private IEnumerable <Last> CreateLasts(HitTradesData hitTradesData)
{
string symbol = hitTradesData.Symbol;
this.lastsTimeCache.TryGetValue(symbol, out long lastTimeTicks);
foreach (var item in hitTradesData.Data)
{
DateTime dateTime = item.Timestamp;
double price = (double)item.Price;
double size = (double)item.Quantity;
if (dateTime.Ticks <= lastTimeTicks)
{
dateTime = new DateTime(++lastTimeTicks, DateTimeKind.Utc);
}
else
{
lastTimeTicks = dateTime.Ticks;
}
yield return(new Last(symbol, price, size, dateTime));
}
this.lastsTimeCache[symbol] = lastTimeTicks;
}
private DayBar CreateDayBar(HitTradesData hitTradesData)
{
var lastTrade = hitTradesData.Data.Last();
return(new DayBar(hitTradesData.Symbol, lastTrade.Timestamp)
{
Last = (double)lastTrade.Price,
LastSize = (double)(lastTrade.Price * lastTrade.Quantity)
});
}
