protected Extremum GetExtremum(IBaseTradeStatisticsWithKind tradeStatistics, IAggregatedHistogramBarsProvider aggregatedHistogramBarsProvider, int barIndex, ref double lastPrice)
{
var bars = aggregatedHistogramBarsProvider.GetAggregatedHistogramBars(barIndex);
if (bars.Count == 0)
{
return(new Extremum(null, double.NaN, lastPrice));
}
if (bars.Count == 1)
{
var bar = bars[0];
return(new Extremum(bar, Math.Abs(tradeStatistics.GetValue(bar)), lastPrice = bar.AveragePrice));
}
IEnumerable <ITradeHistogramBar> orderedBars;
switch (PriceMode)
{
case ExtremumPriceMode.Minimum:
orderedBars = bars;
break;
case ExtremumPriceMode.Maximum:
orderedBars = bars.Reverse();
break;
default:
throw new InvalidEnumArgumentException(nameof(PriceMode), (int)PriceMode, PriceMode.GetType());
}
var extremumBar = orderedBars.First();
var extremumValue = Math.Abs(tradeStatistics.GetValue(extremumBar));
foreach (var bar in orderedBars.Skip(1))
{
var value = Math.Abs(tradeStatistics.GetValue(bar));
if (extremumValue < value)
{
extremumBar = bar;
extremumValue = value;
}
}
return(new Extremum(extremumBar, extremumValue, lastPrice = extremumBar.AveragePrice));
}
private double GetPrice(IBaseTradeStatisticsWithKind tradeStatistics, IAggregatedHistogramBarsProvider aggregatedHistogramBarsProvider, int barIndex, double lastPrice)
{
var bars = aggregatedHistogramBarsProvider.GetAggregatedHistogramBars(barIndex);
if (bars.Count == 0)
{
return(lastPrice);
}
var allValuesSum = bars.Sum(item => Math.Abs(tradeStatistics.GetValue(item)));
if (allValuesSum == 0)
{
return(lastPrice);
}
var trimLevelPercent = TrimLevelPercent;
if (trimLevelPercent == 0)
{
return(GetFirstPrice(bars));
}
if (trimLevelPercent == 100)
{
return(GetLastPrice(bars));
}
var edgeValuesSum = allValuesSum * trimLevelPercent / 100;
foreach (var bar in GetOrderedBars(bars))
{
var value = Math.Abs(tradeStatistics.GetValue(bar));
if (edgeValuesSum <= value)
{
var result = GetPrice(bar, edgeValuesSum / value);
return(result);
}
edgeValuesSum -= value;
}
return(GetLastPrice(bars));
}
