private TimeFrameCandle GetCandle(DateTimeOffset time, decimal price, decimal vol)
{
if (_candle == null || time >= _candle.CloseTime)
{
//var t = TimeframeSegmentDataSeries.GetTimeframePeriod(time.DateTime, _timeframe);
var tf = TimeSpan.FromMinutes(_timeframe);
var bounds = tf.GetCandleBounds(time, _security.Board);
_candle = new TimeFrameCandle
{
TimeFrame = tf,
OpenTime = bounds.Min,
CloseTime = bounds.Max,
};
_candle.OpenPrice = _candle.HighPrice = _candle.LowPrice = _candle.ClosePrice = price;
_candle.VolumeProfileInfo.Update(new InputTick(time, price, vol));
_allCandles.Add(_candle);
return _candle;
}
if (time < _candle.OpenTime)
throw new InvalidOperationException("invalid time");
if (price > _candle.HighPrice)
_candle.HighPrice = price;
if (price < _candle.LowPrice)
_candle.LowPrice = price;
_candle.ClosePrice = price;
_candle.TotalVolume += vol;
_candle.VolumeProfileInfo.Update(new InputTick(time, price, vol));
return _candle;
}
private void InitCharts()
{
_candle = null;
_lastPrice = 0m;
_allCandles.Clear();
_chartCombined.ClearAreas();
_chartBindVisibleRange.ClearAreas();
_areaComb = new ChartArea();
_areaBVR1 = new ChartArea();
_areaBVR2 = new ChartArea();
_areaComb.YAxises.Add(new ChartAxis
{
Id = _chartMainYAxis,
AutoRange = false,
AxisType = ChartAxisType.Numeric,
AxisAlignment = ChartAxisAlignment.Right,
});
_areaBVR2.YAxises.Add(new ChartAxis
{
Id = _chartMainYAxis,
AutoRange = false,
AxisType = ChartAxisType.Numeric,
AxisAlignment = ChartAxisAlignment.Right,
});
_chartCombined.AddArea(_areaComb);
_chartBindVisibleRange.AddArea(_areaBVR1);
_chartBindVisibleRange.AddArea(_areaBVR2);
_timeframe = int.Parse((string)((ComboBoxItem)_comboMainTimeframe.SelectedItem).Tag);
var step = (decimal)_updownPriceStep.Value.Value;
var series = new CandleSeries(
typeof(TimeFrameCandle),
_security,
TimeSpan.FromMinutes(_timeframe));
_candleElement1 = new ChartCandleElement { FullTitle = "Candles", YAxisId = _chartMainYAxis };
_chartCombined.AddElement(_areaComb, _candleElement1, series);
_bvElement = new ChartBoxVolumeElement(_timeframe, step) { FullTitle = "BoxVolume", YAxisId = _chartMainYAxis };
_chartCombined.AddElement(_areaComb, _bvElement);
_cpElement = new ChartClusterProfileElement(_timeframe, step) { FullTitle = "Cluster profile" };
_chartBindVisibleRange.AddElement(_areaBVR1, _cpElement);
_candleElement2 = new ChartCandleElement { FullTitle = "Candles", YAxisId = _chartMainYAxis };
_chartBindVisibleRange.AddElement(_areaBVR2, _candleElement2, series);
var ns = typeof(IIndicator).Namespace;
var rendererTypes = typeof(Chart).Assembly
.GetTypes()
.Where(t => !t.IsAbstract && typeof(BaseChartIndicatorPainter).IsAssignableFrom(t))
.ToDictionary(t => t.Name);
var indicators = typeof(IIndicator).Assembly
.GetTypes()
.Where(t => t.Namespace == ns && !t.IsAbstract && typeof(IIndicator).IsAssignableFrom(t))
.Select(t =>
{
var name = t.Name;
var p = rendererTypes.TryGetValue(name + "Painter");
if (p == null)
{
if (t.Name.EndsWith("Indicator"))
name = name.Substring(0, name.Length - "Indicator".Length);
p = rendererTypes.TryGetValue(name + "Painter");
}
return new IndicatorType(t, p);
})
.ToArray();
_chartCombined.IndicatorTypes.AddRange(indicators);
_chartBindVisibleRange.IndicatorTypes.AddRange(indicators);
}
private TimeFrameCandle GetCandle(ExecutionMessage tick)
{
var time = tick.ServerTime;
var price = tick.TradePrice.Value;
if (_candle == null || time >= _candle.CloseTime)
{
