private void RWTAddExtDat(DateTime tm, double close, long volume)
{
curdat = new rwt.ExtendedData(tm, curdat);
extdat.Add(curdat);
if (volume > 0)
{
RWTUpdateCurdat(close, volume);
}
}
/// <summary>
/// </summary>
public RichDelta()
: base(PeriodType.Custom5)
{
extdat = new List <rwt.ExtendedData>();
uptick = true;
prevClose = 0;
curdat = null;
prices = new double[2];
lastMoveUp = false;
tickSize = 0;
}
/// <summary>
/// </summary>
public VolDensType()
: base(PeriodType.Custom7)
{
uptick = true;
prevClose = -1;
curdat = null;
extdat = new List <rwt.ExtendedData>();
prices = new double[2];
lastMoveUp = false;
tickSize = 0;
}
/// <summary>
/// </summary>
public RichMinute()
: base(PeriodType.Custom6)
{
extdat = new List <rwt.ExtendedData>();
uptick = true;
prevClose = 0;
curdat = null;
prices = new double[2];
lastMoveUp = false;
tickSize = 0;
tlb = DateTime.Now;
}
private void addExtendedData(rwt.ExtendedData ed, double highPrice, double lowPrice)
{
long put, pdt;
for (double p = highPrice; p >= lowPrice; p -= TickSize)
{
ed.getUpDnTicksAtPrice(TickSize, p, out put, out pdt);
var idx = vprofIndex(p);
//Print("Added extradata... "+(put+pdt)+" at price "+p+" idx "+idx); // DEBUG
vprofile[idx] += (put + pdt);
}
}
/// <summary>
/// </summary>
/// <param name="bars"></param>
/// <param name="open"></param>
/// <param name="high"></param>
/// <param name="low"></param>
/// <param name="close"></param>
/// <param name="time"></param>
/// <param name="volume"></param>
/// <param name="isRealtime"></param>
public override void Add(Bars bars, double open, double high, double low, double close, DateTime time, long volume, bool isRealtime)
{
if ((curdat == null) || (time < curdat.dt))
{
extdat.Clear();
extdat.TrimExcess();
curdat = null;
tickSize = bars.Instrument.MasterInstrument.TickSize;
}
if (bars.Count == 0)
{
AddBar(bars, open, high, low, close, time.Date, volume, isRealtime);
RWTAddExtDat(time, close, volume);
}
else
{
if (curdat == null)
{
RWTAddExtDat(time, close, 0);
}
Bar bar = (Bar)bars.Get(bars.Count - 1);
double tall = 1 + ((bar.High - bar.Low) / bars.Instrument.MasterInstrument.TickSize);
double denom = tall;
if (tall < 2)
{
denom += 99999;
}
if (tall > 10)
{
denom -= ((tall - 10) / 2.0);
}
if (tall > 20)
{
denom -= ((tall - 20) / 3.0);
}
if (((double)(bar.Volume + volume)) / denom >= ((double)(bars.Period.Value)))
{
AddBar(bars, close, close, close, close, time, volume, isRealtime);
RWTAddExtDat(time, close, volume);
}
else
{
UpdateBar(bars, open, high, low, close, time, volume, isRealtime);
curdat.dt = time;
RWTUpdateCurdat(close, volume);
}
}
bars.LastPrice = close;
prevClose = close;
}
/// <summary>
/// </summary>
public RichRange()
: base(PeriodType.Final4)
{
extdat = new List <rwt.ExtendedData>();
uptick = true;
prevClose = 0;
curdat = null;
prices = new double[2];
lastMoveUp = false;
tickSize = 0;
lastBarUP = true;
lastBarTime = DateTime.Now;
}
/// <summary>
/// </summary>
/// <param name="bars"></param>
/// <param name="open"></param>
/// <param name="high"></param>
/// <param name="low"></param>
/// <param name="close"></param>
/// <param name="time"></param>
/// <param name="volume"></param>
/// <param name="isRealtime"></param>
public override void Add(Data.Bars bars, double open, double high, double low, double close, DateTime time, long volume, bool isRealtime)
{
if ((curdat == null) || (time < curdat.dt))
{
extdat.Clear();
extdat.TrimExcess();
curdat = null;
tickSize = bars.Instrument.MasterInstrument.TickSize;
}
if (bars.Count == 0)
{
while (volume > 0)
{
AddBar(bars, open, high, low, close, time, Math.Min(bars.Period.Value, volume), isRealtime);
