public void GenAggrPrice(List <CDealClass> sourceLst, List <CDealClass> destLst)
{
int i = -1;
while (i < sourceLst.Count - 1)
{
//on first iteration first element,on next = last processed
if (i == -1)
{
dtBegin = sourceLst[0].DtTm;
}
else
{
dtBegin = dtEnd;
}
dtEnd = dtBegin.AddMilliseconds(_parPeriod);
CDealClass CDCCurr = null;
CAggrDealStruct AggrStrBuy = null;
CAggrDealStruct AggrStrSell = null;
//internal loop
//list finshed // less than interval end
while (i < sourceLst.Count - 1 && sourceLst[i + 1].DtTm <= dtEnd)
{
i++;
CDCCurr = sourceLst[i];
if (EnmDealDir.Buy == CDCCurr.DirDeal)
{
OnIterUpdate(CDCCurr, ref AggrStrBuy);
}
else
if (EnmDealDir.Sell == CDCCurr.DirDeal)
{
OnIterUpdate(CDCCurr, ref AggrStrSell);
}
}
//after inrernal loop finished calculate aggr data
if (AggrStrBuy != null)
{
OnCloseUpdate(AggrStrBuy);
destLst.Add(AggrStrBuy.DealClass);
}
if (AggrStrSell != null)
{
OnCloseUpdate(AggrStrSell);
destLst.Add(AggrStrSell.DealClass);
}
}
}
private void OnIterUpdate(CDealClass curr, ref CAggrDealStruct upd)
{
if (upd == null)
{
upd = new CAggrDealStruct();
}
upd.DealClass.DirDeal = curr.DirDeal;
upd.DealClass.Amount += curr.Amount;
upd.NumDeals++;
upd.Sum += curr.Amount * curr.Price;
UpdateMinMax(curr, ref upd);
//upd.Price += curr.Price; //for averaging on close
}
private void OnCloseUpdate(CAggrDealStruct ads)
{
// if (ads.DealClass.Amount == 0)
// System.Threading.Thread.Sleep(0);
//previously used algo
//ads.DealClass.Price = (ads.MaxPrice + ads.MinPrice)/2;
decimal price = ads.Sum / ads.DealClass.Amount;
ads.DealClass.Price = GetNormalizedPrice(price);
ads.DealClass.DtTm = dtBegin.AddMilliseconds(_parPeriod * 0.5);
ads.DtEnd = dtBegin;
ads.DtEnd = dtEnd;
}
private void UpdateMinMax(CDealClass curr, ref CAggrDealStruct upd)
{
if (upd.MinPrice == 0)
{
upd.MinPrice = curr.Price;
}
if (upd.MaxPrice == 0)
{
upd.MaxPrice = curr.Price;
}
if (upd.MinPrice < curr.Price)
{
upd.MinPrice = curr.Price;
}
if (upd.MaxPrice > curr.Price)
{
upd.MaxPrice = curr.Price;
}
}
