public virtual long TR(OHLC prev)
{
// To do check the logic
// adjusted for Roll.
var adj_prevClose = prev.Close.Price + Offset;
var high_prevclose = Math.Abs(this.High.Price - adj_prevClose);
var low_prevclose = Math.Abs(this.Low.Price - adj_prevClose);
return(Math.Max(this.Range, Math.Max(low_prevclose, high_prevclose)));
}
public virtual int get_Offset(OHLC old)
{
int retVal = Offset;
// roll happened at end of bar and bar includes multiple contracts
if (old != null && old.Close.Security != this.Open.Security)
{
retVal += (int)(this.Open.Price - old.Close.Price);
}
return(retVal);
}
/// <summary>
/// Aggregates all the Ticks and creates OHLC bar
/// </summary>
/// <param name="source"></param>
/// <returns></returns>
public static IObservable <OHLC> OHLC(this IObservable <Tick> source)
{
return(source.Aggregate((OHLC)null,
(oh, tk) => {
// update or create (upsert) OHLC
if (oh != null)
{
oh.Add(tk);
}
else
{
oh = new OHLC(tk);
}
return oh;
}));
}
/// <summary>
/// Aggregates the ticks until the boundary Selector to create OHLC bar
/// and starts a new OHLC
/// </summary>
/// <param name="source"></param>
/// <param name="boundarySelector"></param>
/// <returns></returns>
internal static IObservable <OHLC> OHLC(this IObservable <Tick> source, Func <OHLC, Tick, bool> boundarySelector)
{
return(Observable.Create <OHLC>(obs => {
OHLC ohlc = null;
return source.Subscribe((tck) => {
if (ohlc == null || boundarySelector(ohlc, tck))
{
if (ohlc != null)
{
obs.OnNext(ohlc);
}
ohlc = new OHLC(tck);
}
else
{
ohlc.Add(tck);
}
}, obs.OnError, () => { obs.OnNext(ohlc); obs.OnCompleted(); });
}));
}
public virtual (int hr, int tr, int lr) DM(OHLC prev)
{
// To do adjust for Roll
return((int)(this.High.Price - prev.High.Price), (int)TR(prev), (int)(prev.Low.Price - this.Low.Price));
}