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 volume by price levels.
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	/// </summary>
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	public class PriceVolumeScript : 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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			// script can process only 1 instrument
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			var security = securities.First();
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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 middle price
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			var rows = candleStorage.Load(from, to)
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				.GroupBy(c => c.LowPrice + c.GetLength() / 2)
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				.ToDictionary(g => g.Key, g => g.Sum(c => c.TotalVolume));
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			// draw on chart
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			panel.CreateChart<decimal, decimal>()
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				.Append(security.ToStringId(), rows.Keys, rows.Values, ChartIndicatorDrawStyles.Histogram);
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			return Task.CompletedTask;
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		}
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	}
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}