/// <inheritdoc />
protected override RangeCandleMessage CreateCandle(MarketDataMessage message, RangeCandleMessage currentCandle, ICandleBuilderValueTransform transform)
{
var time = transform.Time;
return(FirstInitCandle(message, new RangeCandleMessage
{
PriceRange = message.GetArg <Unit>(),
OpenTime = time,
CloseTime = time,
HighTime = time,
LowTime = time,
}, transform));
}
/// <inheritdoc />
protected override TickCandleMessage CreateCandle(MarketDataMessage message, TickCandleMessage currentCandle, ICandleBuilderValueTransform transform)
{
var time = transform.Time;
return(FirstInitCandle(message, new TickCandleMessage
{
MaxTradeCount = message.GetArg <int>(),
OpenTime = time,
CloseTime = time,
HighTime = time,
LowTime = time,
}, transform));
}
/// <inheritdoc />
public override void Process(MarketDataMessage message, CandleMessage currentCandle, ICandleBuilderValueTransform transform, IList <CandleMessage> changes)
{
var currentRenkoCandle = (RenkoCandleMessage)currentCandle;
var price = transform.Price;
var volume = transform.Volume;
var time = transform.Time;
var side = transform.Side;
var oi = transform.OpenInterest;
var boxSize = message.GetArg <Unit>();
var renkoStep = (decimal)(1 * boxSize);
if (currentRenkoCandle == null)
{
var openPrice = price.Floor(renkoStep);
changes.Add(CreateCandle(message, boxSize, openPrice, renkoStep, price, volume, side, time, oi));
}
else
{
if (currentRenkoCandle.LowPrice <= price && price <= currentRenkoCandle.HighPrice)
{
currentRenkoCandle.TotalTicks++;
if (volume != null)
{
currentRenkoCandle.TotalVolume += volume.Value;
currentRenkoCandle.TotalPrice += volume.Value * price;
currentRenkoCandle.RelativeVolume += side == Sides.Buy ? volume : -volume;
}
currentRenkoCandle.CloseVolume = volume;
currentRenkoCandle.CloseTime = time;
currentRenkoCandle.VolumeProfile?.Update(price, volume, side);
currentRenkoCandle.OpenInterest = oi;
changes.Add(currentRenkoCandle);
}
else
{
currentRenkoCandle.State = CandleStates.Finished;
changes.Add(currentRenkoCandle);
int times;
bool isUp;
decimal openPrice;
if (price < currentRenkoCandle.LowPrice)
{
times = (int)((currentRenkoCandle.LowPrice - price) / renkoStep) + 1;
isUp = false;
openPrice = currentRenkoCandle.LowPrice;
}
else
{
times = (int)((price - currentRenkoCandle.HighPrice) / renkoStep) + 1;
isUp = true;
openPrice = currentRenkoCandle.HighPrice;
}
for (var i = 0; i < times; i++)
{
if (isUp)
{
currentRenkoCandle = CreateCandle(message, boxSize, openPrice, renkoStep, price, volume, side, time, oi);
changes.Add(currentRenkoCandle);
openPrice += renkoStep;
}
else
{
currentRenkoCandle = CreateCandle(message, boxSize, openPrice, -renkoStep, price, volume, side, time, oi);
changes.Add(currentRenkoCandle);
openPrice -= renkoStep;
}
currentRenkoCandle.State = CandleStates.Finished;
}
currentRenkoCandle.State = CandleStates.Active;
}
}
}
/// <inheritdoc />
public override void Process(MarketDataMessage message, CandleMessage currentCandle, ICandleBuilderValueTransform transform, IList <CandleMessage> changes)
{
var currentPnFCandle = (PnFCandleMessage)currentCandle;
var price = transform.Price;
var volume = transform.Volume;
var time = transform.Time;
var side = transform.Side;
var oi = transform.OpenInterest;
var pnf = message.GetArg <PnFArg>();
var pnfStep = (decimal)(1 * pnf.BoxSize);
if (currentPnFCandle == null)
{
var openPrice = price.Floor(pnfStep);
var highPrice = openPrice + pnfStep;
changes.Add(CreateCandle(message, pnf, openPrice, highPrice, openPrice, highPrice, price, volume, side, time, oi));
}
else
{
if (currentPnFCandle.LowPrice <= price && price <= currentPnFCandle.HighPrice)
{
UpdateCandle(currentPnFCandle, price, volume, time, side, oi);
changes.Add(currentPnFCandle);
}
else
{
var isX = currentPnFCandle.OpenPrice < currentPnFCandle.ClosePrice;
if (isX)
{
if (price > currentPnFCandle.HighPrice)
{
currentPnFCandle.HighPrice = currentPnFCandle.ClosePrice = price.Floor(pnfStep) + pnfStep;
UpdateCandle(currentPnFCandle, price, volume, time, side, oi);
changes.Add(currentPnFCandle);
}
else if (price < (currentPnFCandle.HighPrice - pnfStep * pnf.ReversalAmount))
{
currentPnFCandle.State = CandleStates.Finished;
changes.Add(currentPnFCandle);
var highPrice = currentPnFCandle.HighPrice - pnfStep;
var lowPrice = price.Floor(pnfStep);
currentPnFCandle = CreateCandle(message, pnf, highPrice, highPrice, lowPrice, lowPrice, price, volume, side, time, oi);
changes.Add(currentPnFCandle);
}
else
{
UpdateCandle(currentPnFCandle, price, volume, time, side, oi);
changes.Add(currentPnFCandle);
}
}
else
{
if (price < currentPnFCandle.LowPrice)
{
currentPnFCandle.LowPrice = currentPnFCandle.ClosePrice = price.Floor(pnfStep);
UpdateCandle(currentPnFCandle, price, volume, time, side, oi);
changes.Add(currentPnFCandle);
}
else if (price > (currentPnFCandle.LowPrice + pnfStep * pnf.ReversalAmount))
{
currentPnFCandle.State = CandleStates.Finished;
changes.Add(currentPnFCandle);
var highPrice = price.Floor(pnfStep) + pnfStep;
var lowPrice = currentPnFCandle.LowPrice + pnfStep;
currentPnFCandle = CreateCandle(message, pnf, lowPrice, highPrice, lowPrice, highPrice, price, volume, side, time, oi);
changes.Add(currentPnFCandle);
}
else
{
UpdateCandle(currentPnFCandle, price, volume, time, side, oi);
changes.Add(currentPnFCandle);
}
}
}
}
}