// aggregation (quantization)
/// <include file='./info.xml' path='info/type[@name="Aggregate"]/*' />
///
public static IEnumerable <Quote> Aggregate <TQuote>(
this IEnumerable <TQuote> quotes,
PeriodSize newSize)
where TQuote : IQuote
{
if (newSize != PeriodSize.Month)
{
// parameter conversion
TimeSpan newTimeSpan = newSize.ToTimeSpan();
// convert
return(quotes.Aggregate(newTimeSpan));
}
else // month
{
return(quotes
.OrderBy(x => x.Date)
.GroupBy(x => new DateTime(x.Date.Year, x.Date.Month, 1))
.Select(x => new Quote
{
Date = x.Key,
Open = x.First().Open,
High = x.Max(t => t.High),
Low = x.Min(t => t.Low),
Close = x.Last().Close,
Volume = x.Sum(t => t.Volume)
}));
}
}
// quantization
public static IEnumerable <Quote> Aggregate <TQuote>(
this IEnumerable <TQuote> history,
PeriodSize newSize)
where TQuote : IQuote
{
TimeSpan newPeriod = newSize.ToTimeSpan();
return
// handle no history scenario
(history == null || !history.Any() ? new List <Quote>()
// validate parameters
: newPeriod == TimeSpan.Zero ?
throw new ArgumentOutOfRangeException(nameof(newSize), newSize,
"History Aggregation must use a New Size value of at least " +
"one minute and not more than one week.")
// return aggregation
: history
.OrderBy(x => x.Date)
.GroupBy(x => x.Date.RoundDown(newPeriod))
.Select(x => new Quote
{
Date = x.Key,
Open = x.First().Open,
High = x.Max(t => t.High),
Low = x.Min(t => t.Low),
Close = x.Last().Close,
Volume = x.Sum(t => t.Volume)
}));
}
// aggregation (quantization)
/// <include file='./info.xml' path='info/type[@name="Aggregate"]/*' />
///
public static IEnumerable <Quote> Aggregate <TQuote>(
this IEnumerable <TQuote> quotes,
PeriodSize newSize)
where TQuote : IQuote
{
// parameter conversion
TimeSpan newTimeSpan = newSize.ToTimeSpan();
// convert
return(quotes.Aggregate(newTimeSpan));
}