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, using indicator ROC.
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	/// </summary>
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	public class IndicatorScript : 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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			// creating 2 panes for candles and indicator series
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			var candleChart = panel.CreateChart<DateTimeOffset, decimal>();
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			var indicatorChart = panel.CreateChart<DateTimeOffset, decimal>();
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			foreach (var security in securities)
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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 candlesSeries = new Dictionary<DateTimeOffset, decimal>();
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				var indicatorSeries = new Dictionary<DateTimeOffset, decimal>();
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				// creating ROC
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				var roc = new RateOfChange();
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				// get candle storage
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				var candleStorage = storage.GetTimeFrameCandleMessageStorage(security, timeFrame, drive, format);
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				foreach (var candle in candleStorage.Load(from, to))
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				{
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					// fill series
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					candlesSeries[candle.OpenTime] = candle.ClosePrice;
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					indicatorSeries[candle.OpenTime] = roc.Process(candle).GetValue<decimal>();
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				}
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				// draw series on chart
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				candleChart.Append($"{security} (close)", candlesSeries.Keys, candlesSeries.Values);
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				indicatorChart.Append($"{security} (ROC)", indicatorSeries.Keys, indicatorSeries.Values);
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			}
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			return Task.CompletedTask;
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		}
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	}
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}