RWTAddExtDat(time, close, Math.Min(bars.Period.Value, volume));
volume -= bars.Period.Value;
}
}
else
{
long volTemp = 0;
if (!bars.IsNewSession(time, isRealtime))
{
volTemp = Math.Min(bars.Period.Value - bars.GetVolume(bars.Count - 1), volume);
if (volTemp > 0)
{
UpdateBar(bars, open, high, low, close, time, volTemp, isRealtime);
if (curdat == null)
{
RWTAddExtDat(time, close, 0);
}
else
{
curdat.dt = time;
}
RWTUpdateCounts(close);
RWTUpdateCurdat(close, volTemp);
}
}
volTemp = volume - volTemp;
while (volTemp > 0)
{
AddBar(bars, open, high, low, close, time, Math.Min(bars.Period.Value, volTemp), isRealtime);
RWTAddExtDat(time, close, Math.Min(bars.Period.Value, volTemp));
volTemp -= bars.Period.Value;
}
}
prevClose = close;
}
/// <summary>
/// </summary>
public PointEauxType()
: base(PeriodType.Custom9)
{
extdat = new List <rwt.ExtendedData>();
uptick = true;
prevClose = 0;
curdat = null;
prices = new double[2];
lastMoveUp = false;
tickSize = 0;
lastBarUP = true;
lastBarTime = DateTime.Now;
tlb = false;
period = -1;
}
/// <summary>
/// </summary>
/// <param name="bars"></param>
/// <param name="open"></param>
/// <param name="high"></param>
/// <param name="low"></param>
/// <param name="close"></param>
/// <param name="time"></param>
/// <param name="volume"></param>
/// <param name="isRealtime"></param>
public override void Add(Data.Bars bars, double open, double high, double low, double close, DateTime time, long volume, bool isRealtime)
{
if ((curdat == null) || (time < curdat.dt))
{
extdat.Clear();
extdat.TrimExcess();
curdat = null;
tickSize = bars.Instrument.MasterInstrument.TickSize;
}
if (bars.Count == 0)
{
while (volume > 0)
{
AddBar(bars, open, high, low, close, time, Math.Min(volume, bars.Period.Value), isRealtime);
RWTAddExtDat(time, close, Math.Min(bars.Period.Value, volume));
volume -= bars.Period.Value;
}
}
else
{
if (!bars.IsNewSession(time, isRealtime))
{
if (curdat == null)
{
RWTAddExtDat(time, close, 0);
}
else
{
curdat.dt = time;
}
UpdateBar(bars, open, high, low, close, time, volume, isRealtime);
RWTUpdateCounts(close);
RWTUpdateCurdat(close, volume);
volume = 0;
}
while ((volume > 0) ||
(Math.Abs(curdat.dClose - curdat.dOpen) >= bars.Period.Value))
{
AddBar(bars, close, close, close, close, time, volume, isRealtime);
RWTAddExtDat(time, close, volume);
volume = 0;
}
}
prevClose = close;
}
/// <summary>
/// </summary>
/// <param name="bars"></param>
/// <param name="open"></param>
/// <param name="high"></param>
/// <param name="low"></param>
/// <param name="close"></param>
/// <param name="time"></param>
/// <param name="volume"></param>
/// <param name="isRealtime"></param>
public override void Add(Bars bars, double open, double high, double low, double close, DateTime time, long volume, bool isRealtime)
{
if ((curdat == null) || (time < curdat.dt))
{
extdat.Clear();
extdat.TrimExcess();
curdat = null;
tickSize = bars.Instrument.MasterInstrument.TickSize;
}
if (bars.Count == 0)
{
AddBar(bars, open, high, low, close, time, volume, isRealtime);
RWTAddExtDat(time, close, volume);
}
else
{
Data.Bar bar = (Bar)bars.Get(bars.Count - 1);
if (curdat == null)
{
RWTAddExtDat(time, close, 0);
}
curdat.dt = time;
if (upbar && ((curdat.dHigh - curdat.dClose) >= bars.Period.Value))
{
AddBar(bars, close, close, close, close, time, volume, isRealtime);
RWTAddExtDat(time, close, volume);
upbar = false;
}
else if (!upbar && ((curdat.dClose - curdat.dLow) >= bars.Period.Value))
{
AddBar(bars, close, close, close, close, time, volume, isRealtime);
RWTAddExtDat(time, close, volume);
upbar = true;
}
else
{
UpdateBar(bars, open, high, low, close, time, volume, isRealtime); // regular update...
