Beispiel #1
0
        // cluster calculation
        // расчёт кластеров

        /// <summary>
        /// compute the clusters
        /// просчитать кластеры
        /// </summary>
        public void Process(List <Candle> candles)
        {
            if (candles == null)
            {
                return;
            }
            if (_myCandles != null &&
                candles.Count < _myCandles.Count)
            {
                Clear();
            }

            if (candles.Count == 1 && candles[0].Trades.Count == 0)
            {
                return;
            }



            _myCandles = candles;

            int index = _lastCandlesCount - 2;

            if (index < 0)
            {
                index = 0;
            }

            for (int i = index; i < candles.Count; i++)
            {
                if (candles[i].Trades.Count == 0)
                {
                    continue;
                }

                // take the cluster from the storage, if not, then create a new
                // берём кластер из хранилища, если нет, то создаём новый

                if (candles[i].Trades == null ||
                    candles[i].Trades.Count == 0)
                {
                    continue;
                }

                HorizontalVolumeCluster cluster = VolumeClusters.Find(c => c.Time == candles[i].TimeStart);

                if (cluster == null)
                {
                    cluster = new HorizontalVolumeCluster(_lineStep, Security);
                    VolumeClusters.Add(cluster);
                    cluster.NumCluster = VolumeClusters.Count - 1;

                    cluster.Time                    = candles[i].TimeStart;
                    cluster.LogMessageEvent        += SendNewLogMessage;
                    cluster.MaxSummLineChangeEvent += delegate(HorizontalVolumeLine line)
                    {
                        MaxSummLineChangeEvent?.Invoke(line);
                    };
                    cluster.MaxBuyLineChangeEvent += delegate(HorizontalVolumeLine line)
                    {
                        MaxBuyLineChangeEvent?.Invoke(line);
                    };
                    cluster.MaxSellLineChangeEvent += delegate(HorizontalVolumeLine line)
                    {
                        MaxSellLineChangeEvent?.Invoke(line);
                    };
                    cluster.MaxDeltaLineChangeEvent += delegate(HorizontalVolumeLine line)
                    {
                        MaxDeltaLineChangeEvent?.Invoke(line);
                    };

                    cluster.MinSummLineChangeEvent += delegate(HorizontalVolumeLine line)
                    {
                        MinSummLineChangeEvent?.Invoke(line);
                    };
                    cluster.MinBuyLineChangeEvent += delegate(HorizontalVolumeLine line)
                    {
                        MinBuyLineChangeEvent?.Invoke(line);
                    };
                    cluster.MinSellLineChangeEvent += delegate(HorizontalVolumeLine line)
                    {
                        MinSellLineChangeEvent?.Invoke(line);
                    };
                    cluster.MinDeltaLineChangeEvent += delegate(HorizontalVolumeLine line)
                    {
                        MinDeltaLineChangeEvent?.Invoke(line);
                    };

                    cluster.NewLineCreateEvent += delegate(HorizontalVolumeLine line) { VolumeClusterLines.Add(line); };
                }
                // upload the cluster with data
                // прогружаем кластер данными

                cluster.Process(candles[i].Trades);
                // calculate the maximum / minimum clusters
                // рассчитываем максимальные / минимальные кластеры

                if (MaxSummVolumeCluster == null ||
                    cluster.MaxSummVolumeLine.VolumeSumm > MaxSummVolumeCluster.MaxSummVolumeLine.VolumeSumm)
                {
                    MaxSummVolumeCluster = cluster;
                    MaxSummClusterChangeEvent?.Invoke(cluster);
                }
                if (MinSummVolumeCluster == null ||
                    cluster.MinSummVolumeLine.VolumeSumm < MinSummVolumeCluster.MinSummVolumeLine.VolumeSumm)
                {
                    MinSummVolumeCluster = cluster;
                    MinSummClusterChangeEvent?.Invoke(cluster);
                }
                //
                if (MaxBuyVolumeCluster == null ||
                    cluster.MaxBuyVolumeLine.VolumeBuy > MaxBuyVolumeCluster.MaxBuyVolumeLine.VolumeBuy)
                {
                    MaxBuyVolumeCluster = cluster;
                    MaxBuyClusterChangeEvent?.Invoke(cluster);
                }
                if (MinBuyVolumeCluster == null ||
                    cluster.MinBuyVolumeLine.VolumeBuy < MinBuyVolumeCluster.MinBuyVolumeLine.VolumeBuy)
                {
                    MinBuyVolumeCluster = cluster;
                    MinBuyClusterChangeEvent?.Invoke(cluster);
                }
                //
                if (MaxSellVolumeCluster == null ||
                    cluster.MaxSellVolumeLine.VolumeSell > MaxSellVolumeCluster.MaxSellVolumeLine.VolumeSell)
                {
                    MaxSellVolumeCluster = cluster;
                    MaxSellClusterChangeEvent?.Invoke(cluster);
                }
                if (MinSellVolumeCluster == null ||
                    cluster.MinSellVolumeLine.VolumeSell < MinSellVolumeCluster.MinSellVolumeLine.VolumeSell)
                {
                    MinSellVolumeCluster = cluster;
                    MinSellClusterChangeEvent?.Invoke(cluster);
                }
                //
                if (MaxDeltaVolumeCluster == null ||
                    cluster.MaxDeltaVolumeLine.VolumeDelta > MaxDeltaVolumeCluster.MaxDeltaVolumeLine.VolumeDelta)
                {
                    MaxDeltaVolumeCluster = cluster;
                    MaxDeltaClusterChangeEvent?.Invoke(cluster);
                }
                if (MinDeltaVolumeCluster == null ||
                    cluster.MinDeltaVolumeLine.VolumeDelta < MinDeltaVolumeCluster.MinDeltaVolumeLine.VolumeDelta)
                {
                    MinDeltaVolumeCluster = cluster;
                    MinDeltaClusterChangeEvent?.Invoke(cluster);
                }
                //
                if (MaxPriceCluster == null ||
                    cluster.MaxPriceLine.Price > MaxPriceCluster.MaxPriceLine.Price)
                {
                    MaxPriceCluster = cluster;
                }
                if (MinPriceCluster == null ||
                    cluster.MinPriceLine.Price < MinPriceCluster.MinPriceLine.Price)
                {
                    MinPriceCluster = cluster;
                }
            }

