CandleHelper

BuyVolAbovePoC

public static decimal BuyVolAbovePoC(VolumeProfileBuilder volumeProfile)

result = CandleHelper.BuyVolAbovePoC(volumeProfile)

The total volume of bids which was above VolumeProfileBuilder).

volumeProfile

Volume profile.

Returns: The total volume of bids.

BuyVolBelowPoC

public static decimal BuyVolBelowPoC(VolumeProfileBuilder volumeProfile)

result = CandleHelper.BuyVolBelowPoC(volumeProfile)

The total volume of bids which was below VolumeProfileBuilder).

volumeProfile

Volume profile.

Returns: The total volume of bids.

Compress

public static IAsyncEnumerable<CandleMessage> Compress(IAsyncEnumerable<CandleMessage> source, BiggerTimeFrameCandleCompressor compressor, bool includeLastCandle)

result = CandleHelper.Compress(source, compressor, includeLastCandle)

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

public static IEnumerable<CandleMessage> Compress(IEnumerable<CandleMessage> source, BiggerTimeFrameCandleCompressor compressor, bool includeLastCandle)

result = CandleHelper.Compress(source, compressor, includeLastCandle)

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

public static void ConvertToTrades(ICandleMessage candleMsg, decimal volumeStep, int decimals, ValueTuple<Sides?, decimal, decimal, DateTime>[] ticks)

CandleHelper.ConvertToTrades(candleMsg, volumeStep, decimals, ticks)

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

public static decimal Delta(VolumeProfileBuilder volumeProfile)

result = CandleHelper.Delta(volumeProfile)

The difference between VolumeProfileBuilder) and VolumeProfileBuilder).

volumeProfile

Volume profile.

Returns: Delta.

DeltaAbovePoC

public static decimal DeltaAbovePoC(VolumeProfileBuilder volumeProfile)

result = CandleHelper.DeltaAbovePoC(volumeProfile)

The total Delta which was above VolumeProfileBuilder).

volumeProfile

Volume profile.

Returns: Delta.

DeltaBelowPoC

public static decimal DeltaBelowPoC(VolumeProfileBuilder volumeProfile)

result = CandleHelper.DeltaBelowPoC(volumeProfile)

The total Delta which was below VolumeProfileBuilder).

volumeProfile

Volume profile.

Returns: Delta.

FilterSmallerTimeFrames

public static IEnumerable<TimeSpan> FilterSmallerTimeFrames(IEnumerable<TimeSpan> timeFrames, TimeSpan original)

result = CandleHelper.FilterSmallerTimeFrames(timeFrames, original)

Filter time-frames to find multiple smaller time-frames.

timeFrames

All time-frames.

original

Original time-frame.

Returns: Multiple smaller time-frames.

GetBody

public static decimal GetBody(ICandleMessage candle)

result = CandleHelper.GetBody(candle)

To get the candle body.

candle

The candle for which you need to get the body.

Returns: The candle body.

GetBottomShadow

public static decimal GetBottomShadow(ICandleMessage candle)

result = CandleHelper.GetBottomShadow(candle)

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

public static Range<DateTime> GetCandleBounds(TimeSpan timeFrame, DateTime currentTime, BoardMessage board)

result = CandleHelper.GetCandleBounds(timeFrame, currentTime, board)

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

public static Range<DateTime> GetCandleBounds(TimeSpan timeFrame, DateTime currentTime, ExchangeBoard board)

result = CandleHelper.GetCandleBounds(timeFrame, currentTime, board)

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

public static decimal GetLength(ICandleMessage candle)

result = CandleHelper.GetLength(candle)

To get the candle length.

candle

The candle for which you need to get a length.

Returns: The candle length.

GetMiddlePrice

public static decimal GetMiddlePrice(ICandleMessage candle, decimal? priceStep)

result = CandleHelper.GetMiddlePrice(candle, priceStep)

To get the candle middle price.

candle

The candle for which you need to get a length.

priceStep

PriceStep

Returns: The candle length.

GetTimeFrameCount

public static long GetTimeFrameCount(Range<DateTime> range, TimeSpan timeFrame, BoardMessage board)

result = CandleHelper.GetTimeFrameCount(range, timeFrame, board)

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

public static long GetTimeFrameCount(Range<DateTime> range, TimeSpan timeFrame, ExchangeBoard board)

result = CandleHelper.GetTimeFrameCount(range, timeFrame, board)

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

public static decimal GetTopShadow(ICandleMessage candle)

result = CandleHelper.GetTopShadow(candle)

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

public static VolumeProfileBuilder GetValueArea<TCandle>(IEnumerable<TCandle> candles)

result = CandleHelper.GetValueArea(candles)

To calculate the area for the candles group.

candles

Candles.

