/// <summary>
/// Creates a new iterator instance.
/// </summary>
/// <param name="sequence">An existing sequence instance.</param>
/// <exception cref="System.ArgumentNullException">if sequence is null.</exception>
public QuotesRangeSingleIterator(QuotesRangeSingleSequence sequence)
{
if (sequence == null)
throw new ArgumentNullException(nameof(sequence), "Sequence parameter can not be null.");
this.Sequence = sequence;
this.iterator = new QuotesSingleIterator(sequence.Storage, sequence.Symbol, sequence.StartTime, sequence.EndTime, sequence.Depth);
var range = new Range<Quote>(sequence.LowerBound, sequence.UpperBound);
var index = sequence.LowerBound;
for (; (index < sequence.UpperBound) && this.iterator.Continue; ++index)
{
range[index] = this.iterator.Current;
this.iterator.NextTick();
}
if (index == sequence.UpperBound)
{
this.Current = range;
this.Continue = true;
}
else
{
this.Continue = false;
}
}
MathSequenceStat CalculateSpread(string symbol, DateTime startTime, DateTime endTime)
{
do
{
try
{
var sequence = new QuotesRangeSingleSequence(this.Storage.Online, symbol, startTime, endTime, 1, 2);
var timeInterval = (endTime - startTime).TotalSeconds;
var totalDuration = 0D;
var sumOfSpreads = 0D;
var sumOfSpreadsSquares = 0D;
var countTick = 0;
foreach (var currQuoteRange in sequence)
{
var currentQuote = currQuoteRange[0];
var nextQuote = currQuoteRange[1];
var spread = currentQuote.Spread;
var spreadInPips = this.PipsFromPrice(symbol, spread);
var duration = (nextQuote.CreatingTime - currentQuote.CreatingTime).TotalSeconds;
if (duration > 3600)
continue;
totalDuration += duration;
var weightCoefficient = duration / timeInterval;
sumOfSpreads += weightCoefficient * spread;
sumOfSpreadsSquares += weightCoefficient * spread * spread;
countTick++;
if (currentQuote.CreatingTime.Day != nextQuote.CreatingTime.Day)
Console.WriteLine("Now: {3};Symbol: {2};ProcessingTime: {0}; Ticks {1}", nextQuote.CreatingTime.ToString(), countTick, symbol, DateTime.Now);
}
// we need correction, because initial time interval can be different than actual time interval
var correctionCoefficient = timeInterval / totalDuration;
sumOfSpreads *= correctionCoefficient;
sumOfSpreadsSquares *= correctionCoefficient;
var sigma = sumOfSpreadsSquares - sumOfSpreads * sumOfSpreads;
if (sigma > 0)
sigma = Math.Sqrt(sigma);
else
sigma = 0;
return new MathSequenceStat(this.PipsFromPrice(symbol, sumOfSpreads), this.PipsFromPrice(symbol, sigma), countTick);
}
catch (Exception ex)
{
Console.WriteLine(ex.ToString());
Console.WriteLine("Trying again");
}
} while (true);
}
MathSequenceStat CalculateSpread(string symbol, DateTime startTime, DateTime endTime)
{
do
{
try
{
var sequence = new QuotesRangeSingleSequence(this.Storage.Online, symbol, startTime, endTime, 1, 2);
var timeInterval = (endTime - startTime).TotalSeconds;
var totalDuration = 0D;
var sumOfSpreads = 0D;
var sumOfSpreadsSquares = 0D;
var countTick = 0;
foreach (var currQuoteRange in sequence)
{
var currentQuote = currQuoteRange[0];
var nextQuote = currQuoteRange[1];
var spread = currentQuote.Spread;
var spreadInPips = this.PipsFromPrice(symbol, spread);
var duration = (nextQuote.CreatingTime - currentQuote.CreatingTime).TotalSeconds;
if (duration > 3600)
{
continue;
}
totalDuration += duration;
var weightCoefficient = duration / timeInterval;
sumOfSpreads += weightCoefficient * spread;
sumOfSpreadsSquares += weightCoefficient * spread * spread;
countTick++;
if (currentQuote.CreatingTime.Day != nextQuote.CreatingTime.Day)
{
Console.WriteLine("Now: {3};Symbol: {2};ProcessingTime: {0}; Ticks {1}", nextQuote.CreatingTime.ToString(), countTick, symbol, DateTime.Now);
}
}
// we need correction, because initial time interval can be different than actual time interval
var correctionCoefficient = timeInterval / totalDuration;
sumOfSpreads *= correctionCoefficient;
sumOfSpreadsSquares *= correctionCoefficient;
var sigma = sumOfSpreadsSquares - sumOfSpreads * sumOfSpreads;
if (sigma > 0)
{
sigma = Math.Sqrt(sigma);
}
else
{
sigma = 0;
}
return(new MathSequenceStat(this.PipsFromPrice(symbol, sumOfSpreads), this.PipsFromPrice(symbol, sigma), countTick));
}
catch (Exception ex)
{
Console.WriteLine(ex.ToString());
Console.WriteLine("Trying again");
}
} while (true);
}
