public IndicatorWMA(IndicatorWMA indicator)
: base(indicator.Id, new List <MarketData> {
indicator.SignalStock
})
{
_subPeriodSeconds = indicator.Period;
_periodMilliSeconds = _subPeriodSeconds * 1000m;
_timeDecay = indicator.TimeDecay;
}
public IndicatorWMA(string id, MarketData mktData, int periodMinutes)
: base(id, new List <MarketData> {
mktData
})
{
_subPeriodSeconds = periodMinutes * 60;
_periodMilliSeconds = _subPeriodSeconds * 1000m;
if (Config.Settings.ContainsKey("TIME_DECAY_FACTOR"))
{
_timeDecay = new TimeDecayLinear(int.Parse(Config.Settings["TIME_DECAY_FACTOR"]), new TimeSpan(0, periodMinutes, 0));
}
else
{
_timeDecay = new TimeDecayNull(new TimeSpan(0, periodMinutes, 0));
}
}
protected virtual bool MobileAverage(ref Price curavg, DateTime startTime, DateTime updateTime)
{
bool started = false;
TimeDecay timeDecay = _timeDecay;
DateTime originTime = startTime;
DateTime startTimePrev = DateTime.MinValue;
IEnumerable <KeyValuePair <DateTime, Price> > generator = SignalStock.TimeSeries.ValueGenerator(startTime, updateTime, false);
KeyValuePair <DateTime, Price> beginPeriodValue = new KeyValuePair <DateTime, Price>();
decimal curTimeDecayWeight = 1m;
foreach (var endPeriodValue in generator)
{
if (!started)
{
started = true;
var diffTime = (int)(startTime - endPeriodValue.Key).TotalMilliseconds;
if (diffTime < 0)
{
return(false);
}
startTimePrev = endPeriodValue.Key;
beginPeriodValue = new KeyValuePair <DateTime, Price>(startTime, endPeriodValue.Value);
_timeDecay.Update(beginPeriodValue.Key, endPeriodValue.Key, updateTime);
continue;
}
curTimeDecayWeight = _timeDecay.Update(beginPeriodValue.Key, endPeriodValue.Key, updateTime);
curavg += beginPeriodValue.Value * curTimeDecayWeight;
beginPeriodValue = endPeriodValue;
}
if (beginPeriodValue.Value != null && beginPeriodValue.Key != updateTime)
{
curavg += beginPeriodValue.Value * curTimeDecayWeight;
}
return(true);
/*
* bool started = false;
* DateTime startTimePrev = DateTime.MinValue;
* IEnumerable<KeyValuePair<DateTime, Price>> generator = MarketData.TimeSeries.ValueGenerator(startTime, updateTime);
* KeyValuePair<DateTime, Price> beginPeriodValue = new KeyValuePair<DateTime, Price>();
* var tmp = new StreamWriter(File.OpenWrite(string.Format("tmp_{0}_{1}.csv", updateTime.Minute, updateTime.Second)));
* decimal curTimeDecayWeight = 1m;
* if (!incremental)
* {
* foreach (var endPeriodValue in generator)
* {
* if (!started)
* {
* started = true;
* var diffTime = (int)(startTime - endPeriodValue.Key).TotalMilliseconds;
* if (!acceptMissingValues && diffTime < 0)
* {
* tmp.Close();
* return false;
* }
* startTimePrev = endPeriodValue.Key;
* beginPeriodValue = new KeyValuePair<DateTime, Price>(startTime, endPeriodValue.Value);
* _timeDecay.Update(beginPeriodValue.Key, endPeriodValue.Key, updateTime);
* continue;
* }
* curTimeDecayWeight = _timeDecay.Update(beginPeriodValue.Key, endPeriodValue.Key, updateTime);
* tmp.WriteLine(string.Format("{0},{1}", beginPeriodValue.Value.Bid, curTimeDecayWeight));
*
* curavg += beginPeriodValue.Value * curTimeDecayWeight;
* beginPeriodValue = endPeriodValue;
* }
* if (beginPeriodValue.Value != null && beginPeriodValue.Key != updateTime)
* curavg += beginPeriodValue.Value * curTimeDecayWeight;
* }
* else
* {
* IEnumerable<KeyValuePair<DateTime, Price>> generatorTimeDecay = _timeDecay.TimeDecaySeries.ValueGenerator(startTime, updateTime);
* foreach (var endPeriodValue in Zip(generator, generatorTimeDecay))
* {
* if (!started)
* {
* started = true;
* var diffTime = (int)(startTime - endPeriodValue.Key.Key).TotalMilliseconds;
* if (!acceptMissingValues && diffTime < 0)
* {
* tmp.Close();
* return false;
* }
* startTimePrev = endPeriodValue.Key.Key;
* beginPeriodValue = new KeyValuePair<DateTime, Price>(startTime, endPeriodValue.Key.Value);
* continue;
* }
* else if (endPeriodValue.Key.Key == default(DateTime))
* break;
* if (incremental)
* curTimeDecayWeight = _timeDecay.Update(beginPeriodValue.Key, endPeriodValue.Key.Key, updateTime);
* else
* curTimeDecayWeight = endPeriodValue.Value.Value.Bid;
* tmp.WriteLine(string.Format("{0},{1}", beginPeriodValue.Value.Bid, curTimeDecayWeight));
*
* curavg += beginPeriodValue.Value * curTimeDecayWeight;
* weight += curTimeDecayWeight;
* beginPeriodValue = endPeriodValue.Key;
* }
* if (beginPeriodValue.Value != null && beginPeriodValue.Key != updateTime)
* {
* curavg += beginPeriodValue.Value * _timeDecay.Update(beginPeriodValue.Key, updateTime, updateTime);
* weight += curTimeDecayWeight;
* }
* }
* tmp.Close();
* return true;*/
}
