protected Extremum GetExtremum(IBaseTradeStatisticsWithKind tradeStatistics, int barIndex, ref double lastPrice)
{
var bars = tradeStatistics.GetAggregatedHistogramBars(barIndex);
if (bars.Count == 0)
{
return(new Extremum(null, double.NaN, lastPrice));
}
if (bars.Count == 1)
{
var bar = bars[0];
return(new Extremum(bar, Math.Abs(tradeStatistics.GetValue(bar)), lastPrice = bar.AveragePrice));
}
IEnumerable <ITradeHistogramBar> orderedBars;
switch (PriceMode)
{
case ExtremumPriceMode.Minimum:
orderedBars = bars;
break;
case ExtremumPriceMode.Maximum:
orderedBars = bars.Reverse();
break;
default:
throw new InvalidEnumArgumentException(nameof(PriceMode), (int)PriceMode, PriceMode.GetType());
}
var extremumBar = orderedBars.First();
var extremumValue = Math.Abs(tradeStatistics.GetValue(extremumBar));
foreach (var bar in orderedBars.Skip(1))
{
var value = Math.Abs(tradeStatistics.GetValue(bar));
if (extremumValue < value)
{
extremumBar = bar;
extremumValue = value;
}
}
return(new Extremum(extremumBar, extremumValue, lastPrice = extremumBar.AveragePrice));
}
private double GetPrice(IBaseTradeStatisticsWithKind tradeStatistics, int barIndex, double lastPrice)
{
var bars = tradeStatistics.GetAggregatedHistogramBars(barIndex);
if (bars.Count == 0)
{
return(lastPrice);
}
var allValuesSum = bars.Sum(item => Math.Abs(tradeStatistics.GetValue(item)));
if (allValuesSum == 0)
{
return(lastPrice);
}
var trimLevelPercent = TrimLevelPercent;
if (trimLevelPercent == 0)
{
return(GetFirstPrice(bars));
}
if (trimLevelPercent == 100)
{
return(GetLastPrice(bars));
}
var edgeValuesSum = allValuesSum * trimLevelPercent / 100;
foreach (var bar in GetOrderedBars(bars))
{
var value = Math.Abs(tradeStatistics.GetValue(bar));
if (edgeValuesSum <= value)
{
var result = GetPrice(bar, edgeValuesSum / value);
return(result);
}
edgeValuesSum -= value;
}
return(GetLastPrice(bars));
}
public IList <double> Execute(IBaseTradeStatisticsWithKind tradeStatistics)
{
var histograms = tradeStatistics.GetHistograms();
var tradeHistogramsCache = tradeStatistics.TradeHistogramsCache;
var barsCount = tradeHistogramsCache.Bars.Count;
var trimLevel = TrimValue;
const double DefaultValue = 0;
if (histograms.Count == 0 || histograms.All(item => item.Bars.Count == 0) || double.IsNaN(trimLevel))
{
return(new ConstGenBase <double>(barsCount, DefaultValue));
}
double[] results = null;
var runtime = Context?.Runtime;
var canBeCached = tradeStatistics.HasStaticTimeline && barsCount > 1 && runtime != null;
string id = null, stateId = null;
DerivativeTradeStatisticsCacheContext context = null;
var cachedCount = 0;
if (canBeCached)
{
id = string.Join(".", runtime.TradeName, runtime.IsAgentMode, VariableId);
stateId = string.Join(".", TrimValue, TrimComparisonMode, tradeStatistics.StateId);
context = DerivativeTradeStatisticsCache.Instance.GetContext(id, stateId, tradeHistogramsCache);
if (context != null)
{
var cachedResults = context.Values;
cachedCount = Math.Min(cachedResults.Length, barsCount) - 1;
if (cachedResults.Length == barsCount)
{
results = cachedResults;
}
else
{
Buffer.BlockCopy(cachedResults, 0, results = new double[barsCount], 0, cachedCount * sizeof(double));
}
}
else
{
results = new double[barsCount];
}
}
else
