public SessionRespectingTickStreamReader(TradingSessions tradingSessions, ITickStreamReader tickStreamReader) { _tradingSessions = tradingSessions; _tickStreamReader = tickStreamReader; var timeOfFirstTick = tickStreamReader.PeekNext() !.TimeStamp; var sessionDateOfFirstTick = _tradingSessions.GetActualSessionAt(timeOfFirstTick).SessionDate; _iterator = new TradingSessionIterator(_tradingSessions, sessionDateOfFirstTick); Instrument = tickStreamReader.Instrument; }
protected BarBuilder(BarsInfo barsInfo) { BarsInfo = barsInfo; Bars = new Bars(barsInfo); SessionIterator = new TradingSessionIterator(BarsInfo.TradingHours, BarsInfo.FirstSessionDate); }