Merge when zero volume.

#75
JohanLarsson · Jul 11, 2021 · 048650e · 048650e
1 parent 287133c
commit 048650e
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Showing 3 changed files with 52 additions and 8 deletions.
diff --git a/Sideways.Tests/Model/CandleTests.cs b/Sideways.Tests/Model/CandleTests.cs
@@ -37,6 +37,37 @@ public static void Merge()
             Assert.AreEqual(expected, c2.Merge(c1));
         }
 
+        [Test]
+        public static void MergeWhenZeroVolume()
+        {
+            var c1 = new Candle(
+                new DateTimeOffset(2021, 05, 22, 09, 30, 00, 0, TimeSpan.Zero),
+                open: 0f,
+                high: 0f,
+                low: 0f,
+                close: 0f,
+                volume: 0);
+
+            var c2 = new Candle(
+                new DateTimeOffset(2021, 05, 22, 09, 31, 00, 0, TimeSpan.Zero),
+                open: 1.3f,
+                high: 1.4f,
+                low: 1.1f,
+                close: 1.2f,
+                volume: 1);
+
+            var expected = new Candle(
+                new DateTimeOffset(2021, 05, 22, 09, 31, 00, 0, TimeSpan.Zero),
+                open: 1.3f,
+                high: 1.4f,
+                low: 1.1f,
+                close: 1.2f,
+                volume: 1);
+
+            Assert.AreEqual(expected, c1.Merge(c2));
+            Assert.AreEqual(expected, c2.Merge(c1));
+        }
+
         [Test]
         public static void Adjust()
         {

diff --git a/Sideways/Chart/Candles.cs b/Sideways/Chart/Candles.cs
@@ -25,15 +25,15 @@ public Candles(SortedCandles days, SortedCandles minutes)
         public IEnumerable<Candle> DescendingDays(DateTimeOffset end)
         {
             if (TradingDay.IsRegularHours(end) &&
-                this.DayRegularMinutes(end, this.minuteIndex) is { Length: > 0 } minutes)
+                this.DayRegularMinutes(end, this.minuteIndex) is { Length: > 0 } dayMinutes)
             {
-                if (minutes.Length == 1)
+                if (dayMinutes.Length == 1)
                 {
-                    yield return minutes[0];
+                    yield return dayMinutes[0];
                 }
                 else
                 {
-                    yield return Candle.Merge(minutes);
+                    yield return Candle.Merge(dayMinutes);
                 }
 
                 end = end.AddDays(-1);

diff --git a/Sideways/Model/Candle.cs b/Sideways/Model/Candle.cs
@@ -81,15 +81,28 @@ public static bool ShouldMergeFiveMinutes(DateTimeOffset x, DateTimeOffset y) =>
 
         public Candle Merge(Candle other)
         {
-            return other.Time <= this.Time
-                ? new(
+            if (other.Time <= this.Time)
+            {
+                if (this.Volume == 0)
+                {
+                    return other.WithTime(this.Time);
+                }
+
+                if (other.Volume == 0)
+                {
+                    return this;
+                }
+
+                return new(
                     time: this.Time,
                     open: other.Open,
                     high: Math.Max(this.High, other.High),
                     low: Math.Min(this.Low, other.Low),
                     close: this.Close,
-                    volume: this.Volume + other.Volume)
-                : other.Merge(this);
+                    volume: this.Volume + other.Volume);
+            }
+
+            return other.Merge(this);
         }
 
         public bool Equals(Candle other)