public void CalculateIndicators()
{
pivotPointsIndicator.CalculateLows(security, 6, 5);
pivotPointsIndicator.CalculateHighs(security, 5, 4);
ema = Series.EMA(sec.ClosePrices, 100);
atr = Series.AverageTrueRange(sec.Bars, 20);
}
public static IList <double> generateATR(IContext ctx, IList <Bar> data, int period)
{
return(ctx.GetData(
"ATR" + period.ToString(),
new[] { period.ToString() }, delegate {
return Series.AverageTrueRange(data, period);
}
));
}
public static IList <double> generateATR(IContext ctx, ISecurity source, int period)
{
return(ctx.GetData(
"ATR" + period.ToString(),
new[] { period.ToString() }, delegate {
return Series.AverageTrueRange(source.Bars, period);
}
));
}
public virtual IList <double> Execute(ISecurity sec)
{
var sec2 = sec.CompressTo(Interval);
var atrs = Context.GetData("ATR", new[] { Period.ToString(), Interval.ToString() },
() => Series.AverageTrueRange(sec2.Bars, Period, Context));
return(Context.GetData("NRTR",
new[] { Period.ToString(), Coefficient.ToString(CultureInfo.InvariantCulture), Interval.ToString() },
() => sec2.Decompress(NRTR(Context, sec2, atrs, Coefficient))));
}
public IList <bool> Execute(ISecurity source)
{
IReadOnlyList <IDataBar> bars = source.Bars;
int count = bars.Count;
IList <double> doubleList = Series.AverageTrueRange(bars, this.ParPeriod, (IMemoryContext)this.Context);
IList <bool> boolList = (IList <bool>)(this.Context?.GetArray <bool>(count) ?? new bool[count]);
int paRi1 = this.PARi;
for (int paRi2 = this.PARi; paRi2 < count; ++paRi2)
{
boolList[paRi2] = this.ParBol ? doubleList[paRi2] > doubleList[paRi2 - paRi1] : doubleList[paRi2] < doubleList[paRi2 - paRi1];
}
return(boolList);
}
public IList <double> Execute(ISecurity source)
{
return(Series.AverageTrueRange(source.Bars, Period, Context));
}
public IList <bool> Execute(ISecurity source)
{
ISecurity dailySec = source.CompressTo(Interval.D1, 0, 1440, 600);
IList <double> highPrices = dailySec.GetHighPrices(this.Context);
IList <double> lowPrices = dailySec.GetLowPrices(this.Context);
IList <double> closePrices = dailySec.GetClosePrices(this.Context);
int count1 = source.Bars.Count;
int count2 = dailySec.Bars.Count;
IList <double> doubleList1 = (IList <double>) new double[count2];
IList <double> doubleList2 = (IList <double>) new double[count2];
IList <double> candles1 = (IList <double>) new double[count2];
IList <double> candles2 = (IList <double>) new double[count2];
IList <double> candles3 = (IList <double>) new double[count2];
IList <double> data1 = this.Context.GetData("ATR", new string[1]
{
this.ParPeriod.ToString()
}, (CacheObjectMaker <IList <double> >)(() => Series.AverageTrueRange(dailySec.Bars, this.ParPeriod)));
IList <double> data2 = this.Context.GetData("EMA", new string[1]
{
this.ParPeriod.ToString()
}, (CacheObjectMaker <IList <double> >)(() => Series.EMA(dailySec.ClosePrices, this.ParPeriod)));
IList <double> doubleList3 = (IList <double>) new double[count1];
IList <double> doubleList4 = (IList <double>) new double[count1];
IList <double> doubleList5 = (IList <double>) new double[count1];
IList <bool> boolList1 = (IList <bool>) new bool[count1];
IList <bool> boolList2 = (IList <bool>) new bool[count1];
IList <bool> boolList3 = (IList <bool>) new bool[count1];
for (int index = 1; index < count2; ++index)
{
candles1[index] = 0.0;
candles2[index] = 0.0;
if (highPrices[index] > highPrices[index - 1])
{
candles1[index] = highPrices[index] - highPrices[index - 1];
}
if (lowPrices[index] < lowPrices[index - 1])
{
candles2[index] = lowPrices[index - 1] - lowPrices[index];
}
if (candles1[index] > candles2[index])
{
candles2[index] = 0.0;
}
else if (candles2[index] > candles1[index])
{
candles1[index] = 0.0;
