public PairOfVolts(VoltForGrid peak, VoltForGrid valley)
{
Peak = peak;
Valley = valley;
}
public static List <Volt> FindMaximasPeakAndValley(
IEnumerable <Rate> ticks, int voltageCMA, bool saveVoltsToFile, ref VoltForGrid PeakVolt, ref VoltForGrid ValleyVolt)
{
var time = DateTime.Now;
var tickTimeFirst = ticks.Min(t => t.StartDate);
List <Volt> voltagesByTick = GetVoltageByTick(ticks, voltageCMA);
var peakVolts = (from v2 in voltagesByTick
join v1 in voltagesByTick on v2.Index equals v1.Index + voltageCMA
join v3 in voltagesByTick on v2.Index equals v3.Index - voltageCMA
where v1.PriceAvg <= v2.PriceAvg && v2.PriceAvg >= v3.PriceAvg
select v1).ToArray();
var valleyVolts = (from v2 in voltagesByTick
join v1 in voltagesByTick on v2.Index equals v1.Index + voltageCMA
join v3 in voltagesByTick on v2.Index equals v3.Index - voltageCMA
where v1.PriceAvg >= v2.PriceAvg && v2.PriceAvg <= v3.PriceAvg
select v1).ToArray();
var pairOfVolts = new List <PairOfVolts>();
var coeffs = ticks.Select(t => t.PriceAvg).Reverse().ToArray().Regress(1);
double a = coeffs[1];
DateTime dateMin = ticks.Min(t => t.StartDate), dateMax = ticks.Max(t => t.StartDate);
var borderDate = dateMin.AddSeconds((dateMax - dateMin).TotalSeconds / 2);
var peakLambda = new Func <Volt, bool>(
(t) => a > 0 ? t.StartDate > borderDate : t.StartDate < borderDate);
var valleyLambda = new Func <Volt, bool>(
(t) => a <0 ? t.StartDate> borderDate: t.StartDate < borderDate);
{
var voltPeak = voltagesByTick.Where(peakLambda).Where(rd => rd.PriceAvg > rd.PriceAvgAvg).OrderBy(rd => rd.VoltsCMA).LastOrDefault();
if (voltPeak != null)
{
var voltValley = voltagesByTick.Where(valleyLambda).Where(rd => rd.PriceAvg < rd.PriceAvgAvg).OrderBy(rd => rd.VoltsCMA).LastOrDefault();
if (voltValley != null)
{
pairOfVolts.Add(new PairOfVolts(
new VoltForGrid(voltPeak.StartDate, voltPeak.VoltsCMA, voltPeak.AskMax, voltPeak.BidMax, voltPeak.PriceAvg1),
new VoltForGrid(voltValley.StartDate, voltValley.VoltsCMA, voltValley.AskMin, voltValley.BidMin, voltValley.PriceAvg1)
));
}
}
}
#region peak Up/Down
if (false)
{
var peakDown = voltagesByTick.Where(t => t.StartDate < borderDate).Where(rd => rd.PriceAvg > rd.PriceAvgAvg).OrderBy(rd => rd.VoltsCMA).Last();
var valleyDown = voltagesByTick.Where(t => t.StartDate > borderDate).Where(rd => rd.PriceAvg < rd.PriceAvgAvg).OrderBy(rd => rd.VoltsCMA).Last();
var peakUp = voltagesByTick.Where(t => t.StartDate > borderDate).Where(rd => rd.PriceAvg > rd.PriceAvgAvg).OrderBy(rd => rd.VoltsCMA).Last();
var valleyUp = voltagesByTick.Where(t => t.StartDate < borderDate).Where(rd => rd.PriceAvg < rd.PriceAvgAvg).OrderBy(rd => rd.VoltsCMA).Last();
}
#endregion
if (valleyVolts.Count() > 0 && peakVolts.Count() > 0)
{
{
var voltsAvg = voltagesByTick.Average(v => v.VoltsCMA);
var voltsMax = voltagesByTick.Max(v => v.VoltsCMA);
var voltsMin = voltagesByTick.Min(v => v.VoltsCMA);
