asset.Monthly().Open and asset.Monthly().Close does not work the way you would think

[mathewsk]

I found something strange in the TuringTrader.org. I am using the latest version,
I am not sure if this is a bug in the API or a problem with my understanding.
Whenever you have some time, if you would please let me know your thoughts, I would appreciate it!

var asset = Asset(ETF.SPY);

On SimDate of Jan 31, 2020, if I do
asset.Monthly().Open[0] I get 309.3909221661874
asset.Monthly().Close[0] I get 304.40472412109375
I thought that using asset.Monthly().Open[0], I would get the opening price of the month January, 2020 (306.1172745036964) instead of 309.3909221661874

If I print the daily Open and Close each of the month of Jan, 2020 I get this

1-2-2020 daily open=306.1172745036964 daily close=307.3756408691406
1-3-2020 daily open=303.8654391035394 daily close=305.0481262207031
1-6-2020 daily open=303.2316099598491 daily close=306.2120056152344
1-7-2020 daily open=305.625314816108 daily close=305.3509521484375
1-8-2020 daily open=305.5496066207918 daily close=306.9783020019531
1-9-2020 daily open=308.59624078058306 daily close=309.0598449707031
1-10-2020 daily open=309.6653735147707 daily close=308.1704406738281
1-13-2020 daily open=308.81386449573563 daily close=310.28985595703125
1-14-2020 daily open=309.8357155822098 daily close=309.8168029785156
1-15-2020 daily open=309.7220834882384 daily close=310.516845703125
1-16-2020 daily open=311.9456106028352 daily close=313.09991455078125
1-17-2020 daily open=313.83783393783926 daily close=314.0743713378906
1-21-2020 daily open=313.080927001925 daily close=313.4593811035156
1-22-2020 daily open=314.3488436155879 daily close=313.497314453125
1-23-2020 daily open=312.8254812932716 daily close=313.8567810058594
1-24-2020 daily open=314.5380256021345 daily close=311.0656433105469
1-27-2020 daily open=305.6347152551311 daily close=306.07940673828125
1-28-2020 daily open=307.5554559419741 daily close=309.28692626953125
1-29-2020 daily open=310.6966045755457 daily close=309.0313720703125
1-30-2020 daily open=306.8931082857648 daily close=310.0343322753906
1-31-2020 daily open=309.3909221661874 daily close=304.40472412109375

[fbertram]

TimeSeriesAsset.Monthly() indeed simply returns the last OHLCV bar of the month - which is not what most users would want or expect. This is a known issue and mentioned here:

TuringTrader/TuringTrader.Simulator/Simulator/v2/Indicators/Resampling.cs

Line 198 in 0a7dc60

// BUGBUG: this returns the last OHLCV bar of each weekly period

For the time being, users can work around the issue like this using TimeSeriesFloat.Monthly():

       SimLoop(() =>
        {
            var daily = Asset(ETF.SPY);

#if false
// this doesn't work as expected
var monthly = daily.Monthly();

            Output.WriteLine("{0:MM/dd/yyyy}: daily: o={1:C2}, c={2:C2}, monthly: o={3:C2}, c={4:C2}",
                SimDate, daily.Open[0], daily.Close[0], monthly.Open[0], monthly.Close[0]);

#else
// this is a suitable workaround
var monthlyOpen = daily.Open.Monthly(1);
var monthlyClose = daily.Close.Monthly(0);

            Output.WriteLine("{0:MM/dd/yyyy}: daily: o={1:C2}, c={2:C2}, monthly: o={3:C2}, c={4:C2}",
                SimDate, daily.Open[0], daily.Close[0], monthlyOpen[0], monthlyClose[0]);

#endif
});
}