Returns: The area.

IsSame``1

public static bool IsSame<TCandle>(TCandle candle1, TCandle candle2)

result = CandleHelper.IsSame(candle1, candle2)

Determines the specified candles are same.

candle1

First.

candle2

Second.

Returns: Check result.

MaxPriceLevel

public static CandlePriceLevel? MaxPriceLevel(ICandleMessage candle)

result = CandleHelper.MaxPriceLevel(candle)

PriceLevels with maximum TotalVolume.

candle

ICandleMessage

Returns: PriceLevels with maximum TotalVolume.

MinPriceLevel

public static CandlePriceLevel? MinPriceLevel(ICandleMessage candle)

result = CandleHelper.MinPriceLevel(candle)

PriceLevels with minimum TotalVolume.

candle

ICandleMessage

Returns: PriceLevels with minimum TotalVolume.

PoC

public static CandlePriceLevel PoC(VolumeProfileBuilder volumeProfile)

result = CandleHelper.PoC(volumeProfile)

POC (Point Of Control) returns CandlePriceLevel which had the maximum volume.

volumeProfile

Volume profile.

Returns: The CandlePriceLevel which had the maximum volume.

PriceLevelOfMaxDelta

public static CandlePriceLevel PriceLevelOfMaxDelta(VolumeProfileBuilder volumeProfile)

result = CandleHelper.PriceLevelOfMaxDelta(volumeProfile)

It returns the price level at which the maximum VolumeProfileBuilder) is passed.

volumeProfile

Volume profile.

Returns: CandlePriceLevel.

PriceLevelOfMinDelta

public static CandlePriceLevel PriceLevelOfMinDelta(VolumeProfileBuilder volumeProfile)

result = CandleHelper.PriceLevelOfMinDelta(volumeProfile)

It returns the price level at which the minimum VolumeProfileBuilder) is passed.

volumeProfile

Volume profile.

Returns: The price level.

SellVolAbovePoC

public static decimal SellVolAbovePoC(VolumeProfileBuilder volumeProfile)

result = CandleHelper.SellVolAbovePoC(volumeProfile)

The total volume of asks which was above VolumeProfileBuilder).

volumeProfile

Volume profile.

Returns: The total volume of asks.

SellVolBelowPoC

public static decimal SellVolBelowPoC(VolumeProfileBuilder volumeProfile)

result = CandleHelper.SellVolBelowPoC(volumeProfile)

The total volume of asks which was below VolumeProfileBuilder).

volumeProfile

Volume profile.

Returns: The total volume of asks.

ToCandles

public static IEnumerable<CandleMessage> ToCandles(IEnumerable<ExecutionMessage> executions, MarketDataMessage mdMsg, CandleBuilderProvider candleBuilderProvider)

result = CandleHelper.ToCandles(executions, mdMsg, candleBuilderProvider)

To create candles from the tick trades collection.

executions

Tick data.

mdMsg

Market data subscription.

candleBuilderProvider

Candle builders provider.

Returns: Candles.

ToCandles

public static IAsyncEnumerable<CandleMessage> ToCandles(IAsyncEnumerable<ExecutionMessage> executions, Subscription subscription, CandleBuilderProvider candleBuilderProvider)

result = CandleHelper.ToCandles(executions, subscription, candleBuilderProvider)

To create candles from the tick trades collection.

executions

Tick data.

subscription

Market data subscription.

candleBuilderProvider

Candle builders provider.

Returns: Candles.

ToCandles

public static IAsyncEnumerable<CandleMessage> ToCandles(IAsyncEnumerable<ExecutionMessage> executions, MarketDataMessage mdMsg, CandleBuilderProvider candleBuilderProvider)

result = CandleHelper.ToCandles(executions, mdMsg, candleBuilderProvider)

To create candles from the tick trades collection.

executions

Tick data.

mdMsg

Market data subscription.

candleBuilderProvider

Candle builders provider.

Returns: Candles.

