public void Replace(CandleSample sample)
{
TimeSpanMs = sample.TimeSpanMs;
LowPrice = sample.LowPrice;
HighPrice = sample.HighPrice;
OpenPrice = sample.OpenPrice;
ClosePrice = sample.ClosePrice;
BuyVolume = sample.BuyVolume;
SellVolume = sample.SellVolume;
Count = sample.Count;
}
public void AggregateSample(CandleSample sample)
{
if (sample == null)
{
return;
}
this.TimeSpanMs += sample.TimeSpanMs;
if (sample.LowPrice < this.LowPrice)
{
this.LowPrice = sample.LowPrice;
}
if (sample.HighPrice > this.HighPrice)
{
this.HighPrice = sample.HighPrice;
}
this.BuyVolume += sample.BuyVolume;
this.SellVolume += sample.SellVolume;
this.Count += sample.Count;
this.ClosePrice = sample.ClosePrice;
}
/// <summary>
/// Generates random market candle stream
/// </summary>
public static CandleSample[] GenerateRandom(int count,
DateTime startDate,
int msInterval,
int msIntervalDeviation,
int priceDirChangeEvery,
int priceChangeAccel,
float currentMidPrice)
{
if (count <= 0)
{
count = 1;
}
if (msInterval == 0)
{
msInterval = 1000;
}
if (priceDirChangeEvery <= 0)
{
priceDirChangeEvery = 11;
}
if (priceChangeAccel == 0)
{
priceChangeAccel = 8;
}
var result = new CandleSample[count];
var dt = startDate;
var deltaT = msInterval;
var priceVelocity = -1.0f + (2.0f * (float)rnd.NextRandomDouble);
var priceSteps = 0;
var price = currentMidPrice;
for (var i = 0; i < count; i++)
{
var sample = new CandleSample(dt);
dt = dt.AddMilliseconds(deltaT);
if (msIntervalDeviation != 0)
{
deltaT += rnd.NextScaledRandomInteger(-msIntervalDeviation, msIntervalDeviation);
if (deltaT == 0)
{
deltaT = msInterval;
}
if (i % 8 == 0)
{
deltaT = msInterval;
}
}
priceSteps++;
if (priceSteps >=
rnd.NextScaledRandomInteger(
priceDirChangeEvery - 4, priceDirChangeEvery + 4))
{
var accel = (float)rnd.NextScaledRandomInteger(1, priceChangeAccel);
priceVelocity = -accel + (2.0f * accel * (float)rnd.NextRandomDouble);
priceSteps = 0;
}
price += priceVelocity;
var pSample = i > 0 ? result[i - 1] : null;
sample.OpenPrice = pSample != null ? pSample.ClosePrice : price;
sample.ClosePrice = price
+ (float)rnd.NextScaledRandomDouble(-0.08f * currentMidPrice, +0.08f * currentMidPrice);
sample.LowPrice = Math.Min(sample.OpenPrice, sample.ClosePrice)
- (float)rnd.NextScaledRandomDouble(0, +0.05f * currentMidPrice);
sample.HighPrice = Math.Max(sample.OpenPrice, sample.ClosePrice)
+ (float)rnd.NextScaledRandomDouble(0, +0.05f * currentMidPrice);
sample.Count = 1;
result[i] = sample;
}
return(result);
}
/// <summary>
/// Synthesizes a stream of candle samples from Quote and Trade samples coming from the market (i.e SecDB file)
/// </summary>
/// <param name="source">Source of market data</param>
/// <param name="secSamplingPeriod">The output sampling period</param>
/// <param name="funcQuote">Aggregation func for Quote, if null default is used which aggregates best bid</param>
/// <param name="funcTrade">Aggregation func for Quote, if null default is used which aggregates buy and sell volumes</param>
/// <returns>Synthesized candle stream</returns>
public static IEnumerable <CandleSample> SynthesizeCandles(this IEnumerable <ITimeSeriesSample> source,
uint secSamplingPeriod,
Action <CandleSample, SecDBFileReader.QuoteSample, int> funcQuote = null,
Action <CandleSample, SecDBFileReader.TradeSample, int> funcTrade = null)
{
if (source == null)
{
yield break;
}
if (funcQuote == null)
{
funcQuote = (cs, qs, i) =>
{
var bestBid = qs.Bids.LastOrDefault();
if (Math.Abs(bestBid.Price) < float.Epsilon)
{
return;
}
if (i == 0)
{
cs.OpenPrice = bestBid.Price;
}
cs.HighPrice = Math.Max(cs.HighPrice, bestBid.Price);
cs.LowPrice = Math.Abs(cs.LowPrice) > float.Epsilon ? Math.Min(cs.LowPrice, bestBid.Price) : bestBid.Price;
cs.ClosePrice = bestBid.Price;
};
}
if (funcTrade == null)
{
funcTrade = (cs, ts, i) =>
{
if (!ts.IsQty)
{
return;
}
if (ts.Side == SecDBFileReader.TradeSample.SideType.Buy)
{
cs.BuyVolume += ts.Qty;
}
else
{
cs.SellVolume += ts.Qty;
}
};
}
CandleSample emit = null;
var filteredSamples = source.Where(s => s is SecDBFileReader.QuoteSample ||
s is SecDBFileReader.TradeSample);
var aggregateCount = 0;
foreach (var sample in filteredSamples)
{
if (emit != null && (sample.TimeStamp - emit.TimeStamp).TotalSeconds > secSamplingPeriod)
{
emit.TimeSpanMs = (long)(sample.TimeStamp - emit.TimeStamp).TotalMilliseconds;
yield return(emit);
emit = null;
}
if (emit == null)
{
emit = new CandleSample(sample.TimeStamp);
aggregateCount = 0;
}
var qts = sample as SecDBFileReader.QuoteSample;
if (qts != null)
{
funcQuote(emit, qts, aggregateCount);
}
var tds = sample as SecDBFileReader.TradeSample;
if (tds != null)
{
funcTrade(emit, tds, aggregateCount);
}
aggregateCount++;
}
if (emit != null)
{
yield return(emit);
}
}
