Value Cannot be Null error when aggregating 1 minute Forexite dataset to 30 minutes

maximgl

#1

3/25/2018 5:52 PM

I am having some strange error with data. I have very basic strategy (added below) which I am trying to run on EURCAD data from Forexite provider. Whenever I run it on 1 minute intervals, it works fine. The moment I switch to 30 minute interval, I am getting following error:

Runtime error: Value cannot be null.
at WealthLabPro.ChartForm.a(Object A_0, LoadSymbolEventArgs A_1)
at WealthLabPro.MainModule.LoadExternalSymbol(String symbol, BarScale scale, Int32 barInterval, Boolean includePartialBar)
at WealtLab.DataProviders.Database.DBStatic.RequestData(DataSource ds, String symbol, DateTime startDate, DateTime endDate, Int32 maxBars, Boolean includePartialBar)
...

If I switch to Daily interval, system works again with no errors.
I also observe this problem on ASCII data which is explicitly generated on 30 minutes intervals. I do not experience it on Fidelity data.

What is causing this issue?

CODE:
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I am having some strange error with data. I have very basic strategy (added below) which I am trying to run on EURCAD data from Forexite provider. Whenever I run it on 1 minute intervals, it works fine. The moment I switch to 30 minute interval, I am getting following error:

Runtime error: Value cannot be null.
  at WealthLabPro.ChartForm.a(Object A_0, LoadSymbolEventArgs A_1)
  at WealthLabPro.MainModule.LoadExternalSymbol(String symbol, BarScale scale, Int32 barInterval, Boolean includePartialBar)
  at WealtLab.DataProviders.Database.DBStatic.RequestData(DataSource ds, String symbol, DateTime startDate, DateTime endDate, Int32 maxBars, Boolean includePartialBar)
...

If I switch to Daily interval, system works again with no errors. 
I also observe this problem on ASCII data which is explicitly generated on 30 minutes intervals. I do not experience it on Fidelity data.

What is causing this issue?

[code]using System;
using System.Drawing;
using WealthLab;
using WealthLab.Components.IgorChechet;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	internal class MyStrategy : WealthScript
	{
		private readonly StrategyParameter _emaMaxPeriod;

public MyStrategy()
		{
			_emaMaxPeriod = CreateParameter("EMA Max", 50, 10, 200, 1);
		}

protected override void Execute()
		{
			PlotStops();

int emaMaxPeriod = _emaMaxPeriod.ValueInt;
			DataSeries ma = EMA.Series(Bars.Close, emaMaxPeriod, EMACalculation.Modern);
			PlotSeries(PricePane, ma, Color.Red, LineStyle.Solid, 1);
			int firstValidValue = emaMaxPeriod * 3;

for (int bar = firstValidValue; bar < Bars.Count; bar++)
			{
				bool isTrendUp = Bars.Close[bar] > ma[bar];
				bool isTrendDown = Bars.Close[bar] < ma[bar];

if (!IsLastPositionActive)
				{
					if (isTrendUp) 
						BuyAtMarket(bar + 1, "Buy");
					else if (isTrendDown)
						ShortAtMarket(bar + 1, "Short");
				}
			}
		}
	}
}[/code]

maximgl

#2

3/25/2018 6:04 PM

I think it may have something to do with data opening times not matching US Stock market opening time, but I do not know how to adjust opening/closing times on a ticker/dataset level.

Eugene

#3

3/25/2018 6:42 PM

I think it may be due to Forexite provider having its SupportsDynamicUpdate property set to false.

If you have on demand update enabled, try to disable it and reopen the Strategy. Does it work now?

maximgl

#4

3/25/2018 9:25 PM

I did not have "Update Data On Demand" enabled. Since I can reproduce same error on ASCII files, I think that the problem might not be in Forexite provider.

I was able to produce another manifestation of this problem: I have a 30 minute ASCII file with some ticker (RTS Eu).

1. When I create a dataset specifying that it has 30 minutes interval and then try to run strategy on 30 minutes scale, I get that error).
2. When I load same file, specifying that it has 1 minute interval (even though it has data once every 30 minutes) and then try to run it over 1 minute scale, I do not get that error.

I think there might be some issue with the logic that goes around 30 minutes scaling, even when data itself has a resolution of 30 minutes.

Eugene

#5

3/26/2018 5:25 AM

I don't think it has relation to ASCII data. Two suggestions for troubleshooting:

1. If Benchmark Buy&Hold is activated, disable it and reopen your Strategy.
2. Uninstall the Database provider and restart WLP.