/// <summary>
/// Group list of ticks, create bar and write it in a csv file
/// <param name="listTick">List of ticks to porcess</param>
/// </summary>
private static void WriteLeanCsvFiles(List<TmpTick> listTick)
{
listTick.GroupBy(t => t.SetFilename(_resolution)).ToList().ForEach(g =>
{
var filename = _destinationDirectory + @"\" + g.Key;
if (!new FileInfo(filename).Directory.Exists) new FileInfo(filename).Directory.Create();
if (g.Key.Contains("trade"))
{
var tradeBar = new TmpTradeBar
{
Time = g.First().Time.RoundDown(_span),
Underlying = g.First().Underlying,
OptionType = g.First().OptionType,
Strike = g.First().Strike,
Expiration = g.First().Expiration,
TradeOpen = g.First().Price,
TradeHigh = g.Max(x => x.Price),
TradeLow = g.Min(x => x.Price),
TradeClose = g.Last().Price,
TradeVolume = g.Sum(x => x.Quantity)
};
File.AppendAllText(filename, tradeBar.CsvFileOutput() + "\r\n");
}
else
{
var quoteBar = new TmpQuoteBar
{
Time = g.First().Time.RoundDown(_span),
Underlying = g.First().Underlying,
OptionType = g.First().OptionType,
Strike = g.First().Strike,
Expiration = g.First().Expiration
};
var a = g.Where(x => x.TickType == "ASK").Select(x => x.Price);
var b = g.Where(x => x.TickType == "BID").Select(x => x.Price);
if (a.Count() > 0)
{
quoteBar.AskOpen = a.First();
quoteBar.AskHigh = a.Max();
quoteBar.AskLow = a.Min();
quoteBar.AskClose = a.Last();
quoteBar.AvgAskSize = (long)g.Where(x => x.TickType == "ASK").Average(x => x.Quantity);
}
if (b.Count() > 0)
{
quoteBar.BidOpen = b.First();
quoteBar.BidHigh = b.Max();
quoteBar.BidLow = b.Min();
quoteBar.BidClose = b.Last();
quoteBar.AvgBidSize = (long)g.Where(x => x.TickType == "BID").Average(x => x.Quantity);
}
File.AppendAllText(filename, quoteBar.CsvFileOutput() + "\r\n");
}
});
listTick.Clear();
}
/// <summary>
/// Group list of ticks, create bar and write it in a csv file
/// <param name="listTick">List of ticks to porcess</param>
/// </summary>
private static void WriteLeanCsvFiles(List <TmpTick> listTick)
{
listTick.GroupBy(t => t.SetFilename(_resolution)).ToList().ForEach(g =>
{
var filename = _destinationDirectory + @"\" + g.Key;
if (!new FileInfo(filename).Directory.Exists)
{
new FileInfo(filename).Directory.Create();
}
if (g.Key.Contains("trade"))
{
var tradeBar = new TmpTradeBar
{
Time = g.First().Time.RoundDown(_span),
Underlying = g.First().Underlying,
OptionType = g.First().OptionType,
Strike = g.First().Strike,
Expiration = g.First().Expiration,
TradeOpen = g.First().Price,
TradeHigh = g.Max(x => x.Price),
TradeLow = g.Min(x => x.Price),
TradeClose = g.Last().Price,
TradeVolume = g.Sum(x => x.Quantity)
};
File.AppendAllText(filename, tradeBar.CsvFileOutput() + "\r\n");
}
else
{
var quoteBar = new TmpQuoteBar
{
Time = g.First().Time.RoundDown(_span),
Underlying = g.First().Underlying,
OptionType = g.First().OptionType,
Strike = g.First().Strike,
Expiration = g.First().Expiration
};
var a = g.Where(x => x.TickType == "ASK").Select(x => x.Price);
var b = g.Where(x => x.TickType == "BID").Select(x => x.Price);
if (a.Count() > 0)
{
quoteBar.AskOpen = a.First();
quoteBar.AskHigh = a.Max();
quoteBar.AskLow = a.Min();
quoteBar.AskClose = a.Last();
quoteBar.AvgAskSize = (long)g.Where(x => x.TickType == "ASK").Average(x => x.Quantity);
}
if (b.Count() > 0)
{
quoteBar.BidOpen = b.First();
quoteBar.BidHigh = b.Max();
quoteBar.BidLow = b.Min();
quoteBar.BidClose = b.Last();
quoteBar.AvgBidSize = (long)g.Where(x => x.TickType == "BID").Average(x => x.Quantity);
}
File.AppendAllText(filename, quoteBar.CsvFileOutput() + "\r\n");
}
});
listTick.Clear();
}
