/// <inheritdoc />
public override void Save(SettingsStorage settings)
{
base.Save(settings);
settings.SetValue(nameof(Ema), Ema.Save());
settings.SetValue(nameof(Roc), Roc.Save());
}
/// <summary>
/// Загрузить настройки.
/// </summary>
/// <param name="settings">Хранилище настроек.</param>
public override void Load(SettingsStorage settings)
{
base.Load(settings);
Ema.LoadNotNull(settings, "Ema");
Roc.LoadNotNull(settings, "Roc");
}
/// <summary>
/// Сохранить настройки.
/// </summary>
/// <param name="settings">Хранилище настроек.</param>
public override void Save(SettingsStorage settings)
{
base.Save(settings);
settings.SetValue("Ema", Ema.Save());
settings.SetValue("Roc", Roc.Save());
}
/// <inheritdoc />
public override void Load(SettingsStorage settings)
{
base.Load(settings);
Ema.LoadNotNull(settings, nameof(Ema));
Roc.LoadNotNull(settings, nameof(Roc));
}
public static List <decimal?> Ema(this IEnumerable <decimal?> candles, int period)
{
IIndicatorOptions options = new EmaOptions(period, CandleVariableCode.CLOSE);
Ema ema = new Ema();
return(ema.Get(candles, options));
}
public void Indicators_Returns_Empty_Ema_For_TooShort_Source_Array()
{
double[] src = { 138700.0, 139350.0, 139970.0, 140160.0, 139845.0, 139705.0, 139895.0, 139765.0, 140495.0 };
IEnumerable <double> result = Ema.Make(src, 10);
Assert.AreEqual(0, result.Count());
}
public void Indicators_Returns_Empty_Ema_For_Empty_Source_Array()
{
double[] src = new double[0];
IEnumerable <double> result = Ema.Make(src, 10);
Assert.AreEqual(0, result.Count());
}
public void Ema_Test_10()
{
var ema = new Ema(BuildCandleSticks(), 10, pair);
Assert.AreEqual(22.916m, Math.Round(ema.Value, 3));
var results = ema.ema.Select(value => Math.Round(value, 3)).ToList();
Compare(EmaResults().ToList(), results);
}
/// <summary>
/// Обработать входное значение.
/// </summary>
/// <param name="input">Входное значение.</param>
/// <returns>Результирующее значение.</returns>
protected override IIndicatorValue OnProcess(IIndicatorValue input)
{
var candle = input.GetValue <Candle>();
var emaValue = Ema.Process(input.SetValue(this, candle.HighPrice - candle.LowPrice));
if (Ema.IsFormed)
{
return(Roc.Process(emaValue));
}
return(input);
}
/// <inheritdoc />
protected override IIndicatorValue OnProcess(IIndicatorValue input)
{
var candle = input.GetValue <Candle>();
var emaValue = Ema.Process(input.SetValue(this, candle.HighPrice - candle.LowPrice));
if (Ema.IsFormed)
{
var val = Roc.Process(emaValue);
return(new DecimalIndicatorValue(this, val.GetValue <decimal>()));
}
return(new DecimalIndicatorValue(this));
}
public void Indicators_Make_One_More_Ema()
{
double[] src = { 447.3, 456.8, 451.0, 452.5, 453.4, 455.5, 456.0, 454.7, 453.5, 456.5, 459.5, 465.2, 460.8, 460.8 };
IEnumerable <double> result = Ema.Make(src, 10);
Assert.AreEqual(5, result.Count());
Assert.AreEqual(453.72, result.ElementAt(0));
Assert.AreEqual(454.7709, result.ElementAt(1));
Assert.AreEqual(456.6671, result.ElementAt(2));
Assert.AreEqual(457.4185, result.ElementAt(3));
Assert.AreEqual(458.0333, result.ElementAt(4));
}
public void EmaTest()
{
using (var csvReader = new CsvReader(new StreamReader("Indicators/MovingAverageTests.csv")))
{
var expectedData = csvReader.GetRecords<MovingAverageDay>().ToList();
