private void CalculateMovingAverageConvergenceDivergence()
{
var data = IndicatorService.GetData(Code, TargetDate, "Kapanis", NumberOfData);
calculateMACD(data);
calculateTrigger();
}
private void CalculateStochastics()
{
var data = IndicatorService.GetData(Code, TargetDate, new string[] { "Kapanis", "Dusuk", "Yuksek" }, FastKPeriod + NumberOfData - 1);
if (data.Count < FastKPeriod)
{
throw new IndicatorException(IndicatorException.DATA_NOT_ENOUGH_MESSAGE);
}
CalculateFastK(data);
CalculateFastD();
CalculateSlowD();
}
public static double[] Exponential(string code, DateTime targetDate, int period = 14, int numberOfData = 1)
{
if (period <= 0)
{
throw new IndicatorException("Period must be positive.");
}
List <BsonDocument> data = IndicatorService.GetData(code, targetDate, "Kapanis", numberOfData);
if (data.Count < period)
{
period = data.Count;
}
double[] avg = calculateEMA(period, numberOfData, data);
return(avg);
}
public static double[] Wsr(string code, DateTime targetDate, int period = 14, int numberOfData = 1)
{
if (period <= 0)
{
throw new IndicatorException("Period must be positive.");
}
else if (numberOfData <= 0)
{
throw new IndicatorException("Number of data to be processed must be positive.");
}
var data = IndicatorService.GetData(code, targetDate, new string[] { "Kapanis", "Dusuk", "Yuksek" }, period + numberOfData - 1);
if (data.Count < period)
{
throw new IndicatorException(IndicatorException.DATA_NOT_ENOUGH_MESSAGE);
}
return(calculateWsr(period, numberOfData, data));
}
public static double[] Rsi(string code, DateTime targetDate, int period = 14, int numberOfData = 1)
{
if (period <= 0)
{
throw new IndicatorException("Periyot pozitif sayı olmalıdır.");
}
else if (numberOfData <= 0)
{
throw new IndicatorException("Gösterilecek veri sayısı pozitif sayı olmalıdır.");
}
var data = IndicatorService.GetData(code, targetDate, "Kapanis", period + numberOfData - 1);
if (data.Count < period)
{
throw new IndicatorException(IndicatorException.DATA_NOT_ENOUGH_MESSAGE);
}
return(calculateRSI(period, numberOfData, data));
}
public static double[] Weighted(string code, DateTime targetDate, int period = 14, int numberOfData = 1)
{
if (period <= 0)
{
throw new IndicatorException("Periyot pozitif sayı olmalıdır.");
}
else if (numberOfData <= 0)
{
throw new IndicatorException("Gösterilecek veri sayısı pozitif sayı olmalıdır.");
}
List <BsonDocument> data = IndicatorService.GetData(code, targetDate, "Kapanis", numberOfData + period - 1);
if (data.Count < period)
{
throw new IndicatorException(IndicatorException.DATA_NOT_ENOUGH_MESSAGE);
}
double[] avg = calculateWMA(period, numberOfData, data);
return(avg);
}
public BollingerBands(string code, DateTime targetDate, int period = 20, int numberOfData = 40, double standardDeviationFactor = 2.0)
{
if (period <= 0)
{
throw new IndicatorException("Period must be positive.");
}
if (standardDeviationFactor <= 0)
{
throw new IndicatorException("Standard Deviation must be positive.");
}
Period = period;
NumberOfData = numberOfData;
StandardDeviationFactor = standardDeviationFactor;
List <BsonDocument> data = IndicatorService.GetData(code, targetDate, "Kapanis", NumberOfData + period - 1);
if (data.Count < period)
{
period = data.Count;
}
CalculateBands(data);
}
public static double[] WsrMR(string code, DateTime targetDate, int period = 14, int numberOfData = 1)
{
if (period <= 0)
{
throw new IndicatorException("Period must be positive.");
}
else if (numberOfData <= 0)
{
throw new IndicatorException("Number of data to be processed must be positive.");
}
int dataCount = IndicatorService.DataCount(code, targetDate);
if (dataCount < period)
{
throw new IndicatorException(IndicatorException.DATA_NOT_ENOUGH_MESSAGE);
}
if (dataCount < numberOfData + period - 1)
{
numberOfData = dataCount - period + 1;
}
