public void ProcessCandles(CandlesUpdatedEvent candleEvent)
{
foreach (var candle in candleEvent.Candles)
{
if (candle.TimeInterval != CandleTimeInterval.Minute)
{
continue;
}
if (candle.PriceType != CandlePriceType.Ask && candle.PriceType != CandlePriceType.Bid)
{
continue;
}
var candlestick = new OutCandlestick
{
AssetPairId = candle.AssetPairId,
IsAsk = candle.PriceType == CandlePriceType.Ask,
High = (decimal)candle.High,
Low = (decimal)candle.Low,
Open = (decimal)candle.Open,
Close = (decimal)candle.Close,
Start = DateTimeConverter.Convert(candle.CandleTimestamp),
Finish = DateTimeConverter.Convert(candle.ChangeTimestamp),
};
string key = GetKey(candle);
var start = candle.CandleTimestamp;
if (_candlesDict.ContainsKey(key))
{
var datesDict = _candlesDict[key];
if (datesDict.ContainsKey(start))
{
datesDict[start] = Merge(datesDict[start], candlestick);
}
else
{
datesDict.Add(start, candlestick);
}
}
else
{
var datesDict = new Dictionary <DateTime, OutCandlestick>
{
{ start, candlestick },
};
_candlesDict.Add(key, datesDict);
}
}
}
public TablesStructure GetTablesStructure()
{
return(new TablesStructure
{
Tables = new List <TableStructure>
{
new TableStructure
{
TableName = "Candlesticks",
AzureBlobFolder = MainContainer,
Columns = OutCandlestick.GetStructure()
.Select(p => new ColumnInfo {
ColumnName = p.Item1, ColumnType = p.Item2
})
.ToList(),
}
},
});
}
private OutCandlestick Merge(OutCandlestick oldItem, OutCandlestick newItem)
{
if (newItem.High > oldItem.High)
{
oldItem.High = newItem.High;
}
if (newItem.Low < oldItem.Low)
{
oldItem.Low = newItem.Low;
}
if (newItem.Start.CompareTo(oldItem.Start) > 0)
{
oldItem.Close = newItem.Close;
oldItem.Finish = newItem.Finish;
}
else if (newItem.Start.CompareTo(oldItem.Start) < 0)
{
oldItem.Open = newItem.Open;
oldItem.Start = newItem.Start;
}
return(oldItem);
}