/// <summary>
/// </summary>
/// <param name="bars"></param>
/// <param name="open"></param>
/// <param name="high"></param>
/// <param name="low"></param>
/// <param name="close"></param>
/// <param name="time"></param>
/// <param name="volume"></param>
/// <param name="isRealtime"></param>
public override void Add(Data.Bars bars, double open, double high, double low, double close, DateTime time, int volume, bool isRealtime)
{
if (bars.Count == 0)
{
AddBar(bars, open, high, low, close, time, volume);
}
else
{
UpdateBar(bars, open, high, low, close, time, volume);
Data.Bar bar = (Bar)bars.Get(bars.Count - 1);
double tall = 1 + ((bar.High - bar.Low) / bars.Instrument.MasterInstrument.TickSize);
double denom = tall;
if (tall > 10)
{
denom -= ((tall - 10) / 2.0);
}
if (tall > 20)
{
denom -= ((tall - 20) / 3.0);
}
if ((bar.Volume / denom) >= ((double)(bars.Period.Value)))
{
AddBar(bars, close, close, close, close, time, 0);
}
}
}
/// <summary>
/// </summary>
/// <param name="bars"></param>
/// <param name="open"></param>
/// <param name="high"></param>
/// <param name="low"></param>
/// <param name="close"></param>
/// <param name="time"></param>
/// <param name="volume"></param>
/// <param name="isRealtime"></param>
public override void Add(Data.Bars bars, double open, double high, double low, double close, DateTime time, long volume, bool isRealtime)
{
if ((curdat == null) || (time < curdat.dt))
{
extdat.Clear();
extdat.TrimExcess();
curdat = null;
tickSize = bars.Instrument.MasterInstrument.TickSize;
tlb = time;
}
if (bars.Count == 0)
{
RWTAddExtDat(time, close, volume);
tlb = TimeToBarTime(bars, time, bars.Session.NextBeginTime, bars.Period.Value, isRealtime);
AddBar(bars, open, high, low, close, time, volume, isRealtime);
}
else
{
if (curdat == null)
{
RWTAddExtDat(time, close, 0);
}
curdat.dt = time;
if (time < tlb)
{
UpdateBar(bars, open, high, low, close, time, volume, isRealtime);
RWTUpdateCounts(close);
RWTUpdateCurdat(close, volume);
}
else
{
Bar bar = (Bar)bars.Get(bars.Count - 1);
UpdateBar(bars, bar.Open, bar.High, bar.Low, bar.Close, tlb, 0, isRealtime);
curdat.dt = tlb;
RWTAddExtDat(time, close, volume);
tlb = TimeToBarTime(bars, time, bars.Session.NextBeginTime, bars.Period.Value, isRealtime);
AddBar(bars, open, high, low, close, time, volume, isRealtime);
}
}
prevClose = close;
}
public override void Add(Data.Bars bars, double open, double high, double low, double close, DateTime time, int volume, bool isRealtime)
#endif
{
double brickSize = bars.Instrument.MasterInstrument.Round2TickSize(bars.Period.Value * bars.Instrument.MasterInstrument.TickSize); // #ticks per brick * tickSize
// starting new bar at session boundary makes sure you have the same bars
// reguadless of the first date that is loaded in the chart, feel free to remove
#if NT7
if ((bars.Count == 0) || bars.IsNewSession(time))
#else
if (bars.Count == 0)
#endif
{
#if NT7
AddBar(bars, close, close, close, close, time, volume, isRealtime);
#else
AddBar(bars, close, close, close, close, time, volume);
#endif
barState = State.BarAccumulating;
double mod = bars.Instrument.MasterInstrument.Round2TickSize(close % brickSize);
double mid = bars.Instrument.MasterInstrument.Compare(mod, brickSize) == 0 ? close : close - mod;
renkoHigh = mid + brickSize;
renkoLow = mid - brickSize;
}
else
{
if (barState == State.BarComplete)
{
// this tick creates a new bar
#if NT7
AddBar(bars, close, close, close, close, time, volume, isRealtime);
#else
AddBar(bars, close, close, close, close, time, volume);
#endif
if (RangeExceeded(bars, close))
{
MoveLimits(bars, close, brickSize);
}
}
else
{
if (RangeExceeded(bars, close))
{