var days = expectedData.Select(r => new ShareDay { Date = r.Date, Close = r.Price }).ToArray();
var actual = new Ema().Calculate(days, new Ema.Parameters { Periods = 10 }).ToArray();
var expected = expectedData.Where(r => r.Ema.HasValue).Select(r => Point.With(r.Date, r.Ema.Value)).ToArray();
CollectionAssert.AreEqual(expected, actual, new PointComparer(4));
}
}
public void Indicators_Calculate_Ema_For_Ten()
{
double[] src = { 138700.0, 139350.0, 139970.0, 140160.0, 139845.0, 139705.0, 139895.0, 139765.0, 140495.0, 140830.0, 140745.0, 140710.0, 140830.0, 140730.0, 141435.0 };
IEnumerable <double> result = Ema.Make(src, 10);
Assert.AreEqual(6, result.Count());
Assert.AreEqual(139871.5, result.ElementAt(0));
Assert.AreEqual(140030.3182, result.ElementAt(1));
Assert.AreEqual(140153.8967, result.ElementAt(2));
Assert.AreEqual(140276.8246, result.ElementAt(3));
Assert.AreEqual(140359.2201, result.ElementAt(4));
Assert.AreEqual(140554.8164, result.ElementAt(5));
}
public void Indicators_And_Make_One_More_Ema()
{
double[] src = { 137900.0, 138460.0, 139080.0, 139725.0, 139755.0, 139455.0, 139565.0, 139500.0, 139670.0, 140420.0, 140625.0, 140650.0, 140655.0, 140550.0, 140315.0, 141000.0, 141020.0, 140955.0, 140635.0, 140610.0, 140915.0, 140555.0 };
IEnumerable <double> result = Ema.Make(src, 14);
Assert.AreEqual(9, result.Count());
Assert.AreEqual(139715.0, result.ElementAt(0));
Assert.AreEqual(139795.0, result.ElementAt(1));
Assert.AreEqual(139955.6667, result.ElementAt(2));
Assert.AreEqual(140097.5778, result.ElementAt(3));
Assert.AreEqual(140211.9008, result.ElementAt(4));
Assert.AreEqual(140268.314, result.ElementAt(5));
Assert.AreEqual(140313.8721, result.ElementAt(6));
Assert.AreEqual(140394.0225, result.ElementAt(7));
Assert.AreEqual(140415.4862, result.ElementAt(8));
}
protected override IEnumerable <MacdPoint> CalcInit(IList <Candle> initialCandles)
{
_shortEMA = new Ema(_periodShort);
_longEMA = new Ema(_periodLong);
// this will init both emas such that ".Points" contains exactly signal length amount of points
int takeShort = (_periodSignal + _shortEMA.MinimumInitValuesNecessary - 1);
int takeLong = (_periodSignal + _longEMA.MinimumInitValuesNecessary - 1);
int elementsToLeaveOpen = initialCandles.Count - MinimumInitValuesNecessary;
_shortEMA.Init(initialCandles.TakeLast(takeShort, skipLast: elementsToLeaveOpen));
_longEMA.Init(initialCandles.TakeLast(takeLong, skipLast: elementsToLeaveOpen));
// init macdlist by piecewise subtraction
List <Candle> macdCandles = new List <Candle>();
for (int i = 0; i < _periodSignal; i++)
{
macdCandles.Add(new Candle(0m, 0m, 0m, (decimal)(_shortEMA.Points[i].Value - _longEMA.Points[i].Value), initialCandles[i + _periodLong - 1].OpenTime, initialCandles[i + _periodLong - 1].CloseTime));
}
// init signal ema
_signalEMA = new Ema(_periodSignal);
_signalEMA.Init(macdCandles);
// First signal is different
List <MacdPoint> result = new List <MacdPoint>
{
new MacdPoint(_signalEMA.Points.Last().Timestamp, (double)macdCandles.Last().Close, _signalEMA.Points.Last().Value)
};
// ... than the following signals
int offset = MinimumInitValuesNecessary;
for (int i = offset; i < initialCandles.Count; i++)
{
result.Add(CalcNext(initialCandles[i]));
}
return(result);
}
public Prices()
{
Type = Price.Close;
Map = new Dictionary <Price, List <double> >();
