private IndicatorDataItem FindIndicatorDataItem(Dictionary <int, IndicatorDataItem> indicatorDataItems, DateTime targetDate, ref int offset)
{
IndicatorDataItem result = null;
for (int index = offset + 1; index < indicatorDataItems.Count; index++)
{
if (indicatorDataItems[index].Time == targetDate)
{
result = indicatorDataItems[index];
}
else if (indicatorDataItems[index].Time > targetDate)
{
break;
}
offset = index;
}
return(result);
}
public StrategyDataFrame GetStrategyDataFrame(DateTime targetDate, int frameSize)
{
strategyDataFrame.Clear();
BarItem[] bars = pricebarCache.SelectBars(targetDate, frameSize);
DateTime frameStartDate = bars[0].Time;
DateTime frameEndDate = bars[bars.Length - 1].Time;
StrategyDataItem[] strategyDataItems = this.GetStrategies(frameStartDate, frameEndDate);
Dictionary <string, Dictionary <int, IndicatorDataItem> > indicatorDataItems = new Dictionary <string, Dictionary <int, IndicatorDataItem> >();
foreach (KeyValuePair <string, IndicatorCache> indicator in indicatorCacheList)
{
indicatorDataItems.Add(indicator.Key, indicator.Value.SelectIndicators(frameStartDate, frameEndDate, frameSize));
}
int signalOffset = 0;
foreach (BarItem bar in bars)
{
List <StrategyDataItem> signals = FindStrategyDataItem(strategyDataItems, bar.Time, ref signalOffset);
Dictionary <string, IndicatorDataItem> indicators = new Dictionary <string, IndicatorDataItem>();
Dictionary <string, int> indicatorOffsets = new Dictionary <string, int>();
foreach (KeyValuePair <string, IndicatorCache> indicator in indicatorCacheList)
{
indicatorOffsets.Add(indicator.Key, 0);
}
foreach (KeyValuePair <string, IndicatorCache> indicator in indicatorCacheList)
{
int indicatorOffset = indicatorOffsets[indicator.Key];
IndicatorDataItem indicatorDataItem = FindIndicatorDataItem(indicatorDataItems[indicator.Key], bar.Time, ref indicatorOffset);
if (indicatorDataItem != null)
{
indicators.Add(indicator.Key, indicatorDataItem);
}
indicatorOffsets[indicator.Key] = indicatorOffset;
}
//strategyDataFrame.Add(bar.Time, new StrategyDataFrameItem(bar, signals, indicators));
}
return(strategyDataFrame);
}