I am working on a multi-instrument strategy, which I'd like to back-test over several years of daily bars. Not all instruments will be available throughout the full back-testing period, and I need to be able to figure out which instruments are available at any given point in time.
The information is available; when I run my strategy in the debugger I see exactly what I am looking for under 'BarsArray[...]' labelled as 'firstTime' and 'lastTime'. Unfortunately, I can't figure out where MSVC got this information from, as fields with these names don't seem to exist. I have attached a screenshot.
The time of the last bar is available as 'BarsArray[...].BarsSeries.LastBarTime', but there does not seem to be an equivalent for the first bar time.
Please note that the information I am looking for is not equivalent to 'BarsArray[…].FromDate' and 'BarsArray[…].ToDate'; those only hold the date range of the strategy analyzer but not the subset thereof I am looking for.
Any pointers on this are highly appreciated!
Thank you,
best regards
Felix
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