public static IDictionary <string, IList <Candle> > BuildCandles(IDictionary <string, IDictionary <DateTime, decimal> > pHistoryData, int intervalMinutes)
{
Dictionary <string, IList <Candle> > _candles = new Dictionary <string, IList <Candle> >();
foreach (string rateName in pHistoryData.Keys)
{
IDictionary <DateTime, decimal> historyData = pHistoryData[rateName];
List <Candle> candles = new List <Candle>();
_candles.Add(rateName, candles);
if (historyData.Count() == 0)
{
continue;
}
DateTime minDate = historyData.Keys.Min();
DateTime lastDate = historyData.Keys.Max();
int firstIntervalStartMinute = ((minDate.Minute / 5) + 1) * 5;
int minutesDiff = firstIntervalStartMinute - minDate.Minute;
minDate = minDate.AddMinutes(minutesDiff);
DateTime firstIntervalStartDate = new DateTime(minDate.Year, minDate.Month, minDate.Day, minDate.Hour, minDate.Minute, 0);
DateTime currentTime = firstIntervalStartDate;
while (currentTime < lastDate)
{
DateTime nextTime = currentTime.AddMinutes(intervalMinutes);
Candle candle = new Candle();
candle.OpenTime = currentTime;
DateTime?openTime = null;
if (historyData.Keys.Where(item => item >= currentTime && item < nextTime).Count() > 0)
{
openTime = historyData.Keys.Where(item => item >= currentTime && item < nextTime).Min();
}
if (!openTime.HasValue)
{
currentTime = currentTime.AddMinutes(intervalMinutes);
continue;
}
DateTime?closeTime = null;
if (historyData.Keys.Where(item => item >= currentTime && item < nextTime).Count() > 0)
{
closeTime = historyData.Keys.Where(item => item >= currentTime && item < nextTime).Max();
}
if (!closeTime.HasValue)
{
currentTime = currentTime.AddMinutes(intervalMinutes);
continue;
}
candle.RateName = rateName;
candle.OpenPrice = historyData[openTime.Value];
candle.ClosePrice = historyData[closeTime.Value];
candle.HighPrice = historyData.Where(item => item.Key >= currentTime && item.Key < nextTime).Max(item => item.Value);
candle.LowPrice = historyData.Where(item => item.Key >= currentTime && item.Key < nextTime).Min(item => item.Value);
candles.Add(candle);
currentTime = currentTime.AddMinutes(intervalMinutes);
}
Candle lastCandle = candles.OrderBy(item => item.OpenTime).LastOrDefault();
if (lastCandle != null)
{
foreach (KeyValuePair <DateTime, decimal> pair in historyData.Where(item => item.Key >= lastCandle.OpenTime && item.Key < lastCandle.OpenTime.AddMinutes(intervalMinutes)))
{
lastCandle.AddNewData(pair.Key, pair.Value);
}
}
}
return(_candles);
}