SamplingUtils.SynthesizeCandles Method (IEnumerable(ITimeSeriesSample), UInt32, Action(CandleSample, SecDBFileReader.QuoteSample, Int32), Action(CandleSample, SecDBFileReader.TradeSample, Int32))

SamplingUtils SynthesizeCandles Method (IEnumerable ITimeSeriesSample , UInt32, Action CandleSample, SecDBFileReader QuoteSample, Int32 , Action CandleSample, SecDBFileReader TradeSample, Int32 )

NFX Class Library

[This is preliminary documentation and is subject to change.]

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

Namespace: NFX.Financial.Market
Assembly: NFX (in NFX.dll) Version: 3.0.0.1 (3.0.0.1)

Syntax

C++

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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
)

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
)

<ExtensionAttribute> 
Public Shared Function SynthesizeCandles ( 
	source As IEnumerable(Of ITimeSeriesSample),
	secSamplingPeriod As UInteger,
	Optional funcQuote As Action(Of CandleSample, SecDBFileReader..::..QuoteSample, Integer) = Nothing,
	Optional funcTrade As Action(Of CandleSample, SecDBFileReader..::..TradeSample, Integer) = Nothing
) As IEnumerable(Of CandleSample)

<ExtensionAttribute> 
Public Shared Function SynthesizeCandles ( 
	source As IEnumerable(Of ITimeSeriesSample),
	secSamplingPeriod As UInteger,
	Optional funcQuote As Action(Of CandleSample, SecDBFileReader..::..QuoteSample, Integer) = Nothing,
	Optional funcTrade As Action(Of CandleSample, SecDBFileReader..::..TradeSample, Integer) = Nothing
) As IEnumerable(Of CandleSample)

public:
[ExtensionAttribute]
static IEnumerable<CandleSample^>^ SynthesizeCandles(
	IEnumerable<ITimeSeriesSample^>^ source, 
	unsigned int secSamplingPeriod, 
	Action<CandleSample^, SecDBFileReader..::..QuoteSample^, int>^ funcQuote = nullptr, 
	Action<CandleSample^, SecDBFileReader..::..TradeSample^, int>^ funcTrade = nullptr
)

public:
[ExtensionAttribute]
static IEnumerable<CandleSample^>^ SynthesizeCandles(
	IEnumerable<ITimeSeriesSample^>^ source, 
	unsigned int secSamplingPeriod, 
	Action<CandleSample^, SecDBFileReader..::..QuoteSample^, int>^ funcQuote = nullptr, 
	Action<CandleSample^, SecDBFileReader..::..TradeSample^, int>^ funcTrade = nullptr
)

static member SynthesizeCandles : 
        source : IEnumerable<ITimeSeriesSample> * 
        secSamplingPeriod : uint32 * 
        ?funcQuote : Action<CandleSample, SecDBFileReader..::..QuoteSample, int> * 
        ?funcTrade : Action<CandleSample, SecDBFileReader..::..TradeSample, int> 
(* Defaults:
        let _funcQuote = defaultArg funcQuote null 
        let _funcTrade = defaultArg funcTrade null
*)
-> IEnumerable<CandleSample>

static member SynthesizeCandles : 
        source : IEnumerable<ITimeSeriesSample> * 
        secSamplingPeriod : uint32 * 
        ?funcQuote : Action<CandleSample, SecDBFileReader..::..QuoteSample, int> * 
        ?funcTrade : Action<CandleSample, SecDBFileReader..::..TradeSample, int> 
(* Defaults:
        let _funcQuote = defaultArg funcQuote null 
        let _funcTrade = defaultArg funcTrade null
*)
-> IEnumerable<CandleSample>

Parameters

source: Type: System.Collections.Generic IEnumerable ITimeSeriesSample
Source of market data

secSamplingPeriod: Type: System UInt32
The output sampling period

funcQuote (Optional): Type: System Action CandleSample, SecDBFileReader QuoteSample, Int32
Aggregation func for Quote, if null default is used which aggregates best bid

funcTrade (Optional): Type: System Action CandleSample, SecDBFileReader TradeSample, Int32
Aggregation func for Quote, if null default is used which aggregates buy and sell volumes

Return Value

Type:

IEnumerable CandleSample
Synthesized candle stream

Usage Note

In Visual Basic and C#, you can call this method as an instance method on any object of type Online

IEnumerable ITimeSeriesSample . When you use instance method syntax to call this method, omit the first parameter. For more information, see Online

Extension Methods (Visual Basic) or Online

Extension Methods (C# Programming Guide).