var limit = period + numberOfData - 1;
var filter = new BsonDocument {
{ "Kod", code }, { "Tarih", new BsonDocument("$lte", new BsonDateTime(targetDate)) }
};
var sort = new BsonDocument("Tarih", -1);
var projection = new BsonDocument {
{ "_id", 0 }, { "Tarih", 1 }
};
BsonJavaScript mapper = new BsonJavaScript(@"
function() {
if (!equalityFunction(this.Tarih, limitDate) && this.Tarih < limitDate)
return;
else if (!equalityFunction(this.Tarih, lastDate) && this.Tarih > lastDate)
return;
var dateIndex = binarySearch(dates, this.Tarih);
if (dateIndex == -1)
return;
for (var i = 0; i < period && dateIndex >= 0; i++, dateIndex--) {
if (dates[dateIndex] > startingDate || equalityFunction(dates[dateIndex], startingDate))
emit(dates[dateIndex], {close: this.Kapanis, low: this.Dusuk, high: this.Yuksek});
}
}
");
BsonJavaScript reducer = new BsonJavaScript(@"
function(key, values) {
var result = {close: values[0].close, low: values[0].low, high: values[0].high};
for (var i = 1; i < values.length; i++) {
result.low = values[i].low < result.low ? values[i].low : result.low;
result.high = values[i].high > result.high ? values[i].high : result.high;
}
return result;
}
");
BsonJavaScript finalizer = new BsonJavaScript(@"
function(key, reducedValue) {
reducedValue = -100 * (reducedValue.high - reducedValue.close) / (reducedValue.high - reducedValue.low);
return reducedValue;
}
");
var startingDate = MongoDBService.GetService().FindOneSortProjectSkip(filter, sort, projection, numberOfData - 1).GetElement(0).Value.ToLocalTime();
var lastDate = MongoDBService.GetService().FindOneSortProject(filter, sort, projection).GetElement(0).Value.ToLocalTime();
var limitDate = MongoDBService.GetService().FindOneSortProjectSkip(filter, sort, projection, limit - 1).GetElement(0).Value.ToLocalTime();
var dates = IndicatorService.GetData(code, targetDate, "Tarih", limit).Select(p => p.GetElement(0).Value.ToLocalTime()).ToArray();
var scope = new BsonDocument {
{ "startingDate", startingDate }, { "lastDate", lastDate }, { "limitDate", limitDate }, { "period", period }, { "numberOfData", numberOfData }, { "binarySearch", MapReduceHelpers.BinarySearch }, { "equalityFunction", MapReduceHelpers.IsDatesEqual }, { "dates", new BsonArray(dates) }
};
var options = new MapReduceOptions <BsonDocument, BsonDocument>()
{
Filter = filter,
Sort = sort,
Scope = scope,
OutputOptions = MapReduceOutputOptions.Replace("wsrOut", "financialData", false),
Finalize = finalizer
};
double[] wsr = new double[numberOfData];
var resultSet = MongoDBService.GetService().MapReduceMany(mapper, reducer, options);
for (int i = 0, j = resultSet.Count - 1; i < numberOfData; i++, j--)
{
wsr[i] = resultSet.ElementAt(j).GetElement(1).Value.ToDouble();
}
return(wsr);
}
public static double[] ExponentialMR(string code, DateTime targetDate, int period = 14, int numberOfData = 30)
{
if (period <= 0)
{
throw new IndicatorException("Period must be positive.");
}
int dataCount = IndicatorService.DataCount(code, targetDate);
if (dataCount < numberOfData)
{
numberOfData = dataCount;
}
double alpha = 2.0 / (1 + period);
double beta = 1 - alpha;
double minimumCoefficient = 0.001;
BsonJavaScript mapper = new BsonJavaScript(@"
function() {
if (!equalityFunction(this.Tarih, limitDate) && this.Tarih < limitDate)
return;
else if (!equalityFunction(this.Tarih, lastDate) && this.Tarih > lastDate)
return;
var dateIndex = binarySearch(dates, this.Tarih);
if (dateIndex == -1)
return;
var epoch = Math.log(minimumCoefficient / (alpha * this.Kapanis)) / Math.log(beta);
var value;
if (dateIndex == numberOfData-1) {
value = this.Kapanis;
for (var i = dateIndex, j = 0; j < epoch && i >= 0; i--, j++) {
emit(dates[i], value);
value = value * beta;
}
} else {
value = this.Kapanis * alpha;
for (var i = dateIndex, j = 0; j < epoch && i >= 0; i--, j++) {
