/// <summary>
/// Reads all ticks from the ITickStreamReader with TimeStamp property less
/// than <paramref name="until"/>.
/// </summary>
public static IEnumerable <Tick> ReadUntilJustBefore(this ITickStreamReader reader, TimeStamp until)
{
while (reader.GetTimestampNextTickOrMaxValue() < until)
{
yield return(reader.ReadNext() !);
}
}
/// <summary>
/// Reads all available ticks from the ITickStreamReader.
/// </summary>
public static IEnumerable <Tick> ReadRemaining(this ITickStreamReader reader)
{
while (reader.ReadNext() is Tick tick)
{
yield return(tick);
}
}
public SessionRespectingTickStreamReader(TradingSessions tradingSessions, ITickStreamReader tickStreamReader)
{
_tradingSessions = tradingSessions;
_tickStreamReader = tickStreamReader;
var timeOfFirstTick = tickStreamReader.PeekNext() !.TimeStamp;
var sessionDateOfFirstTick = _tradingSessions.GetActualSessionAt(timeOfFirstTick).SessionDate;
_iterator = new TradingSessionIterator(_tradingSessions, sessionDateOfFirstTick);
Instrument = tickStreamReader.Instrument;
}
public static string Dump(this ITickStreamReader reader, TimeZoneInfo timeZone)
{
var sb = new StringBuilder();
var converter = ConversionIterators.FromTimeStamp(timeZone);
foreach (var tick in reader.ReadRemaining())
{
sb.AppendLine($"{converter.GetDateTime(tick.TimeStamp).ToString("yyyy-MM-dd HH:mm:ss.fff")}\t{tick.Price}\t{tick.Volume}");
}
return(sb.ToString());
}
/// <summary>
/// Gets the TimeStamp property of the "PeekTick" in the ITickStreamReader.
/// Returns TimeStamp.MaxValue if no peek tick is available.
/// </summary>
public static TimeStamp GetTimestampNextTickOrMaxValue(this ITickStreamReader reader)
{
var peekTick = reader.PeekNext();
return(peekTick is null ? TimeStamp.MaxValue : peekTick.TimeStamp);
}
/// <summary>
/// Sets up the tick stream reader so that the next tick it returns via
/// ReadNext() will have a timestampLocal property >= until.
/// </summary>
public static void MoveUntil(this ITickStreamReader reader, TimeStamp until)
{
// don't forget to call Count or something similar to actually run the
// enumerator.
reader.ReadUntilJustBefore(until).Count();
}
