private static List <InstrumentValuePair> ExpandValues(List <InstrumentValuePair> values)
{
List <InstrumentValuePair> ret = new List <InstrumentValuePair>();
InstrumentValuePair Prev = null;
foreach (var itr in values)
{
if (Prev == null)
{
Prev = itr;
continue;
}
//calculate the average value between the 2 points
Debug.Assert(Prev.Stamp < itr.Stamp); // values are in theory ordered by increasing timestamps
long TimeDiff = itr.Stamp - Prev.Stamp;
double DiffValue = Prev.SellValue - itr.SellValue;
double ValueIncrease = DiffValue / TimeDiff;
for (int i = 0; i < TimeDiff; i++)
{
ret.Add(new InstrumentValuePair(Prev.Stamp + i, Prev.SellValue + i * ValueIncrease));
}
Prev = itr;
}
return(ret);
}
public static double GetInstrumentAveragePricePeriod(string InstrumentName, long StartStamp, long EndStamp)
{
List <InstrumentValuePair> values = Globals.Persistency.GetInstrumentValues(InstrumentName, StartStamp, EndStamp);
double ValueSum = 0;
double ValueCount = 0;
InstrumentValuePair Prev = null;
foreach (var itr in values)
{
if (Prev == null)
{
Prev = itr;
continue;
}
//calculate the average value between the 2 points
Debug.Assert(Prev.Stamp < itr.Stamp); // values are in theory ordered by increasing timestamps
long TimeDiff = itr.Stamp - Prev.Stamp;
double AvgValue = (itr.SellValue + Prev.SellValue) / 2;
Debug.Assert(AvgValue < itr.SellValue * 1.10); // no more than 10% change is expected ?
Debug.Assert(AvgValue > itr.SellValue * 0.90); // no more than 10% change is expected ?
//we estimate 1 value for every second
ValueSum += AvgValue * TimeDiff;
ValueCount += TimeDiff;
Prev = itr;
}
return(ValueSum / ValueCount);
}