/// <summary>
/// To process the new data.
/// </summary>
/// <param name="subscription">Subscription.</param>
/// <param name="transform">The data source transformation.</param>
/// <returns>A new candles changes.</returns>
protected virtual IEnumerable <TCandleMessage> OnProcess(ICandleBuilderSubscription subscription, ICandleBuilderValueTransform transform)
{
if (subscription is null)
{
throw new ArgumentNullException(nameof(subscription));
}
if (transform == null)
{
throw new ArgumentNullException(nameof(transform));
}
var currentCandle = (TCandleMessage)subscription.CurrentCandle;
var volumeProfile = subscription.VolumeProfile;
var candle = ProcessValue(subscription, transform);
if (candle == null)
{
// skip the value that cannot be processed
yield break;
}
if (candle == currentCandle)
{
if (subscription.Message.IsCalcVolumeProfile)
{
if (volumeProfile == null)
{
throw new InvalidOperationException();
}
volumeProfile.Update(transform);
}
//candle.State = CandleStates.Changed;
yield return(candle);
}
else
{
if (currentCandle != null)
{
currentCandle.State = CandleStates.Finished;
yield return(currentCandle);
}
if (subscription.Message.IsCalcVolumeProfile)
{
var levels = new List <CandlePriceLevel>();
subscription.VolumeProfile = volumeProfile = new VolumeProfileBuilder(levels);
volumeProfile.Update(transform);
candle.PriceLevels = levels;
}
candle.State = CandleStates.Active;
yield return(candle);
}
}
/// <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);
}
}
/// <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);
}