/// <summary>
/// Constructor
/// </summary>
/// <param name="timeframe">ForexConnect timeframe descriptor</param>
internal TimeframeItem(O2GTimeframe timeframe)
{
mTimeframe = timeframe;
DateTime start = DateTime.Now.AddDays(-1), end = DateTime.Now;
// parse the timeframe ID to get Quotes Manager timeframe descriptor
if (!CandlePeriod.parsePeriod(timeframe.ID, ref mTimeframeUnit, ref mTimeframeLength))
{
throw new ArgumentException("Invalide timeframe", "timeframe");
}
// get a candle in that timeframe to get it length
CandlePeriod.getCandle(DateTime.Now, ref start, ref end, mTimeframeUnit, mTimeframeLength, 0, 0);
mLength = end.Subtract(start);
}
/// <summary>
/// Handling one tick
/// </summary>
/// <param name="offer"></param>
private void HandleOffer(IOffer offer)
{
lock (mPeriods)
{
// calculate the start time of the period to which the tick belong to
DateTime start = DateTime.MinValue, end = DateTime.MinValue;
// calculate candle in EST time because the trading day is always closed by New York time
// so to avoid handling different hour depending on daylight saying time - use EST always
// for candle calculations
// NOTE: for real application this part can be optimized. The candle calculation
// is quite complex process, so it is better to avoid it when it is not actually required.
// the way to optimize it is to keep end time of the period and check whether the tick belongs to
// the period using the following condition start <= tick < end
// so the calculation of new candle will be used only when tick is actually >= of the end
// of the current candle.
CandlePeriod.getCandle(mController.UtcToEst(offer.LastUpdate), ref start, ref end, mTimeframeUnit, mTimeframeLength, mTradingDayOffset, -1);
start = mController.EstToUtc(start);
// calculate the serial number of minute (for easier comparing)
long currMinute = DateToMinute(offer.LastUpdate);
if (mPeriods.Count == 0)
{
// if here is no data in the collection yet - just add a dummy candle
mPeriods.Add(new Period(start, offer.Bid, offer.Ask, offer.MinuteVolume));
mLastMinute = currMinute;
mLastMinuteVolume = offer.MinuteVolume;
}
else
{
// otherwise get the most recent candle
Period period = mPeriods[mPeriods.Count - 1];
if (period.Time == start)
{
// if tick belongs to that period...
// update the latest (close) price of bid and ask bars
period._Ask.Close = offer.Ask;
period._Bid.Close = offer.Bid;
// if tick higher than high value of bars - update
if (period._Ask.High < offer.Ask)
{
period._Ask.High = offer.Ask;
}
if (period._Bid.High < offer.Bid)
{
period._Bid.High = offer.Bid;
}
// if tick lower than low value of bars - update
if (period._Ask.Low > offer.Ask)
{
period._Ask.Low = offer.Ask;
}
if (period._Bid.Low > offer.Bid)
{
period._Bid.Low = offer.Bid;
}
// here is a trick.
// we don't receive EVERY tick, so we can't simply count them.
// It is not a problem for calculating open, high, low and close, because
// the tick filter keeps every first, last, and the current extremum ticks
// In order to make the volume calculation also correct, the server
// broadcasts the accumulated tick volume for the current minute.
// so, if the tick belongs to the same minute as the previous tick -
// we must substract previous accumulated volume and add a new value.
// If the tick is the first tick of a new minute - we must simply
// add new accumulated value.
if (mLastMinute == currMinute)
{
period.Volume -= mLastMinuteVolume;
period.Volume += offer.MinuteVolume;
}
else if (currMinute > mLastMinute)
{
period.Volume += offer.MinuteVolume;
}
mLastMinute = currMinute;
mLastMinuteVolume = offer.MinuteVolume;
}
else if (period.Time < start)
{
// this is a first tick of new period, simply create this period
// please pay attention that we don't use the first tick as an open
// value but use the previous close instead.
// This is how the current system works by default.
// soon, here should be an option to use the first tick for the open
// price instead.
mPeriods.Add(period = new Period(start, period.Bid.Close, period.Ask.Close, offer.MinuteVolume));
// update the latest (close) price of bid and ask bars
period._Ask.Close = offer.Ask;
period._Bid.Close = offer.Bid;
// if tick higher than high value of bars - update
if (period._Ask.High < offer.Ask)
{
period._Ask.High = offer.Ask;
}
if (period._Bid.High < offer.Bid)
{
period._Bid.High = offer.Bid;
}
// if tick lower than low value of bars - update
if (period._Ask.Low > offer.Ask)
{
period._Ask.Low = offer.Ask;
}
if (period._Bid.Low > offer.Bid)
{
period._Bid.Low = offer.Bid;
}
mLastMinute = currMinute;
mLastMinuteVolume = offer.MinuteVolume;
}
else
{
// yep, it is possible that tick is older than the last candle.
// it may happen because we start to collect ticks actually BEFORE
// we sent the request to the server. So on the border of the minute
// it is possible that we "catch" some ticks of the previous
// minute
// so, simply ignore them
;
}
}
}
}