            _lastCandlesCount = candles.Count;
        }
Beispiel #2
0
        /// <summary>
        /// constructor /
        /// конструктор
        /// </summary>
        /// <param name="name">bot name / имя робота</param>
        /// <param name="startProgram">class creating program / программа создающая класс</param>
        public BotTabCluster(string name, StartProgram startProgram)
        {
            TabName       = name;
            _startProgram = startProgram;

            CandleConnector = new ConnectorCandles(name, _startProgram);
            CandleConnector.LastCandlesChangeEvent += Tab_LastCandlesChangeEvent;
            CandleConnector.SecuritySubscribeEvent += CandleConnector_SecuritySubscribeEvent;
            CandleConnector.LogMessageEvent        += SendNewLogMessage;

            _horizontalVolume = new HorizontalVolume(name);

            _horizontalVolume.MaxSummClusterChangeEvent += delegate(HorizontalVolumeCluster line)
            {
                MaxSummClusterChangeEvent?.Invoke(line);
            };
            _horizontalVolume.MaxBuyClusterChangeEvent += delegate(HorizontalVolumeCluster line)
            {
                MaxBuyClusterChangeEvent?.Invoke(line);
            };
            _horizontalVolume.MaxSellClusterChangeEvent += delegate(HorizontalVolumeCluster line)
            {
                MaxSellClusterChangeEvent?.Invoke(line);
            };
            _horizontalVolume.MaxDeltaClusterChangeEvent += delegate(HorizontalVolumeCluster line)
            {
                MaxDeltaClusterChangeEvent?.Invoke(line);
            };

            _horizontalVolume.MinSummClusterChangeEvent += delegate(HorizontalVolumeCluster line)
            {
                MinSummClusterChangeEvent?.Invoke(line);
            };
            _horizontalVolume.MinBuyClusterChangeEvent += delegate(HorizontalVolumeCluster line)
            {
                MinBuyClusterChangeEvent?.Invoke(line);
            };
            _horizontalVolume.MinSellClusterChangeEvent += delegate(HorizontalVolumeCluster line)
            {
                MinSellClusterChangeEvent?.Invoke(line);
            };
            _horizontalVolume.MinDeltaClusterChangeEvent += delegate(HorizontalVolumeCluster line)
            {
                MinDeltaClusterChangeEvent?.Invoke(line);
            };


            _horizontalVolume.MaxSummLineChangeEvent += delegate(HorizontalVolumeLine line)
            {
                MaxSummLineChangeEvent?.Invoke(line);
            };
            _horizontalVolume.MaxBuyLineChangeEvent += delegate(HorizontalVolumeLine line)
            {
                MaxBuyLineChangeEvent?.Invoke(line);
            };
            _horizontalVolume.MaxSellLineChangeEvent += delegate(HorizontalVolumeLine line)
            {
                MaxSellLineChangeEvent?.Invoke(line);
            };
            _horizontalVolume.MaxDeltaLineChangeEvent += delegate(HorizontalVolumeLine line)
            {
                MaxDeltaLineChangeEvent?.Invoke(line);
            };

            _horizontalVolume.MinSummLineChangeEvent += delegate(HorizontalVolumeLine line)
            {
                MinSummLineChangeEvent?.Invoke(line);
            };
            _horizontalVolume.MinBuyLineChangeEvent += delegate(HorizontalVolumeLine line)
            {
                MinBuyLineChangeEvent?.Invoke(line);
            };
            _horizontalVolume.MinSellLineChangeEvent += delegate(HorizontalVolumeLine line)
            {
                MinSellLineChangeEvent?.Invoke(line);
            };
            _horizontalVolume.MinDeltaLineChangeEvent += delegate(HorizontalVolumeLine line)
            {
                MinDeltaLineChangeEvent?.Invoke(line);
            };

