/// <summary>
/// Weighted Moving Average
/// </summary>
/// <returns>The wma.</returns>
/// <param name="candleSticks">Candle sticks.</param>
/// <param name="weight">Weight.</param>
/// <param name="priceSource">Price source.</param>
public static MovingAverage WMA(CandleStickCollection candleSticks, int weight = 14,
PriceSource priceSource = PriceSource.Close)
{
int count = candleSticks.Count;
double[] priceArray = priceSource.GetArrayFromCandleStickCollection(candleSticks);
double[] wma = new double[count];
double[] weights = new double[weight];
double sum = weight * (weight + 1) / 2;
for (int i = 0; i < weight; i++)
{
weights[i] = i / sum;
}
for (int i = weight - 1; i < count; i++)
{
for (int j = 0; j < weight; j++)
{
wma[i] = wma[i] + priceArray[j + i] * weight;
}
}
return(new MovingAverage(wma, MAType.WMA));
}
public static BollingerBands BollingerBands(CandleStickCollection candleSticks, int period = 14,
double multiplier = 2, PriceSource priceSource = PriceSource.Close)
{
BollingerBands bollingerBands = new BollingerBands(candleSticks, period, multiplier, priceSource);
return(bollingerBands);
}
/// <summary>
/// Relatives the index of the strength.
/// </summary>
/// <returns>The strength index.</returns>
/// <param name="candleSticks">Candle sticks.</param>
/// <param name="period">Period.</param>
public static RelativeStrengthIndex RelativeStrengthIndex(CandleStickCollection candleSticks, int period = 14,
PriceSource priceSource = PriceSource.Close)
{
int count = candleSticks.Count;
double[] priceArray = priceSource.GetArrayFromCandleStickCollection(candleSticks);
double[] rsi = new double[count];
double[] up = new double[count];
double[] down = new double[count];
double[] rs = new double[count];
for (int i = 1; i < count; i++)
{
if (priceArray[i] > priceArray[i - 1])
{
up[i] = priceArray[i] - priceArray[i - 1];
}
else
{
down[i] = priceArray[i - 1] - priceArray[i];
}
}
for (int i = period; i < count; i++)
{
rs[i] = MovingAverages.SMMA(up, period, i - period, period).MA[i] / MovingAverages.SMMA(down, period, i - period, period).MA[i];
rsi[i] = 100 - 1 / (1 + rs[i]);
}
return(new RelativeStrengthIndex(rsi));
}
public void SetUp()
{
source = new PriceSource {
RequestInterval = 180,
LastSuccessfulCheck = new DateTime(2011, 1, 14, 17, 55, 30)
};
}
/// <summary>
/// Smoothed Moving Average/Running Moving Average
/// </summary>
/// <returns>The smma.</returns>
/// <param name="candleSticks">Candle sticks.</param>
/// <param name="period">Period.</param>
/// <param name="priceSource">Price source.</param>
public static MovingAverage SMMA(CandleStickCollection candleSticks, int period = 14,
PriceSource priceSource = PriceSource.Close)
{
int count = candleSticks.Count;
double[] smma = new double[count];
double[] priceArray = priceSource.GetArrayFromCandleStickCollection(candleSticks);
double sum = priceArray[0];
//Iterate for first sum over period n
for (int i = 0; i < period - 1; i++)
{
sum = sum + priceArray[i];
}
// First n values are zero
smma[period - 1] = sum / period;
for (int i = period; i < count; i++)
{
// No need to iterate through every sum
sum = sum - priceArray[i - period] + priceArray[i];
smma[i] = (sum - smma[0] + priceArray[i]) / (double)period;
}
return(new MovingAverage(smma, MAType.SMMA));
}
/// <summary>
/// Simple Moving Average
/// </summary>
/// <returns>The SMA.</returns>
/// <param name="candleSticks">Candle stick data</param>
/// <param name="period">Time period (size of candlestick time inerval * period)</param>
/// <param name="priceSource">Price Source (enum: open, high, low, close)</param>
public static MovingAverage SMA(CandleStickCollection candleSticks, int period = 14,
PriceSource priceSource = PriceSource.Close)
{
int count = candleSticks.Count;
double[] priceArray = priceSource.GetArrayFromCandleStickCollection(candleSticks);
double[] sma = new double[count];
