Weighteds

Holds an array of DataSeries objects holding historical bar weighted prices. A DataSeries object is added to this array when calling the Add() method in a Custom Strategy. Its purpose is to provide access to the weighted prices of all Bars objects in a multi-instrument or multi-time frame strategy.

protected override void Initialize()
{
// Adds a 5 minute Bars object to the strategy and is automatically assigned
// a Bars object index of 1 since the primary data the strategy is run against
// set by the UI takes the index of 0.
Add(Instrument, PeriodType.Minute, 5);
}

protected override void OnBarUpdate()
{
// Compares the primary bar's weighted price to the 5-minute bar's weighted price
if (Weighteds[0][0] > Weighteds[1][0])
Print("The current bar's weighted price is greater");
}