internal InputDataShift NormalizeInputData(DateTime startTime, DateTime endTime, long tickInPeriod, InputData inputData)
{
startTime = new DateTime((startTime.Ticks / tickInPeriod) * tickInPeriod).AddTicks(tickInPeriod);
DateTime currTime = startTime;
InputDataShift ids = new InputDataShift();
ids.Symbol = inputData.Symbol;
int iterator = 0;
if (inputData.Data[iterator].DateTime > currTime)
{
throw new ArgumentException("InputData contains less information than requested startTime");
}
GroupTick firstTick = null;
int shiftCounter = 0;
do
{
while (inputData.Data[iterator + 1].DateTime < currTime)
{
if (iterator + 1 >= inputData.Data.Count)
{
throw new ArgumentException("InputData contains less information than requested endTime");
}
iterator++;
}
if (firstTick == null)
{
firstTick = inputData.Data[iterator];
}
InputDataShift.GroupTickShift tickShift = new InputDataShift.GroupTickShift();
tickShift.GroupTick.CloseAsk = inputData.Data[iterator].CloseAsk - firstTick.CloseAsk;
tickShift.GroupTick.CloseBid = inputData.Data[iterator].CloseBid - firstTick.CloseBid;
tickShift.GroupTick.DateTime = currTime;
tickShift.GroupTick.MaxAsk = inputData.Data[iterator].MaxAsk - firstTick.MaxAsk;
tickShift.GroupTick.MaxBid = inputData.Data[iterator].MaxBid - firstTick.MaxBid;
tickShift.GroupTick.MinAsk = inputData.Data[iterator].MinAsk - firstTick.MinAsk;
tickShift.GroupTick.MinBid = inputData.Data[iterator].MinBid - firstTick.MinBid;
tickShift.GroupTick.OpenAsk = inputData.Data[iterator].OpenAsk - firstTick.OpenAsk;
tickShift.GroupTick.OpenBid = inputData.Data[iterator].OpenBid - firstTick.OpenBid;
tickShift.TimeShift = shiftCounter++;
ids.tickShift.Add(tickShift);
currTime = currTime.AddTicks(tickInPeriod);
} while (currTime <= endTime);
return(ids);
}
public InputData BuildForPeriod(IEnumerable <PartialQuote> partQuotes)
{
foreach (PartialQuote pq in partQuotes)
{
pq.Verify();
}
if (partQuotes.Sum(p => p.Coefficient) - 1 > Double.Epsilon)
{
throw new ArgumentException("Sum of coef is not equal 1");
}
List <GroupTick> listGroupTick = new List <GroupTick>();
for (int i = 0; i < dictDataShifts.Values.First().tickShift.Count; i++)
{
GroupTick newTick = new GroupTick();
double CloseAsk = StartValue;
double CloseBid = StartValue;
double MaxAsk = StartValue;
double MaxBid = StartValue;
double MinAsk = StartValue;
double MinBid = StartValue;
double OpenAsk = StartValue;
double OpenBid = StartValue;
bool isFirstTime = true;
foreach (PartialQuote pq in partQuotes)
{
InputDataShift currIDS = dictDataShifts[pq.Symbol];
if (isFirstTime)
{
newTick.DateTime = currIDS.tickShift[i].GroupTick.DateTime;
isFirstTime = false;
}
else
if (newTick.DateTime != currIDS.tickShift[i].GroupTick.DateTime)
{
throw new ApplicationException("newTick.DateTime != pq.inputDataShift.tickShift[i].GroupTick.DateTime");
}
CloseAsk += (pq.Coefficient * currIDS.tickShift[i].GroupTick.CloseAsk);
CloseBid += (pq.Coefficient * currIDS.tickShift[i].GroupTick.CloseBid);
MaxAsk += (pq.Coefficient * currIDS.tickShift[i].GroupTick.MaxAsk);
MaxBid += (pq.Coefficient * currIDS.tickShift[i].GroupTick.MaxBid);
MinAsk += (pq.Coefficient * currIDS.tickShift[i].GroupTick.MinAsk);
MinBid += (pq.Coefficient * currIDS.tickShift[i].GroupTick.MinBid);
OpenAsk += (pq.Coefficient * currIDS.tickShift[i].GroupTick.OpenAsk);
OpenBid += (pq.Coefficient * currIDS.tickShift[i].GroupTick.OpenBid);
}
newTick.CloseAsk = (int)CloseAsk;
newTick.CloseBid = (int)CloseBid;
newTick.MaxAsk = (int)MaxAsk;
newTick.MaxBid = (int)MaxBid;
newTick.MinAsk = (int)MinAsk;
newTick.MinBid = (int)MinBid;
newTick.OpenAsk = (int)OpenAsk;
newTick.OpenBid = (int)OpenBid;
listGroupTick.Add(newTick);
}
InputData resultPeriod = new InputData(listGroupTick);
resultPeriod.Symbol = partQuotes.Select(p => p.Name).ToString();
return(resultPeriod);
}
