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 Tick?PeekNext()
{
var tick = _tickStreamReader.PeekNext();
if (tick is null)
{
return(null);
}
_iterator.MoveUntil(tick.TimeStamp);
while (!_iterator.IsInSession)
{
_tickStreamReader.ReadNext();
tick = _tickStreamReader.PeekNext();
if (tick is null)
{
return(null);
}
_iterator.MoveUntil(tick.TimeStamp);
}
return(tick);
}
/// <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);
}