CandleHelper
Extension class for candles.
Methods
BuyVolAbovePoC(VolumeProfileBuilder) : decimal
The total volume of bids which was above VolumeProfileBuilder).
- volumeProfile
- Volume profile.
Returns: The total volume of bids.
BuyVolBelowPoC(VolumeProfileBuilder) : decimal
The total volume of bids which was below VolumeProfileBuilder).
- volumeProfile
- Volume profile.
Returns: The total volume of bids.
Compress(IAsyncEnumerable<CandleMessage>, BiggerTimeFrameCandleCompressor, bool) : IAsyncEnumerable<CandleMessage>
Compress candles to bigger time-frame candles.
- source
- Smaller time-frame candles.
- compressor
- Compressor of candles from smaller time-frames to bigger.
- includeLastCandle
- Output last active candle as finished.
Returns: Bigger time-frame candles.
Compress(IEnumerable<CandleMessage>, BiggerTimeFrameCandleCompressor, bool) : IAsyncEnumerable<CandleMessage>
Compress candles to bigger time-frame candles.
- source
- Smaller time-frame candles.
- compressor
- Compressor of candles from smaller time-frames to bigger.
- includeLastCandle
- Output last active candle as finished.
Returns: Bigger time-frame candles.
ConvertToTrades(ICandleMessage, decimal, int, ValueTuple<Sides?, decimal, decimal, DateTime>[])
To create tick trades from candle.
- candleMsg
- Candle.
- volumeStep
- Volume step.
- decimals
- The number of decimal places for the volume.
- ticks
- Array to tick trades.
Delta(VolumeProfileBuilder) : decimal
The difference between VolumeProfileBuilder) and VolumeProfileBuilder).
- volumeProfile
- Volume profile.
Returns: Delta.
DeltaAbovePoC(VolumeProfileBuilder) : decimal
The total Delta which was above VolumeProfileBuilder).
- volumeProfile
- Volume profile.
Returns: Delta.
DeltaBelowPoC(VolumeProfileBuilder) : decimal
The total Delta which was below VolumeProfileBuilder).
- volumeProfile
- Volume profile.
Returns: Delta.
FilterSmallerTimeFrames(IEnumerable<TimeSpan>, TimeSpan) : IEnumerable<TimeSpan>
Filter time-frames to find multiple smaller time-frames.
- timeFrames
- All time-frames.
- original
- Original time-frame.
Returns: Multiple smaller time-frames.
GetBody(ICandleMessage) : decimal
To get the candle body.
- candle
- The candle for which you need to get the body.
Returns: The candle body.
GetBottomShadow(ICandleMessage) : decimal
To get the candle lower shadow length.
- candle
- The candle for which you need to get the lower shadow length.
Returns: The candle lower shadow length. If 0, there is no shadow.
GetCandleBounds(TimeSpan, DateTime, BoardMessage) : Range<DateTime>
To get candle time frames relatively to the exchange working hours.
- timeFrame
- The time frame for which you need to get time range.
- currentTime
- The current time within the range of time frames.
- board
- The information about the board from which WorkingTime working hours will be taken.
Returns: The candle time frames.
GetCandleBounds(TimeSpan, DateTime, ExchangeBoard) : Range<DateTime>
To get candle time frames relatively to the exchange working hours.
- timeFrame
- The time frame for which you need to get time range.
- currentTime
- The current time within the range of time frames.
- board
- The information about the board from which WorkingTime working hours will be taken.
Returns: The candle time frames.
GetLength(ICandleMessage) : decimal
To get the candle length.
- candle
- The candle for which you need to get a length.
Returns: The candle length.
GetMiddlePrice(ICandleMessage, decimal?) : decimal
To get the candle middle price.
- candle
- The candle for which you need to get a length.
- priceStep
- PriceStep
Returns: The candle length.
GetTimeFrameCount(Range<DateTime>, TimeSpan, BoardMessage) : long
To get the number of time frames within the specified time range.
