,1.06557,91.5199997723103
20230102,16:59:00,1.06558,1.06579,1.06544,1.06545,492.96999720484
20230102,17:00:00,1.06545,1.06579,1.06539,1.06574,285.049997650087
20230102,17:01:00,1.06574,1.0658,1.06574,1.06577,31.4899998158216
20230102,17:02:00,1.06577,1.06593,1.06577,1.06593,44.8699998557568
20230102,17:03:00,1.06594,1.06611,1.06593,1.06608,151.279999352992
20230102,17:04:00,1.06608,1.0661,1.06601,1.06608,90.0999992489815
20230102,17:05:00,1.06608,1.06618,1.06597,1.06609,234.559998825192
20230102,17:06:00,1.06614,1.06619,1.06586,1.06595,380.989998556674
20230102,17:07:00,1.06592,1.06608,1.0659,1.06596,184.499996967614
20230102,17:08:00,1.06595,1.06604,1.06582,1.06589,209.219998173416
20230102,17:09:00,1.06589,1.06605,1.06589,1.06605,39.6399999186397
20230102,17:10:00,1.06605,1.06612,1.06605,1.06605,24.2999999597669
20230102,17:11:00,1.06605,1.06605,1.06599,1.06599,19.119999602437
20230102,17:12:00,1.06599,1.06602,1.06585,1.06588,116.749999500811
20230102,17:13:00,1.06587,1.06591,1.06585,1.0659,56.7999994009733
20230102,17:14:00,1.06591,1.06594,1.06591,1.06594,23.7399995997548
20230102,17:15:00,1.06596,1.066,1.06583,1.06593,106.099999621511
20230102,17:16:00,1.06592,1.06595,1.0658,1.06591,85.0199988335371
20230102,17:17:00,1.0659,1.06591,1.06586,1.06589,12.4199999570847
20230102,17:18:00,1.06585,1.06588,1.06584,1.06584,15.3799998983741
20230102,17:19:00,1.06584,1.0659,1.06584,1.06586,12.5699999034405
20230102,17:20:00,1.06587,1.06592,1.06585,1.06587,23.7099997848272
20230102,17:21:00,1.06587,1.06611,1.06585,1.06599,92.3200005069375
20230102,17:22:00,1.06599,1.06605,1.06595,1.06595,221.759999394417
20230102,17:23:00,1.06594,1.06605,1.06591,1.06597,119.360000364482
20230102,17:24:00,1.066,1.06608,1.06595,1.06595,242.469998590648
20230102,17:25:00,1.06601,1.06601,1.06596,1.06596,62.3600003421307
20230102,17:26:00,1.06597,1.06604,1.06595,1.06598,80.4199999049306
20230102,17:27:00,1.06602,1.06603,1.06596,1.06597,39.5999997854233
20230102,17:28:00,1.06597,1.06602,1.06589,1.06595,140.399999022484
20230102,17:29:00,1.06603,1.06604,1.06589,1.06591,136.79999768734
20230102,17:30:00,1.06597,1.06601,1.06588,1.06599,224.179999351501
20230102,17:31:00,1.06595,1.06602,1.06586,1.06592,224.789997920394
20230102,17:32:00,1.06588,1.066,1.06588,1.06592,50.399999499321
20230102,17:33:00,1.06596,1.06596,1.06589,1.06594,59.8400003910065
20230102,17:34:00,1.06592,1.06597,1.06592,1.06596,39.6000001430511
20230102,17:35:00,1.06595,1.06596,1.06594,1.06594,27
20230102,17:36:00,1.06594,1.06595,1.06592,1.06594,31.5000003576279
20230102,17:37:00,1.06604,1.06607,1.0659,1.06597,90.3299992009997
20230102,17:38:00,1.06596,1.06609,1.06591,1.06599,32.8699997365475
20230102,17:39:00,1.06597,1.06598,1.06596,1.06597,5.5599998831749
20230102,17:40:00,1.06597,1.06604,1.06595,1.06601,28.1999998092651
20230102,17:41:00,1.06598,1.06605,1.06598,1.06603,52.9899994805455
20230102,17:42:00,1.06602,1.06603,1.066,1.06602,107.959999419749
20230102,17:43:00,1.06602,1.06602,1.066,1.066,53.1000003814697
20230102,17:44:00,1.06602,1.06602,1.06599,1.066,16.1999999284744
20230102,17:45:00,1.06601,1.06602,1.066,1.06601,24.3000000715256
20230102,17:46:00,1.06602,1.06602,1.06598,1.06601,24.4799997806549
20230102,17:47:00,1.066,1.06601,1.06595,1.06598,90.1000000238419
20230102,17:48:00,1.06598,1.06604,1.06594,1.06596,75.099999897182
20230102,17:49:00,1.06597,1.06601,1.06595,1.066,68.5199999734759
20230102,17:50:00,1.066,1.066,1.06596,1.06596,9
20230102,17:51:00,1.06595,1.06608,1.06593,1.06594,63.4599998891354
20230102,17:52:00,1.06594,1.06603,1.0659,1.06598,208.829999491572
20230102,17:53:00,1.06598,1.066,1.06596,1.06598,58.5
20230102,17:54:00,1.06597,1.06602,1.0659,1.06597,70.7599997445941
20230102,17:55:00,1.06596,1.06597,1.06595,1.06596,49.5
20230102,17:56:00,1.06597,1.06598,1.06586,1.06593,295.600000321865
20230102,17:57:00,1.06592,1.06594,1.06589,1.06589,126
20230102,17:58:00,1.0659,1.06601,1.06584,1.06598,184.759999386966
20230102,17:59:00,1.06598,1.06608,1.06587,1.06599,328.95999905467
20230102,18:00:00,1.06601,1.06604,1.06598,1.06602,379.34999986738
20230102,18:01:00,1.06601,1.06604,1.06599,1.06602,199.800000429153
20230102,18:02:00,1.06601,1.06601,1.06599,1.06601,13.9599999040365
20230102,18:03:00,1.066,1.066,1.06599,1.06599,5.1700000166893
20230102,18:04:00,1.06606,1.06606,1.066,1.06601,8.99999988079071
20230102,18:05:00,1.066,1.06605,1.06592,1.06594,51.0400002598763

