public static Func <WaveRange, double> BestFitProp(this WaveRange wa)
{
Func <Func <WaveRange, double>, Func <WaveRange, double> > foo = f => f;
var foos = new[] { foo(w => w.DistanceByRegression), foo(w => w.WorkByTime) };
return(foos.OrderBy(f => f(wa)).First());
}
public static int Index(this WaveRange wr, IList <WaveRange> wrs, Func <WaveRange, double> value)
{
return(wrs.OrderByDescending(value).ToList().IndexOf(wr));
}
private void ScanForWaveRanges2(List <Rate> rates)
{
try {
#region Average Wave Height Calc
var makeWaves = MonoidsCore.ToFunc((List <Rate>)null, 0.0, 0, (rateses, period, cmaPasses) => {
List <WaveRange> wr = GetWaveRanges(rateses, period, cmaPasses);
#region Split First Wave
var splitIndex = wr.Take(1)
.Where(w => !w.IsEmpty)
.Select(w => w.Range.IndexOf((w.Slope > 0
? w.Range.MaxBy(r => r.AskHigh)
: w.Range.MinBy(r => r.AskLow)
).First()))
.DefaultIfEmpty(-1)
.First();
WaveRange wTail = new WaveRange(0);
wr.Take(1)
.Where(w => !w.IsEmpty)
.ToArray()
.Select(w => w.Count)
.Where(wrCount => splitIndex.Div(wrCount) > .1)
.Select(wrCount => {
var range = wr[0].Range;
var wr0 = range.GetRange(0, splitIndex + 1).ToList();
var rangeTail = range.GetRange(splitIndex + 1, range.Count - (splitIndex + 1));
if (rangeTail.Any() && rangeTail.Last().StartDate.Subtract(rangeTail[0].StartDate).TotalSeconds > 3)
{
return new { wr0, wrTail = new WaveRange(rangeTail, PointSize, BarPeriod)
{
IsTail = true
} }
}
;
return(null);
})
.Where(x => x != null)
.ForEach(x => {
wr = new[] { x.wr0 }.Select(w => new WaveRange(w, PointSize, BarPeriod)).Concat(wr.Skip(1)).ToList();
wTail = x.wrTail;
});
if (wTail.Count < 3 || wTail.TotalSeconds < 3)
{
wTail = new WaveRange();
}
#endregion
#region Wave Stats
#region Stats Funcs
Func <IList <WaveRange>, Func <WaveRange, double>, double> summ = (wrs0, v) => wrs0.Select(v).DefaultIfEmpty(double.NaN).Sum();
Func <IList <WaveRange>, Func <WaveRange, double>, double> avg = (wrs0, v) =>
summ(wrs0, w => v(w) * w.HSDRatio) / summ(wrs0, w => w.HSDRatio);
Func <IList <WaveRange>, Func <WaveRange, double>, Func <WaveRange, double>, double> avg2 = (wrs0, v, d) =>
summ(wrs0, w => v(w) * d(w)) / summ(wrs0, w => d(w));
Func <Func <WaveRange, double>, double> avgUp = value => wr.Select(value).DefaultIfEmpty().ToArray().AverageByAverageUp();
Func <IList <WaveRange>, Func <WaveRange, double>, double> avgStd = (wrs0, v) => {
var sd = wrs0.StandardDeviation(v) * 2;
var a = wrs0.Average(v);
return(wrs0.Select(w => v(w).Abs()).Where(d => d.Between(a - sd, a + sd)).Average());
};
Func <Func <WaveRange, double>, double> rsd = value => wr.Select(value).DefaultIfEmpty().Sum();
#endregion
var wrs = wr.SkipLast(wr.Count > 4 ? 1 : 0).Where(w => !w.Distance.IsNaNOrZero()).ToArray();
Func <Func <WaveRange, double>, double, double> pwmp = (w, power) => wrs.Select(w).DefaultIfEmpty().RootMeanPower(power);
var hasCalm3 = TradeConditionsHave(Calm3Ok);
var TrendHeightPerc = 2.0;
var ws = new WaveRange(1)
{
Distance = pwmp(w => w.Distance, 1 / TrendHeightPerc),
DistanceCma = avg2(wrs, w => w.DistanceCma, w => w.Distance),
DistanceByRegression = avg2(wrs, w => w.DistanceByRegression, w => w.Distance),
WorkByHeight = rsd(w => w.WorkByHeight),
WorkByTime = rsd(w => w.WorkByTime),
Angle = hasCalm3 ? pwmp(w => w.Angle.Abs(), 1 / TrendHeightPerc) : wrs.Select(w => w.Angle.Abs()).RelativeStandardDeviation().ToPercent(),
