private static RenkoCandleMessage CreateCandle(MarketDataMessage message, DataType buildFrom, ref VolumeProfileBuilder volumeProfile, Unit boxSize, decimal openPrice, decimal renkoStep, decimal price, decimal?volume, Sides?side, DateTimeOffset time, decimal?oi)
{
var candle = new RenkoCandleMessage
{
SecurityId = message.SecurityId,
BoxSize = boxSize,
BuildFrom = buildFrom,
OpenPrice = openPrice,
ClosePrice = openPrice + renkoStep,
//HighPrice = openPrice + renkoStep,
//LowPrice = openPrice,
OpenVolume = volume,
CloseVolume = volume,
HighVolume = volume,
LowVolume = volume,
OpenTime = time,
CloseTime = time,
HighTime = time,
LowTime = time,
RelativeVolume = side == null ? null : (side == Sides.Buy ? volume : -volume),
TotalTicks = 1,
State = CandleStates.Active,
OpenInterest = oi,
};
if (volume != null)
{
candle.TotalPrice += price * volume.Value;
candle.TotalVolume += volume.Value;
}
if (renkoStep > 0)
{
candle.HighPrice = candle.ClosePrice;
candle.LowPrice = candle.OpenPrice;
}
else
{
candle.HighPrice = candle.OpenPrice;
candle.LowPrice = candle.ClosePrice;
}
if (message.IsCalcVolumeProfile)
{
var levels = new List <CandlePriceLevel>();
volumeProfile = new VolumeProfileBuilder(levels);
volumeProfile.Update(price, volume, side);
candle.PriceLevels = levels;
}
return(candle);
}
private static void UpdateCandle(PnFCandleMessage currentPnFCandle, decimal price, decimal?volume, DateTimeOffset time, Sides?side, decimal?oi, VolumeProfileBuilder volumeProfile)
{
currentPnFCandle.TotalTicks = currentPnFCandle.TotalTicks ?? 0 + 1;
if (volume != null)
{
var v = volume.Value;
currentPnFCandle.TotalVolume += v;
currentPnFCandle.TotalPrice += v * price;
currentPnFCandle.RelativeVolume = currentPnFCandle.RelativeVolume ?? 0 + (side == Sides.Buy ? v : -v);
}
currentPnFCandle.CloseVolume = volume;
currentPnFCandle.CloseTime = time;
volumeProfile?.Update(price, volume, side);
currentPnFCandle.OpenInterest = oi;
}
/// <inheritdoc />
public override void Process(MarketDataMessage message, CandleMessage currentCandle, ICandleBuilderValueTransform transform, ref VolumeProfileBuilder volumeProfile, IList <CandleMessage> changes)
{
var currentRenkoCandle = (RenkoCandleMessage)currentCandle;
var price = transform.Price;
var volume = transform.Volume;
var time = transform.Time;
var side = transform.Side;
var oi = transform.OpenInterest;
var boxSize = message.GetArg <Unit>();
var renkoStep = (decimal)(1 * boxSize);
if (currentRenkoCandle == null)
{
var openPrice = price.Floor(renkoStep);
changes.Add(CreateCandle(message, ref volumeProfile, boxSize, openPrice, renkoStep, price, volume, side, time, oi));
}
else
{
if (currentRenkoCandle.LowPrice <= price && price <= currentRenkoCandle.HighPrice)
{
currentRenkoCandle.TotalTicks++;
if (volume != null)
{
currentRenkoCandle.TotalVolume += volume.Value;
currentRenkoCandle.TotalPrice += volume.Value * price;
currentRenkoCandle.RelativeVolume += side == Sides.Buy ? volume : -volume;
}
currentRenkoCandle.CloseVolume = volume;
currentRenkoCandle.CloseTime = time;
volumeProfile?.Update(price, volume, side);
currentRenkoCandle.OpenInterest = oi;
changes.Add(currentRenkoCandle);
}
else
{
currentRenkoCandle.State = CandleStates.Finished;
changes.Add(currentRenkoCandle);
int times;
bool isUp;
decimal openPrice;
if (price < currentRenkoCandle.LowPrice)
{
times = (int)((currentRenkoCandle.LowPrice - price) / renkoStep) + 1;
isUp = false;
openPrice = currentRenkoCandle.LowPrice;
}
else
{
times = (int)((price - currentRenkoCandle.HighPrice) / renkoStep) + 1;
isUp = true;
openPrice = currentRenkoCandle.HighPrice;
}
for (var i = 0; i < times; i++)
{
if (isUp)
{
currentRenkoCandle = CreateCandle(message, ref volumeProfile, boxSize, openPrice, renkoStep, price, volume, side, time, oi);
changes.Add(currentRenkoCandle);
openPrice += renkoStep;
}
else
{
currentRenkoCandle = CreateCandle(message, ref volumeProfile, boxSize, openPrice, -renkoStep, price, volume, side, time, oi);
changes.Add(currentRenkoCandle);
openPrice -= renkoStep;
}
currentRenkoCandle.State = CandleStates.Finished;
}
currentRenkoCandle.State = CandleStates.Active;
}
}
}
