/// <inheritdoc/>
public IList <OHLCV> Bin(IList <OHLCV> data, Periods period, TimeZoneInfo targetTimeZone, TimeSpan phase = default(TimeSpan))
{
if ((data == null) || (data.Count == 0) || (period == Periods.NotSet))
{
return(new List <OHLCV>());
}
TimeSpan interval = PeriodIntervals.Instance[period];
IList <OHLCV> binnedData = new List <OHLCV>();
DateTime targetStartMidnight = (TimeZoneInfo.ConvertTime(data[0].BeginDateTimeOffset, targetTimeZone) + phase).Date;
DateTimeOffset currentBinEnd = new DateTimeOffset(
targetStartMidnight,
targetTimeZone.GetUtcOffset(targetStartMidnight));
DateTimeOffset currentBinStart;
OHLCV ohlcv = default(OHLCV);
var lastDate = TimeZoneInfo.ConvertTime(data.Last().EndDateTimeOffset, targetTimeZone) + phase;
foreach (var d in data)
{
DateTimeOffset dataStartDateTime = TimeZoneInfo.ConvertTime(d.BeginDateTimeOffset, targetTimeZone) + phase;
// if new bin add the current value, move bin to correct location and open a new one
if (currentBinEnd <= dataStartDateTime)
{
// add the current value
if (!(ohlcv.Equals(default(OHLCV))))
{
binnedData.Add(ohlcv);
}
// move bin to correct location
while (currentBinEnd <= dataStartDateTime)
{
currentBinEnd += interval;
}
// do not bin beyond the source data (i.e. don't create partial bins
if (currentBinEnd > lastDate)
{
break;
}
currentBinStart = currentBinEnd - interval;
// open a new one
ohlcv = new OHLCV(
currentBinStart - phase,
d.Open,
0,
currentBinEnd - phase);
ohlcv.Open = d.Open;
}
// update bin values
ohlcv.AddData(d);
// if this is the last data then add the current bin
if (d.Equals(data[data.Count - 1]))
{
binnedData.Add(ohlcv);
}
}
return(binnedData);
}
public IList <OHLCV> Bin(IList <OHLCV> data, Periods period, TimeZoneInfo targetTimeZone)
{
if ((data == null) || (data.Count == 0) || (period == Periods.NotSet))
{
return(new List <OHLCV>());
}
TimeSpan interval = PeriodIntervals[period];
IList <OHLCV> binnedData = new List <OHLCV>();
var sourceStartDate = new DateTimeOffset(
TimeZoneInfo.ConvertTime(data[0].BeginDateTimeOffset, Source.TimeZoneInfo).Date + Source.DataStartTime,
Source.TimeZoneInfo.BaseUtcOffset);
// go back an entire day to ensure that the time zone differences between source and target are defo taken into account
var currentBinEnd = TimeZoneInfo.ConvertTime(sourceStartDate, targetTimeZone).AddDays(-1);
DateTimeOffset currentBinStart;
OHLCV ohlcv = default(OHLCV);
foreach (var d in data)
{
DateTimeOffset dataStartDateTime = TimeZoneInfo.ConvertTime(d.BeginDateTimeOffset, targetTimeZone);
// if new bin add the current value, move bin to correct location and open a new one
if (currentBinEnd <= dataStartDateTime)
{
// add the current value
if (!(ohlcv.Equals(default(OHLCV))))
{
binnedData.Add(ohlcv);
}
// move bin to correct location
while (currentBinEnd <= dataStartDateTime)
{
currentBinEnd += interval;
}
currentBinStart = currentBinEnd - interval;
// open a new one
ohlcv = new OHLCV(
currentBinStart,
0.0,
double.MinValue,
double.MaxValue,
0.0,
0,
currentBinEnd);
ohlcv.Open = d.Open;
}
// update bin values
ohlcv.High = (d.High > ohlcv.High) ? d.High : ohlcv.High;
ohlcv.Low = (d.Low < ohlcv.Low) ? d.Low : ohlcv.Low;
ohlcv.Close = d.Close;
ohlcv.Volume += d.Volume;
// if this is the last data then add the current bin
if (d.Equals(data[data.Count - 1]))
{
binnedData.Add(ohlcv);
}
}
return(binnedData);
}
