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)
{
_candle.State = CandleStates.Finished;
lock (_updatedCandles.SyncRoot)
_updatedCandles[_candle.OpenTime] = _candle;
_lastPrice = _candle.ClosePrice;
_tradeGenerator.Process(tick);
}
//var t = TimeframeSegmentDataSeries.GetTimeframePeriod(time.DateTime, _timeframe);
var bounds = _timeframe.GetCandleBounds(time, security.Board);
_candle = new TimeFrameCandle
{
TimeFrame = _timeframe,
OpenTime = bounds.Min,
CloseTime = bounds.Max,
Security = security,
};
_volumeProfile = new CandleMessageVolumeProfile();
_candle.PriceLevels = _volumeProfile.PriceLevels;
_candle.OpenPrice = _candle.HighPrice = _candle.LowPrice = _candle.ClosePrice = price;
}
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(tick));
lock (_updatedCandles.SyncRoot)
_updatedCandles[_candle.OpenTime] = _candle;
}
/// <summary>
/// The total number of asks in the <see cref="CandleMessageVolumeProfile"/>.
/// </summary>
/// <param name="volumeProfile">Volume profile.</param>
/// <returns>The total number of asks.</returns>
public static decimal TotalSellCount(this CandleMessageVolumeProfile volumeProfile)
{
if (volumeProfile == null)
{
throw new ArgumentNullException(nameof(volumeProfile));
}
return(volumeProfile.PriceLevels.Select(p => p.SellCount).Sum());
}
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)
{
lock (_updatedCandles.SyncRoot)
_updatedCandles[_candle.OpenTime] = Tuple.Create(_candle, true);
_lastPrice = _candle.ClosePrice;
_tradeGenerator.Process(tick);
}
var bounds = _timeframe.GetCandleBounds(time, security.Board);
_candle = new TimeFrameCandle
{
TimeFrame = _timeframe,
OpenTime = bounds.Min,
CloseTime = bounds.Max,
Security = security,
};
_volumeProfile = new CandleMessageVolumeProfile();
_candle.PriceLevels = _volumeProfile.PriceLevels;
_candle.OpenPrice = _candle.HighPrice = _candle.LowPrice = _candle.ClosePrice = price;
}
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;
lock (_volumeProfile.PriceLevels)
_volumeProfile.Update(tick.TradePrice.Value, tick.TradeVolume, tick.OriginSide);
lock (_updatedCandles.SyncRoot)
_updatedCandles[_candle.OpenTime] = Tuple.Create(_candle, false);
}
/// <summary>
/// POC (Point Of Control) returns <see cref="CandlePriceLevel"/> which had the maximum volume.
/// </summary>
/// <param name="volumeProfile">Volume profile.</param>
/// <returns>The <see cref="CandlePriceLevel"/> which had the maximum volume.</returns>
public static CandlePriceLevel PoC(this CandleMessageVolumeProfile volumeProfile)
{
if (volumeProfile == null)
{
throw new ArgumentNullException(nameof(volumeProfile));
}
var max = volumeProfile.PriceLevels.Select(p => p.BuyVolume + p.SellVolume).Max();
return(volumeProfile.PriceLevels.FirstOrDefault(p => p.BuyVolume + p.SellVolume == max));
}
/// <summary>
/// It returns the price level at which the minimum <see cref="Delta"/> is passed.
/// </summary>
/// <param name="volumeProfile">Volume profile.</param>
/// <returns>The price level.</returns>
public static CandlePriceLevel PriceLevelOfMinDelta(this CandleMessageVolumeProfile volumeProfile)
{
if (volumeProfile == null)
{
throw new ArgumentNullException(nameof(volumeProfile));
}
var delta = volumeProfile.PriceLevels.Select(p => p.BuyVolume - p.SellVolume).Min();
return(volumeProfile.PriceLevels.FirstOrDefault(p => p.BuyVolume - p.SellVolume == delta));
}
/// <summary>
/// To update the profile with new value.
/// </summary>
/// <param name="volumeProfile">Volume profile.</param>
/// <param name="transform">The data source transformation.</param>
public static void Update(this CandleMessageVolumeProfile volumeProfile, ICandleBuilderValueTransform transform)
{
if (volumeProfile == null)
{
throw new ArgumentNullException(nameof(volumeProfile));
}
if (transform == null)
{
throw new ArgumentNullException(nameof(transform));
}
volumeProfile.Update(transform.Price, transform.Volume, transform.Side);
}
/// <summary>
/// To update the profile with new value.
/// </summary>
/// <param name="volumeProfile">Volume profile.</param>
/// <param name="value">Value.</param>
public static void Update(this CandleMessageVolumeProfile volumeProfile, ICandleBuilderSourceValue value)
{
if (volumeProfile == null)
{
throw new ArgumentNullException(nameof(volumeProfile));
}
if (value == null)
{
throw new ArgumentNullException(nameof(value));
}
volumeProfile.Update(value.Price, value.Volume, value.OrderDirection);
}
/// <summary>
/// To calculate the area for the candles group.
/// </summary>
/// <param name="candles">Candles.</param>
/// <returns>The area.</returns>
public static CandleMessageVolumeProfile GetValueArea(this IEnumerable <Candle> candles)
{
var area = new CandleMessageVolumeProfile();
foreach (var candle in candles)
{
if (candle.PriceLevels == null)
{
continue;
}
foreach (var priceLevel in candle.PriceLevels)
{
area.Update(priceLevel);
}
}
area.Calculate();
return(area);
}
/// <summary>
/// The total Delta which was below <see cref="PoC"/>.
/// </summary>
/// <param name="volumeProfile">Volume profile.</param>
/// <returns>Delta.</returns>
public static decimal DeltaBelowPoC(this CandleMessageVolumeProfile volumeProfile)
{
return(volumeProfile.BuyVolBelowPoC() - volumeProfile.SellVolBelowPoC());
}
/// <summary>
/// The difference between <see cref="TotalBuyVolume"/> and <see cref="TotalSellVolume"/>.
/// </summary>
/// <param name="volumeProfile">Volume profile.</param>
/// <returns>Delta.</returns>
public static decimal Delta(this CandleMessageVolumeProfile volumeProfile)
{
return(volumeProfile.TotalBuyVolume() - volumeProfile.TotalSellVolume());
}
/// <summary>
/// The total volume which was above <see cref="PoC"/>.
/// </summary>
/// <param name="volumeProfile">Volume profile.</param>
/// <returns>Total volume.</returns>
public static decimal VolumeAbovePoC(this CandleMessageVolumeProfile volumeProfile)
{
return(volumeProfile.BuyVolAbovePoC() + volumeProfile.SellVolAbovePoC());
}
/// <summary>
/// The total volume of asks which was below <see cref="PoC"/>.
/// </summary>
/// <param name="volumeProfile">Volume profile.</param>
/// <returns>The total volume of asks.</returns>
public static decimal SellVolBelowPoC(this CandleMessageVolumeProfile volumeProfile)
{
var poc = volumeProfile.PoC();
return(volumeProfile.PriceLevels.Where(p => p.Price < poc.Price).Select(p => p.SellVolume).Sum());
}
/// <summary>
/// The total volume of bids which was above <see cref="PoC"/>.
/// </summary>
/// <param name="volumeProfile">Volume profile.</param>
/// <returns>The total volume of bids.</returns>
public static decimal BuyVolAbovePoC(this CandleMessageVolumeProfile volumeProfile)
{
var poc = volumeProfile.PoC();
return(volumeProfile.PriceLevels.Where(p => p.Price > poc.Price).Select(p => p.BuyVolume).Sum());
}