foreach (Price type in Enum.GetValues(typeof(Price)))
{
Map[type] = new List <double>();
}
FastEma = new Ema(Const.DIRECTIONAL_FAST_EMA_LENGTH);
SlowEma = new Ema(Const.DIRECTIONAL_SLOW_EMA_LENGTH);
Bb = new Bb(Const.BB_WIDTH, Const.BB_PERIOD);
//Kc = new Kc(Const.BB_WIDTH, Const.BB_PERIOD);
//Mc = new Mc(Const.BB_PERIOD);
Macd = new Macd(FastEma, SlowEma, Const.MACD_SIGNAL_LENGTH);
Rsi = new Rsi(Const.RSI_LENGTH);
StochRsi = new StochRsi(Rsi, Const.STOCH_RSI_LENGTH, Const.STOCH_RSI_D_LENGTH);
Indicators = new List <IIndicator>
{
FastEma, SlowEma, Bb, /*Kc,*/ /*Mc,*/ Macd, Rsi, StochRsi
};
}
public void Ema_Test_9()
{
Ema sma = new Ema(BuildCandleSticks(), 9, pair);
Assert.AreEqual(17, sma.Value);
}
public override void OnItemAdded(Tick item)
{
if (item.Symbol != this.strategyHeader.Symbol)
{
return;
}
BarSettings bs = this.tradingData.Get <IEnumerable <BarSettings> >().SingleOrDefault(s => s.StrategyId == this.strategyHeader.Id);
if (bs == null)
{
return;
}
SMASettings ss = this.tradingData.Get <IEnumerable <SMASettings> >().SingleOrDefault(s => s.StrategyId == this.strategyHeader.Id);
if (ss == null)
{
return;
}
double strategyAmount = this.tradingData.GetAmount(this.strategyHeader);
bool hasLong = this.tradingData.HasLongPosition(this.strategyHeader);
bool hasShort = this.tradingData.HasShortPosition(this.strategyHeader);
IEnumerable <Bar> bars = this.tradingData.Get <IEnumerable <Bar> >().GetNewestBars(bs.Symbol, bs.Interval, bs.Period + 1);
if (strategyAmount > 0)
{
return;
}
if (this.tradingData.UnfilledExists(this.strategyHeader, OrderType.Limit))
{
return;
}
if (bars == null || bars.Count() == 0)
{
return;
}
if (bars.Count() < ss.PeriodFast + 1)
{
return;
}
if (bars.Count() < ss.PeriodSlow + 1)
{
return;
}
IEnumerable <double> closePrices = from b in bars
select b.Close;
IEnumerable <double> fastSMA = Ema.Make(closePrices, ss.PeriodFast);
IEnumerable <double> slowSMA = Ema.Make(closePrices, ss.PeriodSlow);
//IEnumerable<double> fastSMA = null;
//IEnumerable<double> slowSMA = null;
this.logger.Log(String.Format("{0:dd/MM/yyyy H:mm:ss.fff}, {1}, fast {2} slow {3}", DateTime.Now, this.GetType().Name, fastSMA.Last(), slowSMA.Last()));
if (slowSMA.Last() < fastSMA.Last())
{
Signal signal = new Signal(this.strategyHeader, BrokerDateTime.Make(DateTime.Now), TradeAction.Buy, OrderType.Limit, item.Price, 0, item.Price);
this.logger.Log(String.Format("{0:dd/MM/yyyy H:mm:ss.fff}, {1}, сигнал на открытие длинной позиции {2}", DateTime.Now, this.GetType().Name, signal.ToString()));
this.signalQueue.Enqueue(signal);
}
else if (slowSMA.Last() > fastSMA.Last())
{
Signal signal = new Signal(this.strategyHeader, BrokerDateTime.Make(DateTime.Now), TradeAction.Sell, OrderType.Limit, item.Price, 0, item.Price);
this.logger.Log(String.Format("{0:dd/MM/yyyy H:mm:ss.fff}, {1}, сигнал на открытие короткой позиции {2}", DateTime.Now, this.GetType().Name, signal.ToString()));
this.signalQueue.Enqueue(signal);
}
}
public Gsma(IEnumerable <decimal> candleSticks, int length, int averageLength)
{
_ema = new Ema(candleSticks, length);
this.averageLength = averageLength;
CalculateGsma();
}
public void Indicators_Make_Ema_for_five_numbers()
{
IEnumerable <double> src = new[] { 5.0, 6.0, 7.0, 8.0, 9.0 };
Assert.AreEqual(7, Ema.Make(src, 5).ElementAt(0));
}
