public static List <IndicatorBasket> CalcIndicators()
{
// Console.WriteLine("Calculating Indicators...");
var Indicators = new List <IndicatorBasket>();
//Base Level Calcs
var ohlc = Trades.Select(z => z.OHLC);
var OHLC_LIST = ohlc.ToList();
var volume = Trades.ToDictionary(x => x.TimeStamp, x => x.TradeVolume);
var trigger = Trades.ToDictionary(x => x.TimeStamp, x => x.TradeTrigger);
var EM = AlsiUtils.Factory_Indicator.createAdaptiveMA_MAMA(P.Mamapar1, P.Mamapar2, OHLC_LIST).ToDictionary(x => x.TimeStamp, x => x.Mama);
var adx_DMI = AlsiUtils.Factory_Indicator.createADX(P.ADX_period, OHLC_LIST);
var RSI = AlsiUtils.Factory_Indicator.createRSI(P.RSI_period, OHLC_LIST);
//Second Level Clacs
//EMA OF DMI+ and DMI-
List <VariableIndicator> varDmiUP = new List <VariableIndicator>();
List <VariableIndicator> varDmiDOWN = new List <VariableIndicator>();
foreach (var f in adx_DMI)
{
var vdown = new VariableIndicator()
{
TimeStamp = f.TimeStamp,
Value = f.DI_Down,
};
var vup = new VariableIndicator()
{
TimeStamp = f.TimeStamp,
Value = f.DI_Up,
};
varDmiUP.Add(vup);
varDmiDOWN.Add(vdown);
}
var Dmi_Up_EMA = Factory_Indicator.createEMA(P.Di_UP_avg_period, varDmiUP);
var Dmi_Down_EMA = Factory_Indicator.createEMA(P.Di_DOWN_avg_period, varDmiDOWN);
//EMA OF RSI
List <VariableIndicator> varRsi = new List <VariableIndicator>();
foreach (var r in RSI)
{
var rsi = new VariableIndicator()
{
TimeStamp = r.TimeStamp,
Value = r.RSI,
};
varRsi.Add(rsi);
}
var RSI_EMA = Factory_Indicator.createEMA(P.RSI_EMA, varRsi);
//slope OF RSI
var rsi_slope = Factory_Indicator.createRegression(P.RSI_Slope_period, varRsi);
//CREATE DICTIONARY
var DMI_UP_DIC = Dmi_Up_EMA.ToDictionary(x => x.TimeStamp, x => x.Ema);
var DMI_Down_DIC = Dmi_Down_EMA.ToDictionary(x => x.TimeStamp, x => x.Ema);
var RSI_DIC = RSI_EMA.ToDictionary(x => x.TimeStamp, x => x.Ema);
var RSI_SLOPE = rsi_slope.ToDictionary(x => x.TimeStamp, x => x.Slope);
// var sw = new StreamWriter(@"d:\Indicators.csv");
// sw.WriteLine("Trade" + "," + "Stamp" + "," + "PriceClose" + "," + "MAMA" + "," + "DI-UP" + "," + "DI-DOWN" + "," + "VOL" + "," + "RSI" + "," + "RSI SLOPE" + "," + "extra 3" + "," + "extra 4");
foreach (var r in adx_DMI)
{
double em = 0;
EM.TryGetValue(r.TimeStamp, out em);
double rs = 0;
RSI_DIC.TryGetValue(r.TimeStamp, out rs);
double rsslope = 0;
RSI_SLOPE.TryGetValue(r.TimeStamp, out rsslope);
int vol = 0;
volume.TryGetValue(r.TimeStamp, out vol);
double DI_up = 0;
DMI_UP_DIC.TryGetValue(r.TimeStamp, out DI_up);
double DI_Down = 0;
DMI_Down_DIC.TryGetValue(r.TimeStamp, out DI_Down);
Trade.Trigger Trig;
trigger.TryGetValue(r.TimeStamp, out Trig);
var topband = DI_up;
var midband = em;
var lowband = DI_Down;
var b1 = rs;
var adjVol = (vol == null) ? 0 : vol;
var b2 = rsslope;;
var b3 = 0;
var b4 = 0;
var trade = Trig;
var i = new IndicatorBasket()
{
Action = trade,
Timestamp = r.TimeStamp,
DI_DOWN = DI_Down,
DI_UP = DI_up,
Mama = em,
RSI = rs,
RSI_SLOPE = rsslope,
Price = r.Price_Close,
Volume = adjVol,
};
Indicators.Add(i);
// sw.WriteLine(trade + "," + r.TimeStamp + "," + r.Price_Close + "," + midband + "," + topband + "," + lowband + "," + adjVol + "," + b1 + "," + b2 + "," + b3 + "," + b4);
}
// sw.Close();
return(Indicators);