emit(dates[i], value);
value = value * beta;
}
}
}
");
BsonJavaScript reducer = new BsonJavaScript(@"
function(key,values){
return Array.sum(values);
}
");
var filter = new BsonDocument {
{ "Kod", code }, { "Tarih", new BsonDocument("$lte", new BsonDateTime(targetDate)) }
};
var sort = new BsonDocument("Tarih", -1);
var mongoService = MongoDBService.GetService();
var projection = new BsonDocument {
{ "_id", 0 }, { "Tarih", 1 }
};
var lastDate = MongoDBService.GetService().FindOneSortProject(filter, sort, projection).GetElement(0).Value.ToLocalTime();
var limitDate = MongoDBService.GetService().FindOneSortProjectSkip(filter, sort, projection, numberOfData - 1).GetElement(0).Value.ToLocalTime();
var dates = IndicatorService.GetData(code, targetDate, "Tarih", numberOfData).Select(p => p.GetElement(0).Value.ToLocalTime()).ToArray();
var scope = new BsonDocument {
{ "numberOfData", numberOfData }, { "minimumCoefficient", minimumCoefficient }, { "alpha", alpha }, { "beta", beta }, { "lastDate", lastDate }, { "limitDate", limitDate }, { "dates", new BsonArray(dates) }, { "binarySearch", MapReduceHelpers.BinarySearch }, { "equalityFunction", MapReduceHelpers.IsDatesEqual }
};
MapReduceOptions <BsonDocument, BsonDocument> options = new MapReduceOptions <BsonDocument, BsonDocument>
{
Filter = filter,
Sort = sort,
Scope = scope,
OutputOptions = MapReduceOutputOptions.Replace("emaOut", "financialData", false)
};
double[] values = MongoDBService.GetService().MapReduceMany(mapper, reducer, options).Select(p => p.GetElement("value").Value.ToDouble()).ToArray();
Array.Reverse(values);
return(values);
}
public static double[] WeightedMR(string code, DateTime targetDate, int period = 14, int numberOfData = 30)
{
if (period <= 0)
{
throw new IndicatorException("Periyot pozitif sayı olmalıdır.");
}
else if (numberOfData <= 0)
{
throw new IndicatorException("Gösterilecek veri sayısı pozitif sayı olmalıdır.");
}
int dataCount = IndicatorService.DataCount(code, targetDate);
if (dataCount < period)
{
throw new IndicatorException(IndicatorException.DATA_NOT_ENOUGH_MESSAGE);
}
if (dataCount < numberOfData + period - 1)
{
numberOfData = dataCount - period + 1;
}
int limit = numberOfData + period - 1;
double denominator = (period * (period + 1)) >> 1;
var filter = new BsonDocument {
{ "Kod", code }, { "Tarih", new BsonDocument("$lte", new BsonDateTime(targetDate)) }
};
var sort = new BsonDocument("Tarih", -1);
var projection = new BsonDocument {
{ "_id", 0 }, { "Tarih", 1 }
};
var startingDate = MongoDBService.GetService().FindOneSortProjectSkip(filter, sort, projection, numberOfData - 1).GetElement(0).Value.ToLocalTime();
var lastDate = MongoDBService.GetService().FindOneSortProject(filter, sort, projection).GetElement(0).Value.ToLocalTime();
var limitDate = MongoDBService.GetService().FindOneSortProjectSkip(filter, sort, projection, limit - 1).GetElement(0).Value.ToLocalTime();
var dates = IndicatorService.GetData(code, targetDate, "Tarih", limit).Select(p => p.GetElement(0).Value.ToLocalTime()).ToArray();
MapReduceOptions <BsonDocument, BsonDocument> options = new MapReduceOptions <BsonDocument, BsonDocument>
{
Filter = new BsonDocument {
{ "Kod", code }, { "Tarih", new BsonDocument("$lte", new BsonDateTime(targetDate)) }
},
Sort = new BsonDocument("Tarih", -1),
OutputOptions = MapReduceOutputOptions.Replace("wmaOut", "financialData", false),
Scope = new BsonDocument {
{ "startingDate", startingDate }, { "lastDate", lastDate }, { "limitDate", limitDate }, { "period", period }, { "denominator", denominator }, { "numberOfData", numberOfData }, { "binarySearch", MapReduceHelpers.BinarySearch }, { "equalityFunction", MapReduceHelpers.IsDatesEqual }, { "dates", new BsonArray(dates) }
}
};
double[] avg;
BsonJavaScript mapper = new BsonJavaScript(@"
function() {
