protected override ITradeStatisticsWithKind InternalExecute(ISecurity security)
{
var timeFrame = TimeFrameFactory.Create(TimeFrame, TimeFrameUnit);
int topTimeFrameNumber;
TimeFrameUnit topTimeFrameUnit;
TimeSpan topTimeFrame;
if (UseTopTimeFrame)
{
topTimeFrameNumber = TopTimeFrame;
topTimeFrameUnit = TopTimeFrameUnit;
topTimeFrame = TimeFrameFactory.Create(topTimeFrameNumber, topTimeFrameUnit);
if (topTimeFrame.Ticks % timeFrame.Ticks != 0)
{
throw new InvalidOperationException(string.Format(RM.GetString("TopTimeFrameMustBeDivisableByTimeFrame"), ToString(TopTimeFrame, topTimeFrameUnit), ToString(TimeFrame, TimeFrameUnit)));
}
}
else
{
var maxTimeSpan = TimeSpan.FromSeconds(int.MaxValue);
switch (TimeFrameUnit)
{
case TimeFrameUnit.Second:
topTimeFrameNumber = (int)maxTimeSpan.TotalSeconds;
break;
case TimeFrameUnit.Minute:
topTimeFrameNumber = (int)maxTimeSpan.TotalMinutes;
break;
case TimeFrameUnit.Hour:
topTimeFrameNumber = (int)maxTimeSpan.TotalHours;
break;
case TimeFrameUnit.Day:
topTimeFrameNumber = (int)maxTimeSpan.TotalDays;
break;
default:
throw new InvalidEnumArgumentException(nameof(TimeFrameUnit), (int)TimeFrameUnit, TimeFrameUnit.GetType());
}
topTimeFrameNumber = topTimeFrameNumber / TimeFrame * TimeFrame;
topTimeFrameUnit = TimeFrameUnit;
topTimeFrame = TimeFrameFactory.Create(topTimeFrameNumber, topTimeFrameUnit);
}
var runTime = Context.Runtime;
var id = runTime != null?string.Join(".", runTime.TradeName, runTime.IsAgentMode, VariableId) : VariableId;
var stateId = string.Join(".", security.Symbol, security.Interval, security.IsAligned, CombinePricesCount, TimeFrameKind, TimeFrame, TimeFrameUnit, topTimeFrameNumber, topTimeFrameUnit);
var tradeStatistics = Context.GetTradeStatistics(stateId, () => new TradeStatistics(id, stateId, GetTradeHistogramsCache(security), TimeFrameKind, timeFrame, TimeFrameUnit, topTimeFrame));
return(new TradeStatisticsWithKind(tradeStatistics, Kind, WidthPercent));
}
protected override ITradeStatisticsWithKind InternalExecute(ISecurity security)
{
var timeFrame = TimeFrameFactory.Create(TimeFrame, TimeFrameUnit);
var timeFrameShift = TimeFrameFactory.Create(TimeFrameShift, TimeFrameShiftUnit);
var runTime = Context.Runtime;
var id = runTime != null?string.Join(".", runTime.TradeName, runTime.IsAgentMode, VariableId) : VariableId;
var stateId = string.Join(".", security.Symbol, security.Interval, security.IsAligned, CombinePricesCount, TimeFrameKind, TimeFrame, TimeFrameUnit, TimeFrameShift, TimeFrameShiftUnit);
var tradeStatistics = Context.GetTradeStatistics(stateId, () => new LastTradeStatistics(id, stateId, GetTradeHistogramsCache(security), TimeFrameKind, timeFrame, TimeFrameUnit, timeFrameShift, TimeFrameShiftUnit));
return(new TradeStatisticsWithKind(tradeStatistics, Kind, WidthPercent));
}
public IList <double> Execute(ISecurity security)
{
if (security == null)
{
throw new ArgumentNullException(nameof(security));
}
if (TimeFrame <= 0)
{
throw new ArgumentOutOfRangeException(nameof(TimeFrame));
}
var timeFrame = TimeFrameFactory.Create(TimeFrame, TimeFrameUnit);
var bars = security.Bars;
if (bars.Count == 0)
{
return(EmptyArrays.Double);
}
if (bars.Count == 1)
{
return new[] { bars[0].Volume }
}
;
DateTime firstDateTime, lastDateTime;
TimeFrameUtils.GetFirstBounds(timeFrame, bars[0].Date, out firstDateTime, out lastDateTime);
var results = Context?.GetArray <double>(bars.Count) ?? new double[bars.Count];
for (int i = 0, firstIndex = 0; i <= results.Length; i++)
{
if (i == results.Length || bars[i].Date >= lastDateTime)
{
var count = i - firstIndex;
if (count > 0)
{
var result = 0D;
switch (ValueMode)
{
case ValueForPeriodMode.Sum:
for (int j = 0, index = firstIndex; j < count; j++, index++)
{
result += GetValue(security, index);
results[index] = result;
}
break;
case ValueForPeriodMode.Average:
for (int j = 0, index = firstIndex; j < count; j++, index++)
{
result += GetValue(security, index);
results[index] = result / (j + 1);
}
break;
default:
throw new InvalidEnumArgumentException(nameof(ValueMode), (int)ValueMode, ValueMode.GetType());
}
}
if (i == results.Length)
{
break;
}
TimeFrameUtils.GetBounds(timeFrame, bars[i].Date, ref firstDateTime, ref lastDateTime);
firstIndex = i;
}
}
return(results);
}
public ISecurity Execute(ISecurity security)
{
var timeFrame = TimeFrameFactory.Create(TimeFrame, TimeFrameUnit);
return(new AlignedSecurity(security, timeFrame));
}
