// ReSharper disable once ParameterOnlyUsedForPreconditionCheck.Local
private void MergeCandle(string assetPair, CandleTimeInterval interval, ICandle candle)
{
if (candle.AssetPairId != assetPair)
{
throw new InvalidOperationException($"Candle {candle.ToJson()} has invalid AssetPriceId");
}
if (candle.TimeInterval != interval)
{
throw new InvalidOperationException($"Candle {candle.ToJson()} has invalid TimeInterval");
}
if (candle.PriceType != PriceType)
{
throw new InvalidOperationException($"Candle {candle.ToJson()} has invalid PriceType");
}
// 1. Check if candle with specified time already exist
// 2. If found - merge, else - add to list
var tick = GetIntervalTick(candle.Timestamp, interval);
// Considering that Candles is ordered by Tick
for (var i = 0; i < Candles.Count; ++i)
{
var currentCandle = Candles[i];
// While currentCandle.Tick < tick - just skipping
// That's it, merge to existing candle
if (currentCandle.Tick == tick)
{
currentCandle.InplaceMergeWith(candle);
return;
}
// No candle is found but there are some candles after, so we should insert candle right before them
if (currentCandle.Tick > tick)
{
Candles.Insert(i, candle.ToItem(tick));
return;
}
}
// No candle is found, and no candles after, so just add to the end
Candles.Add(candle.ToItem(tick));
}
/// <summary>
/// Creates mid candle of two candles (ask and bid)
/// </summary>
/// <param name="askCandle">first candle</param>
/// <param name="bidCandle">second candle</param>
public static ICandle Create(ICandle askCandle, ICandle bidCandle)
{
if (askCandle == null || bidCandle == null)
{
return(askCandle ?? bidCandle);
}
if (askCandle.AssetPairId != bidCandle.AssetPairId)
{
throw new InvalidOperationException($"Can't create mid candle of different asset pairs. candle1={askCandle.ToJson()}, candle2={bidCandle.ToJson()}");
}
if (askCandle.PriceType != CandlePriceType.Ask)
{
throw new InvalidOperationException($"Ask candle should has according price type. candle={askCandle.ToJson()}");
}
if (bidCandle.PriceType != CandlePriceType.Bid)
{
throw new InvalidOperationException($"Bid candle should has according price type. candle={bidCandle.ToJson()}");
}
if (askCandle.TimeInterval != bidCandle.TimeInterval)
{
throw new InvalidOperationException($"Can't create mid candle of different time intervals. candle1={askCandle.ToJson()}, candle2={bidCandle.ToJson()}");
}
if (askCandle.Timestamp != bidCandle.Timestamp)
{
throw new InvalidOperationException($"Can't create mid candle from candles with different timestamps. candle1={askCandle.ToJson()}, candle2={bidCandle.ToJson()}");
}
return(Candle.Create(
open: (askCandle.Open + bidCandle.Open) / 2,
close: (askCandle.Close + bidCandle.Close) / 2,
high: (askCandle.High + bidCandle.High) / 2,
low: (askCandle.Low + bidCandle.Low) / 2,
assetPair: askCandle.AssetPairId,
priceType: CandlePriceType.Mid,
timeInterval: askCandle.TimeInterval,
timestamp: askCandle.Timestamp,
tradingVolume: askCandle.LastUpdateTimestamp > bidCandle.LastUpdateTimestamp
? askCandle.TradingVolume
: bidCandle.TradingVolume,
tradingOppositeVolume: askCandle.LastUpdateTimestamp > bidCandle.LastUpdateTimestamp
? askCandle.TradingOppositeVolume
: bidCandle.TradingOppositeVolume,
lastTradePrice: askCandle.LastUpdateTimestamp > bidCandle.LastUpdateTimestamp
? askCandle.LastTradePrice
: bidCandle.LastTradePrice,
lastUpdateTimestamp: askCandle.LastUpdateTimestamp > bidCandle.LastUpdateTimestamp
? askCandle.LastUpdateTimestamp
: bidCandle.LastUpdateTimestamp));
}
