public virtual void AnalyseResult(IInstrument instrument, DateTime startTime, DateTime endTime, MarketDataGrade?grade)
{
ReferenceValueList.Clear();
IsAnalyse = true;
var g = MarketDataGrade.FiveMinutes;
if (grade != null)
{
g = grade.Value;
}
AnalyseDataSource.PrepareCache(instrument, startTime, endTime, g);
for (var time = startTime; time <= endTime; time = MarketData.GetNextTime(time, grade.Value))
{
ISignal d = null;
try
{
d = Calculate(instrument, startTime, time, grade);
}
catch
{
}
if (d != null)
{
AddReference(Name, new TimeValueObject()
{
TargetName = instrument.Ticker, Time = d.Time, Value = d.Value, Name = instrument.Name
});
}
}
IsAnalyse = false;
}
public List <IMarketData> GetMarketData(IInstrument instrument, DateTime start, DateTime end, MarketDataGrade grade)
{
if (AnalyseDataSource != null)
{
return(AnalyseDataSource.GetDataList(instrument, start, end, grade));
}
return(null);
}
protected override ISignal Calculate(IInstrument instrument, DateTime startTime, DateTime endTime, MarketDataGrade?grade)
{
isSignalBiggerMeansBetter = true;
if (grade == null)
{
grade = Grade;
}
try
{
var dl = AnalyseDataSource.GetDataList(instrument, startTime, endTime, grade.Value);
var RSI = new double[dl.Count];
int bindex;
int element;
Core.Rsi(0, dl.Count - 1, dl.Select(p => p.Close).ToArray(),
Period, out bindex, out element, RSI);
var valueList = RSI.ToList();
CommonProc.TrimDoubleList(valueList);
if (IsAnalyse)
{
//if (!AnalyseValueList.ContainsKey("RSI"))
//{
// AnalyseValueList.Add("RSI", new List<TimeValueObject>());
//}
if (valueList.Count > 0)
{
//AddSignal(instrument, dl.Max(v => v.Time), valueList.LastOrDefault(), dl.LastOrDefault().Close, "RSI", SignalType.Analyse);
var obj = new TimeValueObject()
{
Name = Name, Value = valueList.LastOrDefault()
};
obj.Time = dl.Max(v => v.Time);
AddReference("RSI", obj);
//AnalyseValueList["RSI"].Add(obj);
//var dif = dl.Count - valueList.Count;
//for (int i = valueList.Count - 1; i >= 0; i--)
//{
// var o = new TimeValueObject() { Name = Name, Value = valueList[i] };
// o.Time = dl[dif + i].Time;
// AddReference("RSI", o);
//}
}
}
//var o = new TimeValueObject() { Name = Name, Time = endTime, Value = null };
//o.Time = dl.Max(v => v.Time);
//o.Value = RSI.ToArray().LastOrDefault();
return(CreateSignal(instrument, dl.Max(v => v.Time), RSI.ToArray().LastOrDefault(), dl.LastOrDefault().Close));
}
catch (Exception e)
{
LogSupport.Error(e);
}
return(null);
}
protected override ISignal Calculate(IInstrument instrument, DateTime startTime, DateTime endTime, MarketDataGrade?grade)
{
if (IsHigh)
{
isSignalBiggerMeansBetter = true;
}
else
{
isSignalBiggerMeansBetter = false;
}
try
{
var dl = AnalyseDataSource.GetDataList(instrument, startTime, endTime, grade.Value);
var v = GetPreviousEndValue(dl);
double value = 0;
if (v > 0)
{
double price = 0;
if (StandardGrade > dl.LastOrDefault().Grade)
{
if (IsHigh)
{
price = dl.LastOrDefault().High;
}
else
{
price = dl.LastOrDefault().Low;
}
}
else
{
price = dl.LastOrDefault().Close;
}
double d = (price - v) / v;
if (IsHigh && d > Math.Abs(ThresholdPercent))
{
value = d - ThresholdPercent;
}
if (!IsHigh && d < (-1 * Math.Abs(ThresholdPercent)))
{
value = d + Math.Abs(ThresholdPercent);
}
if (Math.Abs(value) > CommonProc.EPSILON)
{
return(CreateSignal(instrument, dl.LastOrDefault().Time, value, price));
}
}
return(null);
}
catch
{
return(null);
}
}