if (!equalityFunction(this.Tarih, limitDate) && this.Tarih < limitDate)
return;
else if (!equalityFunction(this.Tarih, lastDate) && this.Tarih > lastDate)
return;
var dateIndex;
dateIndex = binarySearch(dates, this.Tarih);
if (dateIndex == -1)
return;
var factor = period;
for (var i = 0; i < period && dateIndex >= 0; i++, dateIndex--) {
if (dates[dateIndex] > startingDate || equalityFunction(dates[dateIndex], startingDate))
emit(dates[dateIndex], this.Kapanis * factor);
factor--;
}
}
");
BsonJavaScript reducer = new BsonJavaScript(@"
function(key, values) {
return Array.sum(values);
}
");
BsonJavaScript finalizer = new BsonJavaScript(@"
function(key, reducedValue) {
return reducedValue / denominator;
}
");
options.Finalize = finalizer;
List <BsonDocument> resultSet = MongoDBService.GetService().MapReduceMany(mapper, reducer, options);
avg = new double[numberOfData];
for (int i = 0, j = numberOfData - 1; i < numberOfData; i++, j--)
{
avg[i] = resultSet.ElementAt(j).GetElement(1).Value.ToDouble();
}
return(avg);
}
public static double[] RsiMR(string code, DateTime targetDate, int period = 14, int numberOfData = 1)
{
if (period <= 0)
{
throw new IndicatorException("Periyot pozitif sayı olmalıdır.");
}
else if (numberOfData <= 0)
{
throw new IndicatorException("Gösterilecek veri sayısı pozitif sayı olmalıdır.");
}
int dataCount = IndicatorService.DataCount(code, targetDate);
if (dataCount < period)
{
throw new IndicatorException(IndicatorException.DATA_NOT_ENOUGH_MESSAGE);
}
if (dataCount < numberOfData + period - 1)
{
numberOfData = dataCount - period + 1;
}
int limit = numberOfData + period - 1;
var filter = new BsonDocument {
{ "Kod", code }, { "Tarih", new BsonDocument("$lte", new BsonDateTime(targetDate)) }
};
var sort = new BsonDocument("Tarih", -1);
var projection = new BsonDocument {
{ "_id", 0 }, { "Tarih", 1 }
};
var startingDate = MongoDBService.GetService().FindOneSortProjectSkip(filter, sort, projection, numberOfData - 1).GetElement(0).Value.ToLocalTime();
var lastDate = MongoDBService.GetService().FindOneSortProject(filter, sort, projection).GetElement(0).Value.ToLocalTime();
var limitDate = MongoDBService.GetService().FindOneSortProjectSkip(filter, sort, projection, limit - 1).GetElement(0).Value.ToLocalTime();
var dates = IndicatorService.GetData(code, targetDate, "Tarih", limit).Select(p => p.GetElement(0).Value.ToLocalTime()).ToArray();
MapReduceOptions <BsonDocument, BsonDocument> options = new MapReduceOptions <BsonDocument, BsonDocument>
{
Filter = new BsonDocument {
{ "Kod", code }, { "Tarih", new BsonDocument("$lte", new BsonDateTime(targetDate)) }
},
Sort = new BsonDocument("Tarih", -1),
Scope = new BsonDocument {
{ "startingDate", startingDate }, { "lastDate", lastDate }, { "limitDate", limitDate }, { "period", period }, { "numberOfData", numberOfData }, { "binarySearch", MapReduceHelpers.BinarySearch }, { "equalityFunction", MapReduceHelpers.IsDatesEqual }, { "dates", new BsonArray(dates) }
},
OutputOptions = MapReduceOutputOptions.Replace("rsiOut", "financialData", false)
};
double[] avg;
BsonJavaScript mapper = new BsonJavaScript(@"
function() {
if (!equalityFunction(this.Tarih, limitDate) && this.Tarih < limitDate)
return;
else if (!equalityFunction(this.Tarih, lastDate) && this.Tarih > lastDate)
return;
var dateIndex;
dateIndex = binarySearch(dates, this.Tarih);
if (dateIndex == -1)
return;
for (var i = 0; i < period && dateIndex >= 0; i++, dateIndex--) {
if (dates[dateIndex] > startingDate || equalityFunction(dates[dateIndex], startingDate))
emit(dates[dateIndex], {date: this.Tarih, headClose : this.Kapanis, tailClose : this.Kapanis, gain: 0 , loss: 0});
}
}
");
BsonJavaScript reducer = new BsonJavaScript(@"
function(key, values) {
values.sort(function(a, b) {
return a.date < b.date;
});
sumGain = values[0].gain;