double sum = priceArray[0];
// Compute the first sum
for (int i = 1; i < period - 1; i++)
{
sum = sum + priceArray[i];
}
sma[period - 1] = sum / period;
for (int j = period; j < count - 1; j++)
{
// No more iterating required for the other sums
sum = sum - priceArray[j - period] + priceArray[j];
sma[j] = sum / period;
}
return(new MovingAverage(sma, MAType.SMA));
}
public override DataRow[] GetLikeSources(PriceSource source)
{
return(dtSources.Select(String.Format("({0} = '{1}') and ({2} = '{3}') and (ISNULL({4}, '') = '{5}') and (ISNULL({6}, '') = '{7}') and (ISNULL({8}, '') = '{9}')",
SourcesTableColumns.colPricePath, source.PricePath,
SourcesTableColumns.colPriceMask, source.PriceMask,
SourcesTableColumns.colFTPDir, source.FtpDir,
SourcesTableColumns.colFTPLogin, source.FtpLogin,
SourcesTableColumns.colFTPPassword, source.FtpPassword)));
}
public static MovingAverageConvergenceDivergence MACD(CandleStickCollection candleSticks, int fast = 12, int slow = 26, int length = 9,
PriceSource priceSource = PriceSource.Close)
{
MovingAverage fastMA = MovingAverages.EMA(candleSticks, fast, priceSource);
MovingAverage slowMA = MovingAverages.EMA(candleSticks, slow, priceSource);
double[] macd = SubtractArray(fastMA.MA, slowMA.MA);
return(new MovingAverageConvergenceDivergence(macd, length));
}
public PriceServiceHostFactory()
{
var priceSource = new PriceSource();
Log.Information("Started Generator");
_service = new PricingService(priceSource);
Log.Information("Started Service");
_cleanup.Add(priceSource);
}
public void TestCheckDownloadInterval_IfFailed()
{
var source = new PriceSource {
PriceDateTime = DateTime.Now,
RequestInterval = 10,
PriceItemId = 1,
};
handler.FailedSources.Add(source.PriceItemId);
Assert.IsTrue(handler.IsReadyForDownload(source));
}
public static IPriceImporter Create(PriceSource pricesource)
{
switch (pricesource)
{
case PriceSource.Scryfall:
return(new ScryfallPriceImporter());
default:
throw new PriceImporterException("Unknown PriceSource type:" + pricesource);
}
}
void IAuctionEventListener.CurrentPrice(int inPrice, int inIncrement, PriceSource inBidderSource)
{
switch (inBidderSource)
{
case PriceSource.FromSniper:
mListener.SniperWinning();
break;
case PriceSource.FromOtherBidder:
mAuction.Bid(inPrice + inIncrement);
mListener.SniperBidding();
break;
}
}
protected override void GetFileFromSource(PriceSource source)
{
try {
var file = FtpDownloader.GetFileFromSource(source, DownHandlerPath);
if (file != null)
{
CurrFileName = file.FileName;
CurrPriceDate = file.FileDate;
}
}
catch (Exception e) {
throw new FtpSourceHandlerException(e);
}
}
private async Task <JArray> GetJson()
{
var results = new List <JObject>();
foreach (var baseCcy in PriceSource.GetAllBaseCurrencies())
{
//We do multiple requests, one for each base ccy
var symbols = string.Join(',', PriceSource.GetAllQuoteCurrencies(baseCcy));
var queryParameters = $"?base={baseCcy}&symbols={symbols}";
var json = await _adapter.GetRequestJson(queryParameters);
results.Add(json);
}
return(new JArray(results));
}
public void CurrentPrice(int price, int increment, PriceSource priceSource)
{
switch(priceSource)
{
case PriceSource.FromSniper:
_snapshot = _snapshot.Winning(price);
break;
case PriceSource.FromOtherBidder:
int bid = price + increment;
_auction.Bid(bid);
_snapshot = _snapshot.Bidding(price, bid);
break;
}
NotifyChange();
}
public void CurrentPrice(int price, int increment, PriceSource priceSource)
{
switch (priceSource)
{
case PriceSource.FromSniper:
_snapshot = _snapshot.Winning(price);
break;
case PriceSource.FromOtherBidder:
int bid = price + increment;
_auction.Bid(bid);
_snapshot = _snapshot.Bidding(price, bid);
break;
}
NotifyChange();
}
/// <summary>
/// Cumulative Moving Average
/// </summary>
/// <returns>The CMA.</returns>
/// <param name="candleSticks">Candle sticks.</param>
