public void Update(DbExecution exec)
{
High = Math.Max(High, exec.Price);
Low = Math.Min(Low, exec.Price);
Close = exec.Price;
UpdateSize(exec);
_amount += exec.Price * exec.Size;
if (Volume > 0m)
{
VWAP = Convert.ToDouble(_amount / Volume);
}
else
{
VWAP = Convert.ToDouble((Open + High + Low + Close) / 4.0m);
}
ExecutionCount++;
if (EndExecutionId > exec.ExecutionId)
{
ExecutionIdOutOfOrder = true;
}
else
{
EndExecutionId = exec.ExecutionId;
}
}
public DbOhlc(TimeSpan frameSpan, DbExecution exec)
{
FrameSpan = frameSpan;
Start = exec.ExecutedTime.Round(frameSpan);
Open = High = Low = Close = exec.Price;
UpdateSize(exec);
_amount = exec.Price * exec.Size;
VWAP = Convert.ToDouble(exec.Price);
ExecutionCount = 1;
StartExecutionId = EndExecutionId = exec.ExecutionId;
ExecutionIdOutOfOrder = false;
}
void UpdateSize(DbExecution exec)
{
switch (exec.Side)
{
case BfTradeSide.Buy:
BuyVolume += exec.Size;
break;
case BfTradeSide.Sell:
SellVolume += exec.Size;
break;
default:
ExecutedVolume += exec.Size;
break;
}
}
public void Add(DbExecution exec) => _ctxExec.Instance.Add(exec);
public void Add(DbExecution exec) => _ctx.Executions.Add(exec);
