public static IObservable <(OHLC raw, int ofst, OHLC cnt)> OHLC(this StreamReader rdr)
{
// bar_end, symbol, qty, open, high, low, close
var dict = new Dictionary <string, int>();
OHLC prev = null;
var src = rdr.ReadAllLines().Skip(1).Select(ln => {
var rec = ln.Split(',');
var sec = Security.Lookup(rec[1]);
var dt = DateTime.Parse(rec[0]);
var oh = new OHLC(new Tick(sec, uint.Parse(rec[2]), uint.Parse(rec[3]), dt.AddMinutes(-59)));
oh.Add(new Tick(sec, 1, uint.Parse(rec[4]), dt.AddMinutes(-40)));
oh.Add(new Tick(sec, 1, uint.Parse(rec[5]), dt.AddMinutes(-20)));
oh.Add(new Tick(sec, 1, uint.Parse(rec[6]), dt.AddMinutes(-1)));
return(oh);
}).Select(oh => {
var ofst = oh.get_Offset(prev);
if (ofst != 0)
{
dict.Keys.ToList().ForEach(ky => dict[ky] += ofst);
}
if (!dict.ContainsKey(oh.Open.Security.Symbol))
{
dict[oh.Open.Security.Symbol] = 0;
}
prev = oh;
return(oh);
}).ToList();
return(src.ToObservable().Select(raw => {
var sec = Security.Lookup("DMK3");
var ofst = dict[raw.Open.Security.Symbol];
var cnt = new OHLC(new Tick(sec, raw.Open.Quantity, (uint)(raw.Open.Price + ofst), raw.Open.TradedAt));
cnt.Add(new Tick(sec, 1, (uint)(raw.High.Price + ofst), raw.High.TradedAt));
cnt.Add(new Tick(sec, 1, (uint)(raw.Low.Price + ofst), raw.Low.TradedAt));
cnt.Add(new Tick(sec, 1, (uint)(raw.Close.Price + ofst), raw.Close.TradedAt));
return (raw, ofst, cnt);
}));
}
/// <summary>
/// Create DataTimeSeries, DataTSOHLC, DataTSVolume objects add to DataBuilder collection
/// </summary>
/// <param name="tinterval">time interval of timeseries (in minutes)</param>
/// /// <param name="nrows">number of rows to allocate</param>
public void NewTimeSeriesOHLCVolume(int tinterval, int nrows = 2880)
{
// check if time interval already exist
foreach (DataTimeSeries ts0 in TimeSeries)
{
if (ts0.TimeInterval == tinterval)
{
return;
}
}
DataTimeSeries ts = new DataTimeSeries(tinterval, nrows);
TimeSeries.Add(ts);
OHLC.Add(new DataTSOHLC(ts));
Volume.Add(new DataTSVolume(ts));
}