//Should yield the same results regardless of what chandles are used for input, but faster on closer candles
private static List <PriceCandle> CreatePriceCandleList(IReadOnlyList <PriceCandle> price_candles, TimeScale time_scale)
{
if (price_candles.Count == 0)
{
return(new List <PriceCandle>());
}
//Set times next candle
DateTimeUTC open_time = PriceCandle.GetOpenTime(price_candles[0].OpenTime, time_scale);
DateTimeUTC close_time = PriceCandle.GetCloseTime(open_time, time_scale);
int current_candle_index = 0;
//if we do not start on a candle open:
if (price_candles[0].OpenTime != open_time)
{
//Wind forward to first candle in the next candle
while ((current_candle_index < price_candles.Count) && (price_candles[current_candle_index].OpenTime != close_time))
{
current_candle_index++;
}
//Set times next candle
open_time = PriceCandle.GetOpenTime(close_time, time_scale);
close_time = PriceCandle.GetCloseTime(open_time, time_scale);
}
if (price_candles.Count <= current_candle_index)
{
return(new List <PriceCandle>());
}
//Work
List <PriceCandle> new_price_candles = new List <PriceCandle>();
double open_bid = price_candles[current_candle_index].OpenBid;
double high_bid = price_candles[current_candle_index].HighBid;
double low_bid = price_candles[current_candle_index].LowBid;
double close_bid = price_candles[current_candle_index].CloseBid;
double open_ask = price_candles[current_candle_index].OpenAsk;
double high_ask = price_candles[current_candle_index].HighAsk;
double low_ask = price_candles[current_candle_index].LowAsk;
double close_ask = price_candles[current_candle_index].CloseAsk;
while (current_candle_index < price_candles.Count)
{
//If it is the end of our current price candle
if (price_candles[current_candle_index].CloseTime == close_time)
{
// Update everything one last time
//open_bid =
high_bid = price_candles[current_candle_index].HighBid;
low_bid = price_candles[current_candle_index].LowBid;
close_bid = price_candles[current_candle_index].CloseBid;
//open_ask =
high_ask = price_candles[current_candle_index].HighAsk;
low_ask = price_candles[current_candle_index].LowAsk;
close_ask = price_candles[current_candle_index].CloseAsk;
// Create candle
new_price_candles.Add(new PriceCandle(
open_time,
time_scale,
open_bid,
high_bid,
low_bid,
close_bid,
open_ask,
high_ask,
low_ask,
close_ask, 0, 0));
//Set begin and end for our next candle
open_time = PriceCandle.GetOpenTime(close_time, time_scale);
close_time = PriceCandle.GetCloseTime(open_time, time_scale);
//scroll forward
current_candle_index++;
//And if there is a next candle:
if (current_candle_index < price_candles.Count)
{
// initialize
open_bid = price_candles[current_candle_index].OpenBid;
high_bid = price_candles[current_candle_index].HighBid;
low_bid = price_candles[current_candle_index].LowBid;
close_bid = price_candles[current_candle_index].CloseBid;
open_ask = price_candles[current_candle_index].OpenAsk;
high_ask = price_candles[current_candle_index].HighAsk;
low_ask = price_candles[current_candle_index].LowAsk;
close_ask = price_candles[current_candle_index].CloseAsk;
}
}
else
{
//If we are not the end we must be some part so just update data
//open_bid =
high_bid = Math.Max(high_bid, price_candles[current_candle_index].HighBid);
low_bid = Math.Min(low_bid, price_candles[current_candle_index].LowBid);
close_bid = price_candles[current_candle_index].CloseBid;
// open_ask =
high_ask = Math.Max(high_ask, price_candles[current_candle_index].HighAsk);
low_ask = Math.Min(low_ask, price_candles[current_candle_index].LowAsk);
close_ask = price_candles[current_candle_index].CloseAsk;
//scroll forward
current_candle_index++;
}
}
return(new_price_candles);
}
private static List <PriceCandle> CreateSecond1(IReadOnlyList <Price> price_list_unclean)
{
//Build second 1
List <PriceCandle> second1 = new List <PriceCandle>();
DateTimeUTC current_time = price_list_unclean[0].Time;
DateTimeUTC open_time = PriceCandle.GetOpenTime(current_time, TimeScale.Second1);
DateTimeUTC close_time = PriceCandle.GetCloseTime(current_time, TimeScale.Second1);
int price_index = 0;
//if we do not start on a candle open:
if (!current_time.Equals(open_time))
{
//Wind forward to first candle in the next candle
while (price_list_unclean[price_index].Time != close_time)
{
price_index++;
}
}
double open_bid = price_list_unclean[price_index].Bid;
double high_bid = price_list_unclean[price_index].Bid;
double low_bid = price_list_unclean[price_index].Bid;
double close_bid = price_list_unclean[price_index].Bid;
double open_ask = price_list_unclean[price_index].Ask;
double high_ask = price_list_unclean[price_index].Ask;
double low_ask = price_list_unclean[price_index].Ask;
double close_ask = price_list_unclean[price_index].Ask;
while (price_index < price_list_unclean.Count)
{
//If it is our current price candle
if (price_list_unclean[price_index].Time <= close_time)
{
//Update data
//open_bid = close_bid;
high_bid = Math.Max(high_bid, price_list_unclean[price_index].Bid);
low_bid = Math.Min(low_bid, price_list_unclean[price_index].Bid);
close_bid = price_list_unclean[price_index].Bid;
//open_ask = close_bid;
high_ask = Math.Max(high_ask, price_list_unclean[price_index].Ask);
low_ask = Math.Min(low_ask, price_list_unclean[price_index].Ask);
close_ask = price_list_unclean[price_index].Ask;
price_index++;
}
else
{
//Other wise append a new candle
second1.Add(new PriceCandle(open_time, TimeScale.Second1, open_bid, high_bid, low_bid, close_bid, open_ask, high_ask, low_ask, close_ask, 0, 0));
//And prepare the next one
open_time = close_time;
close_time = PriceCandle.GetCloseTime(open_time, TimeScale.Second1);
open_bid = close_bid;
high_bid = Math.Max(close_bid, price_list_unclean[price_index].Bid);
low_bid = Math.Min(close_bid, price_list_unclean[price_index].Bid);
close_bid = price_list_unclean[price_index].Bid;
open_ask = close_ask;
high_ask = Math.Max(close_ask, price_list_unclean[price_index].Ask);
low_ask = Math.Min(close_ask, price_list_unclean[price_index].Ask);
close_ask = price_list_unclean[price_index].Ask;
//current.Clear();
//current.Add(new Price(close_time, second1.Last().CloseBid, second1.Last().CloseAsk));
}
}
//If last candle was complete
if (price_list_unclean.Last().Time == close_time)
{
//Add last candle
second1.Add(new PriceCandle(open_time, TimeScale.Second1, open_bid, high_bid, low_bid, close_bid, open_ask, high_ask, low_ask, close_ask, 0, 0));
}
return(second1);
}