public void clac2(double dPrice_A, double dPrice_B, int nPeriod,
ETIME_FRAME nTimeFrame = ETIME_FRAME.MIN1, EPRICE_MODE nPriceMode = EPRICE_MODE.BID,
EPRICE_VAL nPriceVal = EPRICE_VAL.CLOSE)
{
if (m_cacheData_A.getTickCount() < nPeriod)
{
m_indVals[IND_MAIN] = 0;
m_indVals[IND_CC] = 1;
return;
}
double sumyy = 0, sumxyxy = 0;
double x, y, xx, yy;
for (int i = 0; i < nPeriod; i++)
{
x = getPrice(m_cacheData_A, i, nTimeFrame, nPriceMode, nPriceVal);
y = getPrice(m_cacheData_B, i, nTimeFrame, nPriceMode, nPriceVal);
xx = getPrice(m_cacheData_A, i + 1, nTimeFrame, nPriceMode, nPriceVal);
yy = getPrice(m_cacheData_B, i + 1, nTimeFrame, nPriceMode, nPriceVal);
sumyy += y * yy;
sumxyxy += x * yy + xx * y;
}
m_indVals[IND_CC] = sumxyxy / sumyy / 2;
m_indVals[IND_MAIN] = dPrice_A - dPrice_B * m_indVals[IND_CC];
m_cacheData_main.pushTick(m_indVals[IND_MAIN], m_indVals[IND_MAIN], CFATCommon.m_dtCurTime);
}
public void calc(double dPrice_A, double dPrice_B, int nPeriod,
ETIME_FRAME nTimeFrame = ETIME_FRAME.MIN1, EPRICE_MODE nPriceMode = EPRICE_MODE.BID,
EPRICE_VAL nPriceVal = EPRICE_VAL.CLOSE)
{
if (m_cacheData_A.getTickCount() < nPeriod)
{
m_indVals[IND_MAIN] = 0;
m_indVals[IND_CC] = 1;
return;
}
double sumx = 0, sumy = 0, sumxx = 0, sumyy = 0, sumxyxy = 0, sumxy = 0;
double dRet = 0;
double x, y, xx, yy;
for (int i = 0; i < nPeriod; i++)
{
x = getPrice(m_cacheData_A, i, nTimeFrame, nPriceMode, nPriceVal);
y = getPrice(m_cacheData_B, i, nTimeFrame, nPriceMode, nPriceVal);
xx = getPrice(m_cacheData_A, i + 1, nTimeFrame, nPriceMode, nPriceVal);
yy = getPrice(m_cacheData_B, i + 1, nTimeFrame, nPriceMode, nPriceVal);
sumx += x * x;
sumxx += x * xx;
sumy += y * y;
sumyy += y * yy;
sumxy += x * y;
sumxyxy += x * yy + xx * y;
}
double a, b, c;
a = sumy * sumxyxy - 2 * sumxy * sumyy;
b = sumyy * sumx - sumy * sumxx;
c = 2 * sumxy * sumxx - sumxyxy * sumx;
dRet = (Math.Sqrt(b * b - a * c) - b) / a;
m_indVals[IND_CC] = dRet;
//m_indVals[IND_MAIN] = dPrice_A - m_indVals[IND_CC] * 31.103477; //For Logic_Pair_V3
m_indVals[IND_MAIN] = dPrice_A - dPrice_B * dRet;
m_cacheData_main.pushTick(m_indVals[IND_MAIN], m_indVals[IND_MAIN], CFATCommon.m_dtCurTime);
// string sRates = string.Format("{0},{1}", CFATCommon.m_dtCurTime, m_dIndVal);
// CFATLogger.record_rates("Test\\CC", sRates);
}
public void calc(int nPeriod, ETIME_FRAME nTimeFrame = ETIME_FRAME.MIN1, EPRICE_MODE nPriceMode = EPRICE_MODE.BID, EPRICE_VAL nPriceVal = EPRICE_VAL.CLOSE)
{
m_indSTD.calc(nPeriod, nTimeFrame, nPriceMode, nPriceVal);
m_indMA.calc(nPeriod, nTimeFrame, nPriceMode, nPriceVal);
