/// <summary>
/// Initializes a new instance of the <see cref="DepthCandleBuilderSourceValue"/>.
/// </summary>
/// <param name="message">Messages containing quotes.</param>
/// <param name="type">Type of candle depth based data.</param>
public QuoteCandleBuilderSourceValue(QuoteChangeMessage message, DepthCandleSourceTypes type)
{
QuoteChange = message;
Type = type;
switch (Type)
{
case DepthCandleSourceTypes.BestBid:
{
var bid = message.GetBestBid();
if (bid != null)
{
_price = bid.Price;
_volume = bid.Volume;
}
break;
}
case DepthCandleSourceTypes.BestAsk:
{
var ask = message.GetBestAsk();
if (ask != null)
{
_price = ask.Price;
_volume = ask.Volume;
}
break;
}
case DepthCandleSourceTypes.Middle:
{
var bid = message.GetBestBid();
var ask = message.GetBestAsk();
if (bid != null && ask != null)
{
_price = (ask.Price + bid.Price) / 2;
//_volume = pair.Bid.Volume;
}
break;
}
default:
throw new ArgumentOutOfRangeException();
}
}
/// <summary>
/// Initializes a new instance of the <see cref="DepthCandleBuilderSourceValue"/>.
/// </summary>
/// <param name="depth">Market depth.</param>
/// <param name="type">Type of candle depth based data.</param>
public DepthCandleBuilderSourceValue(MarketDepth depth, DepthCandleSourceTypes type)
{
Depth = depth;
Type = type;
var pair = Depth.BestPair;
if (pair != null)
{
switch (Type)
{
case DepthCandleSourceTypes.BestBid:
var bid = pair.Bid;
if (bid != null)
{
_price = bid.Price;
_volume = bid.Volume;
}
break;
case DepthCandleSourceTypes.BestAsk:
var ask = pair.Ask;
if (ask != null)
{
_price = ask.Price;
_volume = ask.Volume;
}
break;
case DepthCandleSourceTypes.Middle:
_price = pair.MiddlePrice ?? 0;
//_volume = pair.Bid.Volume;
break;
default:
throw new ArgumentOutOfRangeException();
}
}
}
/// <summary>
/// Initializes a new instance of the <see cref="CandleBuilderMessageAdapter"/>.
/// </summary>
/// <param name="innerAdapter">Inner message adapter.</param>
/// <param name="exchangeInfoProvider">The exchange boards provider.</param>
public CandleBuilderMessageAdapter(IMessageAdapter innerAdapter, IExchangeInfoProvider exchangeInfoProvider)
: base(innerAdapter)
{
if (exchangeInfoProvider == null)
{
throw new ArgumentNullException(nameof(exchangeInfoProvider));
}
_exchangeInfoProvider = exchangeInfoProvider;
BuildCandlesFrom = MarketDataTypes.Trades;
DepthCandleSourceType = DepthCandleSourceTypes.Middle;
_candleBuilders = new CandleBuildersList
{
new TimeFrameCandleBuilder(exchangeInfoProvider),
new TickCandleBuilder(),
new VolumeCandleBuilder(),
new RangeCandleBuilder(),
new RenkoCandleBuilder(),
new PnFCandleBuilder(),
};
}
/// <summary>
/// Initializes a new instance of the <see cref="MarketDepthStorageCandleBuilderSource"/>.
/// </summary>
/// <param name="type">Type of candle depth based data.</param>
public MarketDepthStorageCandleBuilderSource(DepthCandleSourceTypes type)
{
_type = type;
}
/// <summary>
/// To create candles from the order books collection.
/// </summary>
/// <param name="depths">Market depths.</param>
/// <param name="series">Candles series.</param>
/// <param name="type">Type of candle depth based data.</param>
/// <returns>Candles.</returns>
public static IEnumerable <CandleMessage> ToCandles(this IEnumerable <QuoteChangeMessage> depths, CandleSeries series, DepthCandleSourceTypes type)
{
return(depths
.ToEntities <QuoteChangeMessage, MarketDepth>(series.Security)
.ToCandles(series, type)
.ToMessages <Candle, CandleMessage>());
}
/// <summary>
/// To create candles from the order books collection.