/// <param name="priceSource">Price source.</param>
public static MovingAverage CMA(CandleStickCollection candleSticks,
PriceSource priceSource = PriceSource.Close)
{
int count = candleSticks.Count;
double[] cma = new double[count];
double[] priceArray = priceSource.GetArrayFromCandleStickCollection(candleSticks);
cma[0] = priceArray[0];
for (int i = 1; i < count; i++)
{
cma[i] = cma[i - 1] + (priceArray[i] - cma[i - 1]) / (double)i;
}
return(new MovingAverage(cma, MAType.CMA));
}
public void TestCheckDownloadInterval()
{
var source = new PriceSource {
PriceDateTime = DateTime.Now,
RequestInterval = 10
};
source.UpdateLastCheck();
Assert.IsFalse(handler.IsReadyForDownload(source));
source.RequestInterval = 0;
Assert.IsTrue(handler.IsReadyForDownload(source));
Thread.Sleep(5000);
source.PriceDateTime = DateTime.Now.Subtract(new TimeSpan(0, 1, 0));
source.RequestInterval = 4;
Assert.IsTrue(handler.IsReadyForDownload(source));
}
public BollingerBands(CandleStickCollection candleSticks, int period = 20,
double multiplier = 2, PriceSource priceSource = PriceSource.Close)
{
int length = candleSticks.Count - period;
double[] prices = priceSource.GetArrayFromCandleStickCollection(candleSticks);
StandardDeviation standardDeviation;
LowerBand = UpperBand = new double[length];
MiddleBand = MovingAverages.SMA(candleSticks, period, priceSource).MA;
for (int i = 0; i < length; i++)
{
standardDeviation = new StandardDeviation(prices.GetSegment(i, i + period), MiddleBand.GetSegment(i, i + period));
UpperBand[i] = MiddleBand[i] + multiplier * standardDeviation.Value;
LowerBand[i] = MiddleBand[i] - multiplier * standardDeviation.Value;
}
}
public static double[] GetArrayFromCandleStickCollection(this PriceSource p,
CandleStickCollection c)
{
int count = c.Count;
double[] priceArray = new double[count];
switch (p)
{
case PriceSource.Open:
for (int i = 0; i < count - 1; i++)
{
priceArray[i] = c[i].Open;
}
return(priceArray);
case PriceSource.High:
for (int i = 0; i < count - 1; i++)
{
priceArray[i] = c[i].High;
}
return(priceArray);
case PriceSource.Low:
for (int i = 0; i < count - 1; i++)
{
priceArray[i] = c[i].Low;
}
return(priceArray);
case PriceSource.Close:
for (int i = 0; i < count - 1; i++)
{
priceArray[i] = c[i].Close;
}
return(priceArray);
default:
Exception exception = new Exception("Invalid price source value");
throw (exception);
}
}
public static List <PriceSourceItem> GetPrice(Gpu gpu, PriceSource priceSource)
{
Guard.AgainstFalse <ArgumentNullException>(!string.IsNullOrWhiteSpace(gpu.Asin));
List <PriceSourceItem> priceSourceItems = new List <PriceSourceItem>();
AmazonEndpoint? amazonEndpoint = null;
if (priceSource != null)
{
WriteLine($"Getting Price From {priceSource?.Name ?? "NULL"} For GPU {gpu.Name}");
amazonEndpoint = PriceSourceTypeHelper.ToAmazonEndpoint(priceSource.PriceSourceType);
}
List <PriceSourceItem> result = Amazon.AmazonService.SearchItemLookupOperation(gpu.Asin, amazonEndpoint);
result.ForEach(p => p.PriceSourceId = priceSource.Id);
priceSourceItems.AddRange(result);
return(priceSourceItems);
}
/// <summary>
/// Exponential Moving Average
/// </summary>
/// <returns>The EMA.</returns>
/// <param name="candleSticks">Candle sticks.</param>
/// <param name="period">Period.</param>
/// <param name="priceSource">Price source.</param>
public static MovingAverage EMA(CandleStickCollection candleSticks, int period = 14,
PriceSource priceSource = PriceSource.Close)
{
int count = candleSticks.Count;
double[] ema = new double[count];
double w = 1 / period;
// Set intial value to first price value
ema[0] = priceSource.GetValueFromCandleStick(candleSticks[0]);
for (int i = 1; i < count; i++)
{
ema[i] = w * priceSource.GetValueFromCandleStick(candleSticks[i])
+ (1.0 - w) * ema[i - 1];
}
return(new MovingAverage(ema, MAType.EMA));
}
/// <summary>
/// Gets the selected price from a candle stick.