#if NT7
AddBar(bars, close, close, close, close, time, volume, isRealtime);
#else
AddBar(bars, close, close, close, close, time, volume);
#endif
MoveLimits(bars, close, brickSize);
}
else
{
Data.Bar bar = (Bar)bars.Get(bars.Count - 1);
#if NT7
UpdateBar(bars, bar.Open, (close > bar.High ? close : bar.High), (close < bar.Low ? close : bar.Low), close, time, volume, isRealtime);
#else
UpdateBar(bars, bar.Open, (close > bar.High ? close : bar.High), (close < bar.Low ? close : bar.Low), close, time, volume);
#endif
}
}
CheckBarComplete(bars, close, brickSize);
}
#if NT7
bars.LastPrice = close;
#endif
}
/// <summary>
/// </summary>
/// <param name="bars"></param>
/// <param name="open"></param>
/// <param name="high"></param>
/// <param name="low"></param>
/// <param name="close"></param>
/// <param name="time"></param>
/// <param name="volume"></param>
/// <param name="isRealtime"></param>
public override void Add(Data.Bars bars, double open, double high, double low, double close, DateTime time, long volume, bool isRealtime)
{
if ((curdat == null) || (time < curdat.dt))
{
extdat.Clear();
extdat.TrimExcess();
curdat = null;
tickSize = bars.Instrument.MasterInstrument.TickSize;
}
if (bars.Count == 0 || bars.IsNewSession(time, isRealtime))
{
AddBar(bars, open, high, low, close, time, volume, isRealtime);
lastBarTime = time;
RWTAddExtDat(time, close, volume);
}
else
{
Data.Bar bar = (Bar)bars.Get(bars.Count - 1);
//double tickSize = bars.Instrument.MasterInstrument.TickSize;
double rangeValue = Math.Floor(10000000.0 * (double)bars.Period.Value * tickSize) / 10000000.0;
if (curdat == null)
{
RWTAddExtDat(time, close, 0);
}
curdat.dt = time;
if ((bars.Instrument.MasterInstrument.Compare(close, bar.Low + rangeValue) > 0) &&
(lastBarUP || ((time.Ticks - lastBarTime.Ticks) > 10000000L)))
{
bool isFirstNewBar = true;
double newClose = bar.Low + rangeValue; // every bar closes either with high or low
UpdateBar(bars, bar.Open, newClose, bar.Low, newClose, time, 0, isRealtime);
curdat.addLevel(1);
// if still gap, fill with phantom bars
double newBarOpen = newClose + tickSize;
while (bars.Instrument.MasterInstrument.Compare(close, newClose) > 0)
{
newClose = Math.Min(close, newBarOpen + rangeValue);
AddBar(bars, newBarOpen, newClose, newBarOpen, newClose, time, isFirstNewBar ? volume : 1, isRealtime);
RWTAddExtDat(time, newClose, (isFirstNewBar?volume:0));
newBarOpen = newClose + tickSize;
isFirstNewBar = false;
}
prices[1] = newClose;
lastMoveUp = true;
lastBarUP = true;
lastBarTime = time;
}
else if ((bars.Instrument.MasterInstrument.Compare(bar.High - rangeValue, close) > 0) &&
((!lastBarUP) || ((time.Ticks - lastBarTime.Ticks) > 10000000L)))
{
bool isFirstNewBar = true;
double newClose = bar.High - rangeValue; // every bar closes either with high or low
UpdateBar(bars, bar.Open, bar.High, newClose, newClose, time, 0, isRealtime);
curdat.addLevel(-1);
// if still gap, fill with phantom bars
double newBarOpen = newClose - tickSize;
while (bars.Instrument.MasterInstrument.Compare(newClose, close) > 0)
{
newClose = Math.Max(close, newBarOpen - rangeValue);
AddBar(bars, newBarOpen, newBarOpen, newClose, newClose, time, isFirstNewBar ? volume : 1, isRealtime);
RWTAddExtDat(time, newClose, (isFirstNewBar?volume:0));
newBarOpen = newClose - tickSize;
isFirstNewBar = false;
}
prices[0] = newClose;
lastMoveUp = false;
lastBarUP = false;
lastBarTime = time;
}
else
{
UpdateBar(bars, open, (close > bar.High ? close : bar.High), (close < bar.Low ? close : bar.Low), close, time, volume, isRealtime);
RWTUpdateCounts(close);
RWTUpdateCurdat(close, volume);
}
}
bars.LastPrice = close;
// update the extended data...
