protected void CreateNewBar(global::OpenQuant.API.BarType barType, DateTime beginTime, DateTime endTime, double price)
{
if (barType == global::OpenQuant.API.BarType.Time && this.newBarSize == 86400L)
{
this.bar = new global::OpenQuant.API.Bar(new Daily(beginTime, price, price, price, price, 0L));
return;
}
this.bar = new global::OpenQuant.API.Bar(new SmartQuant.Data.Bar(EnumConverter.Convert(barType), this.newBarSize, beginTime, endTime, price, price, price, price, 0L, 0L));
}
protected void CreateNewBar(global::OpenQuant.API.BarType barType, DateTime beginTime, DateTime endTime, double price)
{
if (barType == global::OpenQuant.API.BarType.Time && this.newBarSize == 86400L)
{
this.bar = new global::OpenQuant.API.Bar(new Daily(beginTime, price, price, price, price, 0L));
return;
}
this.bar = new global::OpenQuant.API.Bar(new SmartQuant.Data.Bar(EnumConverter.Convert(barType), this.newBarSize, beginTime, endTime, price, price, price, price, 0L, 0L));
}
protected override void Add(DataEntry entry)
{
double price = entry.Items[0].Price;
if (this.bar == null)
{
base.CreateNewBar(global::OpenQuant.API.BarType.Range, entry.DateTime, entry.DateTime, price);
return;
}
base.AddItemsToBar(entry.Items);
this.bar.bar.EndTime = entry.DateTime;
bool flag = false;
while (!flag)
{
if (10000.0 * (this.bar.High - this.bar.Low) >= (double)this.newBarSize)
{
global::OpenQuant.API.Bar bar = new global::OpenQuant.API.Bar(new SmartQuant.Data.Bar(SmartQuant.Data.BarType.Range, this.newBarSize, entry.DateTime, entry.DateTime, price, price, price, price, 0L, 0L));
if (this.bar.High == price)
{
this.bar.bar.High = this.bar.Low + (double)this.newBarSize / 10000.0;
this.bar.bar.Close = this.bar.High;
bar.bar.Low = this.bar.High;
}
if (this.bar.Low == price)
{
this.bar.bar.Low = this.bar.High - (double)this.newBarSize / 10000.0;
this.bar.bar.Close = this.bar.Low;
bar.bar.High = this.bar.Low;
}
base.EmitNewCompressedBar();
this.bar = bar;
flag = (10000.0 * (this.bar.High - this.bar.Low) < (double)this.newBarSize);
}
else
{
flag = true;
}
}
}
protected override void Add(DataEntry entry)
{
double price = entry.Items[0].Price;
if (this.bar == null)
{
base.CreateNewBar(global::OpenQuant.API.BarType.Range, entry.DateTime, entry.DateTime, price);
return;
}
base.AddItemsToBar(entry.Items);
this.bar.bar.EndTime = entry.DateTime;
bool flag = false;
while (!flag)
{
if (10000.0 * (this.bar.High - this.bar.Low) >= (double)this.newBarSize)
{
global::OpenQuant.API.Bar bar = new global::OpenQuant.API.Bar(new SmartQuant.Data.Bar(SmartQuant.Data.BarType.Range, this.newBarSize, entry.DateTime, entry.DateTime, price, price, price, price, 0L, 0L));
if (this.bar.High == price)
{
this.bar.bar.High = this.bar.Low + (double)this.newBarSize / 10000.0;
this.bar.bar.Close = this.bar.High;
bar.bar.Low = this.bar.High;
}
if (this.bar.Low == price)
{
this.bar.bar.Low = this.bar.High - (double)this.newBarSize / 10000.0;
this.bar.bar.Close = this.bar.Low;
bar.bar.High = this.bar.Low;
}
base.EmitNewCompressedBar();
this.bar = bar;
flag = (10000.0 * (this.bar.High - this.bar.Low) < (double)this.newBarSize);
}
else
{
flag = true;
}
}
}
protected BarCompressor()
{
this.bar = null;
}
protected BarCompressor()
{
this.bar = null;
}