{
results = Context?.GetArray <double>(barsCount) ?? new double[barsCount];
}
tradeStatistics.GetHistogramsBarIndexes(out var firstBarIndex, out var lastBarIndex);
for (var i = cachedCount; i < firstBarIndex; i++)
{
results[i] = DefaultValue;
}
var isInRangeFunc = GetIsInRangeFunc();
lock (tradeStatistics.Source)
{
for (var i = Math.Max(cachedCount, firstBarIndex); i <= lastBarIndex; i++)
{
var bars = tradeStatistics.GetAggregatedHistogramBars(i);
results[i] = GetResult(tradeStatistics, bars.Where(item => isInRangeFunc(tradeStatistics, item)));
}
}
for (var i = Math.Max(cachedCount, lastBarIndex + 1); i < barsCount; i++)
{
results[i] = DefaultValue;
}
if (canBeCached)
{
DerivativeTradeStatisticsCache.Instance.SetContext(id, stateId, tradeHistogramsCache, results, context);
}
return(results);
}
protected IList <double> Execute(
IBaseTradeStatisticsWithKind tradeStatistics,
TrimContext tradesCountTrimContext,
TrimContext quantityTrimContext,
TrimContext askQuantityTrimContext,
TrimContext bidQuantityTrimContext,
TrimContext deltaAskBidQuantityTrimContext,
TrimContext relativeDeltaAskBidQuantityPercentTrimContext)
{
var histograms = tradeStatistics.GetHistograms();
var tradeHistogramsCache = tradeStatistics.TradeHistogramsCache;
var barsCount = tradeHistogramsCache.Bars.Count;
const double DefaultValue = double.NaN;
if (histograms.Count == 0 ||
histograms.All(item => item.Bars.Count == 0) ||
IsInvalid(tradesCountTrimContext) ||
IsInvalid(quantityTrimContext) ||
IsInvalid(askQuantityTrimContext) ||
IsInvalid(bidQuantityTrimContext) ||
IsInvalid(deltaAskBidQuantityTrimContext) ||
IsInvalid(relativeDeltaAskBidQuantityPercentTrimContext))
{
return(new ConstGenBase <double>(barsCount, DefaultValue));
}
var isInRangeFuncs = new List <Func <ITradeHistogramBar, bool> >();
if (tradesCountTrimContext.UseTrimValue)
{
isInRangeFuncs.Add(GetIsInRangeFunc(tradeStatistics, TradeStatisticsKind.TradesCount, tradesCountTrimContext));
}
if (quantityTrimContext.UseTrimValue)
{
isInRangeFuncs.Add(GetIsInRangeFunc(tradeStatistics, TradeStatisticsKind.Quantity, quantityTrimContext));
}
if (askQuantityTrimContext.UseTrimValue)
{
isInRangeFuncs.Add(GetIsInRangeFunc(tradeStatistics, TradeStatisticsKind.AskQuantity, askQuantityTrimContext));
}
if (bidQuantityTrimContext.UseTrimValue)
{
isInRangeFuncs.Add(GetIsInRangeFunc(tradeStatistics, TradeStatisticsKind.BidQuantity, bidQuantityTrimContext));
}
if (deltaAskBidQuantityTrimContext.UseTrimValue)
{
isInRangeFuncs.Add(GetIsInRangeFunc(tradeStatistics, TradeStatisticsKind.DeltaAskBidQuantity, deltaAskBidQuantityTrimContext));
}
if (relativeDeltaAskBidQuantityPercentTrimContext.UseTrimValue)
{
isInRangeFuncs.Add(GetIsInRangeFunc(tradeStatistics, TradeStatisticsKind.RelativeDeltaAskBidQuantityPercent, relativeDeltaAskBidQuantityPercentTrimContext));
}
double[] results = null;
var runtime = Context?.Runtime;
var canBeCached = tradeStatistics.HasStaticTimeline && barsCount > 1 && runtime != null;
string id = null, stateId = null;
DerivativeTradeStatisticsCacheContext context = null;
var cachedCount = 0;
if (canBeCached)
{
id = string.Join(".", runtime.TradeName, runtime.IsAgentMode, VariableId);
stateId = GetParametersStateId() + "." + tradeStatistics.StateId;
