/// <summary>
/// 把 count 个 Bar 合并成一个新的 Bar
/// </summary>
/// <param name="series"></param>
/// <param name="inst"></param>
/// <param name="count"></param>
/// <returns></returns>
public static BarSeries MergeCompress(this BarSeries series, Instrument inst, long count)
{
if (series.Count == 0 || count < 2)
{
return(new BarSeries());
}
var selector = new TimeRangeSelector(inst);
bool emitOnClose = !(series[0].Size >= QuantBoxConst.DayBarSize);
var bars = new BarSeries();
Bar last = null;
var index = 0;
foreach (var bar in series)
{
var range = selector.Get(bar.DateTime.Date);
if (index == 0)
{
last = bar;
last.Size *= count;
}
else
{
QBHelper.MergeBar(last, bar);
}
++index;
if (index == count || (emitOnClose && bar.CloseDateTime.TimeOfDay == range.CloseTime))
{
bars.Add(last);
last = null;
index = 0;
}
}
return(bars);
}
/// <summary>
/// 把 count 个 Bar 合并成一个新的 Bar
/// </summary>
/// <param name="series"></param>
/// <param name="inst"></param>
/// <param name="count"></param>
/// <returns></returns>
public static BarSeries MergeCompress(this BarSeries series, Instrument inst, long count)
{
if (series.Count == 0 || count < 2)
{
return(new BarSeries());
}
var selector = new TimeRangeSelector(inst);
var emitOnClose = true;
var bar = series[0];
if (bar.Size >= QuantBoxConst.DayBarSize)
{
emitOnClose = false;
}
var bars = new BarSeries();
Bar last = null;
var index = 0;
for (int i = 0; i < series.Count; i++)
{
var range = selector.Get(series[i].DateTime.Date);
if (index == 0)
{
last = series[i];
last.Size *= count;
}
else
{
QBHelper.MergeBar(last, series[i]);
}
++index;
if (index == count || (emitOnClose && series[i].CloseDateTime.TimeOfDay == range.CloseTime))
{
bars.Add(last);
last = null;
index = 0;
continue;
}
}
return(bars);
}
