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;
}
/// <param name="approximateFirstMoveUntilDate">
/// Provide the approximate date of the first <see
/// cref="MoveUntil(TimeStamp)"/> method call so that we can initialize the
/// iterator so that the first <see cref="MoveUntil(TimeStamp)"/> call will
/// result in the conditions specified in the commenting for <see
/// cref="ISessionIterator"/>.
/// </param>
public TradingSessionIterator(TradingSessions tradingHours, DateStamp approximateFirstMoveUntilDate)
{
_tradingHours = tradingHours;
var at = new TimeStamp(approximateFirstMoveUntilDate.AddDays(-12).DateTime.Ticks);
Current = _tradingHours.GetActualSessionAt(at);
Next = _tradingHours.GetActualSessionAt(Current.SessionEnd.AddTicks(1));
MoveNext();
MoveNext();
CurrentTime = Current.SessionStart.AddTicks(1);
IsInSession = true;
IsFirstTickOfSession = true;
IsNewSession = true;
}