double dStd = m_indSTD.getVal();
m_indVals[IND_BAND_MID] = m_indMA.getVal();
m_indVals[IND_BAND_UP] = m_indVals[IND_BAND_MID] + 2 * dStd;
m_indVals[IND_BAND_DOWN] = m_indVals[IND_BAND_MID] - 2 * dStd;
// string sRates = string.Format("{0},{1},{2},{3},{4}", CFATCommon.m_dtCurTime,
// m_cacheData_A.getTick(0).getMid(),
// m_indVals[IND_BAND_UP], m_indVals[IND_BAND_MID], m_indVals[IND_BAND_DOWN]);
// CFATLogger.record_rates("Test\\Band", sRates);
}
public void calc(int nPeriod, ETIME_FRAME nTimeFrame = ETIME_FRAME.MIN1, EPRICE_MODE nPriceMode = EPRICE_MODE.BID, EPRICE_VAL nPriceVal = EPRICE_VAL.CLOSE)
{
if (nPeriod == 0)
{
m_indVals[IND_MAIN] = 0;
return;
}
double dRet = 0;
for (int i = 0; i < nPeriod; i++)
{
dRet += getPrice(m_cacheData_A, i, nTimeFrame, nPriceMode, nPriceVal);
}
m_indVals[IND_MAIN] = dRet / nPeriod;
}
public void calc(int nPeriod, ETIME_FRAME nTimeFrame = ETIME_FRAME.MIN1, EPRICE_MODE nPriceMode = EPRICE_MODE.BID, EPRICE_VAL nPriceVal = EPRICE_VAL.CLOSE)
{
m_indMA.calc(nPeriod, nTimeFrame, nPriceMode, nPriceVal);
double dSum = 0;
double dVal = 0;
if (nPeriod == 0)
{
m_indVals[IND_MAIN] = 0;
return;
}
double dMA = m_indMA.getVal();
for (int i = 0; i < nPeriod; i++)
{
dVal = getPrice(m_cacheData_A, i, nTimeFrame, nPriceMode, nPriceVal);
dSum += (dVal - dMA) * (dVal - dMA);
}
m_indVals[IND_MAIN] = Math.Sqrt(dSum / nPeriod);
}
public double getPrice(CCacheData cacheData, int nPos, ETIME_FRAME nTimeFrame = ETIME_FRAME.MIN1, EPRICE_MODE nPriceMode = EPRICE_MODE.BID, EPRICE_VAL nPriceVal = EPRICE_VAL.CLOSE)
{
double dRet = 0;
if (nTimeFrame == ETIME_FRAME.MIN1)
{
if (nPriceMode == EPRICE_MODE.ASK)
{
if (nPriceVal == EPRICE_VAL.OPEN)
{
return(cacheData.getMin(nPos).dAsk_open);
}
if (nPriceVal == EPRICE_VAL.HIGH)
{
return(cacheData.getMin(nPos).dAsk_high);
}
if (nPriceVal == EPRICE_VAL.LOW)
{
return(cacheData.getMin(nPos).dAsk_low);
}
if (nPriceVal == EPRICE_VAL.CLOSE)
{
return(cacheData.getMin(nPos).dAsk_close);
}
}
if (nPriceMode == EPRICE_MODE.BID)
{
if (nPriceVal == EPRICE_VAL.OPEN)
{
return(cacheData.getMin(nPos).dBid_open);
}
if (nPriceVal == EPRICE_VAL.HIGH)
{
return(cacheData.getMin(nPos).dBid_high);
}
if (nPriceVal == EPRICE_VAL.LOW)
{
return(cacheData.getMin(nPos).dBid_low);
}
if (nPriceVal == EPRICE_VAL.CLOSE)
{
return(cacheData.getMin(nPos).dBid_close);
}
}
}
if (nTimeFrame == ETIME_FRAME.TICK)
{
if (nPriceMode == EPRICE_MODE.ASK)
{
return(cacheData.getTick(nPos).dAsk);
}
if (nPriceMode == EPRICE_MODE.BID)
{
return(cacheData.getTick(nPos).dBid);
}
}
return(dRet);
}