- range
- The specified time range for which you need to get the number of time frames.
- timeFrame
- The time frame size.
- board
- BoardMessage.
Returns: The received number of time frames.
GetTimeFrameCount(Range<DateTime>, TimeSpan, ExchangeBoard) : long
To get the number of time frames within the specified time range.
- range
- The specified time range for which you need to get the number of time frames.
- timeFrame
- The time frame size.
- board
- ExchangeBoard.
Returns: The received number of time frames.
GetTopShadow(ICandleMessage) : decimal
To get the candle upper shadow length.
- candle
- The candle for which you need to get the upper shadow length.
Returns: The candle upper shadow length. If 0, there is no shadow.
GetValueArea``1(IEnumerable<T>)
To calculate the area for the candles group.
- candles
- Candles.
Returns: The area.
IsSame``1(T, T)
Determines the specified candles are same.
- candle1
- First.
- candle2
- Second.
Returns: Check result.
MaxPriceLevel(ICandleMessage) : CandlePriceLevel?
PriceLevels with maximum TotalVolume.
- candle
- ICandleMessage
Returns: PriceLevels with maximum TotalVolume.
MinPriceLevel(ICandleMessage) : CandlePriceLevel?
PriceLevels with minimum TotalVolume.
- candle
- ICandleMessage
Returns: PriceLevels with minimum TotalVolume.
PoC(VolumeProfileBuilder) : CandlePriceLevel
POC (Point Of Control) returns CandlePriceLevel which had the maximum volume.
- volumeProfile
- Volume profile.
Returns: The CandlePriceLevel which had the maximum volume.
PriceLevelOfMaxDelta(VolumeProfileBuilder) : CandlePriceLevel
It returns the price level at which the maximum VolumeProfileBuilder) is passed.
- volumeProfile
- Volume profile.
Returns: CandlePriceLevel.
PriceLevelOfMinDelta(VolumeProfileBuilder) : CandlePriceLevel
It returns the price level at which the minimum VolumeProfileBuilder) is passed.
- volumeProfile
- Volume profile.
Returns: The price level.
SellVolAbovePoC(VolumeProfileBuilder) : decimal
The total volume of asks which was above VolumeProfileBuilder).
- volumeProfile
- Volume profile.
Returns: The total volume of asks.
SellVolBelowPoC(VolumeProfileBuilder) : decimal
The total volume of asks which was below VolumeProfileBuilder).
- volumeProfile
- Volume profile.
Returns: The total volume of asks.
ToCandles(IEnumerable<ExecutionMessage>, MarketDataMessage, CandleBuilderProvider) : IAsyncEnumerable<CandleMessage>
To create candles from the tick trades collection.
- executions
- Tick data.
- mdMsg
- Market data subscription.
- candleBuilderProvider
- Candle builders provider.
Returns: Candles.
ToCandles(IAsyncEnumerable<ExecutionMessage>, Subscription, CandleBuilderProvider) : IAsyncEnumerable<CandleMessage>
To create candles from the tick trades collection.
- executions
- Tick data.
- subscription
- Market data subscription.
- candleBuilderProvider
- Candle builders provider.
Returns: Candles.
ToCandles(IAsyncEnumerable<ExecutionMessage>, MarketDataMessage, CandleBuilderProvider) : IAsyncEnumerable<CandleMessage>
To create candles from the tick trades collection.
- executions
- Tick data.
- mdMsg
- Market data subscription.
- candleBuilderProvider
- Candle builders provider.
Returns: Candles.
ToCandles(IEnumerable<QuoteChangeMessage>, MarketDataMessage, Level1Fields, CandleBuilderProvider) : IAsyncEnumerable<CandleMessage>
To create candles from the order books collection.
- depths
- Market depths.
- mdMsg
- Market data subscription.
- type
- Type of candle depth based data.
- candleBuilderProvider
- Candle builders provider.
