public Candle SubCandle(DateTimeOffset now, ETimeFrame time_frame)
{
// Interpolate the latest candle to determine the spot price
var t = Math_.Frac(Timestamp, now.Ticks, Timestamp + Misc.TimeFrameToTicks(1.0, time_frame));
return(SubCandle(Math_.Clamp(t, 0.0, 1.0)));
}
/// <summary>
/// Emulate the behaviour of the update thread by notifying of
/// 'DataChanged' as the simulation time advances.</summary>
public void SimulationUpdate(bool force_invalidate)
{
// Don't actually modify the DB.
var now = Model.UtcNow.Ticks;
// Determine the update type by comparing the sim time to the time stamp of the current candle.
// This is a "new" candle the sim time is within one TimeFrame period after the current candle.
// This is an update to the "latest" candle if within a TimeFrame period of the current candle.
// Otherwise it's an unknown range.
var tf_ticks = Misc.TimeFrameToTicks(1.0, TimeFrame);
var update_type =
m_current == null || force_invalidate ? DataEventArgs.EUpdateType.Range :
now.Within(m_current.Timestamp + 1 * tf_ticks, m_current.Timestamp + 2 * tf_ticks) ? DataEventArgs.EUpdateType.New :
now.Within(m_current.Timestamp, m_current.Timestamp + 1 * tf_ticks) ? DataEventArgs.EUpdateType.Current :
DataEventArgs.EUpdateType.Range;
// Record the last time data was received
LastUpdatedUTC = Model.UtcNow;
// Update/Invalidate cached values
switch (update_type)
{
case DataEventArgs.EUpdateType.New:
{
// Invalidate 'm_current' so that the next candle is read from the DB.
// Don't change m_total, m_newest, or m_oldest, they are constant during simulations.
m_current = null;
var count = CountTo(now);
OnDataChanged(new DataEventArgs(update_type, this, new RangeI(count - 1, count), Current));
break;
}
case DataEventArgs.EUpdateType.Current:
{
// Nothing to invalidate. 'Current' does sub candle interpolation in back-testing mode.
var count = CountTo(now);
OnDataChanged(new DataEventArgs(update_type, this, new RangeI(count - 1, count), Current));
break;
}
default:
{
// 'now' has moved to an unknown time. Just invalidate 'm_current'
m_current = CurrentAt(now);
OnDataChanged(new DataEventArgs(this));
break;
}
}
}
/// <summary>Returns the age of this candle as a normalised fraction of the time frame</summary>
public double Age(Instrument instr)
{
var one = Misc.TimeFrameToTicks(1.0, instr.TimeFrame);
var age_ticks = Model.UtcNow.Ticks - Timestamp;
if (age_ticks < 0)
{
return(0.0);
}
if (age_ticks > one)
{
return(1.0);
}
return(Math_.Frac(0.0, age_ticks, one));
}
/// <summary>Add a candle value to the database</summary>
private void Add(ETimeFrame tf, Candle candle)
{
// Sanity check
Debug.Assert(candle.Valid());
Debug.Assert(candle.Timestamp != 0);
Debug.Assert(tf != ETimeFrame.None);
Debug.Assert(tf == TimeFrame);
if (Model.BackTesting)
{
throw new Exception("Should not be adding candles to the DB while back testing");
}
// This is a new candle if it's time stamp is one TimeFrame period after the Newest candle.
// This is an update to the latest candle if within a TimeFrame period of the Newest candle.
// Otherwise it's an unknown range.
var tf_ticks = Misc.TimeFrameToTicks(1.0, TimeFrame);
var update_type =
Newest == null ? DataEventArgs.EUpdateType.Range :
candle.Timestamp == Newest.Timestamp + tf_ticks ? DataEventArgs.EUpdateType.New :
candle.Timestamp.Within(Newest.Timestamp, Newest.Timestamp + tf_ticks) ? DataEventArgs.EUpdateType.Current :
DataEventArgs.EUpdateType.Range;
// Insert the candle into the database
UpsertCandle(candle);
// Record the last time data was received
LastUpdatedUTC = Model.UtcNow;
// Update/Invalidate cached values
switch (update_type)
{
case DataEventArgs.EUpdateType.New:
{
m_newest = candle;
m_current = m_newest;
m_total += 1;
break;
}
case DataEventArgs.EUpdateType.Current:
{
m_newest.Update(candle);
m_current = m_newest;
break;
}
default:
{
// This must be an update to some random candle in the middle.
// Just invalidate the cached values. Shouldn't ever happen really.
m_total = null;
m_newest = null;
m_oldest = null;
m_current = null;
break;
}
}
// Notify data added/changed
OnDataChanged(new DataEventArgs(update_type, this, new RangeI(Count - 1, Count), candle));
}
public TimeFrameTime(double tf_units, ETimeFrame tf)
: this(Misc.TimeFrameToTicks(tf_units, tf), tf)
{
}