}
public static List<IndicatorBasket> CalcIndicators()
{
// Console.WriteLine("Calculating Indicators...");
var Indicators = new List<IndicatorBasket>();
//Base Level Calcs
var ohlc = Trades.Select(z => z.OHLC);
var OHLC_LIST = ohlc.ToList();
var volume = Trades.ToDictionary(x => x.TimeStamp, x => x.TradeVolume);
var trigger = Trades.ToDictionary(x => x.TimeStamp, x => x.TradeTrigger);
var EM = AlsiUtils.Factory_Indicator.createAdaptiveMA_MAMA(P.Mamapar1, P.Mamapar2, OHLC_LIST).ToDictionary(x => x.TimeStamp, x => x.Mama);
var adx_DMI = AlsiUtils.Factory_Indicator.createADX(P.ADX_period, OHLC_LIST);
var RSI = AlsiUtils.Factory_Indicator.createRSI(P.RSI_period, OHLC_LIST);
//Second Level Clacs
//EMA OF DMI+ and DMI-
List<VariableIndicator> varDmiUP = new List<VariableIndicator>();
List<VariableIndicator> varDmiDOWN = new List<VariableIndicator>();
foreach (var f in adx_DMI)
{
var vdown = new VariableIndicator()
{
TimeStamp = f.TimeStamp,
Value = f.DI_Down,
};
var vup = new VariableIndicator()
{
TimeStamp = f.TimeStamp,
Value = f.DI_Up,
};
varDmiUP.Add(vup);
varDmiDOWN.Add(vdown);
}
var Dmi_Up_EMA = Factory_Indicator.createEMA(P.Di_UP_avg_period, varDmiUP);
var Dmi_Down_EMA = Factory_Indicator.createEMA(P.Di_DOWN_avg_period, varDmiDOWN);
//EMA OF RSI
List<VariableIndicator> varRsi = new List<VariableIndicator>();
foreach (var r in RSI)
{
var rsi = new VariableIndicator()
{
TimeStamp = r.TimeStamp,
Value = r.RSI,
};
varRsi.Add(rsi);
}
var RSI_EMA = Factory_Indicator.createEMA(P.RSI_EMA, varRsi);
//slope OF RSI
var rsi_slope = Factory_Indicator.createRegression(P.RSI_Slope_period, varRsi);
//CREATE DICTIONARY
var DMI_UP_DIC = Dmi_Up_EMA.ToDictionary(x => x.TimeStamp, x => x.Ema);
var DMI_Down_DIC = Dmi_Down_EMA.ToDictionary(x => x.TimeStamp, x => x.Ema);
var RSI_DIC = RSI_EMA.ToDictionary(x => x.TimeStamp, x => x.Ema);
var RSI_SLOPE = rsi_slope.ToDictionary(x => x.TimeStamp, x => x.Slope);
// var sw = new StreamWriter(@"d:\Indicators.csv");
// sw.WriteLine("Trade" + "," + "Stamp" + "," + "PriceClose" + "," + "MAMA" + "," + "DI-UP" + "," + "DI-DOWN" + "," + "VOL" + "," + "RSI" + "," + "RSI SLOPE" + "," + "extra 3" + "," + "extra 4");
foreach (var r in adx_DMI)
{
double em = 0;
EM.TryGetValue(r.TimeStamp, out em);
double rs = 0;
RSI_DIC.TryGetValue(r.TimeStamp, out rs);
double rsslope = 0;
RSI_SLOPE.TryGetValue(r.TimeStamp, out rsslope);
int vol = 0;
volume.TryGetValue(r.TimeStamp, out vol);
double DI_up = 0;
DMI_UP_DIC.TryGetValue(r.TimeStamp, out DI_up);
double DI_Down = 0;
DMI_Down_DIC.TryGetValue(r.TimeStamp, out DI_Down);
Trade.Trigger Trig;
trigger.TryGetValue(r.TimeStamp, out Trig);
var topband = DI_up;
var midband = em;
var lowband = DI_Down;
var b1 = rs;
var adjVol = (vol == null) ? 0 : vol;
var b2 = rsslope; ;
var b3 = 0;
var b4 = 0;
var trade = Trig;
var i = new IndicatorBasket()
{
Action = trade,
Timestamp = r.TimeStamp,
DI_DOWN = DI_Down,
DI_UP = DI_up,
Mama = em,
RSI = rs,
RSI_SLOPE = rsslope,
Price = r.Price_Close,
Volume = adjVol,
};
Indicators.Add(i);
// sw.WriteLine(trade + "," + r.TimeStamp + "," + r.Price_Close + "," + midband + "," + topband + "," + lowband + "," + adjVol + "," + b1 + "," + b2 + "," + b3 + "," + b4);
}
// sw.Close();
return Indicators;
}