}
else if (candles1[index] == candles2[index])
{
candles1[index] = 0.0;
candles2[index] = 0.0;
}
}
IList <double> doubleList6 = Series.EMA(candles1, this.ParPeriod);
IList <double> doubleList7 = Series.EMA(candles2, this.ParPeriod);
for (int index = 0; index < count2; ++index)
{
doubleList6[index] = data1[index] == 0.0 ? 0.0 : doubleList6[index] / data1[index];
doubleList7[index] = data1[index] == 0.0 ? 0.0 : doubleList7[index] / data1[index];
candles3[index] = doubleList6[index] != 0.0 || doubleList7[index] != 0.0 ? Math.Abs(doubleList6[index] - doubleList7[index]) / (doubleList6[index] + doubleList7[index]) * 100.0 : 0.0;
}
IList <double> doubleList8 = Series.EMA(candles3, this.ParPeriod);
int index1 = 0;
for (int index2 = 0; index2 < count1; ++index2)
{
DateTime date1 = source.Bars[index2].Date;
DateTime date2 = date1.Date;
boolList1[index2] = false;
boolList2[index2] = false;
while (true)
{
int num;
if (index1 < count2)
{
date1 = dailySec.Bars[index1].Date;
num = date1.Date < date2 ? 1 : 0;
}
else
{
num = 0;
}
if (num != 0)
{
doubleList3[index2] = doubleList8[index1];
doubleList4[index2] = data2[index1];
doubleList5[index2] = closePrices[index1];
if ((uint)index1 > 0U)
{
if (doubleList8[index1] > doubleList8[index1 - 1])
{
boolList1[index2] = true;
}
else if (doubleList8[index1] < doubleList8[index1 - 1])
{
boolList2[index2] = true;
}
}
else
{
boolList1[index2] = false;
boolList2[index2] = false;
}
++index1;
}
else
{
break;
}
}
int num1;
if (index2 + 1 < count1)
{
date1 = source.Bars[index2 + 1].Date;
if (date1.Date == date2)
{
num1 = 1;
goto label_33;
}
}
num1 = index1 == count2 ? 1 : 0;
label_33:
if (num1 != 0)
{
--index1;
}
if (index1 <= 0)
{
index1 = 0;
doubleList3[index2] = doubleList8[index1];
doubleList4[index2] = data2[index1];
doubleList5[index2] = closePrices[index1];
boolList1[index2] = false;
boolList2[index2] = false;
}
}
for (int index2 = 0; index2 < count1; ++index2)
{
if (this.ParTrendUp && !this.ParFlet && !this.ParTrendDn)
{
bool ResADX = doubleList5[index2] > doubleList4[index2] && doubleList3[index2] > this.KoefADXD1;
int num = this.ParBolTrendUp ? 0 : (!this.ParMenTrendUp ? 1 : 0);
boolList3[index2] = num == 0 ? AdvFazyRynka2.GetResADX(this.ParBolTrendUp, this.ParMenTrendUp, ResADX, boolList1[index2], boolList2[index2]) : ResADX;
}
else if (!this.ParTrendUp && this.ParFlet && !this.ParTrendDn)
{
bool ResADX = doubleList3[index2] < this.KoefADXD1;
int num = this.ParBolFlet ? 0 : (!this.ParMenFlet ? 1 : 0);
boolList3[index2] = num == 0 ? AdvFazyRynka2.GetResADX(this.ParBolFlet, this.ParMenFlet, ResADX, boolList1[index2], boolList2[index2]) : ResADX;
}
else if (!this.ParTrendUp && !this.ParFlet && this.ParTrendDn)
{
bool ResADX = doubleList5[index2] < doubleList4[index2] && doubleList3[index2] > this.KoefADXD1;
int num = this.ParBolTrendDn ? 0 : (!this.ParMenTrendDn ? 1 : 0);
boolList3[index2] = num == 0 ? AdvFazyRynka2.GetResADX(this.ParBolTrendDn, this.ParMenTrendDn, ResADX, boolList1[index2], boolList2[index2]) : ResADX;
}
else if (this.ParTrendUp && this.ParFlet && !this.ParTrendDn)
{
bool ResADX1 = doubleList5[index2] > doubleList4[index2] && doubleList3[index2] > this.KoefADXD1;
bool flag1 = this.ParBolTrendUp || this.ParMenTrendUp ? AdvFazyRynka2.GetResADX(this.ParBolTrendUp, this.ParMenTrendUp, ResADX1, boolList1[index2], boolList2[index2]) : ResADX1;
bool ResADX2 = doubleList3[index2] < this.KoefADXD1;
bool flag2 = this.ParBolFlet || this.ParMenFlet ? AdvFazyRynka2.GetResADX(this.ParBolFlet, this.ParMenFlet, ResADX2, boolList1[index2], boolList2[index2]) : ResADX2;
boolList3[index2] = flag1 || flag2;
}
else if (this.ParTrendUp && !this.ParFlet && this.ParTrendDn)
{
