public static void MergeCandle(this CandleTableEntity entity, IFeedCandle candle, TimeInterval interval)
{
if (entity == null)
{
throw new ArgumentNullException(nameof(entity));
}
// 1. Check if candle with specified time already exist
// 2. If found - merge, else - add to list
//
var cell = candle.DateTime.GetIntervalCell(interval);
var tick = candle.DateTime.GetIntervalTick(interval);
var existingCandle = entity.Candles.FirstOrDefault(ci => ci.Tick == tick && ci.Cell == cell);
if (existingCandle != null)
{
// Merge in list
var mergedCandle = existingCandle
.ToCandle(entity.IsBuy, entity.DateTime, interval)
.MergeWith(candle);
entity.Candles.Remove(existingCandle);
entity.Candles.Add(mergedCandle.ToItem(interval));
}
else
{
// Add to list
entity.Candles.Add(candle.ToItem(interval));
}
}
public void MergeCandle(IFeedCandle candle, TimeInterval interval)
{
// 1. Check if candle with specified time already exist
// 2. If found - merge, else - add to list
//
//var cell = candle.DateTime.GetIntervalCell(interval);
var tick = candle.DateTime.GetIntervalTick(interval);
var existingCandle = Candles.FirstOrDefault(ci => ci.Tick == tick);
if (existingCandle != null)
{
// Merge in list
var mergedCandle = existingCandle
.ToCandle(PriceType == PriceType.Bid, DateTime, interval)
.MergeWith(candle);
Candles.Remove(existingCandle);
Candles.Add(mergedCandle.ToItem(interval));
}
else
{
// Add to list
Candles.Add(candle.ToItem(interval));
}
}
public static IFeedCandle MergeWith(this IFeedCandle target, IFeedCandle update)
{
if (target == null || update == null)
{
return(target ?? update);
}
if (target.IsBuy != update.IsBuy)
{
throw new InvalidOperationException(string.Format("Can't merge buy and sell candles. Source={0} Update={1}", target.ToJson(), update.ToJson()));
}
if (target.DateTime != update.DateTime)
{
throw new InvalidOperationException(string.Format("Can't merge candles with different DateTime property. Source={0} Update={1}", target.ToJson(), update.ToJson()));
}
return(new FeedCandle()
{
Open = update.Open,
Close = update.Close,
High = Math.Max(target.High, update.High),
Low = Math.Min(target.Low, update.Low),
IsBuy = target.IsBuy,
DateTime = target.DateTime
});
}
public void PriceValuesAreMerged()
{
DateTime dt = new DateTime(2017, 1, 1);
// Case 1: Update values are taken
//
var target = new FeedCandle()
{
Open = 2, Close = 3, High = 4, Low = 1, IsBuy = true, DateTime = dt
};
var update = new FeedCandle()
{
Open = 3, Close = 2, High = 5, Low = 0.1, IsBuy = true, DateTime = dt
};
IFeedCandle merged = target.MergeWith(update);
Assert.Equal(update.Open, merged.Open);
Assert.Equal(update.Close, merged.Close);
Assert.Equal(update.High, merged.High);
Assert.Equal(update.Low, merged.Low);
Assert.True(merged.IsBuy);
Assert.Equal(merged.DateTime, dt);
// Case 2: Target values are preserved
//
update = new FeedCandle()
{
Open = 3, Close = 2, High = 3, Low = 2, IsBuy = true, DateTime = dt
};
merged = target.MergeWith(update);
Assert.Equal(target.High, merged.High);
Assert.Equal(target.Low, merged.Low);
}
public static string PartitionKey(this IFeedCandle candle, PriceType priceType)
{
if (candle == null)
{
throw new ArgumentNullException(nameof(candle));
}
return(CandleTableEntity.GeneratePartitionKey(priceType));
}
public static string RowKey(this IFeedCandle candle, TimeInterval interval)
{
if (candle == null)
{
throw new ArgumentNullException(nameof(candle));
}
return(CandleTableEntity.GenerateRowKey(candle.DateTime, interval));
}
public static ApiAssetPairHistoryRateModel ToApiModel(string assetPairId, IFeedCandle buyCandle, IFeedCandle sellCandle)
{
return(new ApiAssetPairHistoryRateModel
{
Id = assetPairId,
Ask = sellCandle.Close,
Bid = buyCandle.Close
});
}
