private Candle CreateFilledCandle(Candle candle)
{
if (candle == null)
{
throw new ArgumentNullException(nameof(candle));
}
var filledCandle = candle.GetType().CreateInstance <Candle>();
//filledCandle.Series = candle.Series;
filledCandle.Security = candle.Security;
filledCandle.Arg = CloneArg(candle.Arg, candle.Security);
filledCandle.OpenTime = candle.OpenTime;
filledCandle.CloseTime = candle.CloseTime;
//filledCandle.TotalVolume = candle.TotalVolume;
//filledCandle.TotalPrice = candle.TotalPrice;
filledCandle.OpenPrice = candle.ClosePrice;
//filledCandle.OpenVolume = candle.CloseVolume;
filledCandle.ClosePrice = candle.ClosePrice;
//filledCandle.CloseVolume = candle.CloseVolume;
filledCandle.HighPrice = candle.ClosePrice;
//filledCandle.HighVolume = candle.CloseVolume;
filledCandle.LowPrice = candle.ClosePrice;
//filledCandle.LowVolume = candle.CloseVolume;
filledCandle.State = CandleStates.Finished;
return(filledCandle);
}
public IEnumerable <Candle> ProcessCandle(Candle candle)
{
return(GetFormedBuffers(candle)
.Select(buffer =>
{
var openPrice = TryCalculate(buffer, c => c.OpenPrice);
if (openPrice == null)
{
return null;
}
var indexCandle = candle.GetType().CreateInstance <Candle>();
indexCandle.Security = _security;
indexCandle.Arg = CloneArg(candle.Arg, _security);
indexCandle.OpenTime = buffer.OpenTime;
indexCandle.CloseTime = buffer.CloseTime;
indexCandle.TotalVolume = Calculate(buffer, c => c.TotalVolume);
indexCandle.TotalPrice = Calculate(buffer, c => c.TotalPrice);
indexCandle.OpenPrice = (decimal)openPrice;
indexCandle.OpenVolume = Calculate(buffer, c => c.OpenVolume ?? 0);
indexCandle.ClosePrice = Calculate(buffer, c => c.ClosePrice);
indexCandle.CloseVolume = Calculate(buffer, c => c.CloseVolume ?? 0);
indexCandle.HighPrice = Calculate(buffer, c => c.HighPrice);
indexCandle.HighVolume = Calculate(buffer, c => c.HighVolume ?? 0);
indexCandle.LowPrice = Calculate(buffer, c => c.LowPrice);
indexCandle.LowVolume = Calculate(buffer, c => c.LowVolume ?? 0);
// если некоторые свечи имеют неполные данные, то и индекс будет таким же неполным
if (indexCandle.OpenPrice == 0 || indexCandle.HighPrice == 0 || indexCandle.LowPrice == 0 || indexCandle.ClosePrice == 0)
{
var nonZeroPrice = indexCandle.OpenPrice;
if (nonZeroPrice == 0)
{
nonZeroPrice = indexCandle.HighPrice;
}
if (nonZeroPrice == 0)
{
nonZeroPrice = indexCandle.LowPrice;
}
if (nonZeroPrice == 0)
{
nonZeroPrice = indexCandle.LowPrice;
}
if (nonZeroPrice != 0)
{
if (indexCandle.OpenPrice == 0)
{
indexCandle.OpenPrice = nonZeroPrice;
}
if (indexCandle.HighPrice == 0)
{
indexCandle.HighPrice = nonZeroPrice;
}
if (indexCandle.LowPrice == 0)
{
indexCandle.LowPrice = nonZeroPrice;
}
if (indexCandle.ClosePrice == 0)
{
indexCandle.ClosePrice = nonZeroPrice;
}
}
}
if (indexCandle.HighPrice < indexCandle.LowPrice)
{
var high = indexCandle.HighPrice;
indexCandle.HighPrice = indexCandle.LowPrice;
indexCandle.LowPrice = high;
}
if (indexCandle.OpenPrice > indexCandle.HighPrice)
{
indexCandle.HighPrice = indexCandle.OpenPrice;
}
else if (indexCandle.OpenPrice < indexCandle.LowPrice)
{
indexCandle.LowPrice = indexCandle.OpenPrice;
}