Glitch8

( 9.28% )

2024-03-16T14:44:46Z - 2024-03-16T14:44:46Z ago

Can you post the COMPLETE Strategy? I can't get it working with only your Initialize method.

vcortescunha8

2024-03-16T18:13:19Z - 2024-03-16T18:13:19Z ago

Here is a code that is resulting in the same error. I am inspecting the variables at the moment and manually performing the calculation to understand what is wrong.

CODE:
using WealthLab.Backtest;
using WealthLab.Core;
using WealthLab.Indicators;

namespace Biblioteca
{
    internal class MultiScale : UserStrategyBase
    {
        TimeSeries rsiClose20;
        TimeSeries trendScore;

        public MultiScale() { }

        public override void Initialize(BarHistory bars)
        {
            var compClose_H4 = TimeSeriesCompressor.ToMinute(bars.Close, 45, bars.Market);
            var rsiClose20_H4 = RSI.Series(compClose_H4, 20);
            rsiClose20 = TimeSeriesSynchronizer.Synchronize(rsiClose20_H4, bars);
            PlotTimeSeriesLine(rsiClose20, "RSI(Close, 20) H4", "RSI", WLColor.Blue);
        }

        public override void PreExecute(DateTime dt, List<BarHistory> participants) { }

        public override void Execute(BarHistory bars, int idx) { }

        public override void PostExecute(DateTime dt, List<BarHistory> participants) { }

        public override void AssignAutoStopTargetPrices(
            Transaction t,
            double basisPrice,
            double executionPrice
        ) { }

        public override void Cleanup(BarHistory bars) { }

        public override void BacktestComplete() { }
    }
}

I believe it has something to do with Market:MarketDetails. Here is the start of the DateTimes vector after TimeSeriesCompressor.ToMinute. At a certain point, the date starts to repeat.

QUOTE:
"18/12/2023 00:45:00"
"18/12/2023 02:00:00"
"18/12/2023 03:30:00"
"18/12/2023 05:00:00"
"18/12/2023 06:30:00"
"18/12/2023 08:00:00"
"18/12/2023 09:30:00"
"18/12/2023 10:15:00"
"18/12/2023 11:00:00"
"18/12/2023 11:45:00"
"18/12/2023 12:30:00"
"18/12/2023 13:15:00"
"18/12/2023 14:00:00"
"18/12/2023 14:45:00"
"18/12/2023 15:30:00"
"18/12/2023 16:00:00"
"18/12/2023 16:00:00"
"18/12/2023 16:00:00"
"18/12/2023 16:00:00"
"18/12/2023 16:00:00"
"18/12/2023 16:00:00"
"18/12/2023 16:00:00"
"18/12/2023 16:00:00"
"18/12/2023 16:00:00"
"18/12/2023 16:00:00"
"18/12/2023 16:00:00"
"18/12/2023 16:00:00"
"18/12/2023 16:00:00"
"18/12/2023 16:00:00"
"18/12/2023 16:00:00"
"18/12/2023 16:00:00"
"18/12/2023 16:00:00"

Thats's the market :

QUOTE:
{*V2,Currencies,Eastern Standard Time,Sun+Weekdays,EURUSD,4,0,Forex,USD,09:30:00,16:00:00,Sun,17:15:00,23:59:59,Mon,00:00:00,23:59:00,Tue,00:00:00,23:59:00,Wed,00:00:00,23:59:00,Thu,00:00:00,23:59:00,Fri,00:00:00,17:00:00,,}

vcortescunha8

2024-03-16T18:45:05Z - 2024-03-16T18:45:05Z ago

And that's it... Problem solved. The market being used "Currencies" would have to be 00:00:00, 23:59:00 instead of 09:30:00, 16:00:00. I created a copy of the market and edited it. Everything's okay now ;]

Best Answer

Cone8

( 5.88% )

2024-03-17T09:01:56Z - 2024-03-17T09:01:56Z ago

This is something we can probably improve for the ASCII Provider -
Assign the Market to an ASCII DataSet in the ASCII Configuration.

Cone8

( 5.88% )

2024-03-18T18:42:57Z - 2024-03-18T18:42:57Z ago

And it's done for Build 87!

You can now assign a Market to your ASCII (and MetaStock) DataSets. It's one of the last steps in the setup Wizard.

For existing DataSets, right click, Configure..., and click Next until you get to this Wizard page that let's you assign the Market.

vcortescunha8

2024-03-20T13:11:32Z - 2024-03-20T13:11:32Z ago

Amazing! WL is truly a wonderful tool.

Closed

Bookmark

Notify

Sort