public IList <double> Execute(IList <double> values)
{
var security = Context.Runtime.Securities.First();
var bars = security.Bars;
var count = Math.Min(bars.Count, values.Count);
if (count == 0)
{
return(new ConstList <double>(values.Count, 0));
}
var results = Context?.GetArray <double>(values.Count) ?? new double[values.Count];
TimeFrameUtils.GetFirstBounds(TimeFrame, bars[0].Date, out var firstDateTime, out var lastDateTime);
var sum = 0D;
for (var i = 0; i < count; i++)
{
var barDate = bars[i].Date;
if (barDate >= lastDateTime)
{
TimeFrameUtils.GetBounds(TimeFrame, barDate, ref firstDateTime, ref lastDateTime);
sum = 0;
}
results[i] = sum += values[i];
}
for (var i = count; i < results.Length; i++)
{
results[i] = sum;
}
return(results);
}
public IList <double> Execute(IList <double> source)
{
if (source == null)
{
throw new ArgumentNullException(nameof(source));
}
var security = Context.Runtime.Securities.First();
var bars = security.Bars;
var minCount = Math.Min(source.Count, bars.Count);
if (minCount == 0)
{
return(EmptyArrays.Double);
}
TimeFrameUtils.GetFirstBounds(TimeFrame, bars[0].Date, out var firstDateTime, out var lastDateTime);
var results = Context.GetArray <double>(minCount);
for (int i = 0, firstIndex = 0; i <= results.Length; i++)
{
if (i == results.Length || bars[i].Date >= lastDateTime)
{
var count = i - firstIndex;
if (count > 0)
{
var firstValue = source[firstIndex];
if (firstValue == 0)
{
firstValue = double.MaxValue;
}
results[firstIndex] = 0;
for (int j = 1, index = firstIndex + 1; j < count; j++, index++)
{
results[index] = (source[index] - firstValue) / firstValue * 100;
}
}
if (i == results.Length)
{
break;
}
TimeFrameUtils.GetBounds(TimeFrame, bars[i].Date, ref firstDateTime, ref lastDateTime);
firstIndex = i;
}
}
return(results);
}
public double Execute(double value, int index)
{
if (index < m_index)
{
throw new InvalidOperationException();
}
if (index == m_index)
{
return(m_sum);
}
var security = Context.Runtime.Securities.First();
var bars = security.Bars;
var count = Math.Min(bars.Count, index + 1);
if (count == 0)
{
return(0);
}
if (m_firstDateTime == default(DateTime))
{
TimeFrameUtils.GetFirstBounds(TimeFrame, bars[index].Date, out m_firstDateTime, out m_lastDateTime);
}
for (var i = m_index + 1; i < count; i++)
{
var barDate = bars[i].Date;
if (barDate >= m_lastDateTime)
{
TimeFrameUtils.GetBounds(TimeFrame, barDate, ref m_firstDateTime, ref m_lastDateTime);
m_sum = 0;
}
m_sum += value;
}
m_index = index;
return(m_sum);
}
public IList <double> Execute(ISecurity security)
{
if (security == null)
{
throw new ArgumentNullException(nameof(security));
}
if (TimeFrame <= 0)
{
throw new ArgumentOutOfRangeException(nameof(TimeFrame));
}
var timeFrame = TimeFrameFactory.Create(TimeFrame, TimeFrameUnit);
var bars = security.Bars;
if (bars.Count == 0)
{
return(EmptyArrays.Double);
}
if (bars.Count == 1)
{
return new[] { bars[0].Volume }
}
;
DateTime firstDateTime, lastDateTime;
TimeFrameUtils.GetFirstBounds(timeFrame, bars[0].Date, out firstDateTime, out lastDateTime);
var results = Context?.GetArray <double>(bars.Count) ?? new double[bars.Count];
for (int i = 0, firstIndex = 0; i <= results.Length; i++)
{
if (i == results.Length || bars[i].Date >= lastDateTime)
{
var count = i - firstIndex;
if (count > 0)
{
var result = 0D;
switch (ValueMode)
{
case ValueForPeriodMode.Sum:
for (int j = 0, index = firstIndex; j < count; j++, index++)
{
result += GetValue(security, index);
results[index] = result;
}
break;
case ValueForPeriodMode.Average:
for (int j = 0, index = firstIndex; j < count; j++, index++)
{
result += GetValue(security, index);
results[index] = result / (j + 1);
}
break;
default:
throw new InvalidEnumArgumentException(nameof(ValueMode), (int)ValueMode, ValueMode.GetType());
}
}
if (i == results.Length)
{
break;
}
TimeFrameUtils.GetBounds(timeFrame, bars[i].Date, ref firstDateTime, ref lastDateTime);
firstIndex = i;
}
}
return(results);
}