prevClose = close;
}
/// <summary>
/// </summary>
/// <param name="bars"></param>
/// <param name="open"></param>
/// <param name="high"></param>
/// <param name="low"></param>
/// <param name="close"></param>
/// <param name="time"></param>
/// <param name="volume"></param>
/// <param name="isRealtime"></param>
public override void Add(Data.Bars bars, double open, double high, double low, double close, DateTime time, long volume, bool isRealtime)
{
if ((curdat == null) || (time < curdat.dt))
{
extdat.Clear();
extdat.TrimExcess();
curdat = null;
tickSize = bars.Instrument.MasterInstrument.TickSize;
if (bars.Period.Value > 100)
{
tlb = true;
period = bars.Period.Value - 100;
}
else
{
tlb = false;
period = bars.Period.Value;
}
}
if (bars.Count == 0 || bars.IsNewSession(time, isRealtime))
{
AddBar(bars, open, high, low, close, time, volume, isRealtime);
lastBarTime = time;
RWTAddExtDat(time, close, volume);
}
else
{
Data.Bar bar = (Bar)bars.Get(bars.Count - 1);
double rangeValue = Math.Floor(10000000.0 * period * tickSize) / 10000000.0;
if (curdat == null)
{
RWTAddExtDat(time, close, 0);
}
curdat.dt = time;
double reverseRange = rangeValue * (tlb?3.0:1.0);
if ((bars.Instrument.MasterInstrument.Compare(close, bar.Open + (lastBarUP?rangeValue:reverseRange)) > 0) &&
(lastBarUP || ((time.Ticks - lastBarTime.Ticks) > 10000000L)))
{
bool isFirstNewBar = true;
double newBarOpen = bar.Open + (lastBarUP?rangeValue:reverseRange);
double newClose = Math.Min(close, newBarOpen + rangeValue);
UpdateBar(bars, bar.Open, newBarOpen, bar.Low, newBarOpen, time, 0, isRealtime);
curdat.addLevel(1);
do
{
AddBar(bars, newBarOpen, newClose, newBarOpen, newClose, time, isFirstNewBar ? volume : 0, isRealtime);
RWTAddExtDat(time, newClose, (isFirstNewBar ? volume : 0));
if (bars.Instrument.MasterInstrument.Compare(close, newClose) == 0)
{
break;
}
newBarOpen = newClose;
newClose = Math.Min(close, newBarOpen + rangeValue);
isFirstNewBar = false;
}while (true);
prices[1] = newClose;
lastMoveUp = true;
lastBarUP = true;
lastBarTime = time;
}
else
if ((bars.Instrument.MasterInstrument.Compare(bar.Open - (lastBarUP?reverseRange:rangeValue), close) > 0) &&
((!lastBarUP) || ((time.Ticks - lastBarTime.Ticks) > 10000000L)))
{
bool isFirstNewBar = true;
double newBarOpen = bar.Open - (lastBarUP?reverseRange:rangeValue);
double newClose = Math.Max(close, newBarOpen - rangeValue);
UpdateBar(bars, bar.Open, bar.High, newBarOpen, newBarOpen, time, 0, isRealtime);
curdat.addLevel(-1);
do
{
AddBar(bars, newBarOpen, newBarOpen, newClose, newClose, time, isFirstNewBar ? volume : 0, isRealtime);
RWTAddExtDat(time, newClose, (isFirstNewBar ? volume : 0));
if (bars.Instrument.MasterInstrument.Compare(close, newClose) == 0)
{
break;
}
newBarOpen = newClose;
newClose = Math.Max(close, newBarOpen - rangeValue);
isFirstNewBar = false;
}while (true);
prices[0] = newClose;
lastMoveUp = false;
lastBarUP = false;
lastBarTime = time;
}
else
{
UpdateBar(bars, bar.Open, Math.Max(bar.High, close), Math.Min(bar.Low, close), close, time, volume, isRealtime);
RWTUpdateCounts(close);
RWTUpdateCurdat(close, volume);
}
}
bars.LastPrice = close;
// update the extended data...
