private void CalculateGaps(Optional <double> previousClose)
{
double pc = 0;
previousClose.IfExistsThen(x =>
{
pc = x;
}).IfEmpty(() =>
{
// First candle is only used for gap calculation on new data
// (when previous close is not passed in) so removed from list
pc = DailyCandles[0].Close;
DailyCandles.RemoveAt(0);
});
double total = 0;
foreach (var candle in DailyCandles)
{
var gap = new Gap(pc, candle.Open, candle.Date.Date);
total += gap.AbsoluteGapPoints;
candle.Gap = gap;
pc = candle.Close;
}
_averageGapSize = total / DailyCandles.Count;
}
public void ClearData()
{
DailyCandles.Clear();
MinuteData.Clear();
UnfilledGaps.Clear();
GapFibRetraceLevels = NewFibRetraceDictionary();
GapFibExtensionLevels = NewFibExtensionDictionary();
}
public void DeriveDailyFromMinute(Del counter)
{
DailyCandles.Clear();
foreach (var(date, minuteCandles) in MinuteData)
{
var cash = false;
double high = 0;
var low = double.PositiveInfinity;
double open = 0;
double close = 0;
double previousClose = 0;
var length = minuteCandles.Count;
var i = 0;
foreach (var candle in minuteCandles)
{
if (!cash && candle.IsCash)
{
open = (candle.AskOpen - candle.BidOpen) / 2 + candle.BidOpen;
cash = true;
}
if (candle.AskHigh > high && candle.IsCash)
{
high = candle.AskHigh;
}
if (candle.BidLow < low && candle.IsCash)
{
low = candle.BidLow;
}
if (cash && !candle.IsCash)
{
close = previousClose;
cash = false;
}
previousClose = (candle.AskClose - candle.BidClose) / 2 + candle.BidClose;
// Handle cash only list
i++;
if (i == length && candle.IsCash)
{
close = (candle.AskClose - candle.BidClose) / 2 + candle.BidClose;
}
}
if (close != 0)
{
var dailyCandle = new DailyCandle(date, open, high, low, close, 0);
DailyCandles.Add(dailyCandle);
counter();
}
}
}
private void GenerateDetails()
{
var startDate = DateTime.MinValue;
var endDate = DateTime.MaxValue;
foreach (var dailyCandle in DailyCandles.Where(dailyCandle => MinuteData.ContainsKey(dailyCandle.Date.Date)))
{
startDate = dailyCandle.Date;
break;
}
for (var i = DailyCandles.Count - 1; i > 0; i--)
{
if (MinuteData.ContainsKey(DailyCandles[i].Date.Date))
{
endDate = DailyCandles[i].Date;
break;
}
}
var high = double.MinValue;
var low = double.MaxValue;
var date = startDate;
var highTime = DateTime.MinValue;
var lowTime = DateTime.MinValue;
while (date <= endDate)
{
if (MinuteData.TryGetValue(date.Date, out var minuteCandles))
{
foreach (var candle in minuteCandles.Where(candle => candle.IsCash))
{
if (candle.AskHigh > high)
{
high = candle.AskHigh;
highTime = candle.DateTime;
}
if (candle.BidLow < low)
{
low = candle.BidLow;
lowTime = candle.DateTime;
}
}
}
date = date.AddDays(1);
}
var openTime = new TimeSpan(14, 30, 00);
var closeTime = new TimeSpan(21, 00, 00);
if (IsUkData)
{
openTime = new TimeSpan(8, 00, 00);
closeTime = new TimeSpan(16, 30, 00);
}
DataDetails = new DataDetails(startDate, endDate, high, highTime, low, lowTime, _averageGapSize, openTime,
closeTime);
}