if (indexCandle.ClosePrice > indexCandle.HighPrice)
{
indexCandle.HighPrice = indexCandle.ClosePrice;
}
else if (indexCandle.ClosePrice < indexCandle.LowPrice)
{
indexCandle.LowPrice = indexCandle.ClosePrice;
}
indexCandle.State = CandleStates.Finished;
return indexCandle;
})
.Where(c => c != null));
}
private Candle CreateFilledCandle(Candle candle)
{
if (candle == null)
throw new ArgumentNullException(nameof(candle));
var filledCandle = candle.GetType().CreateInstance<Candle>();
//filledCandle.Series = candle.Series;
filledCandle.Security = candle.Security;
filledCandle.Arg = CloneArg(candle.Arg, candle.Security);
filledCandle.OpenTime = candle.OpenTime;
filledCandle.CloseTime = candle.CloseTime;
//filledCandle.TotalVolume = candle.TotalVolume;
//filledCandle.TotalPrice = candle.TotalPrice;
filledCandle.OpenPrice = candle.ClosePrice;
//filledCandle.OpenVolume = candle.CloseVolume;
filledCandle.ClosePrice = candle.ClosePrice;
//filledCandle.CloseVolume = candle.CloseVolume;
filledCandle.HighPrice = candle.ClosePrice;
//filledCandle.HighVolume = candle.CloseVolume;
filledCandle.LowPrice = candle.ClosePrice;
//filledCandle.LowVolume = candle.CloseVolume;
filledCandle.State = CandleStates.Finished;
return filledCandle;
}
public IEnumerable <Candle> ProcessCandle(Candle candle)
{
return(GetFormedBuffers(candle)
.Select(buffer =>
{
var indexCandle = candle.GetType().CreateInstance <Candle>();
indexCandle.Security = _security;
indexCandle.Arg = CloneArg(candle.Arg, _security);
indexCandle.OpenTime = buffer.OpenTime;
indexCandle.CloseTime = buffer.CloseTime;
try
{
indexCandle.OpenPrice = Calculate(buffer, true, c => c.OpenPrice);
indexCandle.ClosePrice = Calculate(buffer, true, c => c.ClosePrice);
indexCandle.HighPrice = Calculate(buffer, true, c => c.HighPrice);
indexCandle.LowPrice = Calculate(buffer, true, c => c.LowPrice);
if (_security.CalculateExtended)
{
indexCandle.TotalVolume = Calculate(buffer, false, c => c.TotalVolume);
indexCandle.TotalPrice = Calculate(buffer, true, c => c.TotalPrice);
indexCandle.OpenVolume = Calculate(buffer, false, c => c.OpenVolume ?? 0);
indexCandle.CloseVolume = Calculate(buffer, false, c => c.CloseVolume ?? 0);
indexCandle.HighVolume = Calculate(buffer, false, c => c.HighVolume ?? 0);
indexCandle.LowVolume = Calculate(buffer, false, c => c.LowVolume ?? 0);
}
}
catch (ArithmeticException ex)
{
if (!_ignoreErrors)
{
throw;
}
ex.LogError();
return null;
}
// если некоторые свечи имеют неполные данные, то и индекс будет таким же неполным
if (indexCandle.OpenPrice == 0 || indexCandle.HighPrice == 0 || indexCandle.LowPrice == 0 || indexCandle.ClosePrice == 0)
{
var nonZeroPrice = indexCandle.OpenPrice;
if (nonZeroPrice == 0)
{
nonZeroPrice = indexCandle.HighPrice;
}
if (nonZeroPrice == 0)
{
nonZeroPrice = indexCandle.LowPrice;
}
if (nonZeroPrice == 0)
{
nonZeroPrice = indexCandle.LowPrice;
}
if (nonZeroPrice != 0)
{
if (indexCandle.OpenPrice == 0)
{
indexCandle.OpenPrice = nonZeroPrice;
}
if (indexCandle.HighPrice == 0)
{
indexCandle.HighPrice = nonZeroPrice;
}
if (indexCandle.LowPrice == 0)
{
indexCandle.LowPrice = nonZeroPrice;
}
if (indexCandle.ClosePrice == 0)
{
