public void Add_WhenFirstCandleAdded_TrueRangeListIsEmpty()
{
var adx = new Adx(14);
var candle001 = new Candle(273, 274m, 272m, 272.75m, DateTime.UtcNow);
adx.Add(candle001);
adx.TrueRanges.Should().BeEmpty();
}
private static decimal GetTrueRange(Candle current, Candle previous)
{
return (new[] { current.FullRange, Math.Abs(current.High - previous.Close), Math.Abs(current.Low - previous.Close) }).Max();
}
public void Add(Candle value)
{
if (!this.sourceValues.Any())
{
this.sourceValues.Add(value);
return;
}
var lastValue = this.sourceValues.LastOrDefault() ?? new Candle();
var upMove = value.High - lastValue.High;
var downMove = lastValue.Low - value.Low;
var upDm = upMove > 0 && upMove > downMove ? upMove : 0;
var downDm = downMove > 0 && downMove > upMove ? downMove : 0;
var trueRange = GetTrueRange(value, lastValue);
this.upDms.Add(upDm);
this.downDms.Add(downDm);
this.trueRanges.Add(trueRange);
if (this.trueRanges.Count < this.period)
{
this.trueRangesAccum.Add(this.trueRanges.TakeLast(this.period).Sum());
this.upDmAccum.Add(this.upDms.TakeLast(this.period).Sum());
this.downDmAccum.Add(this.downDms.TakeLast(this.period).Sum());
}
else
{
//Just add the ups and downs with the same technique
var previousTr = this.trueRangesAccum.Last();
var currentTr = previousTr - (previousTr / this.period) + trueRange;
this.trueRangesAccum.Add(currentTr);
var previousUpDm = this.upDmAccum.Last();
var currentUpDm = previousUpDm - (previousUpDm / this.period) + upDm;
this.upDmAccum.Add(currentUpDm);
var previousDownDm = this.downDmAccum.Last();
var currentDownDm = previousDownDm - (previousDownDm / this.period) + downDm;
this.downDmAccum.Add(currentDownDm);
this.upDiAccum.Add(this.upDmAccum.Last() / this.trueRangesAccum.Last());
this.downDiAccum.Add(this.downDmAccum.Last() / this.trueRangesAccum.Last());
var delta = Math.Abs(this.upDiAccum.Last() - this.downDiAccum.Last());
var divider = this.upDiAccum.Last() + this.downDiAccum.Last();
var dx = divider > 0 ? delta / divider : 0;
this.dxs.Add(dx);
}
if (this.dxs.Count == this.period)
{
this.values.Add(this.dxs.Average());
}
else if (this.dxs.Count > this.period)
{
var dxsAccum = (this.values.Last() * (this.period - 1) + this.dxs.Last()) / this.period;
this.values.Add(dxsAccum);
}
this.sourceValues.Add(value);
}
public CandleBuilderEventArgs(Candle newCandle)
{
this.newCandle = newCandle;
}
private void AddCandle(Candle newCandle)
{
if (this.candles.Any(x => x.Timestamp == newCandle.Timestamp))
{
return;
}
var lastCandle = this.candles.LastOrDefault();
if (lastCandle != null)
{
if ((newCandle.Timestamp - lastCandle.Timestamp).Minutes % this.PeriodInMinutes > 0)
{
throw new Exception(string.Format("The list of candles do not follow the sequence: {0} to {2}",
lastCandle.Timestamp,
newCandle.Timestamp));
}
}
this.candles.Add(newCandle);
this.adx.Add(newCandle);
this.fastEmaHigh.Add(newCandle.High);
this.fastEmaLow.Add(newCandle.Low);
this.slowSmaHigh.Add(newCandle.High);
this.slowSmaLow.Add(newCandle.Low);
}
private static bool ConfirmPreviousCandleForBid(Candle previousCandle, Candle currentCandle)
{
if (previousCandle == null)
{
return false;
}
if (currentCandle == null)
{
return false;
}
if (!previousCandle.IsDown)
{
return false;
}
return currentCandle.Close < previousCandle.Close;
}
public bool ConfirmPreviousCandleForAsk(Candle previousCandle, Candle currentCandle)
{
if (previousCandle == null)
{
return false;
}
if (currentCandle == null)
{
return false;
}
if (!previousCandle.IsUp)
{
return false;
}
return currentCandle.Close > previousCandle.Close;
}