So far, the series, , , , , , and any derivatives of theirs have referred to whatever dataset your strategy is configured to use.
A dataset is set of data bars for an instrument/period pair. For example, the dataset "Gold 1-hour" consists of 1-hour bars that describe Gold's price movements
For example, if you set your strategy's instrument to EUR/USD, and its trading frequency to 30 minutes, then the serieswill refer to the opening price of EUR/USD for some 30-minute period.
Classic ProQuant strategies can only use data from a single dataset.
QuantScript strategies, on the other hand, can access multiple datasets, and quite easily, too. The only restriction is that you cannot access a dataset if its period is smaller than the Trading Frequency of your strategy. For example, if your strategy is set to execute every hour - 1 hour Trading Frequency - your code cannot access datasets with periods less than 1 hour.
Let's see how you can access other datasets in QuantScript:
First, we have to mention dataset identifiers. A dataset identifier is used to specify which dataset we want to use. We write it like this: instrument:period, for example Gold:1h (Gold 1 hour), EURUSD:30m (EUR/USD 30 minutes), Tesla:1d (Tesla 1 day) etc.
Now, all you have to do is prepend a dataset identifier whenever you create a variable and that variable will be initialized using data from that specific dataset.
Let's see some examples:
Lastly, keep in mind that while you can combine values from different datasets, by, for example, adding them together, you cannot use time travel on a value which is based on multiple datasets. This would probably break the space-time continuum, so we've disallowed it.
Here's an example:
This pretty much covers the usage of multiple datasets in a single strategy.