private static PnFCandleMessage CreateCandle(MarketDataMessage message, PnFArg pnfArg, decimal openPrice, decimal highPrice, decimal lowPrice, decimal closePrice, decimal price, decimal?volume, Sides?side, DateTimeOffset time, decimal?oi)
{
var candle = new PnFCandleMessage
{
OpenPrice = openPrice,
ClosePrice = closePrice,
HighPrice = highPrice,
LowPrice = lowPrice,
OpenVolume = volume,
//CloseVolume = volume,
HighVolume = volume,
LowVolume = volume,
SecurityId = message.SecurityId,
OpenTime = time,
//CloseTime = time,
HighTime = time,
LowTime = time,
PnFArg = pnfArg,
State = CandleStates.Active,
};
if (message.IsCalcVolumeProfile)
{
candle.VolumeProfile = new CandleMessageVolumeProfile();
}
UpdateCandle(candle, price, volume, time, side, oi);
return(candle);
}
/// <summary>
/// To create <see cref="CandleSeries"/> for <see cref="PnFCandle"/> candles.
/// </summary>
/// <param name="security">Security.</param>
/// <param name="arg">The value of <see cref="PnFCandle.PnFArg"/>.</param>
/// <returns>Candles series.</returns>
public static CandleSeries PnF(this Security security, PnFArg arg)
{
return(new CandleSeries(typeof(PnFCandle), security, arg));
}
private static PnFCandleMessage CreateCandle(ICandleBuilderSubscription subscription, DataType buildFrom, PnFArg pnfArg, decimal openPrice, decimal highPrice, decimal lowPrice, decimal closePrice, decimal price, decimal?volume, Sides?side, DateTimeOffset time, decimal?oi)
{
var candle = new PnFCandleMessage
{
SecurityId = subscription.Message.SecurityId,
PnFArg = pnfArg,
BuildFrom = buildFrom,
OpenPrice = openPrice,
ClosePrice = closePrice,
HighPrice = highPrice,
LowPrice = lowPrice,
OpenVolume = volume,
//CloseVolume = volume,
HighVolume = volume,
LowVolume = volume,
OpenTime = time,
//CloseTime = time,
HighTime = time,
LowTime = time,
State = CandleStates.Active,
};
if (subscription.Message.IsCalcVolumeProfile)
{
var levels = new List <CandlePriceLevel>();
subscription.VolumeProfile = new VolumeProfileBuilder(levels);
candle.PriceLevels = levels;
}
UpdateCandle(candle, price, volume, time, side, oi, subscription.VolumeProfile);
return(candle);
}