/// <summary>
/// Gets a single candle of a DateTime range
/// </summary>
/// <param name="candleType"></param>
/// <param name="tickStart"></param>
/// <param name="nextTickStart"></param>
/// <param name="pair"></param>
/// <returns></returns>
public CandleSummary GenerateSingleCandle(CandleTypes candleType, DateTime tickStart, DateTime nextTickStart, BasePair pair)
{
CandleSummary result = null;
using (var cxt = DataStore.CreateDataStore())
{
var data = (
from t in cxt.Tick
join p in cxt.Pair on t.PairID equals p.PairID
where p.PairID == (int)pair &&
t.TickTime >= tickStart &&
t.TickTime < nextTickStart
select t
).OrderBy(x => x.TickTime).ToList();
if (data.Count > 0)
{
result = new CandleSummary();
result.High = data.Aggregate((x, y) => x.Bid > y.Bid ? x : y);
result.Low = data.Aggregate((x, y) => x.Bid < y.Bid ? x : y);
result.Open = data.FirstOrDefault();
result.Close = data.LastOrDefault();
result.FromTime = tickStart;
result.ToTime = nextTickStart;
result.BasePairID = (int)pair;
result.CandleTypeID = (int)candleType;
}
return(result);
}
}
public CandleSummary GetCandle(CandleTypes candleType, DateTime tickStart, BasePair pair)
{
using (var cxt = DataStore.CreateDataStore())
{
var data = cxt.Candle.FirstOrDefault(x => x.CandleTypeID == (int)candleType && x.FromTime == tickStart && x.PairID == (int)pair);
CandleSummary result = null;
if (data != null)
{
result = (
from c in cxt.Candle
join ht in cxt.Tick on c.HighTickID equals ht.TickID
join lt in cxt.Tick on c.LowTickID equals lt.TickID
join ot in cxt.Tick on c.LowTickID equals ot.TickID
join ct in cxt.Tick on c.LowTickID equals ct.TickID
where c.CandleID == data.CandleID
select new CandleSummary
{
BasePairID = (int)pair,
CandleTypeID = (int)candleType,
Close = ct,
FromTime = tickStart,
High = ht,
Low = lt,
Open = ot
}
).FirstOrDefault();
}
return(result);
}
}
public CandleGenerator(DateTime dateStart, DateTime dateEnd, CandleTypes candleType, BasePair pair)
{
this.DateStart = dateStart;
this.DateEnd = dateEnd;
this.CandleType = candleType;
this.Pair = pair;
}
/// <summary>
/// Gets information about the candle type from the database
/// </summary>
/// <param name="candleType"></param>
/// <returns></returns>
public CandleTypeSummary GetCandleTypeSummary(CandleTypes candleType)
{
using (var cxt = DataStore.CreateDataStore())
{
var data = (
from ct in cxt.CandleType
where ct.CandleTypeCode == candleType.ToString()
select new CandleTypeSummary
{
CandleType = candleType,
Description = ct.Description,
NumberOfMinutes = ct.NumberOfMinutes
}
).FirstOrDefault();
return(data);
}
}
public CandleSummary SaveCandle(CandleTypes candleType, DateTime fromTime, int highTickID, int lowTickID, int openTickID, int closeTickID, BasePair pair)
{
using (var cxt = DataStore.CreateDataStore())
{
// At this point, we will just assume that candle we will be saving is always new...
var candle = cxt.GetOrCreateCandle(null);
candle.CandleTypeID = (int)candleType;
candle.FromTime = fromTime;
candle.HighTickID = highTickID;
candle.LowTickID = lowTickID;
candle.OpenTickID = openTickID;
candle.CloseTickID = closeTickID;
candle.PairID = (int)pair;
cxt.SubmitChanges();
return(this.GetCandle(candleType, candle.FromTime, pair));
}
}
/// <summary>
/// Returns a range of dates depending on the candle type
/// </summary>
/// <returns></returns>
public void CreateCandles(DateTime startDate, DateTime endDate, CandleTypes candleType, BasePair pair)
{
// We first want to check if all the ticks have been imported
this.CheckImportedCSVs(startDate, endDate);
// Get the number of minutes to iterate based on the CandleType...
var candleTypeSummary = this.GetCandleTypeSummary(candleType);
var numberOfMinutesToAdd = candleTypeSummary.NumberOfMinutes;
var newStartDate = startDate;
while (newStartDate <= endDate)
{
// Get the starting and ending tick
var startTick = newStartDate;
var nextTickStart = newStartDate.AddMinutes(numberOfMinutesToAdd);
// Check if candle has already been generated or not...
var candle = this.GetCandle(candleType, startTick, pair);
if (candle != null)
{
newStartDate = nextTickStart;
continue;
}
// Otherwise create candle
var generatedCandle = this.GenerateSingleCandle(candleType, startTick, nextTickStart, pair);
if (generatedCandle == null)
{
newStartDate = nextTickStart;
continue;
}
// Save resulting candle
var candleSummary = this.SaveCandle(candleType, startTick, generatedCandle.High.TickID, generatedCandle.Low.TickID, generatedCandle.Open.TickID, generatedCandle.Close.TickID, pair);
newStartDate = nextTickStart;
}
}