RWTUpdateCounts(close);
RWTUpdateCurdat(close, volume);
}
}
bars.LastPrice = close;
// update the extended data...
prevClose = close;
}
/// <summary>
/// </summary>
/// <param name="bars"></param>
/// <param name="open"></param>
/// <param name="high"></param>
/// <param name="low"></param>
/// <param name="close"></param>
/// <param name="time"></param>
/// <param name="volume"></param>
/// <param name="isRealtime"></param>
public override void Add(Data.Bars bars, double open, double high, double low, double close, DateTime time, long volume, bool isRealtime)
{
if ((curdat == null) || (time < curdat.dt))
{
extdat.Clear();
extdat.TrimExcess();
curdat = null;
tickSize = bars.Instrument.MasterInstrument.TickSize;
tlb = time;
}
if (bars.Count == 0)
{
RWTAddExtDat(time, close, volume);
tlb = TimeToBarTime(bars, time, bars.Session.NextBeginTime, bars.Period.Value, isRealtime);
AddBar(bars, open, high, low, close, time, volume, isRealtime);
}
else
{
if (curdat == null)
{
RWTAddExtDat(time, close, 0);
}
curdat.dt = time;
if (time < tlb)
{
UpdateBar(bars, open, high, low, close, time, volume, isRealtime);
RWTUpdateCounts(close);
RWTUpdateCurdat(close, volume);
}
else
{
Bar bar = (Bar)bars.Get(bars.Count - 1);
UpdateBar(bars, bar.Open, bar.High, bar.Low, bar.Close, tlb, 0, isRealtime);
curdat.dt = tlb;
RWTAddExtDat(time, close, volume);
tlb = TimeToBarTime(bars, time, bars.Session.NextBeginTime, bars.Period.Value, isRealtime);
AddBar(bars, open, high, low, close, time, volume, isRealtime);
}
}
prevClose = close;
}
/// <summary>
/// </summary>
/// <param name="bars"></param>
/// <param name="open"></param>
/// <param name="high"></param>
/// <param name="low"></param>
/// <param name="close"></param>
/// <param name="time"></param>
/// <param name="volume"></param>
/// <param name="isRealtime"></param>
public override void Add(Data.Bars bars, double open, double high, double low, double close, DateTime time, long volume, bool isRealtime)
{
if ((curdat == null) || (time < curdat.dt))
{
extdat.Clear();
extdat.TrimExcess();
curdat = null;
tickSize = bars.Instrument.MasterInstrument.TickSize;
}
if (bars.Count == 0 || bars.IsNewSession(time, isRealtime))
{
AddBar(bars, open, high, low, close, time, volume, isRealtime);
lastBarTime = time;
RWTAddExtDat(time, close, volume);
}
else
{
Data.Bar bar = (Bar)bars.Get(bars.Count - 1);
//double tickSize = bars.Instrument.MasterInstrument.TickSize;
double rangeValue = Math.Floor(10000000.0 * (double)bars.Period.Value * tickSize) / 10000000.0;
if (curdat == null)
{
RWTAddExtDat(time, close, 0);
}
curdat.dt = time;
if ((bars.Instrument.MasterInstrument.Compare(close, bar.Low + rangeValue) > 0) &&
(lastBarUP || ((time.Ticks - lastBarTime.Ticks) > 10000000L)))
{
bool isFirstNewBar = true;
double newClose = bar.Low + rangeValue; // every bar closes either with high or low
UpdateBar(bars, bar.Open, newClose, bar.Low, newClose, time, 0, isRealtime);
curdat.addLevel(1);
// if still gap, fill with phantom bars
double newBarOpen = newClose + tickSize;
while (bars.Instrument.MasterInstrument.Compare(close, newClose) > 0)
{
newClose = Math.Min(close, newBarOpen + rangeValue);
AddBar(bars, newBarOpen, newClose, newBarOpen, newClose, time, isFirstNewBar ? volume : 1, isRealtime);
RWTAddExtDat(time, newClose, (isFirstNewBar?volume:0));
newBarOpen = newClose + tickSize;
isFirstNewBar = false;
}
prices[1] = newClose;
lastMoveUp = true;
lastBarUP = true;
lastBarTime = time;
}
else if ((bars.Instrument.MasterInstrument.Compare(bar.High - rangeValue, close) > 0) &&
((!lastBarUP) || ((time.Ticks - lastBarTime.Ticks) > 10000000L)))
{
bool isFirstNewBar = true;
double newClose = bar.High - rangeValue; // every bar closes either with high or low
UpdateBar(bars, bar.Open, bar.High, newClose, newClose, time, 0, isRealtime);
curdat.addLevel(-1);
// if still gap, fill with phantom bars
double newBarOpen = newClose - tickSize;
while (bars.Instrument.MasterInstrument.Compare(newClose, close) > 0)
{
newClose = Math.Max(close, newBarOpen - rangeValue);
AddBar(bars, newBarOpen, newBarOpen, newClose, newClose, time, isFirstNewBar ? volume : 1, isRealtime);
RWTAddExtDat(time, newClose, (isFirstNewBar?volume:0));
newBarOpen = newClose - tickSize;
isFirstNewBar = false;
}
prices[0] = newClose;
lastMoveUp = false;
lastBarUP = false;
lastBarTime = time;
}
else
{
UpdateBar(bars, open, (close > bar.High ? close : bar.High), (close < bar.Low ? close : bar.Low), close, time, volume, isRealtime);
RWTUpdateCounts(close);
RWTUpdateCurdat(close, volume);
}
}
bars.LastPrice = close;
// update the extended data...
