private double[][] GetPriceVectors(IEnumerable <Slice> slices)
{
var symbols = Securities.Select(x => x.Symbol).ToArray();
var timeZones = Securities.ToDictionary(x => x.Symbol, y => y.Exchange.TimeZone);
// Special case: daily data and securities from different timezone
var isDailyAndMultipleTimeZone = _resolution == Resolution.Daily && timeZones.Values.Distinct().Count() > 1;
var bars = new List <BaseData>();
if (isDailyAndMultipleTimeZone)
{
bars.AddRange(slices
.GroupBy(x => x.Time.Date)
.Where(x => x.Sum(k => k.Count) == symbols.Length)
.SelectMany(x => x.SelectMany(y => y.Values)));
}
else
{
bars.AddRange(slices
.Where(x => x.Count == symbols.Length)
.SelectMany(x => x.Values));
}
return(bars
.GroupBy(x => x.Symbol)
.Select(x =>
{
var array = x.Select(b => Math.Log((double)b.Price)).ToArray();
if (array.Length > 1)
{
for (var i = array.Length - 1; i > 0; i--)
{
array[i] = array[i] - array[i - 1];
}
array[0] = array[1];
return array;
}
else
{
return new double[0];
}
}).ToArray());
}