private void GenerateDetails()
{
var startDate = DateTime.MinValue;
var endDate = DateTime.MaxValue;
foreach (var dailyCandle in DailyCandles.Where(dailyCandle => MinuteData.ContainsKey(dailyCandle.Date.Date)))
{
startDate = dailyCandle.Date;
break;
}
for (var i = DailyCandles.Count - 1; i > 0; i--)
{
if (MinuteData.ContainsKey(DailyCandles[i].Date.Date))
{
endDate = DailyCandles[i].Date;
break;
}
}
var high = double.MinValue;
var low = double.MaxValue;
var date = startDate;
var highTime = DateTime.MinValue;
var lowTime = DateTime.MinValue;
while (date <= endDate)
{
if (MinuteData.TryGetValue(date.Date, out var minuteCandles))
{
foreach (var candle in minuteCandles.Where(candle => candle.IsCash))
{
if (candle.AskHigh > high)
{
high = candle.AskHigh;
highTime = candle.DateTime;
}
if (candle.BidLow < low)
{
low = candle.BidLow;
lowTime = candle.DateTime;
}
}
}
date = date.AddDays(1);
}
var openTime = new TimeSpan(14, 30, 00);
var closeTime = new TimeSpan(21, 00, 00);
if (IsUkData)
{
openTime = new TimeSpan(8, 00, 00);
closeTime = new TimeSpan(16, 30, 00);
}
DataDetails = new DataDetails(startDate, endDate, high, highTime, low, lowTime, _averageGapSize, openTime,
closeTime);
}
private void CalculateGapFibLevelPreHitAdverseExcursions() // todo rename this
{
var retraces = (FibonacciLevel[])Enum.GetValues(typeof(FibonacciLevel));
for (var i = 0; i < 19; i++)
{
var hitCount = 0;
double preHitMaxTotal = 0;
double postHitMaxFavourableTotal = 0;
double postHitMaxAdverseTotal = 0;
double highestPreHitMax = 0;
double highestPostHitMaxFavourable = 0;
double highestPostHitMaxAdverse = 0;
var highestPreHitMaxDate = DateTime.MinValue;
var highestPostHitMaxFavourableDate = DateTime.MinValue;
var highestPostHitMaxAdverseDate = DateTime.MinValue;
foreach (var dailyCandle in DailyCandles)
{
var level = i < 10
? dailyCandle.Open - dailyCandle.Gap.GapPoints * ((double)retraces[i] / 1000)
: dailyCandle.Open + dailyCandle.Gap.GapPoints * ((double)retraces[i] / 1000 - 1);
if (MinuteData.TryGetValue(dailyCandle.Date.Date, out var minuteCandles))
{
var excursions = CompareMinuteData(minuteCandles, dailyCandle, level, false);
excursions.IfExistsThen(x =>
{
var(preHitMax, postHitMaxFavourable, postHitMaxAdverse) = x;
if (preHitMax > highestPreHitMax)
{
highestPreHitMax = preHitMax;
highestPreHitMaxDate = dailyCandle.Date;
}
if (postHitMaxFavourable > highestPostHitMaxFavourable)
{
highestPostHitMaxFavourable = postHitMaxFavourable;
highestPostHitMaxFavourableDate = dailyCandle.Date;
}
if (postHitMaxAdverse > highestPostHitMaxAdverse)
{
highestPostHitMaxAdverse = postHitMaxAdverse;
highestPostHitMaxAdverseDate = dailyCandle.Date;
}
hitCount++;
preHitMaxTotal += preHitMax;
postHitMaxFavourableTotal += postHitMaxFavourable;
postHitMaxAdverseTotal += postHitMaxAdverse;
});
}
}
if (GapFibRetraceLevels.TryGetValue(retraces[i], out var retraceLevel)) // todo refactor this
{
retraceLevel.AveragePreHitAdverseExcursion = preHitMaxTotal / hitCount;
retraceLevel.HighestPreHitAdverseExcursion = highestPreHitMax;
retraceLevel.DateOfHighestPreHitAdverseExcursion = highestPreHitMaxDate;
retraceLevel.AveragePostHitFavourableExcursion = postHitMaxFavourableTotal / hitCount;
retraceLevel.HighestPostHitFavourableExcursion = highestPostHitMaxFavourable;
retraceLevel.DateOfHighestPostHitFavourableExcursion = highestPostHitMaxFavourableDate;
retraceLevel.AveragePostHitAdverseExcursion = postHitMaxAdverseTotal / hitCount;
retraceLevel.HighestPostHitAdverseExcursion = highestPostHitMaxAdverse;
retraceLevel.DateOfHighestPostHitAdverseExcursion = highestPostHitMaxAdverseDate;
}
if (GapFibExtensionLevels.TryGetValue(retraces[i], out var extensionLevel))
{
extensionLevel.AveragePreHitAdverseExcursion = preHitMaxTotal / hitCount;
extensionLevel.HighestPreHitAdverseExcursion = highestPreHitMax;
extensionLevel.DateOfHighestPreHitAdverseExcursion = highestPreHitMaxDate;
extensionLevel.AveragePostHitFavourableExcursion = postHitMaxFavourableTotal / hitCount;
extensionLevel.HighestPostHitFavourableExcursion = highestPostHitMaxFavourable;
extensionLevel.DateOfHighestPostHitFavourableExcursion = highestPostHitMaxFavourableDate;
extensionLevel.AveragePostHitAdverseExcursion = postHitMaxAdverseTotal / hitCount;
extensionLevel.HighestPostHitAdverseExcursion = highestPostHitMaxAdverse;
extensionLevel.DateOfHighestPostHitAdverseExcursion = highestPostHitMaxAdverseDate;
}
}
}