prevClose = close;
}
/// <summary>
/// </summary>
/// <param name="bars"></param>
/// <param name="open"></param>
/// <param name="high"></param>
/// <param name="low"></param>
/// <param name="close"></param>
/// <param name="time"></param>
/// <param name="volume"></param>
/// <param name="isRealtime"></param>
public override void Add(Data.Bars bars, double open, double high, double low, double close, DateTime time, long volume, bool isRealtime)
{
if ((curdat == null) || (time < curdat.dt))
{
extdat.Clear();
extdat.TrimExcess();
curdat = null;
tickSize = bars.Instrument.MasterInstrument.TickSize;
if (bars.Period.Value > 100)
{
tlb = true;
period = bars.Period.Value - 100;
}
else
{
tlb = false;
period = bars.Period.Value;
}
}
if (bars.Count == 0 || bars.IsNewSession(time, isRealtime))
{
AddBar(bars, open, high, low, close, time, volume, isRealtime);
lastBarTime = time;
RWTAddExtDat(time, close, volume);
}
else
{
Data.Bar bar = (Bar)bars.Get(bars.Count - 1);
double rangeValue = Math.Floor(10000000.0 * period * tickSize) / 10000000.0;
if (curdat == null)
{
RWTAddExtDat(time, close, 0);
}
curdat.dt = time;
double reverseRange = rangeValue * (tlb?3.0:1.0);
if ((bars.Instrument.MasterInstrument.Compare(close, bar.Open + (lastBarUP?rangeValue:reverseRange)) > 0) &&
(lastBarUP || ((time.Ticks - lastBarTime.Ticks) > 10000000L)))
{
bool isFirstNewBar = true;
double newBarOpen = bar.Open + (lastBarUP?rangeValue:reverseRange);
double newClose = Math.Min(close, newBarOpen + rangeValue);
UpdateBar(bars, bar.Open, newBarOpen, bar.Low, newBarOpen, time, 0, isRealtime);
curdat.addLevel(1);
do
{
AddBar(bars, newBarOpen, newClose, newBarOpen, newClose, time, isFirstNewBar ? volume : 0, isRealtime);
RWTAddExtDat(time, newClose, (isFirstNewBar ? volume : 0));
if (bars.Instrument.MasterInstrument.Compare(close, newClose) == 0)
{
break;
}
newBarOpen = newClose;
newClose = Math.Min(close, newBarOpen + rangeValue);
isFirstNewBar = false;
}while (true);
prices[1] = newClose;
lastMoveUp = true;
lastBarUP = true;
lastBarTime = time;
}
else
if ((bars.Instrument.MasterInstrument.Compare(bar.Open - (lastBarUP?reverseRange:rangeValue), close) > 0) &&
((!lastBarUP) || ((time.Ticks - lastBarTime.Ticks) > 10000000L)))
{
bool isFirstNewBar = true;
double newBarOpen = bar.Open - (lastBarUP?reverseRange:rangeValue);
double newClose = Math.Max(close, newBarOpen - rangeValue);
UpdateBar(bars, bar.Open, bar.High, newBarOpen, newBarOpen, time, 0, isRealtime);
curdat.addLevel(-1);
do
{
AddBar(bars, newBarOpen, newBarOpen, newClose, newClose, time, isFirstNewBar ? volume : 0, isRealtime);
RWTAddExtDat(time, newClose, (isFirstNewBar ? volume : 0));
if (bars.Instrument.MasterInstrument.Compare(close, newClose) == 0)
{
break;
}
newBarOpen = newClose;
newClose = Math.Max(close, newBarOpen - rangeValue);
isFirstNewBar = false;
}while (true);
prices[0] = newClose;
lastMoveUp = false;
lastBarUP = false;
lastBarTime = time;
}
else
{
UpdateBar(bars, bar.Open, Math.Max(bar.High, close), Math.Min(bar.Low, close), close, time, volume, isRealtime);
RWTUpdateCounts(close);
RWTUpdateCurdat(close, volume);
}
}
bars.LastPrice = close;
// update the extended data...
prevClose = close;
}