/// </summary>
/// <param name="depths">Market depths.</param>
/// <param name="series">Candles series.</param>
/// <param name="type">Type of candle depth based data.</param>
/// <returns>Candles.</returns>
public static IEnumerable <Candle> ToCandles(this IEnumerable <MarketDepth> depths, CandleSeries series, DepthCandleSourceTypes type)
{
return(new CandleEnumerable(series, depths, type));
}
public CandleEnumerable(CandleSeries series, IEnumerable <MarketDepth> depths, DepthCandleSourceTypes type)
: base(() => new CandleEnumerator <MarketDepth>(series, depths, d => new DepthCandleBuilderSourceValue(d, type)))
{
if (series == null)
{
throw new ArgumentNullException(nameof(series));
}
if (depths == null)
{
throw new ArgumentNullException(nameof(depths));
}
}
/// <summary>
/// Initializes a new instance of the <see cref="DepthRawConvertableCandleBuilderSource"/>.
/// </summary>
/// <param name="security">The instrument whose data is passed to the source.</param>
/// <param name="from">The first time value.</param>
/// <param name="to">The last time value.</param>
/// <param name="values">Ready data collection.</param>
/// <param name="type">Type of candle depth based data.</param>
public DepthRawConvertableCandleBuilderSource(Security security, DateTimeOffset from, DateTimeOffset to, IEnumerable <MarketDepth> values, DepthCandleSourceTypes type)
: base(security, from, to, values)
{
_type = type;
}
/// <summary>
/// To create candles from the order books collection.
/// </summary>
/// <param name="depths">Market depths.</param>
/// <param name="series">Candles series.</param>
/// <param name="type">Type of candle depth based data.</param>
/// <param name="onlyFormed">Process only formed candles.</param>
/// <returns>Candles.</returns>
public static IEnumerable <CandleMessage> ToCandles(this IEnumerable <QuoteChangeMessage> depths, CandleSeries series, DepthCandleSourceTypes type = DepthCandleSourceTypes.Middle, bool onlyFormed = true)
{
return(new CandleMessageEnumerable(series.ToMarketDataMessage(true), onlyFormed, depths, type));
}
/// <summary>
/// To create candles from the order books collection.
/// </summary>
/// <param name="depths">Market depths.</param>
/// <param name="series">Candles series.</param>
/// <param name="type">Type of candle depth based data.</param>
/// <param name="onlyFormed">Process only formed candles.</param>
/// <returns>Candles.</returns>
public static IEnumerable <Candle> ToCandles(this IEnumerable <MarketDepth> depths, CandleSeries series, DepthCandleSourceTypes type = DepthCandleSourceTypes.Middle, bool onlyFormed = true)
{
return(depths
.ToMessages <MarketDepth, QuoteChangeMessage>()
.ToCandles(series, type, onlyFormed)
.ToCandles <Candle>(series.Security, series.CandleType));
}
public CandleMessageEnumerable(MarketDataMessage mdMsg, bool onlyFormed, IEnumerable <QuoteChangeMessage> depths, DepthCandleSourceTypes type)
: base(() => new CandleMessageEnumerator(mdMsg, onlyFormed, depths.Select(d => new QuoteCandleBuilderSourceValue(d, type))))
{
if (mdMsg == null)
{
throw new ArgumentNullException(nameof(mdMsg));
}
if (depths == null)
{
throw new ArgumentNullException(nameof(depths));
}
}
/// <summary>
/// Initializes a new instance of the <see cref="MarketDepthCandleBuilderSource"/>.
/// </summary>
/// <param name="connector">The connection through which changed order books will be received using the event <see cref="IConnector.MarketDepthsChanged"/>.</param>
/// <param name="type">Type of candle depth based data.</param>
public MarketDepthCandleBuilderSource(IConnector connector, DepthCandleSourceTypes type)
: base(connector)
{
_type = type;
Connector.MarketDepthsChanged += OnMarketDepthsChanged;
}
