private static T GetAttribute <T>(KLineSize klineSize) where T : Attribute
{
var type = klineSize.GetType();
FieldInfo field = type.GetField(Enum.GetName(type, klineSize));
T attr = Attribute.GetCustomAttribute(field, typeof(T)) as T;
return(attr);
}
public static string GetKLineListNamePrefix(KLineSize kLineSize)
{
DescriptionAttribute attr = GetAttribute <DescriptionAttribute>(kLineSize);
if (attr == null)
{
return(string.Empty);
}
return(attr.Description);
}
public static DateTime GetKLineTime(DateTime quoteTime, KLineSize klineSize, ProdDef prodDef = null)
{
if (klineSize == KLineSize.Day)
{
return(Products.GetLocalDateRegardingSessionRefreshTime(quoteTime, prodDef));
}
PeriodAttribute attr = GetAttribute <PeriodAttribute>(klineSize);
int period = attr.Period;
return(DateTimes.GetPeriodStartTime(quoteTime, period));
}
private static void UpdateKLine(List <Quote> quotes, IRedisTypedClient <KLine> redisKLineClient, ProdDef prodDef,
DateTime dtAyondoNow, KLineSize kLineSize)
{
var list = redisKLineClient.Lists[KLines.GetKLineListNamePrefix(kLineSize) + prodDef.Id];
if (quotes.Count == 0) //no quotes received, then should just fill the non-changing candle
{
if (kLineSize != KLineSize.Day) //no need to fill the non-changing candle for day kline
{
if (list.Count != 0)
{
var last = list[list.Count - 1];
var klineTime = KLines.GetKLineTime(dtAyondoNow, kLineSize, prodDef);
if (prodDef.QuoteType == enmQuoteType.Closed)
{
klineTime = KLines.GetKLineTime(prodDef.LastClose.Value, kLineSize);
}
if (klineTime > last.T) //a new candle?
{
//fill the non-changing candle
list.Add(new KLine()
{
T = klineTime,
O = last.C,
C = last.C,
H = last.C,
L = last.C,
});
}
}
}
}
else
{
var orderedQuotes = quotes.OrderBy(o => o.Time).ToList();
var firstQuote = orderedQuotes.First();
var lastQuote = orderedQuotes.Last();
var klineTime1 = KLines.GetKLineTime(firstQuote.Time, kLineSize, prodDef);
var klineTime2 = KLines.GetKLineTime(lastQuote.Time, kLineSize, prodDef);
//var list = redisKLineClient.Lists[KLines.GetKLineListNamePrefix(kLineSize) + prodDef.Id];
if (klineTime1 != klineTime2 && kLineSize != KLineSize.Day) //quotes range more than 1 candle
{
var list1 = orderedQuotes.Where(o => o.Time < klineTime2).ToList();
var list2 = orderedQuotes.Where(o => o.Time >= klineTime2).ToList();
var k1 = new KLine()
{
T = klineTime1,
O = Quotes.GetLastPrice(list1.First()),
C = Quotes.GetLastPrice(list1.Last()),
H = list1.Max(o => Quotes.GetLastPrice(o)),
L = list1.Min(o => Quotes.GetLastPrice(o)),
};
var k2 = new KLine()
{
T = klineTime2,
O = Quotes.GetLastPrice(list2.First()),
C = Quotes.GetLastPrice(list2.Last()),
H = list2.Max(o => Quotes.GetLastPrice(o)),
L = list2.Min(o => Quotes.GetLastPrice(o)),
};
if (list.Count == 0)
{
list.Add(k1);
list.Add(k2);
}
else
{
var last = list[list.Count - 1];
if (last.T < klineTime1) //2 new candles to append
{
list.Add(k1);
list.Add(k2);
}
else if (last.T == klineTime1) //update last 1, append 1 new
{
list[list.Count - 1] = new KLine()
{
T = last.T,
O = last.O,
C = k1.C,
H = Math.Max(last.H, k1.H),
L = Math.Min(last.L, k1.L),
};
list.Add(k2);
}
else
{
//should not be here
}
}
}
else //quotes range within 1 candle
{
var k = new KLine()
{
T = klineTime1,
O = Quotes.GetLastPrice(firstQuote),
C = Quotes.GetLastPrice(lastQuote),
H = orderedQuotes.Max(o => Quotes.GetLastPrice(o)),
L = orderedQuotes.Min(o => Quotes.GetLastPrice(o)),
};
if (list.Count == 0)
{
list.Add(k);
}
else
{
var last = list[list.Count - 1];
if (last.T < k.T) //append 1 new
{
list.Add(k);
}
else if (last.T == k.T) //update last 1
{
list[list.Count - 1] = new KLine()
{
T = last.T,
O = last.O,
C = k.C,
H = Math.Max(last.H, k.H),
L = Math.Min(last.L, k.L),
};
}
else
{
//should not be here
}
}
}
}
//clear history/prevent data increasing for good
var clearWhenSize = KLines.GetClearWhenSize(kLineSize);
var clearToSize = KLines.GetClearToSize(kLineSize);
if (list.Count > clearWhenSize) //data count at most possible size (in x days )
{
YJYGlobal.LogLine("KLine " + kLineSize + " " + prodDef.Id + " Clearing data from " + list.Count + " to " +
clearToSize);
var klines = list.GetAll();
var newKLines = klines.Skip(klines.Count - clearToSize);
list.RemoveAll();
list.AddRange(newKLines);
}
}
public static int GetClearToSize(KLineSize klineSize)
{
ClearToAttribute attr = GetAttribute <ClearToAttribute>(klineSize);
return(attr.Size);
}