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fix(ClusterSearch): keep realtime results consistent with a full bar recalculation #180

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fix(ClusterSearch): keep realtime results consistent with a full bar recalculation #180

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29 changes: 26 additions & 3 deletions Technical/ClusterSearch.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -138,8 +138,8 @@ protected override void OnNewTrades(IEnumerable<MarketDataArg> trades)
if (!isValid)
return;

// Exact zero Ask/Bid searches can depend on price levels that were not directly hit
// by the last trade, so the incremental path may miss live updates until refresh.
// Some settings make a level's result depend on data other than the levels hit by the
// new trades; the incremental path would then diverge from a full recalculation.
if (RequiresFullBarUpdateOnNewTrades())
{
CalculateBarFull(bar);
Expand All @@ -150,6 +150,16 @@ protected override void OnNewTrades(IEnumerable<MarketDataArg> trades)
var totalVolume = GetTotalVolume(bar);
var ranges = GetPriceRanges(bar, endPrice);

// The full calculation evaluates every window start inside the ranges, which for some
// locations reach above endPrice (up to the High). Use the same upper bound here.
var upperPrice = endPrice;

foreach (var range in ranges)
{
if (range.To > upperPrice)
upperPrice = range.To;
}

_renderDataSeries[bar] = _lastSeriesBar;

foreach (var trade in trades)
Expand All @@ -158,7 +168,7 @@ protected override void OnNewTrades(IEnumerable<MarketDataArg> trades)
? trade.Price - (PriceRange - 1) * InstrumentInfo.TickSize
: trade.Price;

for (var price = Math.Max(candle.Low, startPrice); price <= Math.Min(endPrice, trade.Price); price += InstrumentInfo.TickSize)
for (var price = Math.Max(candle.Low, startPrice); price <= Math.Min(upperPrice, trade.Price); price += InstrumentInfo.TickSize)
{
var inRange = false;

Expand Down Expand Up @@ -784,6 +794,19 @@ private bool RequiresFullBarUpdateOnNewTrades()
if (CalcType is CalcMode.MaxVolume)
return true;

// The percentage of every level changes with the total volume of the bar,
// not only the levels hit by the new trades.
if (MinPercent != 0 || MaxPercent != 0)
return true;

// The selected level may stop passing the filters and another level may have to replace it.
if (OnlyOneSelectionPerBar)
return true;

// Body and wick ranges depend on Open/Close, which can move without a new High or Low.
if (PriceLoc is PriceLocation.Body or PriceLocation.UpperWick or PriceLocation.LowerWick or PriceLocation.AtUpperLowerWick)
return true;

return !AutoFilter
&& CalcType is CalcMode.Ask or CalcMode.Bid
&& MinimumFilter.Enabled
Expand Down