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Delta.cs
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Delta.cs
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/*
*Your rights to use the code are governed by this license https://github.com/AlexWan/OsEngine/blob/master/LICENSE
*Ваши права на использование кода регулируются данной лицензией http://o-s-a.net/doc/license_simple_engine.pdf
*/
using OsEngine.Candles.Factory;
using OsEngine.Entity;
using OsEngine.Language;
using System;
using System.Collections.Generic;
namespace OsEngine.Candles.Series
{
[Candle("Delta")]
public class Delta : ACandlesSeriesRealization
{
public CandlesParameterDecimal DeltaPeriods;
public override void OnStateChange(CandleSeriesState state)
{
if (state == CandleSeriesState.Configure)
{
DeltaPeriods = CreateParameterDecimal("DeltaPeriods", OsLocalization.Market.Label13, 10000m);
}
else if (state == CandleSeriesState.ParametersChange)
{
if(CandlesAll != null)
{
CandlesAll.Clear();
}
}
}
private decimal _currentDelta;
public override void UpDateCandle(DateTime time, decimal price, decimal volume, bool canPushUp, Side side)
{
// Формула кумулятивной дельты
//Delta= ∑_i▒vBuy- ∑_i▒vSell
if (CandlesAll != null && CandlesAll.Count > 0 && CandlesAll[CandlesAll.Count - 1] != null &&
CandlesAll[CandlesAll.Count - 1].TimeStart > time)
{// если пришли старые данные
return;
}
if (CandlesAll == null
|| CandlesAll.Count == 0)
{
// пришла первая сделка
CandlesAll = new List<Candle>();
DateTime timeNextCandle = time;
while (timeNextCandle.Millisecond != 0)
{
timeNextCandle = timeNextCandle.AddMilliseconds(-1);
}
timeNextCandle = new DateTime(timeNextCandle.Year, timeNextCandle.Month, timeNextCandle.Day,
timeNextCandle.Hour, timeNextCandle.Minute, timeNextCandle.Second, timeNextCandle.Millisecond);
Candle candle = new Candle()
{
Close = price,
High = price,
Low = price,
Open = price,
State = CandleState.Started,
TimeStart = timeNextCandle,
Volume = volume
};
CandlesAll.Add(candle);
if (canPushUp)
{
UpdateChangeCandle();
}
return;
}
if (side == Side.Buy)
{
_currentDelta += volume;
}
else
{
_currentDelta -= volume;
}
if (CandlesAll != null &&
Math.Abs(_currentDelta) >= DeltaPeriods.ValueDecimal)
{
// если пришли данные из новой свечки
_currentDelta = 0;
if (CandlesAll[CandlesAll.Count - 1].State != CandleState.Finished)
{
// если последнюю свечку ещё не закрыли и не отправили
CandlesAll[CandlesAll.Count - 1].State = CandleState.Finished;
if (canPushUp)
{
UpdateFinishCandle();
}
}
DateTime timeNextCandle = time;
while (timeNextCandle.Millisecond != 0)
{
timeNextCandle = timeNextCandle.AddMilliseconds(-1);
}
timeNextCandle = new DateTime(timeNextCandle.Year, timeNextCandle.Month, timeNextCandle.Day,
timeNextCandle.Hour, timeNextCandle.Minute, timeNextCandle.Second, timeNextCandle.Millisecond);
Candle newCandle = new Candle()
{
Close = price,
High = price,
Low = price,
Open = price,
State = CandleState.Started,
TimeStart = timeNextCandle,
Volume = volume
};
CandlesAll.Add(newCandle);
if (canPushUp)
{
UpdateChangeCandle();
}
return;
}
if (CandlesAll != null)
{
// если пришли данные внутри свечи
CandlesAll[CandlesAll.Count - 1].Volume += volume;
CandlesAll[CandlesAll.Count - 1].Close = price;
if (CandlesAll[CandlesAll.Count - 1].High < price)
{
CandlesAll[CandlesAll.Count - 1].High = price;
}
if (CandlesAll[CandlesAll.Count - 1].Low > price)
{
CandlesAll[CandlesAll.Count - 1].Low = price;
}
if (canPushUp)
{
UpdateChangeCandle();
}
}
}
}
}