/// <summary>
/// The total number of bids in the <see cref="VolumeProfileBuilder"/>.
/// </summary>
/// <param name="volumeProfile">Volume profile.</param>
/// <returns>The total number of bids.</returns>
public static decimal TotalBuyCount(this VolumeProfileBuilder volumeProfile)
{
if (volumeProfile == null)
{
throw new ArgumentNullException(nameof(volumeProfile));
}
return(volumeProfile.PriceLevels.Select(p => p.BuyCount).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 VolumeProfileBuilder volumeProfile)
{
if (volumeProfile == null)
{
throw new ArgumentNullException(nameof(volumeProfile));
}
var max = volumeProfile.PriceLevels.Select(p => p.BuyVolume + p.SellVolume).Max();
return(volumeProfile.PriceLevels.FirstOrDefault(p => p.BuyVolume + p.SellVolume == max));
}
/// <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 VolumeProfileBuilder volumeProfile)
{
if (volumeProfile == null)
{
throw new ArgumentNullException(nameof(volumeProfile));
}
var delta = volumeProfile.PriceLevels.Select(p => p.BuyVolume - p.SellVolume).Min();
return(volumeProfile.PriceLevels.FirstOrDefault(p => p.BuyVolume - p.SellVolume == delta));
}
/// <summary>
/// To update the profile with new value.
/// </summary>
/// <param name="volumeProfile">Volume profile.</param>
/// <param name="transform">The data source transformation.</param>
public static void Update(this VolumeProfileBuilder volumeProfile, ICandleBuilderValueTransform transform)
{
if (volumeProfile == null)
{
throw new ArgumentNullException(nameof(volumeProfile));
}
if (transform == null)
{
throw new ArgumentNullException(nameof(transform));
}
volumeProfile.Update(transform.Price, transform.Volume, transform.Side);
}
/// <summary>
/// To process the new data.
/// </summary>
/// <param name="message">Market-data message (uses as a subscribe/unsubscribe in outgoing case, confirmation event in incoming case).</param>
/// <param name="currentCandle">The current candle.</param>
/// <param name="transform">The data source transformation.</param>
/// <param name="volumeProfile">Volume profile.</param>
/// <param name="changes">A new candles changes.</param>
public virtual void Process(MarketDataMessage message, CandleMessage currentCandle, ICandleBuilderValueTransform transform, ref VolumeProfileBuilder volumeProfile, IList <CandleMessage> changes)
{
if (message == null)
{
throw new ArgumentNullException(nameof(message));
}
if (transform == null)
{
throw new ArgumentNullException(nameof(transform));
}
var candle = ProcessValue(message, (TCandleMessage)currentCandle, transform);
if (candle == null)
{
// skip the value that cannot be processed
return;
}
if (candle == currentCandle)
{
if (message.IsCalcVolumeProfile)
{
if (volumeProfile == null)
{
throw new InvalidOperationException();
}
volumeProfile.Update(transform);
}
//candle.State = CandleStates.Changed;
changes.Add(candle);
}
else
{
if (currentCandle != null)
{
currentCandle.State = CandleStates.Finished;
changes.Add(currentCandle);
}
if (message.IsCalcVolumeProfile)
{
var levels = new List <CandlePriceLevel>();
volumeProfile = new VolumeProfileBuilder(levels);
volumeProfile.Update(transform);
candle.PriceLevels = levels;
}
candle.State = CandleStates.Active;
changes.Add(candle);
}
}
/// <inheritdoc />
public IEnumerable <CandleMessage> Process(MarketDataMessage message, CandleMessage currentCandle, ICandleBuilderValueTransform transform, ref VolumeProfileBuilder volumeProfile)
{
if (!IsTimeValid(message, transform.Time))
{
return(Enumerable.Empty <CandleMessage>());
}
var changes = new List <CandleMessage>();
Process(message, currentCandle, transform, ref volumeProfile, changes);
return(changes);
}
/// <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 VolumeProfileBuilder volumeProfile)
{
return(volumeProfile.BuyVolBelowPoC() - volumeProfile.SellVolBelowPoC());
}
/// <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 VolumeProfileBuilder 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 VolumeProfileBuilder volumeProfile)
{
return(volumeProfile.BuyVolAbovePoC() + volumeProfile.SellVolAbovePoC());
}
/// <summary>
/// The total volume of asks which was below <see cref="PoC"/>.
/// </summary>
/// <param name="volumeProfile">Volume profile.</param>
/// <returns>The total volume of asks.</returns>
public static decimal SellVolBelowPoC(this VolumeProfileBuilder volumeProfile)
{
var poc = volumeProfile.PoC();
return(volumeProfile.PriceLevels.Where(p => p.Price < poc.Price).Select(p => p.SellVolume).Sum());
}
/// <summary>
/// The total volume of bids which was above <see cref="PoC"/>.
/// </summary>
/// <param name="volumeProfile">Volume profile.</param>
/// <returns>The total volume of bids.</returns>
public static decimal BuyVolAbovePoC(this VolumeProfileBuilder volumeProfile)
{
var poc = volumeProfile.PoC();
return(volumeProfile.PriceLevels.Where(p => p.Price > poc.Price).Select(p => p.BuyVolume).Sum());
}
