StockSharp

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namespace StockSharp.Algo.Analytics
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{
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	/// <summary>
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	/// The analytic script, calculating distribution of the biggest volume by hours
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	/// and shows its in 3D chart.
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	/// </summary>
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	public class Chart3DScript : IAnalyticsScript
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	{
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		Task IAnalyticsScript.Run(ILogReceiver logs, IAnalyticsPanel panel, SecurityId[] securities, DateTime from, DateTime to, IStorageRegistry storage, IMarketDataDrive drive, StorageFormats format, TimeSpan timeFrame, CancellationToken cancellationToken)
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		{
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			if (securities.Length == 0)
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			{
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				logs.AddWarningLog("No instruments.");
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				return Task.CompletedTask;
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			}
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			var x = new List<string>();
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			var y = new List<string>();
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			// fill Y labels
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			for (var h = 0; h < 24; h++)
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				y.Add(h.ToString());
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			var z = new double[securities.Length, y.Count];
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			for (var i = 0; i < securities.Length; i++)
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			{
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				// stop calculation if user cancel script execution
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				if (cancellationToken.IsCancellationRequested)
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					break;
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				var security = securities[i];
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				// fill X labels
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				x.Add(security.ToStringId());
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				// get candle storage
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				var candleStorage = storage.GetTimeFrameCandleMessageStorage(security, timeFrame, drive, format);
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				// get available dates for the specified period
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				var dates = candleStorage.GetDates(from, to).ToArray();
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				if (dates.Length == 0)
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				{
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					logs.AddWarningLog("no data");
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					return Task.CompletedTask;
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				}
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				// grouping candles by opening time (time part only) with 1 hour truncating
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				var byHours = candleStorage.Load(from, to)
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					.GroupBy(c => c.OpenTime.TimeOfDay.Truncate(TimeSpan.FromHours(1)))
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					.ToDictionary(g => g.Key.Hours, g => g.Sum(c => c.TotalVolume));
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				// fill Z values
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				foreach (var pair in byHours)
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					z[i, pair.Key] = (double)pair.Value;
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			}
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			panel.Draw3D(x, y, z, "Instruments", "Hours", "Volume");
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			return Task.CompletedTask;
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		}
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	}
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}