/// <summary>
/// The total volume of bids which was below <see cref="PoC"/>.
/// </summary>
/// <param name="volumeProfile">Volume profile.</param>
/// <returns>The total volume of bids.</returns>
public static decimal BuyVolBelowPoC(this VolumeProfile volumeProfile)
{
var poc = volumeProfile.PoC();
return(volumeProfile.PriceLevels.Where(p => p.Price < poc.Price).Select(p => p.BuyVolume).Sum());
}
/// <summary>
/// The total volume of asks which was above <see cref="PoC"/>.
/// </summary>
/// <param name="volumeProfile">Volume profile.</param>
/// <returns>The total volume of asks.</returns>
public static decimal SellVolAbovePoC(this VolumeProfile volumeProfile)
{
var poc = volumeProfile.PoC();
return(volumeProfile.PriceLevels.Where(p => p.Price > poc.Price).Select(p => p.SellVolume).Sum());
}
/// <summary>
/// The total number of asks in the <see cref="VolumeProfile"/>.
/// </summary>
/// <param name="volumeProfile">Volume profile.</param>
/// <returns>The total number of asks.</returns>
public static decimal TotalSellCount(this VolumeProfile volumeProfile)
{
return(volumeProfile.PriceLevels.Select(p => p.SellCount).Sum());
}
/// <summary>
/// POC (Point Of Control) returns <see cref="CandlePriceLevel"/> which had the maximum volume.
/// </summary>
/// <param name="volumeProfile">Volume profile.</param>
/// <returns>The <see cref="CandlePriceLevel"/> which had the maximum volume.</returns>
public static CandlePriceLevel PoC(this VolumeProfile volumeProfile)
{
var max = volumeProfile.PriceLevels.Select(p => (p.BuyVolume + p.SellVolume)).Max();
return(volumeProfile.PriceLevels.FirstOrDefault(p => p.BuyVolume + p.SellVolume == max));
}
/// <summary>
/// The total volume of bids in the <see cref="VolumeProfile"/>.
/// </summary>
/// <param name="volumeProfile">Volume profile.</param>
/// <returns>The total volume of bids.</returns>
public static decimal TotalBuyVolume(this VolumeProfile volumeProfile)
{
return(volumeProfile.PriceLevels.Select(p => p.BuyVolume).Sum());
}
/// <summary>
/// The total Delta which was below <see cref="PoC"/>.
/// </summary>
/// <param name="volumeProfile">Volume profile.</param>
/// <returns>Delta.</returns>
public static decimal DeltaBelowPoC(this VolumeProfile volumeProfile)
{
return(volumeProfile.BuyVolBelowPoC() - volumeProfile.SellVolBelowPoC());
}
/// <summary>
/// It returns the price level at which the minimum <see cref="Delta"/> is passed.
/// </summary>
/// <param name="volumeProfile">Volume profile.</param>
/// <returns>The price level.</returns>
public static CandlePriceLevel PriceLevelOfMinDelta(this VolumeProfile volumeProfile)
{
var delta = volumeProfile.PriceLevels.Select(p => p.BuyVolume - p.SellVolume).Min();
return(volumeProfile.PriceLevels.FirstOrDefault(p => p.BuyVolume - p.SellVolume == delta));
}
/// <summary>
/// The difference between <see cref="TotalBuyVolume"/> and <see cref="TotalSellVolume"/>.
/// </summary>
/// <param name="volumeProfile">Volume profile.</param>
/// <returns>Delta.</returns>
public static decimal Delta(this VolumeProfile volumeProfile)
{
return(volumeProfile.TotalBuyVolume() - volumeProfile.TotalSellVolume());
}
/// <summary>
/// The total volume which was above <see cref="PoC"/>.
/// </summary>
/// <param name="volumeProfile">Volume profile.</param>
/// <returns>Total volume.</returns>
public static decimal VolumeAbovePoC(this VolumeProfile volumeProfile)
{
return(volumeProfile.BuyVolAbovePoC() + volumeProfile.SellVolAbovePoC());
}
private TimeFrameCandle GetCandle(ExecutionMessage tick)
{
var time = tick.ServerTime;
var price = tick.TradePrice.Value;
if (_candle == null || time >= _candle.CloseTime)
{
//var t = TimeframeSegmentDataSeries.GetTimeframePeriod(time.DateTime, _timeframe);
var tf = TimeSpan.FromMinutes(_timeframe);
var bounds = tf.GetCandleBounds(time, _security.Board);
_candle = new TimeFrameCandle
{
TimeFrame = tf,
OpenTime = bounds.Min,
CloseTime = bounds.Max,
};
_volumeProfile = new VolumeProfile();
_candle.OpenPrice = _candle.HighPrice = _candle.LowPrice = _candle.ClosePrice = price;
_volumeProfile.Update(new TickCandleBuilderSourceValue(_security, tick));
_allCandles.Add(_candle);
return _candle;
}
if (time < _candle.OpenTime)
throw new InvalidOperationException("invalid time");
if (price > _candle.HighPrice)
_candle.HighPrice = price;
if (price < _candle.LowPrice)
_candle.LowPrice = price;
_candle.ClosePrice = price;
_candle.TotalVolume += tick.Volume.Value;
_volumeProfile.Update(new TickCandleBuilderSourceValue(_security, tick));
return _candle;
}
private void AppendTick(Security security, ExecutionMessage tick)
{
var time = tick.ServerTime;
var price = tick.TradePrice.Value;
if (_candle == null || time >= _candle.CloseTime)
{
if (_candle != null)
{
var candle = (TimeFrameCandle)_candle.Clone();
_updatedCandles[candle.OpenTime] = candle;
_lastPrice = candle.ClosePrice;
}
//var t = TimeframeSegmentDataSeries.GetTimeframePeriod(time.DateTime, _timeframe);
var tf = TimeSpan.FromMinutes(_timeframe);
var bounds = tf.GetCandleBounds(time, _security.Board);
_candle = new TimeFrameCandle
{
TimeFrame = tf,
OpenTime = bounds.Min,
CloseTime = bounds.Max,
};
_volumeProfile = new VolumeProfile();
_candle.PriceLevels = _volumeProfile.PriceLevels;
_candle.OpenPrice = _candle.HighPrice = _candle.LowPrice = _candle.ClosePrice = price;
_volumeProfile.Update(new TickCandleBuilderSourceValue(security, tick));
}
if (time < _candle.OpenTime)
throw new InvalidOperationException("invalid time");
if (price > _candle.HighPrice)
_candle.HighPrice = price;
if (price < _candle.LowPrice)
_candle.LowPrice = price;
_candle.ClosePrice = price;
_candle.TotalVolume += tick.TradeVolume.Value;
_volumeProfile.Update(new TickCandleBuilderSourceValue(security, tick));
}