bool ResADX1 = doubleList5[index2] > doubleList4[index2] && doubleList3[index2] > this.KoefADXD1;
bool flag1 = this.ParBolTrendUp || this.ParMenTrendUp ? AdvFazyRynka2.GetResADX(this.ParBolTrendUp, this.ParMenTrendUp, ResADX1, boolList1[index2], boolList2[index2]) : ResADX1;
bool ResADX2 = doubleList5[index2] < doubleList4[index2] && doubleList3[index2] > this.KoefADXD1;
bool flag2 = this.ParBolTrendDn || this.ParMenTrendDn ? AdvFazyRynka2.GetResADX(this.ParBolTrendDn, this.ParMenTrendDn, ResADX2, boolList1[index2], boolList2[index2]) : ResADX2;
boolList3[index2] = flag1 || flag2;
}
else if (!this.ParTrendUp && this.ParFlet && this.ParTrendDn)
{
bool ResADX1 = doubleList3[index2] < this.KoefADXD1;
bool flag1 = this.ParBolFlet || this.ParMenFlet ? AdvFazyRynka2.GetResADX(this.ParBolFlet, this.ParMenFlet, ResADX1, boolList1[index2], boolList2[index2]) : ResADX1;
bool ResADX2 = doubleList5[index2] < doubleList4[index2] && doubleList3[index2] > this.KoefADXD1;
bool flag2 = this.ParBolTrendDn || this.ParMenTrendDn ? AdvFazyRynka2.GetResADX(this.ParBolTrendDn, this.ParMenTrendDn, ResADX2, boolList1[index2], boolList2[index2]) : ResADX2;
boolList3[index2] = flag1 || flag2;
}
else if (this.ParTrendUp && this.ParFlet && this.ParTrendDn)
{
bool ResADX1 = doubleList5[index2] > doubleList4[index2] && doubleList3[index2] > this.KoefADXD1;
bool flag1 = this.ParBolTrendUp || this.ParMenTrendUp ? AdvFazyRynka2.GetResADX(this.ParBolTrendUp, this.ParMenTrendUp, ResADX1, boolList1[index2], boolList2[index2]) : ResADX1;
bool ResADX2 = doubleList3[index2] < this.KoefADXD1;
bool flag2 = this.ParBolFlet || this.ParMenFlet ? AdvFazyRynka2.GetResADX(this.ParBolFlet, this.ParMenFlet, ResADX2, boolList1[index2], boolList2[index2]) : ResADX2;
bool ResADX3 = doubleList5[index2] < doubleList4[index2] && doubleList3[index2] > this.KoefADXD1;
bool flag3 = this.ParBolTrendDn || this.ParMenTrendDn ? AdvFazyRynka2.GetResADX(this.ParBolTrendDn, this.ParMenTrendDn, ResADX3, boolList1[index2], boolList2[index2]) : ResADX3;
boolList3[index2] = flag1 || flag2 || flag3;
}
else
{
boolList3[index2] = false;
}
}
return(boolList3);
}
private void MakeAtrs(ISecurity security)
{
m_atrs = Context.GetData("ATRTrailStop$ATR",
new[] { ATRPeriod.ToString(), security.Symbol, security.Interval.ToString() },
() => Series.AverageTrueRange(security.Bars, ATRPeriod, Context));
}
/// <summary>
/// Calculate ATRM indicator for bars list
/// </summary>
public static IList <double> CalcATRM(IContext context, IReadOnlyList <IDataBar> bars, int period,
Interval roundInterval, bool positive)
{
var count = bars.Count;
var atrs = context.GetArray <double>(count) ?? new double[count];
if (count == 0)
{
return(atrs);
}
double high = 0, low = 0;
double kr = 0, no = 0;
var date = roundInterval.AlignDate(bars[0].Date);
for (var i = 0; i < period; i++)
{
atrs[i] = 0;
}
double prevATR = 0;
var first = true;
for (var i = period; i < count; i++)
{
prevATR = Series.AverageTrueRange(bars, i, period, prevATR);
var kirPer = prevATR;
prevATR = kirPer;
if (DoubleUtil.IsZero(kirPer))
{
kirPer = 1e-10;
}
var date2 = roundInterval.AlignDate(bars[i].Date);
var cur = bars[i].Close;
if (first || date < date2)
{
first = false;
date = date2;
high = low = cur;
kr = no = 0;
}
if (cur > high + kirPer)
{
var kk = Math.Floor((cur - (high + kirPer)) / kirPer) + 1;
high = cur;
low = cur - kirPer;
kr = kr + kk;
no = 0;
}
if (cur < low - kirPer)
{
var kn = Math.Floor((low - kirPer - cur) / kirPer) + 1;
low = cur;
high = cur + kirPer;
no = no + kn;
kr = 0;
}
var lowValue = -no;
var highValue = kr;
var value = highValue + lowValue;
if (positive && value < 0)
{
value = 0;
}
if (!positive && value > 0)
{
value = 0;
}
atrs[i] = value;
}
return(atrs);
}