private void UpdatePriceLevel(CandlePriceLevel level, ICandleBuilderSourceValue value)
{
if (level == null)
{
throw new ArgumentNullException(nameof(level));
}
//var side = value.OrderDirection;
//if (side == null)
// throw new ArgumentException(nameof(value));
level.TotalVolume += value.Volume;
if (value.OrderDirection == Sides.Buy)
{
level.BuyVolume += value.Volume;
level.BuyCount++;
((List <decimal>)level.BuyVolumes).Add(value.Volume);
}
else if (value.OrderDirection == Sides.Sell)
{
level.SellVolume += value.Volume;
level.SellCount++;
((List <decimal>)level.SellVolumes).Add(value.Volume);
}
}
private CandlePriceLevel GetPriceLevel(decimal price)
{
return(_volumeProfileInfo.SafeAdd(price, key =>
{
var level = new CandlePriceLevel
{
Price = key,
BuyVolumes = new List <decimal>(),
SellVolumes = new List <decimal>()
};
((IList <CandlePriceLevel>)PriceLevels).Add(level);
return level;
}));
}
/// <summary>
/// To update the profile with new value.
/// </summary>
/// <param name="priceLevel">Value.</param>
public void Update(CandlePriceLevel priceLevel)
{
var level = GetPriceLevel(priceLevel.Price);
level.BuyVolume += priceLevel.BuyVolume;
level.BuyCount += priceLevel.BuyCount;
level.SellVolume += priceLevel.SellVolume;
level.SellCount += priceLevel.SellCount;
if (priceLevel.BuyVolumes != null)
{
((List <decimal>)level.BuyVolumes).AddRange(priceLevel.BuyVolumes);
}
if (priceLevel.SellVolumes != null)
{
((List <decimal>)level.SellVolumes).AddRange(priceLevel.SellVolumes);
}
}
public override TCandleMessage MoveNext(MarketDataEnumerator enumerator)
{
var reader = enumerator.Reader;
var metaInfo = enumerator.MetaInfo;
var candle = new TCandleMessage
{
SecurityId = SecurityId,
TotalVolume = reader.ReadVolume(metaInfo),
RelativeVolume = metaInfo.Version < MarketDataVersions.Version52 || !reader.Read() ? (decimal?)null : reader.ReadVolume(metaInfo),
Arg = Arg
};
var prevTime = metaInfo.FirstTime;
var allowNonOrdered = metaInfo.Version >= MarketDataVersions.Version49;
var isUtc = metaInfo.Version >= MarketDataVersions.Version50;
var timeZone = metaInfo.GetTimeZone(isUtc, SecurityId, ExchangeInfoProvider);
var allowDiffOffsets = metaInfo.Version >= MarketDataVersions.Version53;
var useLevels = metaInfo.Version >= MarketDataVersions.Version54;
var isTickPrecision = metaInfo.Version >= MarketDataVersions.Version57;
var useLong = metaInfo.Version >= MarketDataVersions.Version58;
var buildFrom = metaInfo.Version >= MarketDataVersions.Version59;
var seqNum = metaInfo.Version >= MarketDataVersions.Version60;
if (metaInfo.Version < MarketDataVersions.Version56)
{
var prevPrice = metaInfo.FirstPrice;
candle.LowPrice = reader.ReadPrice(ref prevPrice, metaInfo);
metaInfo.FirstPrice = prevPrice;
prevPrice = metaInfo.FirstPrice;
candle.OpenPrice = reader.ReadPrice(ref prevPrice, metaInfo);
prevPrice = metaInfo.FirstPrice;
candle.ClosePrice = reader.ReadPrice(ref prevPrice, metaInfo);
prevPrice = metaInfo.FirstPrice;
candle.HighPrice = reader.ReadPrice(ref prevPrice, metaInfo);
}
else
{
candle.LowPrice = reader.ReadPriceEx(metaInfo, useLong);
if (reader.Read())
{