context = DerivativeTradeStatisticsCache.Instance.GetContext(id, stateId, tradeHistogramsCache);
if (context != null)
{
var cachedResults = context.Values;
cachedCount = Math.Min(cachedResults.Length, barsCount) - 1;
if (cachedResults.Length == barsCount)
{
results = cachedResults;
}
else
{
Buffer.BlockCopy(cachedResults, 0, results = new double[barsCount], 0, cachedCount * sizeof(double));
}
}
else
{
results = new double[barsCount];
}
}
else
{
results = Context?.GetArray <double>(barsCount) ?? new double[barsCount];
}
tradeStatistics.GetHistogramsBarIndexes(out var firstBarIndex, out var lastBarIndex);
for (var i = cachedCount; i < firstBarIndex; i++)
{
results[i] = DefaultValue;
}
lock (tradeStatistics.Source)
{
for (var i = Math.Max(cachedCount, firstBarIndex); i <= lastBarIndex; i++)
{
var bars = tradeStatistics.GetAggregatedHistogramBars(i);
var selectedBars = isInRangeFuncs.Count > 0
? bars.Where(bar => isInRangeFuncs.All(item => item(bar)))
: bars;
results[i] = GetResult(tradeStatistics, selectedBars);
}
}
for (var i = Math.Max(cachedCount, lastBarIndex + 1); i < barsCount; i++)
{
results[i] = DefaultValue;
}
if (canBeCached)
{
DerivativeTradeStatisticsCache.Instance.SetContext(id, stateId, tradeHistogramsCache, results, context);
}
return(results);
}
public IList <double> Execute(IBaseTradeStatisticsWithKind tradeStatistics)
{
var histograms = tradeStatistics.GetHistograms();
var tradeHistogramsCache = tradeStatistics.TradeHistogramsCache;
var barsCount = tradeHistogramsCache.Bars.Count;
const double DefaultValue = double.NaN;
if (histograms.Count == 0 || histograms.All(item => item.Bars.Count == 0))
{
return(new ConstGenBase <double>(barsCount, DefaultValue));
}
double[] results = null;
var runtime = Context?.Runtime;
var canBeCached = tradeStatistics.HasStaticTimeline && barsCount > 1 && runtime != null;
string id = null, stateId = null;
DerivativeTradeStatisticsCacheContext context = null;
var cachedCount = 0;
var lastResult = DefaultValue;
if (canBeCached)
{
id = string.Join(".", runtime.TradeName, runtime.IsAgentMode, VariableId);
stateId = tradeStatistics.StateId;
context = DerivativeTradeStatisticsCache.Instance.GetContext(id, stateId, tradeHistogramsCache);
if (context != null)
{
var cachedResults = context.Values;
cachedCount = Math.Min(cachedResults.Length, barsCount) - 1;
if (cachedResults.Length == barsCount)
{
results = cachedResults;
}
else
{
Buffer.BlockCopy(cachedResults, 0, results = new double[barsCount], 0, cachedCount * sizeof(double));
}
lastResult = results[cachedCount - 1];
}
else
{
results = new double[barsCount];
}
}
else
{
results = Context?.GetArray <double>(barsCount) ?? new double[barsCount];
}
tradeStatistics.GetHistogramsBarIndexes(out var firstBarIndex, out var lastBarIndex);
for (var i = cachedCount; i < firstBarIndex; i++)
{
results[i] = lastResult;
}
lock (tradeStatistics.Source)
{
for (var i = Math.Max(cachedCount, firstBarIndex); i <= lastBarIndex; i++)
{
var bars = tradeStatistics.GetAggregatedHistogramBars(i);
if (bars.Count > 0)
{
double maxValue, minValue;
maxValue = minValue = tradeStatistics.GetValue(bars[0]);
foreach (var bar in bars.Skip(1))
{
var value = tradeStatistics.GetValue(bar);
if (maxValue < value)
