/// <summary>
/// This function is called by our renkoClose consolidator defined in Initialize()
/// </summary>
/// <param name="data">The new renko bar produced by the consolidator</param>
public void HandleRenkoClose(RenkoBar data)
{
if (!Portfolio.Invested)
{
SetHoldings(data.Symbol, 1.0);
}
Console.WriteLine("CLOSE - {0} - {1} {2}", data.Time.ToString("o"), data.Open, data.Close);
}
/// <summary>
/// This function is called by our renko7bar onsolidator defined in Initialize()
/// </summary>
/// <param name="data">The new renko bar produced by the consolidator</param>
public void HandleRenko7Bar(RenkoBar data)
{
Console.WriteLine("7BAR - {0} - {1} {2}", data.Time.ToString("o"), data.Open, data.Close);
}
/// <summary>
/// Event invocator for the DataConsolidated event. This should be invoked
/// by derived classes when they have consolidated a new piece of data.
/// </summary>
/// <param name="consolidated">The newly consolidated data</param>
protected virtual void OnDataConsolidated(RenkoBar consolidated)
{
var handler = DataConsolidated;
if (handler != null) handler(this, consolidated);
var explicitHandler = _dataConsolidatedHandler;
if (explicitHandler != null) explicitHandler(this, consolidated);
Consolidated = consolidated;
}
private void UpdateClassic(IBaseData data)
{
var currentValue = _selector(data);
var volume = _volumeSelector(data);
decimal? close = null;
// if we're already in a bar then update it
if (_currentBar != null)
{
_currentBar.Update(data.Time, currentValue, volume);
// if the update caused this bar to close, fire the event and reset the bar
if (_currentBar.IsClosed)
{
close = _currentBar.Close;
OnDataConsolidated(_currentBar);
_currentBar = null;
}
}
if (_currentBar == null)
{
var open = close ?? currentValue;
if (_evenBars && !close.HasValue)
{
open = Math.Ceiling(open/_barSize)*_barSize;
}
_currentBar = new RenkoBar(data.Symbol, data.Time, _barSize, open, volume);
}
}
private void UpdateWicked(IBaseData data)
{
var rate = data.Price;
if (_firstTick)
{
_firstTick = false;
_openOn = data.Time;
_closeOn = data.Time;
_openRate = rate;
_highRate = rate;
_lowRate = rate;
_closeRate = rate;
}
else
{
_closeOn = data.Time;
if (rate > _highRate)
_highRate = rate;
if (rate < _lowRate)
_lowRate = rate;
_closeRate = rate;
if (_closeRate > _openRate)
{
if (_lastWicko == null ||
(_lastWicko.Direction == BarDirection.Rising))
{
Rising(data);
return;
}
var limit = (_lastWicko.Open + BarSize);
if (_closeRate > limit)
{
var wicko = new RenkoBar(data.Symbol, _openOn, _closeOn,
BarSize, _lastWicko.Open, limit, _lowRate, limit);
_lastWicko = wicko;
OnDataConsolidated(wicko);
_openOn = _closeOn;
_openRate = limit;
_lowRate = limit;
Rising(data);
}
}
else if (_closeRate < _openRate)
{
if (_lastWicko == null ||
(_lastWicko.Direction == BarDirection.Falling))
{
Falling(data);
return;
}
var limit = (_lastWicko.Open - BarSize);
if (_closeRate < limit)
{
var wicko = new RenkoBar(data.Symbol, _openOn, _closeOn,
BarSize, _lastWicko.Open, _highRate, limit, limit);
_lastWicko = wicko;
OnDataConsolidated(wicko);
_openOn = _closeOn;
_openRate = limit;
_highRate = limit;
Falling(data);
}
}
}
}
private void Falling(IBaseData data)
{
decimal limit;
while (_closeRate < (limit = (_openRate - BarSize)))
{
var wicko = new RenkoBar(data.Symbol, _openOn, _closeOn,
BarSize, _openRate, _highRate, limit, limit);
_lastWicko = wicko;
OnDataConsolidated(wicko);
_openOn = _closeOn;
_openRate = limit;
_highRate = limit;
}
}