sumLoss = values[0].loss;
var diff;
for(var i = 0; i < values.length - 1; i++) {
sumGain += values[i+1].gain;
sumLoss += values[i+1].loss;
diff = values[i].tailClose - values[i+1].headClose;
if(diff > 0)
sumGain += diff;
else
sumLoss -= diff;
}
return {date: values[0].date, headClose: values[0].headClose, tailClose: values[values.length-1].tailClose, gain: sumGain, loss: sumLoss};
}
");
BsonJavaScript finalizer = new BsonJavaScript(@"
function(key, reducedValue) {
if (reducedValue.loss == 0) return 100;
reducedValue = 100 - 100 / (1 + (reducedValue.gain / reducedValue.loss));
return reducedValue;
}
");
options.Finalize = finalizer;
List <BsonDocument> resultSet = MongoDBService.GetService().MapReduceMany(mapper, reducer, options);
avg = new double[numberOfData];
for (int i = 0, j = numberOfData - 1; i < numberOfData; i++, j--)
{
avg[i] = resultSet.ElementAt(j).GetElement(1).Value.ToDouble();
}
return(avg);
}
private void CalculateFastK_MR(int dataCount)
{
if (dataCount < NumberOfData + FastKPeriod - 1)
{
NumberOfData = dataCount - FastKPeriod + 1;
}
var limit = FastKPeriod + NumberOfData - 1;
var filter = new BsonDocument {
{ "Kod", Code }, { "Tarih", new BsonDocument("$lte", new BsonDateTime(TargetDate)) }
};
var sort = new BsonDocument("Tarih", -1);
var projection = new BsonDocument {
{ "_id", 0 }, { "Tarih", 1 }
};
BsonJavaScript mapper = new BsonJavaScript(@"
function() {
if (!equalityFunction(this.Tarih, limitDate) && this.Tarih < limitDate)
return;
else if (!equalityFunction(this.Tarih, lastDate) && this.Tarih > lastDate)
return;
var dateIndex = binarySearch(dates, this.Tarih);
if (dateIndex == -1)
return;
for (var i = 0; i < period && dateIndex >= 0; i++, dateIndex--) {
if (dates[dateIndex] > startingDate || equalityFunction(dates[dateIndex], startingDate))
emit(dates[dateIndex], {close: this.Kapanis, low: this.Dusuk, high: this.Yuksek});
}
}
");
BsonJavaScript reducer = new BsonJavaScript(@"
function(key, values) {
var result = {close: values[0].close, low: values[0].low, high: values[0].high};
for (var i = 1; i < values.length; i++) {
result.low = values[i].low < result.low ? values[i].low : result.low;
result.high = values[i].high > result.high ? values[i].high : result.high;
}
return result;
}
");
BsonJavaScript finalizer = new BsonJavaScript(@"
function(key, reducedValue) {
reducedValue = 100 * (reducedValue.close - reducedValue.low) / (reducedValue.high - reducedValue.low);
return reducedValue;
}
");
var startingDate = MongoDBService.GetService().FindOneSortProjectSkip(filter, sort, projection, NumberOfData - 1).GetElement(0).Value.ToLocalTime();
var lastDate = MongoDBService.GetService().FindOneSortProject(filter, sort, projection).GetElement(0).Value.ToLocalTime();
var limitDate = MongoDBService.GetService().FindOneSortProjectSkip(filter, sort, projection, limit - 1).GetElement(0).Value.ToLocalTime();
var dates = IndicatorService.GetData(Code, TargetDate, "Tarih", limit).Select(p => p.GetElement(0).Value.ToLocalTime()).ToArray();
var scope = new BsonDocument {
{ "startingDate", startingDate }, { "lastDate", lastDate }, { "limitDate", limitDate }, { "period", FastKPeriod }, { "numberOfData", NumberOfData }, { "binarySearch", MapReduceHelpers.BinarySearch }, { "equalityFunction", MapReduceHelpers.IsDatesEqual }, { "dates", new BsonArray(dates) }
};
var options = new MapReduceOptions <BsonDocument, BsonDocument>()
{
Filter = filter,
Sort = sort,
Scope = scope,
OutputOptions = MapReduceOutputOptions.Replace("stochasticsOut", "financialData", false),
Finalize = finalizer
};
FastK = new double[NumberOfData];
var resultSet = MongoDBService.GetService().MapReduceMany(mapper, reducer, options);
for (int i = 0, j = resultSet.Count - 1; i < NumberOfData; i++, j--)
{
FastK[i] = resultSet.ElementAt(j).GetElement(1).Value.ToDouble();
}
}