candle.OpenPrice = reader.ReadPriceEx(metaInfo, useLong);
candle.ClosePrice = reader.ReadPriceEx(metaInfo, useLong);
}
else
{
candle.ClosePrice = reader.ReadPriceEx(metaInfo, useLong);
candle.OpenPrice = reader.ReadPriceEx(metaInfo, useLong);
}
candle.HighPrice = reader.ReadPriceEx(metaInfo, useLong);
}
var lastOffset = metaInfo.FirstServerOffset;
candle.OpenTime = reader.ReadTime(ref prevTime, allowNonOrdered, isUtc, timeZone, allowDiffOffsets, isTickPrecision, ref lastOffset);
metaInfo.FirstServerOffset = lastOffset;
if (metaInfo.Version >= MarketDataVersions.Version46)
{
if (reader.Read())
{
var isOrdered = reader.Read();
var first = reader.ReadTime(ref prevTime, allowNonOrdered, isUtc, timeZone, allowDiffOffsets, isTickPrecision, ref lastOffset);
var second = reader.ReadTime(ref prevTime, allowNonOrdered, isUtc, timeZone, allowDiffOffsets, isTickPrecision, ref lastOffset);
candle.HighTime = isOrdered ? first : second;
candle.LowTime = isOrdered ? second : first;
}
else
{
if (reader.Read())
{
candle.HighTime = reader.ReadTime(ref prevTime, allowNonOrdered, isUtc, timeZone, allowDiffOffsets, isTickPrecision, ref lastOffset);
}
if (reader.Read())
{
candle.LowTime = reader.ReadTime(ref prevTime, allowNonOrdered, isUtc, timeZone, allowDiffOffsets, isTickPrecision, ref lastOffset);
}
}
}
if (metaInfo.Version >= MarketDataVersions.Version47)
{
if (reader.Read())
{
candle.CloseTime = reader.ReadTime(ref prevTime, allowNonOrdered, isUtc, timeZone, allowDiffOffsets, isTickPrecision, ref lastOffset);
}
}
else
{
candle.CloseTime = reader.ReadTime(ref prevTime, allowNonOrdered, isUtc, metaInfo.LocalOffset, allowDiffOffsets, false, ref lastOffset);
}
if (metaInfo.Version >= MarketDataVersions.Version46)
{
if (metaInfo.Version < MarketDataVersions.Version51)
{
candle.OpenVolume = reader.ReadVolume(metaInfo);
candle.HighVolume = reader.ReadVolume(metaInfo);
candle.LowVolume = reader.ReadVolume(metaInfo);
candle.CloseVolume = reader.ReadVolume(metaInfo);
}
else
{
candle.OpenVolume = reader.Read() ? reader.ReadVolume(metaInfo) : (decimal?)null;
candle.HighVolume = reader.Read() ? reader.ReadVolume(metaInfo) : (decimal?)null;
candle.LowVolume = reader.Read() ? reader.ReadVolume(metaInfo) : (decimal?)null;
candle.CloseVolume = reader.Read() ? reader.ReadVolume(metaInfo) : (decimal?)null;
}
}
candle.State = (CandleStates)reader.ReadInt();
metaInfo.FirstTime = metaInfo.Version <= MarketDataVersions.Version40 ? candle.OpenTime.LocalDateTime : prevTime;
if (metaInfo.Version >= MarketDataVersions.Version45)
{
if (metaInfo.Version < MarketDataVersions.Version48 || reader.Read())
{
candle.OpenInterest = reader.ReadVolume(metaInfo);
}
}
if (metaInfo.Version >= MarketDataVersions.Version52)
{
candle.DownTicks = reader.Read() ? reader.ReadInt() : (int?)null;
candle.UpTicks = reader.Read() ? reader.ReadInt() : (int?)null;
candle.TotalTicks = reader.Read() ? reader.ReadInt() : (int?)null;
}
if (!useLevels)
{
return(candle);
}
if (reader.Read())
{
var priceLevels = new CandlePriceLevel[reader.ReadInt()];
for (var i = 0; i < priceLevels.Length; i++)
{
var prevPrice = metaInfo.FirstPrice;
