/// <summary>
/// To create candles from the tick trades collection.
/// </summary>
/// <typeparam name="TCandle">The candles type.</typeparam>
/// <param name="trades">Tick trades.</param>
/// <param name="arg">Candle arg.</param>
/// <returns>Candles.</returns>
public static IEnumerable <TCandle> ToCandles <TCandle>(this IEnumerableEx <Trade> trades, object arg)
where TCandle : Candle
{
var firstTrade = trades.FirstOrDefault();
if (firstTrade == null)
{
return(Enumerable.Empty <TCandle>());
}
return(trades.ToCandles(new CandleSeries(typeof(TCandle), firstTrade.Security, arg)).Cast <TCandle>());
}
/// <summary>
/// Build market depths from order log.
/// </summary>
/// <param name="items">Orders log lines.</param>
/// <param name="builder">Order log to market depth builder.</param>
/// <param name="interval">The interval of the order book generation. The default is <see cref="TimeSpan.Zero"/>, which means order books generation at each new string of orders log.</param>
/// <param name="maxDepth">The maximal depth of order book. The default is <see cref="Int32.MaxValue"/>, which means endless depth.</param>
/// <returns>Market depths.</returns>
public static IEnumerableEx <MarketDepth> ToMarketDepths(this IEnumerableEx <OrderLogItem> items, IOrderLogMarketDepthBuilder builder, TimeSpan interval = default(TimeSpan), int maxDepth = int.MaxValue)
{
var first = items.FirstOrDefault();
if (first == null)
{
return(Enumerable.Empty <MarketDepth>().ToEx());
}
return(items.ToMessages <OrderLogItem, ExecutionMessage>()
.ToMarketDepths(builder, interval)
.ToEntities <QuoteChangeMessage, MarketDepth>(first.Order.Security));
}
/// <summary>
/// To create ticks from candles.
/// </summary>
/// <param name="candles">Candles.</param>
/// <returns>Trades.</returns>
public static IEnumerableEx <Trade> ToTrades(this IEnumerableEx <Candle> candles)
{
var candle = candles.FirstOrDefault();
if (candle == null)
{
return(Enumerable.Empty <Trade>().ToEx());
}
return(candles
.ToMessages <Candle, CandleMessage>()
.ToTrades(candle.Security.VolumeStep ?? 1m)
.ToEntities <ExecutionMessage, Trade>(candle.Security));
}
/// <summary>
/// Построить тиковые сделки из лога заявок.
/// </summary>
/// <param name="items">Строчки лога заявок.</param>
/// <returns>Тиковые сделки.</returns>
public static IEnumerableEx <Trade> ToTrades(this IEnumerableEx <OrderLogItem> items)
{
var first = items.FirstOrDefault();
if (first == null)
{
return(Enumerable.Empty <Trade>().ToEx(0));
}
var ticks = items
.Select(i => i.ToMessage())
.ToEx(items.Count)
.ToTicks();
return(ticks.Select(m => m.ToTrade(first.Order.Security)).ToEx(ticks.Count));
}