//var t = TimeframeSegmentDataSeries.GetTimeframePeriod(time.DateTime, _timeframe);
var tf = TimeSpan.FromMinutes(_timeframe);
var bounds = tf.GetCandleBounds(time, _security.Board);
_candle = new TimeFrameCandle
{
TimeFrame = tf,
OpenTime = bounds.Min,
CloseTime = bounds.Max,
};
_volumeProfile = new VolumeProfile();
_candle.OpenPrice = _candle.HighPrice = _candle.LowPrice = _candle.ClosePrice = price;
_volumeProfile.Update(new TickCandleBuilderSourceValue(_security, tick));
_allCandles.Add(_candle);
return _candle;
}
if (time < _candle.OpenTime)
throw new InvalidOperationException("invalid time");
if (price > _candle.HighPrice)
_candle.HighPrice = price;
if (price < _candle.LowPrice)
_candle.LowPrice = price;
_candle.ClosePrice = price;
_candle.TotalVolume += tick.Volume.Value;
_volumeProfile.Update(new TickCandleBuilderSourceValue(_security, tick));
return _candle;
}
private void CandleBuilderOnCandle(TimeFrameCandle candle)
{
var sub = _candleSubscriptions.TryGetValue(new SubscriptionKey(candle.Security.Id, (TimeSpan) candle.Arg));
var candles = new [] {candle};
sub?.Subscribers.ForEach(s => Candles?.Invoke(s, candles));
}
private bool CheckSameCandle(TimeFrameCandle candle, TimeFrameCandleMessage msg)
{
return candle.Arg == msg.Arg && candle.OpenTime == msg.OpenTime;
}
private void AppendTick(Security security, ExecutionMessage tick)
{
var time = tick.ServerTime;
var price = tick.TradePrice.Value;
if (_candle == null || time >= _candle.CloseTime)
{
if (_candle != null)
{
var candle = (TimeFrameCandle)_candle.Clone();
_updatedCandles[candle.OpenTime] = candle;
_lastPrice = candle.ClosePrice;
}
//var t = TimeframeSegmentDataSeries.GetTimeframePeriod(time.DateTime, _timeframe);
var tf = TimeSpan.FromMinutes(_timeframe);
var bounds = tf.GetCandleBounds(time, _security.Board);
_candle = new TimeFrameCandle
{
TimeFrame = tf,
OpenTime = bounds.Min,
CloseTime = bounds.Max,
};
_volumeProfile = new VolumeProfile();
_candle.PriceLevels = _volumeProfile.PriceLevels;
_candle.OpenPrice = _candle.HighPrice = _candle.LowPrice = _candle.ClosePrice = price;
_volumeProfile.Update(new TickCandleBuilderSourceValue(security, tick));
}
if (time < _candle.OpenTime)
throw new InvalidOperationException("invalid time");
if (price > _candle.HighPrice)
_candle.HighPrice = price;
if (price < _candle.LowPrice)
_candle.LowPrice = price;
_candle.ClosePrice = price;
_candle.TotalVolume += tick.TradeVolume.Value;
_volumeProfile.Update(new TickCandleBuilderSourceValue(security, tick));
}
private void LoadData()
{
_candle = null;
_lastPrice = 0m;
_allCandles.Clear();
var id = new SecurityIdGenerator().Split(SecurityId.Text);
_security = new Security
{
Id = SecurityId.Text,
PriceStep = 5,
Board = ExchangeBoard.GetBoard(id.BoardCode)
};
Chart.Reset(new IChartElement[] { _candleElement1 });
var storage = new StorageRegistry();
var maxDays = 2;
BusyIndicator.IsBusy = true;
var path = HistoryPath.Folder;
Task.Factory.StartNew(() =>
{
var date = DateTime.MinValue;
foreach (var tick in storage.GetTickMessageStorage(_security, new LocalMarketDataDrive(path)).Load())
{
AppendTick(_security, tick);
_lastTime = tick.ServerTime;
if (date != tick.ServerTime.Date)
{
date = tick.ServerTime.Date;
this.GuiAsync(() =>
{
BusyIndicator.BusyContent = date.ToString();
});
maxDays--;
if (maxDays == 0)
break;
}
}
})
.ContinueWith(t =>
{
if (t.Exception != null)
Error(t.Exception.Message);
BusyIndicator.IsBusy = false;
}, TaskScheduler.FromCurrentSynchronizationContext());
}