ToCandles

public static IEnumerable<CandleMessage> ToCandles(IEnumerable<QuoteChangeMessage> depths, MarketDataMessage mdMsg, Level1Fields type, CandleBuilderProvider candleBuilderProvider)

result = CandleHelper.ToCandles(depths, mdMsg, type, candleBuilderProvider)

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

public static IAsyncEnumerable<CandleMessage> ToCandles(IAsyncEnumerable<QuoteChangeMessage> depths, Subscription subscription, Level1Fields type, CandleBuilderProvider candleBuilderProvider)

result = CandleHelper.ToCandles(depths, subscription, type, candleBuilderProvider)

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

public static IEnumerable<CandleMessage> ToCandles(IEnumerable<QuoteChangeMessage> depths, Subscription subscription, Level1Fields type, CandleBuilderProvider candleBuilderProvider)

result = CandleHelper.ToCandles(depths, subscription, type, candleBuilderProvider)

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

public static IAsyncEnumerable<CandleMessage> ToCandles(IAsyncEnumerable<QuoteChangeMessage> depths, MarketDataMessage mdMsg, Level1Fields type, CandleBuilderProvider candleBuilderProvider)

result = CandleHelper.ToCandles(depths, mdMsg, type, candleBuilderProvider)

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

public static IEnumerable<CandleMessage> ToCandles(IEnumerable<ExecutionMessage> executions, Subscription subscription, CandleBuilderProvider candleBuilderProvider)

result = CandleHelper.ToCandles(executions, subscription, candleBuilderProvider)

To create candles from the tick trades collection.

executions

Tick data.

subscription

Market data subscription.

candleBuilderProvider

Candle builders provider.

Returns: Candles.

TotalBuyCount

public static decimal TotalBuyCount(VolumeProfileBuilder volumeProfile)

result = CandleHelper.TotalBuyCount(volumeProfile)

The total number of bids in the VolumeProfileBuilder.

volumeProfile

Volume profile.

Returns: The total number of bids.

TotalBuyVolume

public static decimal TotalBuyVolume(VolumeProfileBuilder volumeProfile)

result = CandleHelper.TotalBuyVolume(volumeProfile)

The total volume of bids in the VolumeProfileBuilder.

volumeProfile

Volume profile.

Returns: The total volume of bids.

TotalSellCount

public static decimal TotalSellCount(VolumeProfileBuilder volumeProfile)

result = CandleHelper.TotalSellCount(volumeProfile)

The total number of asks in the VolumeProfileBuilder.

volumeProfile

Volume profile.

Returns: The total number of asks.

TotalSellVolume

public static decimal TotalSellVolume(VolumeProfileBuilder volumeProfile)

result = CandleHelper.TotalSellVolume(volumeProfile)

The total volume of asks in the VolumeProfileBuilder.

volumeProfile

Volume profile.

Returns: The total volume of asks.

ToTickMessage

public static ExecutionMessage ToTickMessage(ValueTuple<Sides?, decimal, decimal, DateTime> tick, SecurityId securityId, DateTime localTime)

result = CandleHelper.ToTickMessage(tick, securityId, localTime)

Convert tick info into ExecutionMessage.

tick

Tick info.

securityId

SecurityId

localTime

LocalTime

Returns: ExecutionMessage

ToTrades``1

public static IEnumerable<ExecutionMessage> ToTrades<TCandle>(IEnumerable<TCandle> candles, decimal volumeStep)

result = CandleHelper.ToTrades(candles, volumeStep)

To create tick trades from candles.

candles

Candles.

volumeStep

Volume step.

Returns: Tick trades.

ToTrades``1

public static IAsyncEnumerable<ExecutionMessage> ToTrades<TCandle>(IAsyncEnumerable<TCandle> candles, decimal volumeStep)

result = CandleHelper.ToTrades(candles, volumeStep)

To create tick trades from candles.

candles

Candles.

volumeStep

Volume step.

Returns: Tick trades.

TryGetCandlesBuildFromAsync

public static ValueTask<DataType> TryGetCandlesBuildFromAsync(IMessageAdapter adapter, MarketDataMessage subscription, CandleBuilderProvider provider, CancellationToken cancellationToken)

result = CandleHelper.TryGetCandlesBuildFromAsync(adapter, subscription, provider, cancellationToken)

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

public static void Update(VolumeProfileBuilder volumeProfile, ICandleBuilderValueTransform transform)

CandleHelper.Update(volumeProfile, transform)

To update the profile with new value.

volumeProfile

Volume profile.

transform

The data source transformation.

VolumeAbovePoC

public static decimal VolumeAbovePoC(VolumeProfileBuilder volumeProfile)

result = CandleHelper.VolumeAbovePoC(volumeProfile)

The total volume which was above VolumeProfileBuilder).

volumeProfile

Volume profile.

Returns: Total volume.

VolumeBelowPoC

public static decimal VolumeBelowPoC(VolumeProfileBuilder volumeProfile)

result = CandleHelper.VolumeBelowPoC(volumeProfile)

The total volume which was below VolumeProfileBuilder).

volumeProfile

Volume profile.

Returns: Total volume.