/// <summary>
/// Calculate single value
/// </summary>
/// <param name="collection"></param>
/// <returns></returns>
public override RelativeStrengthIndicator Calculate(IIndexCollection <IPointModel> collection)
{
var currentPoint = collection.ElementAtOrDefault(collection.Count - 1);
if (currentPoint == null)
{
return(this);
}
var positives = new List <double>(Interval);
var negatives = new List <double>(Interval);
for (var i = 1; i <= Interval; i++)
{
var nextPrice = collection.ElementAtOrDefault(collection.Count - i);
var previousPrice = collection.ElementAtOrDefault(collection.Count - i - 1);
if (nextPrice != null && previousPrice != null)
{
positives.Add(Math.Max(nextPrice.Bar.Close.Value - previousPrice.Bar.Close.Value, 0.0));
negatives.Add(Math.Max(previousPrice.Bar.Close.Value - nextPrice.Bar.Close.Value, 0.0));
}
}
var averagePositive = CalculationManager.SimpleAverage(positives, positives.Count - 1, Interval);
var averageNegative = CalculationManager.SimpleAverage(negatives, negatives.Count - 1, Interval);
var average = ConversionManager.Compare(averageNegative, 0) ? 1.0 : averagePositive / averageNegative;
var nextValue = 100.0 - 100.0 / (1.0 + average);
var nextIndicatorPoint = new PointModel
{
Time = currentPoint.Time,
TimeFrame = currentPoint.TimeFrame,
Last = nextValue,
Bar = new PointBarModel
{
Close = nextValue
}
};
var previousIndicatorPoint = Values.ElementAtOrDefault(collection.Count - 1);
if (previousIndicatorPoint == null)
{
Values.Add(nextIndicatorPoint);
}
Values[collection.Count - 1] = nextIndicatorPoint;
currentPoint.Series[Name] = currentPoint.Series.TryGetValue(Name, out IPointModel seriesItem) ? seriesItem : new RelativeStrengthIndicator();
currentPoint.Series[Name].Bar.Close = currentPoint.Series[Name].Last = nextIndicatorPoint.Bar.Close;
currentPoint.Series[Name].Time = currentPoint.Time;
currentPoint.Series[Name].ChartData = ChartData;
Last = Bar.Close = currentPoint.Series[Name].Bar.Close;
return(this);
}
/// <summary>
/// Calculate indicator value
/// </summary>
/// <param name="currentPoint"></param>
/// <returns></returns>
public ImbalanceIndicator Calculate(IIndexCollection <IPointModel> collection, int direction = 0)
{
var currentPoint = collection.ElementAtOrDefault(collection.Count - 1);
if (currentPoint == null)
{
return(this);
}
currentPoint.Series[Name] = currentPoint.Series.TryGetValue(Name, out IPointModel seriesItem) ? seriesItem : new ImbalanceIndicator();
currentPoint.Series[Name].Time = currentPoint.Time;
currentPoint.Series[Name].TimeFrame = currentPoint.TimeFrame;
currentPoint.Series[Name].ChartData = ChartData;
var value = 0.0;
switch (direction)
{
case 0: value = currentPoint.AskSize.Value - currentPoint.BidSize.Value; break;
case 1: value = currentPoint.AskSize.Value; break;
case -1: value = currentPoint.BidSize.Value; break;
}
currentPoint.Series[Name].Last = value;
currentPoint.Series[Name].Bar.Close = value;
Last = Bar.Close = currentPoint.Series[Name].Bar.Close;
// Save values
var nextIndicatorPoint = new PointModel
{
Last = Last,
Time = currentPoint.Time,
TimeFrame = currentPoint.TimeFrame,
Bar = new PointBarModel
{
Close = Last
}
};
var previousIndicatorPoint = Values.ElementAtOrDefault(collection.Count - 1);
if (previousIndicatorPoint == null)
{
Values.Add(nextIndicatorPoint);
}
Values[collection.Count - 1] = nextIndicatorPoint;
return(this);
}
/// <summary>
/// Constructor
/// </summary>
public InstrumentModel()
{
SwapLong = 0.0;
SwapShort = 0.0;
StepSize = 0.01;
StepValue = 0.01;
Commission = 0.0;
ContractSize = 1.0;
ChartData = new ChartDataModel();
Points = new TimeSpanCollection <IPointModel>();
PointGroups = new TimeSpanCollection <IPointModel>();
}
/// <summary>
/// Calculate single value
/// </summary>
/// <param name="collection"></param>
/// <returns></returns>
public override MovingAverageIndicator Calculate(IIndexCollection <IPointModel> collection)
{
var currentPoint = collection.ElementAtOrDefault(collection.Count - 1);
if (currentPoint == null)
{
return(this);
}
var pointPrice = currentPoint.Bar.Close;
switch (Mode)
{
case MovingAverageEnum.Bid: pointPrice = currentPoint.Bid; break;
case MovingAverageEnum.Ask: pointPrice = currentPoint.Ask; break;
}
var nextIndicatorPoint = new PointModel
{
Last = pointPrice,
Time = currentPoint.Time,
TimeFrame = currentPoint.TimeFrame,
Bar = new PointBarModel
{
Close = pointPrice
}
};
var previousIndicatorPoint = Values.ElementAtOrDefault(collection.Count - 1);
if (previousIndicatorPoint == null)
{
Values.Add(nextIndicatorPoint);
}
Values[collection.Count - 1] = nextIndicatorPoint;
var average = CalculationManager.LinearWeightAverage(Values.Select(o => o.Bar.Close.Value), Values.Count - 1, Interval);