{
maxValue = value;
}
else if (minValue > value)
{
minValue = value;
}
}
lastResult = Math.Abs(maxValue) >= Math.Abs(minValue) ? maxValue : minValue;
}
results[i] = lastResult;
}
}
for (var i = Math.Max(cachedCount, lastBarIndex + 1); i < barsCount; i++)
{
results[i] = lastResult;
}
if (canBeCached)
{
DerivativeTradeStatisticsCache.Instance.SetContext(id, stateId, tradeHistogramsCache, results, context);
}
return(results);
}
public IList <double> Execute(IBaseTradeStatisticsWithKind tradeStatistics, IList <double> prices)
{
var histograms = tradeStatistics.GetHistograms();
var tradeHistogramsCache = tradeStatistics.TradeHistogramsCache;
const double DefaultValue = 0;
var pricesCount = prices.Count;
if (histograms.Count == 0 || histograms.All(item => item.Bars.Count == 0) || pricesCount == 0)
{
return(new ConstGenBase <double>(prices.Count, DefaultValue));
}
double[] results = null;
var runtime = Context?.Runtime;
var canBeCached = tradeStatistics.HasStaticTimeline && tradeHistogramsCache.Bars.Count > 1 && pricesCount > 1 && runtime != null;
string id = null, stateId = null;
DerivativeTradeStatisticsCacheContext context = null;
var cachedCount = 0;
if (canBeCached)
{
id = string.Join(".", runtime.TradeName, runtime.IsAgentMode, VariableId);
stateId = tradeStatistics.StateId;
context = DerivativeTradeStatisticsCache.Instance.GetContext(id, stateId, tradeHistogramsCache);
if (context != null)
{
var cachedResults = context.Values;
cachedCount = Math.Min(cachedResults.Length, pricesCount) - 1;
if (cachedResults.Length == pricesCount)
{
results = cachedResults;
}
else
{
Buffer.BlockCopy(cachedResults, 0, results = new double[pricesCount], 0, cachedCount * sizeof(double));
}
}
else
{
results = new double[pricesCount];
}
}
else
{
results = Context?.GetArray <double>(pricesCount) ?? new double[pricesCount];
}
tradeStatistics.GetHistogramsBarIndexes(out var firstBarIndex, out var lastBarIndex);
var iMax = Math.Min(firstBarIndex, pricesCount);
for (var i = cachedCount; i < iMax; i++)
{
results[i] = DefaultValue;
}
lock (tradeStatistics.Source)
{
iMax = Math.Min(lastBarIndex, pricesCount - 1);
for (var i = Math.Max(cachedCount, firstBarIndex); i <= iMax; i++)
{
var histogramBars = tradeStatistics.GetAggregatedHistogramBars(i);
if (histogramBars.Count > 1)
{
var price = prices[i];
var lowPrice = histogramBars[0].LowPrice;
var index = (int)((price - lowPrice) / tradeStatistics.PriceStep);
if (price >= lowPrice + tradeStatistics.PriceStep * (index + 1)) // PROD-5600
{
index++; // имеем погрешность примерно в 1e13 при делении, лечим проверкой
}
results[i] = index >= 0 && index < histogramBars.Count ? tradeStatistics.GetValue(histogramBars[index]) : DefaultValue;
}
else if (histogramBars.Count == 1)
{
var price = prices[i];
var histogramBar = histogramBars[0];
results[i] = price >= histogramBar.LowPrice && price < histogramBar.HighPrice ? tradeStatistics.GetValue(histogramBar) : DefaultValue;
}
else
{
results[i] = DefaultValue;
}
}
}
for (var i = Math.Max(cachedCount, lastBarIndex + 1); i < pricesCount; i++)
{
results[i] = DefaultValue;
}
if (canBeCached)
{
DerivativeTradeStatisticsCache.Instance.SetContext(id, stateId, tradeHistogramsCache, results, context);
}
return(results);
}