public BarToOtherBarHandler(IAccount account, MarketSeries series)
{
this.MarketSeries = series;
this.Account = account;
m1 = series.Symbol.GetMarketSeries(TimeFrame.m1);
logger = this.GetLogger();
}
public static double MaximumOffset(this MarketSeries series, int periods, int offset = 2)
{
var s = series.High;
double max = double.MinValue;
for (int i = offset; i < periods; i++)
{
var val = s.Last(i);
if (val > max)
{
max = val;
}
}
return(max);
}
public static double MinimumOffset(this MarketSeries series, int periods, int offset = 2)
{
var s = series.Low;
double min = double.MaxValue;
for (int i = offset; i < periods; i++)
{
var val = s.Last(i);
if (val < min)
{
min = val;
}
}
return(min);
}
public static MarketSeries ImportFromFile(string symbolCode, TimeFrame timeFrame, string path, DateTime?startDate = null, DateTime?endDate = null)
{
var series = new MarketSeries(null, symbolCode, timeFrame);
series.ImportFromFile(path, startDate, endDate);
GC.Collect();
if (series != null && series.OpenTime.Count > 0)
{
Console.WriteLine($"Imported {timeFrame} {symbolCode} ({series.OpenTime.Count} data points from {series.OpenTime[0]} to {series.OpenTime.LastValue})");
}
else
{
Console.WriteLine($"Could not import {timeFrame} {symbolCode}");
}
return(series);
}
private void RaiseTimeFrameBar(TimedBar bar, bool finishedBar = true)
{
lock (M1BarToTimeFrameBarLock)
{
//var bar = tickToMinuteBars[symbolCode];
if (!bar.IsValid)
{
return;
}
var partial = finishedBar ? "" : " PARTIAL";
Debug.WriteLine($"[M1 to {MarketSeries.ToString()}] {bar}{partial}");
((IMarketSeriesInternal)this.MarketSeries).OnBar(bar, finishedBar);
bar = TimedBar.New;
}
}
public MarketSeries GetMarketSeries(string symbolCode, TimeFrame timeFrame, DateTime?startDate = null, DateTime?endDate = null)
{
string file = null;
if (!Directory.Exists(RootDir))
{
throw new ArgumentException($"Historical data source directory missing: {RootDir}");
}
file = Path.Combine(RootDir, symbolCode + "_" + timeFrame.Name.ToUpper() + "_UTC+0_00.csv");
if (!File.Exists(file))
{
file = null;
var dir = SymbolTimeFrameDir(symbolCode, timeFrame);
if (!Directory.Exists(dir))
{
return(null);
}
long longestLength = -1;
string longestPath = null;
foreach (var path in Directory.GetFiles(dir, "*.csv"))
{
var length = new FileInfo(path).Length;
if (length > longestLength)
{
longestLength = length;
longestPath = path;
}
}
if (longestPath == null)
{
return(null);
}
file = longestPath;
}
return(MarketSeries.ImportFromFile(symbolCode, timeFrame, file, startDate, endDate));
}
public static DataSeriesType GetDataSeries(this MarketSeries marketSeries, BarComponent source)
{
switch (source)
{
case BarComponent.Open:
return(marketSeries.Open);
case BarComponent.High:
return(marketSeries.High);
case BarComponent.Low:
return(marketSeries.Low);
case BarComponent.Close:
return(marketSeries.Close);
default:
throw new ArgumentException();
}
}
public void OnBar(MarketSeries series)
{
var bar = series.Last;
OnBar(series.SymbolCode, series.TimeFrame, bar);
}
