private void OnTradeBar(ITradeBar newCandle)
{
DateTime tclose = newCandle.Time;
DateTime topen = newCandle.OpenTime;
if (FormingCandle == null)
{
//tbere isn't any currently forming candle, create one using new candle as generator
var opeTime = GetOpenTime(newCandle.CloseTime, Resolution);
FormingCandle = new Candlestick(opeTime, newCandle, Resolution);
}
if (topen >= FormingCandle.CloseTime || tclose > FormingCandle.CloseTime)
{
//old candle is ended, the new candle is already part of the next one
OnConsolidated?.Invoke(FormingCandle);
//use new candle as generator
var opeTime = GetOpenTime(newCandle.CloseTime, Resolution);
FormingCandle = new Candlestick(opeTime, newCandle, Resolution);
}
else
{
//the new candle is part of the forming candle
FormingCandle.Merge(newCandle);
//check if candle is completed and emit it
if (tclose == FormingCandle.Time)
{
OnConsolidated?.Invoke(FormingCandle);
FormingCandle = null;
}
}
}
public ChartBarVol(ITradeBar c)
: base(c.Time.ToAxisDouble(), c.Open, c.High, c.Low, c.Close)
{
this.BuyVolume = c.Close > c.Open ? c.QuoteAssetVolume : 0;
this.SellVolume = c.Close > c.Open ? 0 : c.QuoteAssetVolume;
this.X = c.OpenTime.ToAxisDouble();
}
public ChartBar(ITradeBar c)
: base(0, c.High, c.Low, c.Open, c.Close)
{
var time = c.CloseTime - TimeSpan.FromSeconds(c.Timeframe.TotalSeconds / 2);
this.X = time.ToAxisDouble();
}
public void UpdateLastBar(ITradeBar bar)
{
if (LastBar == null || this.LastBar.Time < bar.Time)
{
this.LastBar = bar;
}
if (FirstBar == null || this.FirstBar.Time > bar.Time)
{
this.FirstBar = bar;
}
}
private void UpdateStartAndEnd(ITradeBar bar)
{
if (this.EndOfData < bar.Time)
{
this.EndOfData = bar.Time;
}
if (this.StartOfData > bar.Time)
{
this.StartOfData = bar.Time;
}
}
public bool TryGetRecord(DateTime time, out ITradeBar record)
{
record = null;
int ind = BinarySearchByOpenTime(time);
if (ind > -1)
{
record = Records[ind];
return(true);
}
else
{
return(false);
}
}
public ITradeBar GetLast(Func <ITradeBar, bool> criteria)
{
this.PositionPush();
this.SeekNearestPreceding(LastTickTime);
ITradeBar res = null;
while (this.Previous())
{
if (criteria(this.Tick))
{
res = this.Tick;
break;
}
}
this.PositionPop();
return(res);
}
/// <summary>
/// Adds a tradebar to currently loaded set
/// </summary>
/// <param name="c"></param>
public void AddBar(Candlestick c)
{
ITradeBar lastCandle = this.Ticks.Count > 0 ? this.Ticks[this.Ticks.Count - 1] : null;
if (c.Timeframe != this.Id.Resolution)
{
//throw new InvalidOperationException("Bad timeframe for candle");
Logger.Error("Bad timeframe for candle");
}
else
{
this.UpdateStartAndEnd(c);
//if this candle open is preceding last candle open we need to insert it in sorted fashion
var toAdd = c; //new Candlestick(c);
if (lastCandle?.OpenTime > toAdd.OpenTime)
{
int i = this.Ticks.BinarySearch(toAdd, CandlestickTimeComparer.Instance);
int index = i;
if (i > -1)
{
this.Ticks[index] = toAdd;
}
else
{
index = ~i;
this.Ticks.Insert(index, toAdd);
}
if (index > 0)
{
Debug.Assert(this.Ticks[index].OpenTime >= this.Ticks[index - 1].OpenTime);
}
if (index + 1 < this.Ticks.Count)
{
Debug.Assert(this.Ticks[index].OpenTime <= this.Ticks[index + 1].OpenTime);
}
}
else
{
this.Ticks.Add(toAdd);
}
}
}
internal void UpdateFirstKnownData(SymbolHistoryId info, ITradeBar firstAvailable)
{
var data = GetMetaDataInternal(info);
data.FirstKnownData = firstAvailable;
}
