public void OnData(QuoteBars data)
{
long l = (30 * 24 * 60 * 60);
long le = (10 * 24 * 60 * 60);
foreach (var rule in trades)
{
if (data.ContainsKey(rule.Symbol))
{
var candleStartTime = Utils.ToUnixTimestamp(data[rule.Symbol].Time.ConvertToUtc(Securities[rule.Symbol].Exchange.TimeZone));
var candleEndTime = Utils.ToUnixTimestamp(data[rule.Symbol].EndTime.ConvertToUtc(Securities[rule.Symbol].Exchange.TimeZone));
if ((rule._Serie.Count == 0 && (rule.setupTime - l) > candleStartTime) || (rule._Serie.Count > 0 && (rule.exitTime + le > candleStartTime || rule.expirationTime + le > candleStartTime)))
{
List <LocalQuote> serie = new List <LocalQuote>();
rule._Serie.Add(new LocalQuote
{
date = Utils.ToUnixTimestamp(data[rule.Symbol].Time.ConvertToUtc(Securities[rule.Symbol].Exchange.TimeZone)),
open = data[rule.Symbol].Open,
close = data[rule.Symbol].Close,
high = data[rule.Symbol].High,
low = data[rule.Symbol].Low
});
}
}
}
}
public void OnData(QuoteBars data)
{
long l = (30 * 24 * 60 * 60);
long le = (10 * 24 * 60 * 60);
foreach (var rule in trades)
{
if (data.ContainsKey(rule.Symbol))
{
var candleStartTime = Utils.ToUnixTimestamp(data[rule.Symbol].Time.ConvertToUtc(Securities[rule.Symbol].Exchange.TimeZone));
var candleEndTime = Utils.ToUnixTimestamp(data[rule.Symbol].EndTime.ConvertToUtc(Securities[rule.Symbol].Exchange.TimeZone));
if (candleStartTime > (rule.setupTime - l) && (candleStartTime < Math.Max(rule.exitTime, rule.expirationTime) + le))
{
rule.Serie.Add(new LocalQuote
{
date = Utils.ToUnixTimestamp(data[rule.Symbol].Time.ConvertToUtc(Securities[rule.Symbol].Exchange.TimeZone)),
open = data[rule.Symbol].Open,
close = data[rule.Symbol].Close,
high = data[rule.Symbol].High,
low = data[rule.Symbol].Low
});
}
}
}
}
public void OnData(QuoteBars data)
{
try
{
foreach (var symbol in Symbols.Where(s => data.ContainsKey(s)))
{
_tradingAssets[symbol].Scan(data[symbol], ((AverageTrueRangeVolatilityModel)Securities[symbol].VolatilityModel).IsWarmingUp);
}
}
catch (Exception ex)
{
Log("Error: " + ex.Message);
}
}