Returns: Candles.
ToCandles(IAsyncEnumerable<QuoteChangeMessage>, Subscription, Level1Fields, CandleBuilderProvider) : IAsyncEnumerable<CandleMessage>
To create candles from the order books collection.
- depths
- Market depths.
- subscription
- Market data subscription.
- type
- Type of candle depth based data.
- candleBuilderProvider
- Candle builders provider.
Returns: Candles.
ToCandles(IEnumerable<QuoteChangeMessage>, Subscription, Level1Fields, CandleBuilderProvider) : IAsyncEnumerable<CandleMessage>
To create candles from the order books collection.
- depths
- Market depths.
- subscription
- Market data subscription.
- type
- Type of candle depth based data.
- candleBuilderProvider
- Candle builders provider.
Returns: Candles.
ToCandles(IAsyncEnumerable<QuoteChangeMessage>, MarketDataMessage, Level1Fields, CandleBuilderProvider) : IAsyncEnumerable<CandleMessage>
To create candles from the order books collection.
- depths
- Market depths.
- mdMsg
- Market data subscription.
- type
- Type of candle depth based data.
- candleBuilderProvider
- Candle builders provider.
Returns: Candles.
ToCandles(IEnumerable<ExecutionMessage>, Subscription, CandleBuilderProvider) : IAsyncEnumerable<CandleMessage>
To create candles from the tick trades collection.
- executions
- Tick data.
- subscription
- Market data subscription.
- candleBuilderProvider
- Candle builders provider.
Returns: Candles.
TotalBuyCount(VolumeProfileBuilder) : decimal
The total number of bids in the VolumeProfileBuilder.
- volumeProfile
- Volume profile.
Returns: The total number of bids.
TotalBuyVolume(VolumeProfileBuilder) : decimal
The total volume of bids in the VolumeProfileBuilder.
- volumeProfile
- Volume profile.
Returns: The total volume of bids.
TotalSellCount(VolumeProfileBuilder) : decimal
The total number of asks in the VolumeProfileBuilder.
- volumeProfile
- Volume profile.
Returns: The total number of asks.
TotalSellVolume(VolumeProfileBuilder) : decimal
The total volume of asks in the VolumeProfileBuilder.
- volumeProfile
- Volume profile.
Returns: The total volume of asks.
ToTickMessage(ValueTuple<Sides?, decimal, decimal, DateTime>, SecurityId, DateTime) : ExecutionMessage
Convert tick info into ExecutionMessage.
- tick
- Tick info.
- securityId
- SecurityId
- localTime
- LocalTime
Returns: ExecutionMessage
ToTrades``1(IEnumerable<T>, decimal)
To create tick trades from candles.
- candles
- Candles.
- volumeStep
- Volume step.
Returns: Tick trades.
ToTrades``1(IAsyncEnumerable<T>, decimal)
To create tick trades from candles.
- candles
- Candles.
- volumeStep
- Volume step.
Returns: Tick trades.
TryGetCandlesBuildFromAsync(IMessageAdapter, MarketDataMessage, CandleBuilderProvider, CancellationToken) : ValueTask<DataType>
Try get suitable market-data type for candles compression.
- adapter
- Adapter.
- subscription
- Subscription.
- provider
- Candle builders provider.
- cancellationToken
- CancellationToken
Returns: Which market-data type is used as a source value. if compression is impossible.
Update(VolumeProfileBuilder, ICandleBuilderValueTransform)
To update the profile with new value.
- volumeProfile
- Volume profile.
- transform
- The data source transformation.
VolumeAbovePoC(VolumeProfileBuilder) : decimal
The total volume which was above VolumeProfileBuilder).
- volumeProfile
- Volume profile.
Returns: Total volume.
VolumeBelowPoC(VolumeProfileBuilder) : decimal
The total volume which was below VolumeProfileBuilder).
- volumeProfile
- Volume profile.
Returns: Total volume.