            _chartMaster = new ChartClusterMaster(name, startProgram, _horizontalVolume);
            _chartMaster.LogMessageEvent += SendNewLogMessage;
        }
Beispiel #3
0
        /// <summary>
        /// volume updating method not considered trades
        /// метод обновляющий объёмы не учтёными трейдами
        /// </summary>
        private void ReloadLines()
        {
            _neadToRebuidVolume = false;

            lock (_tradesArrayLocker)
            {
                try
                {
                    for (int i = 0; i < _tradesNew.Count; i++)
                    {
                        HorizontalVolumeLine curLine = null;

                        decimal linePrice = Round(_tradesNew[i].Price);

                        curLine = _lines.Find(l => l.Price == linePrice);

                        if (curLine == null)
                        {
                            curLine = new HorizontalVolumeLine();
                            curLine.TimeFirstTrade = _tradesNew[i].Time;
                            curLine.Price          = linePrice;
                            curLine.TimeCandle     = Time;
                            curLine.NumCluster     = NumCluster;

                            for (int i2 = 0; i2 < _lines.Count; i2++)
                            {
                                if (curLine.Price < _lines[i2].Price)
                                {
                                    _lines.Insert(i2, curLine);
                                    break;
                                }
                                if (i2 + 1 == _lines.Count)
                                {
                                    _lines.Add(curLine);
                                    break;
                                }
                            }

                            if (_lines.Count == 0)
                            {
                                _lines.Add(curLine);
                            }

                            if (NewLineCreateEvent != null)
                            {
                                NewLineCreateEvent(curLine);
                            }
                        }

                        curLine.TimeLastTrade = _tradesNew[i].Time;
                        curLine.Trades.Add(_tradesNew[i]);
                        curLine.VolumeSumm += _tradesNew[i].Volume;

                        _lastUpdateLine = curLine;

                        if (_tradesNew[i].Side == Side.Buy)
                        {
                            curLine.VolumeBuy   += _tradesNew[i].Volume;
                            curLine.VolumeDelta += _tradesNew[i].Volume;
                        }
                        else if (_tradesNew[i].Side == Side.Sell)
                        {
                            curLine.VolumeSell  += _tradesNew[i].Volume;
                            curLine.VolumeDelta -= _tradesNew[i].Volume;
                        }

                        //
                        if (_maxVolumeSummLine == null ||
                            curLine.VolumeSumm > _maxVolumeSummLine.VolumeSumm)
                        {
                            _maxVolumeSummLine = curLine;

                            MaxSummLineChangeEvent?.Invoke(_maxVolumeSummLine);
                        }

                        if (_minVolumeSummLine == null ||
                            curLine.VolumeSumm < _minVolumeSummLine.VolumeSumm)
                        {
                            _minVolumeSummLine = curLine;
                            MinSummLineChangeEvent?.Invoke(_minVolumeSummLine);
                        }
                        //
                        if (_maxVolumeBuyLine == null ||
                            curLine.VolumeBuy > _maxVolumeBuyLine.VolumeBuy)
                        {
                            _maxVolumeBuyLine = curLine;
                            MaxBuyLineChangeEvent?.Invoke(_maxVolumeBuyLine);
                        }

                        if (_minVolumeBuyLine == null ||
                            curLine.VolumeBuy < _minVolumeBuyLine.VolumeBuy)
                        {
                            _minVolumeBuyLine = curLine;
                            MinBuyLineChangeEvent?.Invoke(_minVolumeBuyLine);
                        }
                        //
                        if (_maxVolumeSellLine == null ||
                            curLine.VolumeSell > _maxVolumeSellLine.VolumeSell)
                        {
                            _maxVolumeSellLine = curLine;
                            MaxSellLineChangeEvent?.Invoke(_maxVolumeSellLine);
                        }
                        if (_minVolumeSellLine == null ||
                            curLine.VolumeSell < _minVolumeSellLine.VolumeSell)
                        {
                            _minVolumeSellLine = curLine;
                            MinSellLineChangeEvent?.Invoke(_minVolumeSellLine);
                        }
                        //
                        if (_maxVolumeDeltaLine == null ||
                            curLine.VolumeDelta > _maxVolumeDeltaLine.VolumeDelta)
                        {
                            _maxVolumeDeltaLine = curLine;
                            MaxDeltaLineChangeEvent?.Invoke(_maxVolumeDeltaLine);
                        }
                        if (_minVolumeDeltaLine == null ||
                            curLine.VolumeDelta < _minVolumeDeltaLine.VolumeDelta)
                        {
                            _minVolumeDeltaLine = curLine;
                            MinDeltaLineChangeEvent?.Invoke(_minVolumeDeltaLine);
                        }
                        //
                        if (_maxPriceLine == null ||
                            curLine.Price > _maxPriceLine.Price)
                        {
                            _maxPriceLine = curLine;
                        }
                        if (_minPriceLine == null ||
                            curLine.Price < _minPriceLine.Price)
                        {
                            _minPriceLine = curLine;
                        }
                    }
                    _tradesNew.Clear();
                }
                catch (Exception e)
                {
                    SendNewLogMessage(e.ToString(), LogMessageType.Error);
                }
            }
        }