prevClose = close;
}
/// <summary>
/// </summary>
/// <param name="bars"></param>
/// <param name="open"></param>
/// <param name="high"></param>
/// <param name="low"></param>
/// <param name="close"></param>
/// <param name="time"></param>
/// <param name="volume"></param>
/// <param name="isRealtime"></param>
public override void Add(Data.Bars bars, double open, double high, double low, double close, DateTime time, long volume, bool isRealtime)
{
if (tickSize == 0)
{
tickSize = bars.Instrument.MasterInstrument.TickSize;
if (bars.Period.Value > 100)
{
tlb = true;
period = bars.Period.Value - 100;
}
else
{
tlb = false;
period = bars.Period.Value;
}
}
if (bars.Count == 0 || bars.IsNewSession(time, isRealtime))
{
AddBar(bars, open, high, low, close, time, volume, isRealtime);
lastBarTime = time;
}
else
{
Data.Bar bar = (Bar)bars.Get(bars.Count - 1);
double rangeValue = Math.Floor(10000000.0 * period * tickSize) / 10000000.0;
double reverseRange = rangeValue * (tlb?3.0:1.0);
if ((bars.Instrument.MasterInstrument.Compare(close, bar.Open + (lastBarUP?rangeValue:reverseRange)) > 0) &&
(lastBarUP || ((time.Ticks - lastBarTime.Ticks) > 10000000L)))
{
bool isFirstNewBar = true;
double newBarOpen = bar.Open + (lastBarUP?rangeValue:reverseRange);
double newClose = Math.Min(close, newBarOpen + rangeValue);
UpdateBar(bars, bar.Open, newBarOpen, bar.Low, newBarOpen, time, 0, isRealtime);
do
{
AddBar(bars, newBarOpen, newClose, newBarOpen, newClose, time, isFirstNewBar ? volume : 0, isRealtime);
if (bars.Instrument.MasterInstrument.Compare(close, newClose) == 0)
{
break;
}
newBarOpen = newClose;
newClose = Math.Min(close, newBarOpen + rangeValue);
isFirstNewBar = false;
}while (true);
lastBarUP = true;
lastBarTime = time;
}
else
if ((bars.Instrument.MasterInstrument.Compare(bar.Open - (lastBarUP?reverseRange:rangeValue), close) > 0) &&
((!lastBarUP) || ((time.Ticks - lastBarTime.Ticks) > 10000000L)))
{
bool isFirstNewBar = true;
double newBarOpen = bar.Open - (lastBarUP?reverseRange:rangeValue);
double newClose = Math.Max(close, newBarOpen - rangeValue);
UpdateBar(bars, bar.Open, bar.High, newBarOpen, newBarOpen, time, 0, isRealtime);
do
{
AddBar(bars, newBarOpen, newBarOpen, newClose, newClose, time, isFirstNewBar ? volume : 0, isRealtime);
if (bars.Instrument.MasterInstrument.Compare(close, newClose) == 0)
{
break;
}
newBarOpen = newClose;
newClose = Math.Max(close, newBarOpen - rangeValue);
isFirstNewBar = false;
}while (true);
lastBarUP = false;
lastBarTime = time;
}
else
{
UpdateBar(bars, bar.Open, Math.Max(bar.High, close), Math.Min(bar.Low, close), close, time, volume, isRealtime);
}
}
bars.LastPrice = close;
}