/// </summary>
/// <returns>The value from candle stick.</returns>
/// <param name="p">P.</param>
/// <param name="c">C.</param>
public static double GetValueFromCandleStick(this PriceSource p, CandleStick c)
{
switch (p)
{
case PriceSource.Open:
return(c.Open);
case PriceSource.High:
return(c.High);
case PriceSource.Low:
return(c.Low);
case PriceSource.Close:
return(c.Close);
default:
Exception exception = new Exception("Invalid price source value");
throw(exception);
}
}
public void CurrentPrice(int price, int increment, PriceSource priceSource)
{
switch (priceSource)
{
case PriceSource.FromSniper:
snapShot = snapShot.Winning(price);
break;
case PriceSource.FromOtherBidder:
int bid = price + increment;
if (item.AllowsBid(bid))
{
auction.Bid(bid);
snapShot = snapShot.Bidding(price, bid);
}
else
{
snapShot = snapShot.Losing(price);
}
break;
}
notifyChange();
}
public static DownloadedFile GetFileFromSource(PriceSource source, string downHandlerPath)
{
var ftpHost = source.PricePath;
if (ftpHost.StartsWith(@"ftp://", StringComparison.OrdinalIgnoreCase))
{
ftpHost = ftpHost.Substring(6);
}
if (ftpHost.EndsWith(@"/"))
{
ftpHost = ftpHost.Substring(0, ftpHost.Length - 1);
}
var pricePath = source.FtpDir;
if (!pricePath.StartsWith(@"/", StringComparison.OrdinalIgnoreCase))
{
pricePath = @"/" + pricePath;
}
var ftpFileName = String.Empty;
var downFileName = String.Empty;
var shortFileName = String.Empty;
var priceDateTime = source.PriceDateTime;
using (var ftpClient = new FTP_Client()) {
ftpClient.PassiveMode = true;
ftpClient.Connect(ftpHost, 21);
ftpClient.Authenticate(source.FtpLogin, source.FtpPassword);
ftpClient.SetCurrentDir(pricePath);
var dsEntries = ftpClient.GetList();
foreach (DataRow entry in dsEntries.Tables["DirInfo"].Rows)
{
if (Convert.ToBoolean(entry["IsDirectory"]))
{
continue;
}
shortFileName = entry["Name"].ToString();
var priceMaskIsMatched = PriceProcessor.FileHelper.CheckMask(shortFileName, source.PriceMask);
if (priceMaskIsMatched)
{
var fileLastWriteTime = Convert.ToDateTime(entry["Date"]);
#if DEBUG
priceDateTime = fileLastWriteTime;
ftpFileName = shortFileName;
#endif
if (((fileLastWriteTime.CompareTo(priceDateTime) > 0) &&
(DateTime.Now.Subtract(fileLastWriteTime).TotalMinutes > Settings.Default.FileDownloadInterval)) ||
((fileLastWriteTime.CompareTo(DateTime.Now) > 0) && (fileLastWriteTime.Subtract(priceDateTime).TotalMinutes > 0)))
{
priceDateTime = fileLastWriteTime;
ftpFileName = shortFileName;
}
}
}
if (String.IsNullOrEmpty(ftpFileName))
{
return(null);
}
downFileName = Path.Combine(downHandlerPath, ftpFileName);
using (var file = new FileStream(downFileName, FileMode.Create))
ftpClient.ReceiveFile(ftpFileName, file);
}
return(new DownloadedFile(downFileName, priceDateTime));
}
public AutoDownloadPriceViewModel(PriceSource priceSource)
: base("Download new price")
{
_priceImporter = PriceImporterFactory.Create(priceSource);
}
public PricingService(PriceSource source)
{
_source = source;
}
public void CurrentPrice(int price, int increment, PriceSource priceSource)
{
}
