public IReadOnlyList <ICandle> FillGapUpTo(AssetPair assetPair, CandlePriceType priceType, DateTime dateTime, ICandle endCandle)
{
var key = GetKey(assetPair.Id, priceType);
_lastCandles.TryGetValue(key, out var lastCandle);
if (lastCandle == null)
{
return(new List <ICandle>());
}
var lastCandleHeight = lastCandle.High - lastCandle.Low;
var endCandleHeight = endCandle?.High - endCandle?.Low ?? lastCandleHeight;
var spread = CalculateSpread(lastCandleHeight, endCandleHeight);
var result = GenerateCandles(
assetPair,
priceType,
lastCandle.Timestamp,
dateTime,
lastCandle.Close,
endCandle?.Open ?? lastCandle.Open,
spread)
.ToList();
// Remember the last candle, if any
if (result.Any())
{
_lastCandles[key] = Candle.Copy(result.Last());
}
return(result);
}
public void SetState(IImmutableDictionary <string, ICandle> state)
{
if (_candles.Count > 0)
{
throw new InvalidOperationException("Candles generator state already not empty");
}
_candles = new ConcurrentDictionary <string, Candle>(state.ToDictionary(
i => i.Key,
i => Candle.Copy(i.Value)));
}
public void SetState(ImmutableDictionary <string, ICandle> state)
{
if (_candles.Count > 0)
{
throw new InvalidOperationException("Candles generator state already not empty");
}
var keyValuePairs = state.Select(i => KeyValuePair.Create(i.Key, Candle.Copy(i.Value)));
_candles = new ConcurrentDictionary <string, Candle>(keyValuePairs);
}
public IReadOnlyList <ICandle> FillGapUpTo(AssetPair assetPair, IFeedHistory feedHistory)
{
var key = GetKey(feedHistory.AssetPair, feedHistory.PriceType);
var candles = feedHistory.Candles
.Where(item => item.Low > 0 && item.High > 0 && item.Open > 0 && item.Close > 0)
.Select(item => item.ToCandle(feedHistory.AssetPair, feedHistory.PriceType, feedHistory.DateTime))
.ToList();
_lastCandles.TryGetValue(key, out var lastCandle);
bool removeFirstCandle;
// Use the last candle as the first candle, if any
if (lastCandle != null)
{
removeFirstCandle = true;
candles.Insert(0, lastCandle);
}
else
{
removeFirstCandle = false;
}
var result = GenerateMissedCandles(assetPair, candles);
// Remember the last candle, if any
if (result.Any())
{
_lastCandles[key] = Candle.Copy(result.Last());
}
if (removeFirstCandle)
{
result.RemoveAt(0);
}
return(new ReadOnlyCollection <ICandle>(result));
}