private TimeFrameCandle GetCandle(ExecutionMessage tick)
{
var time = tick.ServerTime;
var price = tick.TradePrice.Value;
if (_candle == null || time >= _candle.CloseTime)
{
//var t = TimeframeSegmentDataSeries.GetTimeframePeriod(time.DateTime, _timeframe);
var tf = TimeSpan.FromMinutes(_timeframe);
var bounds = tf.GetCandleBounds(time, _security.Board);
_candle = new TimeFrameCandle
{
TimeFrame = tf,
OpenTime = bounds.Min,
CloseTime = bounds.Max,
};
_volumeProfile = new VolumeProfile();
_candle.OpenPrice = _candle.HighPrice = _candle.LowPrice = _candle.ClosePrice = price;
_volumeProfile.Update(new TickCandleBuilderSourceValue(_security, tick));
_allCandles.Add(_candle);
return _candle;
}
if (time < _candle.OpenTime)
throw new InvalidOperationException("invalid time");
if (price > _candle.HighPrice)
_candle.HighPrice = price;
if (price < _candle.LowPrice)
_candle.LowPrice = price;
_candle.ClosePrice = price;
_candle.TotalVolume += tick.Volume.Value;
_volumeProfile.Update(new TickCandleBuilderSourceValue(_security, tick));
return _candle;
}
private void AppendTick(Security security, ExecutionMessage tick)
{
var time = tick.ServerTime;
var price = tick.TradePrice.Value;
if (_candle == null || time >= _candle.CloseTime)
{
if (_candle != null)
{
var candle = (TimeFrameCandle)_candle.Clone();
_updatedCandles[candle.OpenTime] = candle;
_lastPrice = candle.ClosePrice;
}
//var t = TimeframeSegmentDataSeries.GetTimeframePeriod(time.DateTime, _timeframe);
var tf = TimeSpan.FromMinutes(_timeframe);
var bounds = tf.GetCandleBounds(time, _security.Board);
_candle = new TimeFrameCandle
{
TimeFrame = tf,
OpenTime = bounds.Min,
CloseTime = bounds.Max,
};
_volumeProfile = new VolumeProfile();
_candle.PriceLevels = _volumeProfile.PriceLevels;
_candle.OpenPrice = _candle.HighPrice = _candle.LowPrice = _candle.ClosePrice = price;
_volumeProfile.Update(new TickCandleBuilderSourceValue(security, tick));
}
if (time < _candle.OpenTime)
throw new InvalidOperationException("invalid time");
if (price > _candle.HighPrice)
_candle.HighPrice = price;
if (price < _candle.LowPrice)
_candle.LowPrice = price;
_candle.ClosePrice = price;
_candle.TotalVolume += tick.TradeVolume.Value;
_volumeProfile.Update(new TickCandleBuilderSourceValue(security, tick));
}