var voltsTreashold = voltsAvg + (voltsMax - voltsMin) / 4;
{
var peakDown = peakVolts.Where(t => t.StartDate <borderDate && t.VoltsCMA> voltsTreashold).OrderBy(rd => rd.PriceAvg).LastOrDefault();
var valleyDown = valleyVolts.Where(t => t.StartDate > borderDate && t.VoltsCMA > voltsTreashold).OrderBy(rd => rd.PriceAvg).FirstOrDefault();
var peakUp = peakVolts.Where(t => t.StartDate > borderDate && t.VoltsCMA > voltsTreashold).OrderBy(rd => rd.PriceAvg).LastOrDefault();
var valleyUp = valleyVolts.Where(t => t.StartDate <borderDate && t.VoltsCMA> voltsTreashold).OrderBy(rd => rd.PriceAvg).FirstOrDefault();
if (peakDown != null && peakUp != null && valleyDown != null && valleyUp != null)
{
if (peakDown.PriceAvg - valleyDown.PriceAvg > peakUp.PriceAvg - valleyUp.PriceAvg)
{
pairOfVolts.Add(new PairOfVolts(
new VoltForGrid(peakDown.StartDate, peakDown.VoltsCMA, peakDown.AskMax, peakDown.BidMax, peakDown.PriceAvg1),
new VoltForGrid(valleyDown.StartDate, valleyDown.VoltsCMA, valleyDown.AskMin, valleyDown.BidMin, valleyDown.PriceAvg1))
);
}
else
{
pairOfVolts.Add(new PairOfVolts(
new VoltForGrid(peakUp.StartDate, peakUp.VoltsCMA, peakUp.AskMax, peakUp.BidMax, peakUp.PriceAvg1),
new VoltForGrid(valleyUp.StartDate, valleyUp.VoltsCMA, valleyUp.AskMin, valleyUp.BidMin, valleyUp.PriceAvg1))
);
}
}
}
{
var peakDown = peakVolts.Where(t => t.StartDate < borderDate).OrderBy(rd => rd.VoltsCMA).LastOrDefault() ?? new Volt();
var valleyDown = valleyVolts.Where(t => t.StartDate > borderDate).OrderBy(rd => rd.VoltsCMA).LastOrDefault() ?? new Volt();
var peakUp = peakVolts.Where(t => t.StartDate > borderDate).OrderBy(rd => rd.VoltsCMA).LastOrDefault() ?? new Volt();
var valleyUp = valleyVolts.Where(t => t.StartDate < borderDate).OrderBy(rd => rd.VoltsCMA).LastOrDefault() ?? new Volt();
if (peakDown.PriceAvg - valleyDown.PriceAvg > peakUp.PriceAvg - valleyUp.PriceAvg)
{
pairOfVolts.Add(new PairOfVolts(
new VoltForGrid(peakDown.StartDate, peakDown.VoltsCMA, peakDown.AskMax, peakDown.BidMax, peakDown.PriceAvg1),
new VoltForGrid(valleyDown.StartDate, valleyDown.VoltsCMA, valleyDown.AskMin, valleyDown.BidMin, valleyDown.PriceAvg1))
);
}
else
{
pairOfVolts.Add(new PairOfVolts(
new VoltForGrid(peakUp.StartDate, peakUp.VoltsCMA, peakUp.AskMax, peakUp.BidMax, peakUp.PriceAvg1),
new VoltForGrid(valleyUp.StartDate, valleyUp.VoltsCMA, valleyUp.AskMin, valleyUp.BidMin, valleyUp.PriceAvg1))
);
}
}
}
}
if (pairOfVolts.Count > 1)
{
var cross = (from p in pairOfVolts.Select(pv => pv.Peak)
from v in pairOfVolts.Select(pv => pv.Valley)
select new { Peak = p, Valley = v, Spread = p.Average - v.Average }
).OrderBy(pv => pv.Spread).Last();
PeakVolt = cross.Peak;
ValleyVolt = cross.Valley;
}
else
{
var pair = pairOfVolts.Where(p => p.Spread > 0).OrderBy(p => p.Spread).LastOrDefault();
if (pair != null)
{
PeakVolt = pair.Peak;
ValleyVolt = pair.Valley;
}
}
return(voltagesByTick);
}