indexCandle.ClosePrice = nonZeroPrice;
}
}
}
if (indexCandle.HighPrice < indexCandle.LowPrice)
{
var high = indexCandle.HighPrice;
indexCandle.HighPrice = indexCandle.LowPrice;
indexCandle.LowPrice = high;
}
if (indexCandle.OpenPrice > indexCandle.HighPrice)
{
indexCandle.HighPrice = indexCandle.OpenPrice;
}
else if (indexCandle.OpenPrice < indexCandle.LowPrice)
{
indexCandle.LowPrice = indexCandle.OpenPrice;
}
if (indexCandle.ClosePrice > indexCandle.HighPrice)
{
indexCandle.HighPrice = indexCandle.ClosePrice;
}
else if (indexCandle.ClosePrice < indexCandle.LowPrice)
{
indexCandle.LowPrice = indexCandle.ClosePrice;
}
indexCandle.State = CandleStates.Finished;
return indexCandle;
})
.Where(c => c != null));
}
public IEnumerable<Candle> ProcessCandle(Candle candle)
{
return GetFormedBuffers(candle)
.Select(buffer =>
{
var openPrice = TryCalculate(buffer, c => c.OpenPrice);
if (openPrice == null)
return null;
var indexCandle = candle.GetType().CreateInstance<Candle>();
indexCandle.Security = _security;
indexCandle.Arg = CloneArg(candle.Arg, _security);
indexCandle.OpenTime = buffer.OpenTime;
indexCandle.CloseTime = buffer.CloseTime;
indexCandle.TotalVolume = Calculate(buffer, c => c.TotalVolume);
indexCandle.TotalPrice = Calculate(buffer, c => c.TotalPrice);
indexCandle.OpenPrice = (decimal)openPrice;
indexCandle.OpenVolume = Calculate(buffer, c => c.OpenVolume ?? 0);
indexCandle.ClosePrice = Calculate(buffer, c => c.ClosePrice);
indexCandle.CloseVolume = Calculate(buffer, c => c.CloseVolume ?? 0);
indexCandle.HighPrice = Calculate(buffer, c => c.HighPrice);
indexCandle.HighVolume = Calculate(buffer, c => c.HighVolume ?? 0);
indexCandle.LowPrice = Calculate(buffer, c => c.LowPrice);
indexCandle.LowVolume = Calculate(buffer, c => c.LowVolume ?? 0);
// если некоторые свечи имеют неполные данные, то и индекс будет таким же неполным
if (indexCandle.OpenPrice == 0 || indexCandle.HighPrice == 0 || indexCandle.LowPrice == 0 || indexCandle.ClosePrice == 0)
{
var nonZeroPrice = indexCandle.OpenPrice;
if (nonZeroPrice == 0)
nonZeroPrice = indexCandle.HighPrice;
if (nonZeroPrice == 0)
nonZeroPrice = indexCandle.LowPrice;
if (nonZeroPrice == 0)
nonZeroPrice = indexCandle.LowPrice;
if (nonZeroPrice != 0)
{
if (indexCandle.OpenPrice == 0)
indexCandle.OpenPrice = nonZeroPrice;
if (indexCandle.HighPrice == 0)
indexCandle.HighPrice = nonZeroPrice;
if (indexCandle.LowPrice == 0)
indexCandle.LowPrice = nonZeroPrice;
if (indexCandle.ClosePrice == 0)
indexCandle.ClosePrice = nonZeroPrice;
}
}
if (indexCandle.HighPrice < indexCandle.LowPrice)
{
var high = indexCandle.HighPrice;
indexCandle.HighPrice = indexCandle.LowPrice;
indexCandle.LowPrice = high;
}
if (indexCandle.OpenPrice > indexCandle.HighPrice)
indexCandle.HighPrice = indexCandle.OpenPrice;
else if (indexCandle.OpenPrice < indexCandle.LowPrice)
indexCandle.LowPrice = indexCandle.OpenPrice;
if (indexCandle.ClosePrice > indexCandle.HighPrice)
indexCandle.HighPrice = indexCandle.ClosePrice;
else if (indexCandle.ClosePrice < indexCandle.LowPrice)
indexCandle.LowPrice = indexCandle.ClosePrice;
indexCandle.State = CandleStates.Finished;
return indexCandle;
})
.Where(c => c != null);
}
