Hi,

I would like to create bins of average traded volume over a dataset.
I started with the following code, which should save average Value numbers for each symbol to a Dictionary.

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Then the values and keys in the dictionary need to be sorted and tiled in x parts, where x shoule be 3 in my case. So I get a list of symbols for high volume, mid volume and low volume.
Later, I want to size the positions accoarding to this list.

However, I seem to run into problems with datasets where the DateTimes of bar numbers is different.
Is there a chance to get help with this one?

What kind of problems?

The index was outside the region. It must be non negative and smaller than the list.

I guess this has to do with

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Because this will try to call the function with a BarNumber for Symbol 1 that is not available in symbol2.
I guess I must synchronize the dataset. so that each bar in symbol 1 is the same bar and date as in the other symbols.

This Wiki article lists 3 typical causes of the "Index out of range" error, and your understanding is correct -- the method can be made accessing the data at an invalid bar number (Bars.Count), i.e. the one that doesn't exist for the symbol with a shorter history. Yes, you need to make sure that the symbol's data are synchronized.

I want to sort the dictionary by values for creating lists of volume bins later on. However, I dont understand the google examples I found on sorting dictionaries. Is there a better way to do this? How can I sort the dictionary?

Try this: How do you sort a C# dictionary by value? The first example uses .NET 2.0.

Thank you, I think this shoudl work now:

CODE:
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Follow up question:
Like I said above, I´d like to size my positions accoarding to the volume bins created above,
so that the mid volume bin gets 100% size, bin1 150% and bin3 only 50%.
I wonder what would be the best method to do this?
I think about storng teh factor in a TAG and have a PosSizer that extends standard PosSizers with TAG modified position size.
Would you suggest another or more simple way?

Sounds like your approach can work out.

As to the more simple solution, there's the Priority Adjustment PosSizer. If you don't mind the loss of the Max Risk and Fixed Dollar options (i.e. being able to size using percentages of equity), then storing the volume bins in the Priority property and defining only three groups (50, 100, 150) with the appropriate % equity should suffice for a quick & dirty workaround w/o having to code.

Thank you for your reply Eugene.
At first I thought that this would really be a good & simple solution. However, I need to use priority in my script for determining which positions to take if there is not enough cash available for all trades. So this solution does not work for my intention.
Any other solutions come to mind?

In this case, the Position.Tag property + PosSizer seems like the way to go.

Okay, then I´ll do it that way.
One more question though.
I run the script on a whole dataset, but I need only create the bins once. It is important to run this procedure on the symbol that was in the dataset the whole time, so that I dont mess up synchronization.
Do you think it is the best way to have a symbol selected in the beginning and run the bin creation once on that symbol and have the strategy itself executed in another part of the script?

QUOTE:
In this case, the Position.Tag property + PosSizer seems like the way to go.

So, if I need a percent of equity position size and nothing else...I "only" need to change this PosSizer from getting info from .Tag instead of .priority?

QUOTE:
[QUOTE]In this case, the Position.Tag property + PosSizer seems like the way to go.

So, if I need a percent of equity position size and nothing else...I "only" need to change this PosSizer from getting info from .Tag instead of .priority?[/QUOTE]
Yes, and you'd need to cast the value to double since .Tag holds objects.

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How do I store a Tag for a BuyAtLimit Signal??

For example:

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Ahhh. Sounds quite logical ;-)

Update: Fixed a typo in PosSizer code above.

I will set a factor direclty in the Position.Tag, so that anything can be controlled directly from within the stratey script. However, size results to 0 here. Can you see any mistake?

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On the surface, the logic sounds like it should work. Maybe the factor is too small to drive size to 0? Try setting a breakpoint on "return size" in the debugger and you will find out the culprit.

hmm.

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This gives me an InvalidCastException.
This is the code that sets the Tags:

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I dont see why I cannot cast them to double!?

Using converting instead of casting should fix it:

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Do I understand correct that

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gives me the number of shares for the position?
I modified the Random.PosSizer demo. So selecting 5.000 per Position should not result in a size of 28669 when the stock trades at 17.5.

Edit: found the mistake. 5.000 is not equal to 5000,00 ;-).

QUOTE:
gives me the number of shares for the position?

Exactly right.

It seems to work now. Just one more thing I need to implement:
I´d like to limit the value of a position to 1% of the avg. turnover of the last month.
How can I get access to Volume and Close series in PosSizer?

Each Position object in a PosSizer (Visualizer, Strategy...), including currentPos, has the Bars property. Derive the Volume and Close series from the p.Bars obect.

Every time you answer I get angry about myself...not doing the obvious.