ISignal IsHigher(IInstrument instrument, DateTime start, DateTime end, MarketDataGrade?grade)
{
if (grade == null)
{
grade = Grade;
}
var ml = AnalyseDataSource.GetDataList(instrument, start, end, grade.Value);
if (ml.Count <= PredicatePeriod + RecentPeriod)
{
return(null);
}
var recentMax = 0d;
var predicateMax = 0d;
for (int i = 0; i < PredicatePeriod + RecentPeriod; i++)
{
var data = ml[ml.Count - 1 - i];
if (i < RecentPeriod)
{
recentMax = Math.Max(recentMax, data.Close);
}
else
{
predicateMax = Math.Max(predicateMax, data.High);
}
}
if (recentMax >= predicateMax * (Threshold + 1))
{
var o = new Signal()
{
Name = Name, Time = end, Value = 0, IsPositive = isSignalBiggerMeansBetter, Price = recentMax, Ticker = instrument.Ticker
};
o.Time = ml.Max(v => v.Time);
o.Value = (recentMax - predicateMax) / predicateMax;
return(o);
}
return(null);
}
protected override ISignal Calculate(IInstrument instrument, DateTime startTime, DateTime endTime, MarketDataGrade?grade)
{
isSignalBiggerMeansBetter = true;
if (grade == null)
{
grade = Grade;
}
try
{
var dl = AnalyseDataSource.GetDataList(instrument, startTime, endTime, grade.Value);
var slowK = new double[dl.Count];
var slowD = new double[dl.Count];
int bindex;
int element;
Core.Stoch(0, dl.Count - 1, dl.Select(p => p.High).ToArray(), dl.Select(p => p.Low).ToArray(), dl.Select(p => p.Close).ToArray(),
FastKPeriod, SlowKPeriod, SlowKType, SlowDPeriod, SlowDType, out bindex, out element, slowK, slowD);
var skl = slowK.ToList <double>();
var sdl = slowD.ToList <double>();
CommonProc.TrimDoubleList(skl);
CommonProc.TrimDoubleList(sdl);
if (IsAnalyse)
{
//if (!AnalyseValueList.ContainsKey("K"))
//{
// AnalyseValueList.Add("K", new List<TimeValueObject>());
//}
//if (!AnalyseValueList.ContainsKey("D"))
//{
// AnalyseValueList.Add("D", new List<TimeValueObject>());
//}
if (skl.Count > 0)
{
//var dif = dl.Count - skl.Count;
//for (int i = skl.Count - 1; i >= 0; i--)
//{
// var o = new TimeValueObject() { Name = Name, Value = skl[i] };
// o.Time = dl[dif + i].Time;
// AddReference("K", o);
//}
var o = new TimeValueObject()
{
Name = Name, Value = skl.LastOrDefault()
};
o.Time = dl.Max(v => v.Time);
AddReference("K", o);
//AddSignal(instrument, dl.Max(v => v.Time), skl.LastOrDefault(), dl.LastOrDefault().Close, "K", SignalType.Analyse);
//AnalyseValueList["K"].Add(o);
}
if (sdl.Count > 0)
{
//var dif = dl.Count - sdl.Count;
//for (int i = skl.Count - 1; i >= 0; i--)
//{
// var o = new TimeValueObject() { Name = Name, Value = sdl[i] };
// o.Time = dl[dif + i].Time;
// AddReference("D", o);
//}
var o = new TimeValueObject()
{
Name = Name, Value = sdl.LastOrDefault()
};
o.Time = dl.Max(v => v.Time);
AddReference("D", o);
//AnalyseValueList["D"].Add(o);
//AddSignal(instrument, dl.Max(v => v.Time), sdl.LastOrDefault(), dl.LastOrDefault().Close, "D", SignalType.Analyse);
}
}
if (skl[skl.Count - 2] < skl[skl.Count - 1] && sdl[sdl.Count - 2] < sdl[sdl.Count - 1])//current K,D increase
{
return(CreateSignal(instrument, dl.Max(v => v.Time), ((skl[skl.Count - 1] - skl[skl.Count - 2]) + (sdl[sdl.Count - 1] - sdl[sdl.Count - 2])) / 2d, dl.LastOrDefault().Close));
//var o = new TimeValueObject() { Name = Name, Time = endTime, Value = null };
//o.Time = dl.Max(v => v.Time);
//o.Value= ((skl[skl.Count - 1] - skl[skl.Count - 2]) + (sdl[sdl.Count - 1] - sdl[sdl.Count - 2])) / 2d;
//return o;
}
}
catch (Exception e)
{
LogSupport.Error(e);
}
return(null);
}