public ISecurity Execute(ISecurity source)
{
var bars = source.Bars.Select(
bar =>
{
var babar = bar as IBar;
var nbar = babar == null
? new DataBar()
: new BidAskBar
{
Ask = Math.Ceiling(babar.Ask * Coef),
Bid = Math.Ceiling(babar.Bid * Coef),
AskQty = babar.AskQty,
BidQty = babar.BidQty,
StepPrice = babar.StepPrice,
Volatility = babar.Volatility,
TheoreticalPrice = babar.TheoreticalPrice,
};
nbar.Date = bar.Date;
nbar.Open = Math.Ceiling(bar.Open * Coef);
nbar.High = Math.Ceiling(bar.High * Coef);
nbar.Low = Math.Ceiling(bar.Low * Coef);
nbar.Close = Math.Ceiling(bar.Close * Coef);
nbar.Volume = bar.Volume;
nbar.Interest = bar.Interest;
return(nbar);
});
return(source.CloneAndReplaceBars(bars));
}
public ISecurity Execute(ISecurity source, IList <double> src2)
{
var dcf = Math.Pow(10, Decimals);
var bars = new List <IDataBar>(source.Bars.Count);
for (int i = 0; i < source.Bars.Count; i++)
{
var bar = source.Bars[i];
var s2 = src2.Count == 0 ? 0 : src2[Math.Min(i, src2.Count - 1)];
var coef = Coef * 1 / Math.Max(s2, 1e-10) * dcf;
var babar = bar as IBar;
var nbar = babar == null
? new DataBar()
: new BidAskBar
{
Ask = Math.Ceiling(babar.Ask * coef) / dcf,
Bid = Math.Ceiling(babar.Bid * coef) / dcf,
AskQty = babar.AskQty,
BidQty = babar.BidQty,
StepPrice = babar.StepPrice,
Volatility = babar.Volatility,
TheoreticalPrice = babar.TheoreticalPrice,
};
nbar.Date = bar.Date;
nbar.Open = Math.Ceiling(bar.Open * coef) / dcf;
nbar.High = Math.Ceiling(bar.High * coef) / dcf;
nbar.Low = Math.Ceiling(bar.Low * coef) / dcf;
nbar.Close = Math.Ceiling(bar.Close * coef) / dcf;
nbar.Volume = bar.Volume;
nbar.Interest = bar.Interest;
bars.Add(nbar);
}
return(source.CloneAndReplaceBars(bars));
}
public ISecurity Execute(ISecurity sec)
{
var ValCount = sec.Bars.Count;
int prevhour = 0;
IList <Bar> NewBars = new List <Bar>();
foreach (var bar in sec.Bars)
{
if (bar.Date.Hour - prevhour > 1 && prevhour > 0)
{
for (int i = 1; i < bar.Date.Hour - prevhour; i++)
{
Bar newbar = new Bar(bar.Color, bar.Date.AddHours(1), bar.Open, bar.High, bar.Low, bar.Close, bar.Volume);
NewBars.Add(newbar);
}
}
NewBars.Add(bar);
prevhour = bar.Date.Hour;
}
ISecurity newsec = sec.CloneAndReplaceBars(NewBars);
return(newsec);
}
