public OhlcGenerator(IDataFeed dataFeed, PriceSelector selector, TimeSpan duration, TimeSpan? offset = null)
{
OhlcBar bar = null;
selector.PriceTick += price =>
{
if (!price.HasValue)
{
return;
}
var priceValue = price.Value;
if (bar == null)
{
bar = new OhlcBar
{
Open = priceValue,
High = priceValue,
Low = priceValue,
Close = priceValue
};
if (Open != null) Open(priceValue);
}
bar.Close = priceValue;
bar.High = priceValue > bar.High ? priceValue : bar.High;
bar.Low = priceValue < bar.Low ? priceValue : bar.Low;
};
Candle lastCandle = null;
NewCandle += ohlcCandle =>
{
lastCandle = ohlcCandle;
};
DateTime? nextPeriodStart = null;
dataFeed.Second += time =>
{
if (!nextPeriodStart.HasValue)
{
nextPeriodStart = Misc.GetNextPeriodStart(time, duration, offset);
}
if (time < nextPeriodStart) return;
var thisCandle = bar != null ? bar.GetCandle() : lastCandle;
if (NewCandle != null) NewCandle(thisCandle);
lastCandle = thisCandle;
bar = null;
nextPeriodStart += duration;
};
}
public HaGenerator(OhlcBar.OhlcGenerator ohlcGenerator)
{
Candle lastHaBar = null;
ohlcGenerator.NewCandle += candle =>
{
if (candle == null)
{
if (NewCandle != null) NewCandle(null);
return;
}
var close = (candle.Open + candle.High + candle.Low + candle.Close) / 4;
var open = lastHaBar != null
? ((lastHaBar.Open + lastHaBar.Close) / 2)
: (candle.Open + candle.Close) / 2;
var high = Math.Max(Math.Max(candle.High, open), close);
var low = Math.Min(Math.Min(candle.Low, open), close);
var newCandle = new Candle(open, high, low, close);
if (NewCandle != null) NewCandle(newCandle);
lastHaBar = newCandle;
};
}