public static PriceSeries GetPriceDataByTimeFrame(List <Tick> ticks, int timeFrame, IDiscontinuousDateTimeCalendar calendar, out Tuple <DateTime, double> min, out Tuple <DateTime, double> max)
{
var priceSeries = new PriceSeries();
var dateTime = ticks[0].DateTime;
min = null;
max = null;
double open = 0;
double high = 0;
double low = 0;
double close = 0;
long volume = 0;
bool hasTicks = false;
for (int i = 0; i < ticks.Count; i++)
{
if (ticks[i].DateTime < dateTime + TimeSpan.FromMinutes(timeFrame))
{
if (!calendar.IsValueInGap(ticks[i].DateTime))
{
if (!hasTicks)
{
high = ticks[i].High;
low = ticks[i].Low;
open = ticks[i].Open;
hasTicks = true;
}
else
{
high = high < ticks[i].High ? ticks[i].High : high;
low = low > ticks[i].Low ? ticks[i].Low : low;
}
close = ticks[i].Close;
volume += ticks[i].Volume;
}
}
else
{
if (hasTicks)
{
var priceBar = new PriceBar
{
DateTime = dateTime, Open = open, High = high, Low = low, Close = close, Volume = volume
};
priceSeries.Add(priceBar);
if (priceSeries.Count == 1)
{
min = new Tuple <DateTime, double>(priceBar.DateTime, priceBar.Low);
max = new Tuple <DateTime, double>(priceBar.DateTime, priceBar.High);
}
else
{
if (priceBar.High > max.Item2)
{
max = new Tuple <DateTime, double>(priceBar.DateTime, priceBar.High);
}
if (priceBar.Low < min.Item2)
{
min = new Tuple <DateTime, double>(priceBar.DateTime, priceBar.Low);
}
}
hasTicks = false;
}
else
{
dateTime = dateTime + TimeSpan.FromMinutes(timeFrame);
}
}
}
return(priceSeries);
}
public static PriceSeries GetPriceDataByRange(List <Tick> ticks, double rangeCount, IDiscontinuousDateTimeCalendar calendar, double barTimeFrame, out Tuple <DateTime, double> min, out Tuple <DateTime, double> max)
{
var priceSeries = new PriceSeries();
var dateTime = new DateTime();
min = null;
max = null;
double open = 0;
double high = 0;
double low = 0;
double close = 0;
long volume = 0;
double range = 0;
bool hasTicks = false;
for (int i = 0; i < ticks.Count; i++)
{
if (Math.Abs(range) < rangeCount)
{
if (!calendar.IsValueInGap(ticks[i].DateTime))
{
if (!hasTicks)
{
high = ticks[i].High;
low = ticks[i].Low;
open = ticks[i].Open;
if (priceSeries.Count == 0)
{
dateTime = ticks[i].DateTime;
}
hasTicks = true;
}
else
{
high = high < ticks[i].High ? ticks[i].High : high;
low = low > ticks[i].Low ? ticks[i].Low : low;
}
volume += ticks[i].Volume;
range = high - low;
close = ticks[i].Close > open ? low + rangeCount : high - rangeCount;
}
}
else if (hasTicks)
{
if (range / rangeCount > 2)
{
for (int j = 0; j < range / rangeCount; j++)
{
var priceBar = new PriceBar
{
DateTime = calendar.GetValueByOffset(dateTime, priceSeries.Count * barTimeFrame),
Open = ticks[i].Close > open ? open + j * rangeCount : open - j * rangeCount,
High = ticks[i].Close > open ? open + j * rangeCount : open - j * rangeCount,
Low = ticks[i].Close > open ? open + j * rangeCount : open - (j + 1) * rangeCount,
Close = ticks[i].Close > open ? open + j * rangeCount : open - (j + 1) * rangeCount,
Volume = volume
};
priceSeries.Add(priceBar);
if (priceSeries.Count == 1)
{
min = new Tuple <DateTime, double>(priceBar.DateTime, priceBar.Low);
max = new Tuple <DateTime, double>(priceBar.DateTime, priceBar.High);
}
else
{
if (priceBar.High > max.Item2)
{
max = new Tuple <DateTime, double>(priceBar.DateTime, priceBar.High);
}
if (priceBar.Low < min.Item2)
{
min = new Tuple <DateTime, double>(priceBar.DateTime, priceBar.Low);
}
}
}
}
else
{
var priceBar = new PriceBar
{
DateTime = calendar.GetValueByOffset(dateTime, priceSeries.Count * barTimeFrame), Open = open, High = high, Low = low, Close = close, Volume = volume
};
priceSeries.Add(priceBar);
if (priceSeries.Count == 1)
{
min = new Tuple <DateTime, double>(priceBar.DateTime, priceBar.Low);
max = new Tuple <DateTime, double>(priceBar.DateTime, priceBar.High);
}
else
{
if (priceBar.High > max.Item2)
{
max = new Tuple <DateTime, double>(priceBar.DateTime, priceBar.High);
}
if (priceBar.Low < min.Item2)
{
min = new Tuple <DateTime, double>(priceBar.DateTime, priceBar.Low);
}
}
}
range = 0;
hasTicks = false;
}
}
return(priceSeries);
}