TotalMinutes = pwmp(w => w.TotalMinutes, 1 / TrendHeightPerc),
HSDRatio = wrs.Select(w => w.StDev).RelativeStandardDeviation().ToPercent(),//avg2(wrs, w => w.HSDRatio, w => 1 / w.Distance),
Height = rsd(w => w.Height),
StDev = wrs.Select(w => w.StDev).RootMeanPowerByPosition(WaveStDevPowerS)
};
ws.PipsPerMinute = ws.Distance / ws.TotalMinutes;
var wa = new WaveRange(1)
{
DistanceCma = avg2(wrs, w => w.DistanceCma, w => 1 / Math.Pow(w.Distance, 1 / 3.0)),
DistanceByRegression = avg2(wrs, w => w.DistanceByRegression, w => 1 / Math.Pow(w.Distance, 1 / 3.0)),
WorkByHeight = avg(wrs, w => w.WorkByHeight),
WorkByTime = avg(wrs, w => w.WorkByTime),
HSDRatio = avg2(wrs, w => w.HSDRatio, w => w.Distance),
Height = avg(wrs, w => w.Height),
StDev = wrs.Select(w => w.StDev).RootMeanPowerByPosition(WaveStDevPower)
};
try {
wa.Distance = pwmp(w => w.Distance, TrendHeightPerc);
wa.Angle = pwmp(w => w.Angle.Abs(), TrendHeightPerc);
wa.TotalMinutes = pwmp(w => w.TotalMinutes, TrendHeightPerc);
wa.PipsPerMinute = wa.Distance / wa.TotalMinutes;
} catch (Exception exc) {
Log = exc;
return(null);
}
#endregion
#region Conditions
wr.ForEach(w => w.IsFatnessOk = w.StDev <= wa.StDev);
wr.ForEach(w => w.IsDistanceCmaOk = w.DistanceCma >= wa.DistanceCma);
#endregion
return(new { wr, wTail, wa, ws });
});
#endregion
if (!IsCorridorFrozen())
{
var wrwt = makeWaves(rates, PriceCmaLevels, CmaPasses);
if (wrwt == null)
{
return;
}
WaveRanges = wrwt.wr;
WaveRangeTail = wrwt.wTail;
WaveRangeSum = wrwt.ws;
WaveRangeAvg = wrwt.wa;
#region Adjust CmaPasses
Action setCmaPasses = () => {
try {
Func <WaveRange, double> stDever = WaveSmoothFunc();
var makeWaveses = MonoidsCore.ToFunc((IEnumerable <int>)null, ups =>
Partitioner.Create(ups.ToArray(), true)
.AsParallel().Select(cmaPasses => new { sd = stDever(makeWaves(rates, PriceCmaLevels, cmaPasses).ws), cmaPasses }));
var up = makeWaveses(Lib.IteratonSequence(1, 600, i => i.Div(200).Ceiling())).OrderBy(x => x.cmaPasses).ToList();
var bufferCount = rates.Count.Div(100).ToInt();
var cma = Enumerable.Range(0, up.Count - bufferCount)
.Select(i => up.GetRange(i, bufferCount).AsIList())
.Where(b => b.Count == bufferCount)
.Select(b => new { b, avg = b.Average(y => y.sd) })
.Aggregate((b1, b2) => b1.avg < b2.avg ? b1 : b2)
.b.MinBy(x => x.sd)
.OrderBy(x => x.cmaPasses)
.First().cmaPasses;
CmaPassesCalc = cma;
CmaPasses = CmaPassesCalc;
} catch (Exception exc) {
Log = exc;
}
};
if (CmaPassesMin > 0)
{
//setCmaPasses();
_addHistoryOrdersBuffer.Push(() => {
var sw = Stopwatch.StartNew();
setCmaPasses();
Log = new Exception(new { CmaPassesCalc, CmaPasses, sw.ElapsedMilliseconds } +"");
});
}
#endregion
}
else
{
var firstWaveRange = WaveRanges.Take(1).Select(wr =>
rates.BackwardsIterator().TakeWhile(r => r.StartDate >= wr.StartDate).Reverse().ToList());
WaveRanges = firstWaveRange.Select(wr => new WaveRange(wr, PointSize, BarPeriod)).Concat(WaveRanges.Skip(1)).ToList();
WaveRangeTail = new WaveRange(0);
}
Func <WaveRange, double> bfp = w => w.DistanceByRegression;// WaveRangeAvg.BestFitProp();
WaveFirstSecondRatio = WaveRanges.Take(1).Select(w1 => bfp(w1) / bfp(WaveRangeAvg)).FirstOrDefault();
WaveHeightAverage = WaveRangeAvg.Height;
WaveHeightPower = new[] {
WaveRangeAvg.WorkByHeight,
WaveRangeAvg.Height,
WaveRangeAvg.DistanceByRegression
}.StandardDeviation();
} catch (Exception exc) {
Log = exc;
}
}