currentPoint.Series[Name] = currentPoint.Series.TryGetValue(Name, out IPointModel seriesItem) ? seriesItem : new MovingAverageIndicator();
currentPoint.Series[Name].Bar.Close = currentPoint.Series[Name].Last = ConversionManager.Compare(average, 0) ? nextIndicatorPoint.Bar.Close : average;
currentPoint.Series[Name].Time = currentPoint.Time;
currentPoint.Series[Name].ChartData = ChartData;
Last = Bar.Close = currentPoint.Series[Name].Bar.Close;
return(this);
}
/// <summary>
/// Calculate single value
/// </summary>
/// <param name="collection"></param>
/// <returns></returns>
public override AverageTrueRangeIndicator Calculate(IIndexCollection <IPointModel> collection)
{
var currentPoint = collection.ElementAtOrDefault(collection.Count - 1);
var previousPoint = collection.ElementAtOrDefault(collection.Count - 2);
if (currentPoint == null || previousPoint == null)
{
return(this);
}
var variance =
Math.Max(currentPoint.Bar.High.Value, previousPoint.Bar.Close.Value) -
Math.Min(currentPoint.Bar.Low.Value, previousPoint.Bar.Close.Value);
var nextIndicatorPoint = new PointModel
{
Time = currentPoint.Time,
TimeFrame = currentPoint.TimeFrame,
Last = variance,
Bar = new PointBarModel
{
Close = variance
}
};
if (Values.Count > Interval)
{
nextIndicatorPoint.Bar.Close = nextIndicatorPoint.Last = (Values.ElementAtOrDefault(Values.Count - 1).Bar.Close *Math.Max(Interval - 1, 0) + variance) / Interval;
}
var previousIndicatorPoint = Values.ElementAtOrDefault(collection.Count - 1);
if (previousIndicatorPoint == null)
{
Values.Add(nextIndicatorPoint);
}
Values[collection.Count - 1] = nextIndicatorPoint;
currentPoint.Series[Name] = currentPoint.Series.TryGetValue(Name, out IPointModel o) ? o : new AverageTrueRangeIndicator();
currentPoint.Series[Name].Bar.Close = currentPoint.Series[Name].Last = nextIndicatorPoint.Bar.Close;
currentPoint.Series[Name].Time = currentPoint.Time;
currentPoint.Series[Name].ChartData = ChartData;
Last = Bar.Close = currentPoint.Series[Name].Bar.Close;
return(this);
}
/// <summary>
/// Calculate indicator value
/// </summary>
/// <param name="collection"></param>
/// <returns></returns>
public override ScaleIndicator Calculate(IIndexCollection <IPointModel> collection)
{
var currentPoint = collection.ElementAtOrDefault(collection.Count - 1);
if (currentPoint == null || currentPoint.Series == null)
{
return(this);
}
var pointValue = currentPoint.Bar.Close ?? 0.0;
_min = _min == null ? pointValue : Math.Min(_min.Value, pointValue);
_max = _max == null ? pointValue : Math.Max(_max.Value, pointValue);
var nextValue = ConversionManager.Compare(_min, _max) ? 0.0 : Min + (pointValue - _min.Value) * (Max - Min) / (_max.Value - _min.Value);
var nextIndicatorPoint = new PointModel
{
Time = currentPoint.Time,
TimeFrame = currentPoint.TimeFrame,
Last = nextValue,
Bar = new PointBarModel
{
Close = nextValue
}
};
var previousIndicatorPoint = Values.ElementAtOrDefault(collection.Count - 1);
if (previousIndicatorPoint == null)
{
Values.Add(nextIndicatorPoint);
}
Values[collection.Count - 1] = nextIndicatorPoint;
currentPoint.Series[Name] = currentPoint.Series.TryGetValue(Name, out IPointModel seriesItem) ? seriesItem : new ScaleIndicator();
currentPoint.Series[Name].Bar.Close = currentPoint.Series[Name].Last = CalculationManager.LinearWeightAverage(Values.Select(o => o.Bar.Close.Value), Values.Count - 1, Interval);
currentPoint.Series[Name].Time = currentPoint.Time;
currentPoint.Series[Name].ChartData = ChartData;
Last = Bar.Close = currentPoint.Series[Name].Bar.Close;
return(this);
}
/// <summary>
/// Calculate indicator value
/// </summary>
/// <param name="currentPoint"></param>
/// <returns></returns>
public PerformanceIndicator Calculate(IIndexCollection <IPointModel> collection, IEnumerable <IAccountModel> accounts)
{
var currentPoint = collection.ElementAtOrDefault(collection.Count - 1);
if (currentPoint == null)
{
return(this);
}
currentPoint.Series[Name] = currentPoint.Series.TryGetValue(Name, out IPointModel seriesItem) ? seriesItem : new PerformanceIndicator();
currentPoint.Series[Name].Time = currentPoint.Time;
currentPoint.Series[Name].TimeFrame = currentPoint.TimeFrame;
currentPoint.Series[Name].Bar.Close = currentPoint.Series[Name].Last = accounts.Sum(o => o.Balance + o.ActivePositions.Sum(v => v.GainLossAverageEstimate));
currentPoint.Series[Name].ChartData = ChartData;
Last = Bar.Close = currentPoint.Series[Name].Bar.Close;
return(this);
}
public EntityTable(IStorage storage, IIndexCollection indexes)
{
_storage = storage;
_indexes = indexes;
}
/// <summary>
/// Constructor
/// </summary>
public ProcessorModel()
{
Charts = new IndexCollection <IChartModel>();
Gateways = new IndexCollection <IGatewayModel>();
}