var priceLevel = new CandlePriceLevel
{
Price = metaInfo.Version < MarketDataVersions.Version56
? reader.ReadPrice(ref prevPrice, metaInfo)
: reader.ReadPriceEx(metaInfo),
BuyCount = reader.ReadInt(),
SellCount = reader.ReadInt(),
BuyVolume = reader.ReadVolume(metaInfo),
SellVolume = reader.ReadVolume(metaInfo)
};
if (metaInfo.Version >= MarketDataVersions.Version55)
{
priceLevel.TotalVolume = reader.ReadVolume(metaInfo);
}
if (reader.Read())
{
var volumes = new decimal[reader.ReadInt()];
for (var j = 0; j < volumes.Length; j++)
{
volumes[j] = reader.ReadVolume(metaInfo);
}
priceLevel.BuyVolumes = volumes;
}
if (reader.Read())
{
var volumes = new decimal[reader.ReadInt()];
for (var j = 0; j < volumes.Length; j++)
{
volumes[j] = reader.ReadVolume(metaInfo);
}
priceLevel.SellVolumes = volumes;
}
priceLevels[i] = priceLevel;
}
candle.PriceLevels = priceLevels;
}
if (!buildFrom)
{
return(candle);
}
candle.BuildFrom = reader.ReadBuildFrom();
if (!seqNum)
{
return(candle);
}
reader.ReadSeqNum(candle, metaInfo);
return(candle);
}
private void UpdatePriceLevel(CandlePriceLevel level, ICandleBuilderSourceValue value)
{
if (level == null)
throw new ArgumentNullException(nameof(level));
var side = value.OrderDirection;
if (side == null)
throw new ArgumentException(nameof(value));
if (side == Sides.Buy)
{
level.BuyVolume += value.Volume;
level.BuyCount++;
((List<decimal>)level.BuyVolumes).Add(value.Volume);
}
else
{
level.SellVolume += value.Volume;
level.SellCount++;
((List<decimal>)level.SellVolumes).Add(value.Volume);
}
}
private CandlePriceLevel GetPriceLevel(decimal price)
{
return _volumeProfileInfo.SafeAdd(price, key =>
{
var level = new CandlePriceLevel
{
Price = key,
BuyVolumes = new List<decimal>(),
SellVolumes = new List<decimal>()
};
((IList<CandlePriceLevel>)PriceLevels).Add(level);
return level;
});
}
/// <summary>
/// To update the profile with new value.
/// </summary>
/// <param name="priceLevel">Value.</param>
public void Update(CandlePriceLevel priceLevel)
{
var level = GetPriceLevel(priceLevel.Price);
level.BuyVolume += priceLevel.BuyVolume;
level.BuyCount += priceLevel.BuyCount;
level.SellVolume += priceLevel.SellVolume;
level.SellCount += priceLevel.SellCount;
if (priceLevel.BuyVolumes != null)
((List<decimal>)level.BuyVolumes).AddRange(priceLevel.BuyVolumes);
if (priceLevel.SellVolumes != null)
((List<decimal>)level.SellVolumes).AddRange(priceLevel.SellVolumes);
}
/// <summary>
/// Parses string representation of candle price level into object.
/// </summary>
/// <param name="s">The string representation of candle price level attribute.</param>
/// <returns>The new candle price level attribute</returns>
public static ICandleSymbolAttribute Parse(string s)
{
return(CandlePriceLevel.Parse(s));
}
/// <summary>
/// Creates a new candle price level attribute with certain value
/// </summary>
/// <param name="priceLevel">The price level value</param>
/// <returns>The new price level attribute</returns>
public static ICandleSymbolAttribute NewPriceLevel(double priceLevel)
{
return(CandlePriceLevel.ValueOf(priceLevel));
}