public static void MergeCandle(this CandleTableEntity entity, CandleItem candle, TimeInterval interval)
{
if (entity == null)
{
throw new ArgumentNullException(nameof(entity));
}
IFeedCandle fc = candle.ToCandle(entity.IsBuy, entity.DateTime, interval);
entity.MergeCandle(fc, interval);
}
public Task InsertOrMergeAsync(IFeedCandle candle, string asset, TimeInterval interval, PriceType priceType)
{
this.storage.Add(new StoreItem()
{
candle = candle,
asset = asset,
interval = interval,
priceType = priceType
});
return(Task.Delay(200));
}
public static CandleItem ToItem(this IFeedCandle candle, TimeInterval interval)
{
return(new CandleItem()
{
Open = candle.Open,
Close = candle.Close,
High = candle.High,
Low = candle.Low,
Tick = candle.DateTime.GetIntervalTick(interval)
});
}
public static ApiCandle ToApiCandle(this IFeedCandle candle)
{
return((candle != null) ? new ApiCandle
{
T = candle.DateTime,
O = candle.Open,
C = candle.Close,
H = candle.High,
L = candle.Low
} : null);
}
public static bool IsEqual(this IFeedCandle candle, IFeedCandle other)
{
if (other != null && candle != null)
{
return(candle.DateTime == other.DateTime &&
candle.Open == other.Open &&
candle.Close == other.Close &&
candle.High == other.High &&
candle.Low == other.Low &&
candle.IsBuy == other.IsBuy);
}
return(false);
}
public async Task InsertOrMergeAsync(IFeedCandle candle, PriceType priceType, TimeInterval interval)
{
// Get candle table entity
var partitionKey = CandleTableEntity.GeneratePartitionKey(priceType);
var rowKey = CandleTableEntity.GenerateRowKey(candle.DateTime, interval);
var entity = await _tableStorage.GetDataAsync(partitionKey, rowKey) ??
new CandleTableEntity(partitionKey, rowKey);
// Merge candle
entity.MergeCandle(candle, interval);
// Update
await _tableStorage.InsertOrMergeAsync(entity);
}
/// <summary>
/// Insert or merge candle value.
/// </summary>
public async Task InsertOrMergeAsync(IFeedCandle feedCandle, string asset, TimeInterval interval, PriceType priceType)
{
ValidateAndThrow(asset, interval, priceType);
var repo = GetRepo(asset, interval);
try
{
await repo.InsertOrMergeAsync(feedCandle, priceType, interval);
}
catch
{
ResetRepo(asset, interval);
throw;
}
}
public async Task InsertOrMergeAsync(IFeedCandle candle, string asset, TimeInterval interval)
{
if (candle == null)
{
throw new ArgumentNullException(nameof(candle));
}
if (string.IsNullOrEmpty(asset))
{
throw new ArgumentNullException(nameof(asset));
}
await InsertOrMergeAsync(new Dictionary <TimeInterval, IEnumerable <IFeedCandle> >()
{
{ interval, new IFeedCandle[] { candle } }
}, asset);
}
public void SingleQuoteIsHandled()
{
DateTime dt = new DateTime(2017, 1, 1);
IReadOnlyCollection <Quote> quotes = new Quote[]
{
new Quote()
{
AssetPair = "btcusd", IsBuy = true, Price = 100, Timestamp = dt
},
};
IFeedCandle result = quotes.ToCandle(dt);
Assert.NotNull(result);
Assert.True(result.IsEqual(new FeedCandle()
{
Open = 100, Close = 100, High = 100, Low = 100, IsBuy = true, DateTime = dt
}));
}
public void QuotesToCandle_NormalScenario2()
{
DateTime dt = new DateTime(2017, 1, 1);
IReadOnlyCollection <Quote> quotes = new Quote[]
{
new Quote()
{
AssetPair = "btcusd", IsBuy = false, Price = 100, Timestamp = dt.AddMinutes(1)
},
new Quote()
{
AssetPair = "btcusd", IsBuy = false, Price = 101, Timestamp = dt
}
};
IFeedCandle result = quotes.ToCandle(dt);
Assert.NotNull(result);
Assert.True(result.IsEqual(new FeedCandle()
{
Open = 101, Close = 100, High = 101, Low = 100, IsBuy = false, DateTime = dt
}));
}
public static string ToJson(this IFeedCandle candle)
{
return((candle != null)
? $"{{ open:{candle.Open} close:{candle.Close} high:{candle.High} low:{candle.Low} isBuy:{candle.IsBuy} dateTime:{candle.DateTime.ToString("o")} }}"
: string.Empty);
}
