Class SamplingUtils

Inheritance

System.Object

SamplingUtils

Inherited Members

System.Object.Equals(System.Object)

System.Object.Equals(System.Object, System.Object)

System.Object.GetHashCode()

System.Object.GetType()

System.Object.MemberwiseClone()

System.Object.ReferenceEquals(System.Object, System.Object)

System.Object.ToString()

Namespace: NFX.Financial.Market

Assembly: NFX.dll

Syntax

public static class SamplingUtils

Methods

AggregateHomogeneousSamples(IEnumerable<ITimeSeriesSample>, UInt32, Single)

Aggregates source stream of the normally equidistant samples of the same type by the specified factor

Declaration

public static IEnumerable<ITimeSeriesSample> AggregateHomogeneousSamples(this IEnumerable<ITimeSeriesSample> source, uint times, float samplingRateVariationPct = 1F)

Parameters

Type	Name	Description
System.Collections.Generic.IEnumerable<ITimeSeriesSample>	source	Source stream
System.UInt32	times	Factor of aggergation, i.e. 4x means aggregate 4 samples into one
System.Single	samplingRateVariationPct	The allowed variation in timing between samples, once this variation is exceeded the system emits new aggregate

Returns

Type	Description
System.Collections.Generic.IEnumerable<ITimeSeriesSample>	Aggregated sample stream

SynthesizeCandles(IEnumerable<ITimeSeriesSample>, UInt32, Action<CandleSample, SecDBFileReader.QuoteSample, Int32>, Action<CandleSample, SecDBFileReader.TradeSample, Int32>)

Synthesizes a stream of candle samples from Quote and Trade samples coming from the market (i.e SecDB file)

Declaration

public static IEnumerable<CandleSample> SynthesizeCandles(this IEnumerable<ITimeSeriesSample> source, uint secSamplingPeriod, Action<CandleSample, SecDBFileReader.QuoteSample, int> funcQuote = null, Action<CandleSample, SecDBFileReader.TradeSample, int> funcTrade = null)

Parameters

Type	Name	Description
System.Collections.Generic.IEnumerable<ITimeSeriesSample>	source	Source of market data
System.UInt32	secSamplingPeriod	The output sampling period
System.Action<CandleSample, SecDBFileReader.QuoteSample, System.Int32>	funcQuote	Aggregation func for Quote, if null default is used which aggregates best bid
System.Action<CandleSample, SecDBFileReader.TradeSample, System.Int32>	funcTrade	Aggregation func for Quote, if null default is used which aggregates buy and sell volumes

Returns

Type	Description
System.Collections.Generic.IEnumerable<CandleSample>	Synthesized candle stream

SynthesizeCandles<T>(IEnumerable<ITimeSeriesSample>, UInt32, Action<T, SecDBFileReader.QuoteSample, Int32>, Action<T, SecDBFileReader.TradeSample, Int32>)

Synthesizes a stream of candle samples from Quote and Trade samples coming from a market data source (i.e SecDB file)

Declaration

public static IEnumerable<T> SynthesizeCandles<T>(this IEnumerable<ITimeSeriesSample> source, uint secSamplingPeriod, Action<T, SecDBFileReader.QuoteSample, int> funcQuote, Action<T, SecDBFileReader.TradeSample, int> funcTrade)where T : ITimedSample

Parameters

Type	Name	Description
System.Collections.Generic.IEnumerable<ITimeSeriesSample>	source	Source of market data
System.UInt32	secSamplingPeriod	The output sampling period
System.Action<T, SecDBFileReader.QuoteSample, System.Int32>	funcQuote	Aggregation func for Quote, if null default is used which aggregates best bid
System.Action<T, SecDBFileReader.TradeSample, System.Int32>	funcTrade	Aggregation func for Quote, if null default is used which aggregates buy and sell volumes

Returns

Type	Description
System.Collections.Generic.IEnumerable<T>	Synthesized candle stream

Type Parameters

Name	Description
T