public override double HandleNextTick(Tick t)
{
double ATR = double.NaN;
if (prevTick != null)
{
double m1 = t.BidHigh - t.BidLow;
double m2 = Math.Abs(t.BidHigh - prevTick.BidClose);
double m3 = Math.Abs(t.BidLow - prevTick.BidClose);
double TR = Math.Max(m1, Math.Max(m2, m3));
TrueRange.Enqueue(TR);
}
else
{
TrueRange.Enqueue(t.BidHigh - t.BidLow);
}
counter++;
if (counter.Equals(Period))
{
ATR = TrueRange.ToArray().Average();
}
else if(counter > Period)
{
ATR = (this[0]*(Period - 1) + TrueRange.ToArray()[Period-1])/Period;
}
indicatorData.Enqueue(ATR);
prevTick = t;
return ATR;
}
public override double HandleNextTick(Tick t)
{
SMAHi.HandleNextTick(t.BidHigh);
SMALow.HandleNextTick(t.BidLow);
return SMALow[0];
}
public override double HandleNextTick(Tick t)
{
PFE.HandleNextTick(t);
FI.HandleNextTick(t);
RWI.HandleNextTick(t);
AC.HandleNextTick(t);
double value = 0;
if (AC[0] > 0)
value++;
else if (AC[0] < 0)
value--;
if (PFE[0] > 0)
value++;
else if (PFE[0] < 0)
value--;
if (RWI.SubIndicators["RWHI"][0] > 1 && RWI.SubIndicators["RWHI"][0] > RWI.SubIndicators["RWLO"][0])
value++;
if (RWI.SubIndicators["RWLO"][0] > 1 && RWI.SubIndicators["RWLO"][0] > RWI.SubIndicators["RWHI"][0])
value--;
indicatorData.Enqueue(value);
return value;
}
public override double HandleNextTick(Tick currentTick)
{
double value = double.NaN;
if (previousTick != null)
{
if (currentTick.BidClose < previousTick.BidClose)
{
DOWN.Enqueue(previousTick.BidClose - currentTick.BidClose);
UP.Enqueue(0);
}
else if (currentTick.BidClose > previousTick.BidClose)
{
DOWN.Enqueue(0);
UP.Enqueue(currentTick.BidClose - previousTick.BidClose);
}
}
if (DOWN.Count.Equals(DOWN.Capacity))
{
AVGUP = UP.ToArray().Average();
AVGDOWN = DOWN.ToArray().Average();
}
value = 100 - 100 / (1 + AVGUP / AVGDOWN);
previousTick = currentTick;
indicatorData.Enqueue(value);
return value;
}
public override double HandleNextTick(Tick t)
{
Tick hTick = null;
if (HACandle.Count.Equals(0))
{
hTick = t;
}
if (prevTick != null)
{
double HABidClose = (t.BidOpen + t.BidHigh + t.BidLow + t.BidClose) / 4;
double HAAskClose = (t.AskOpen + t.AskHigh + t.AskLow + t.AskClose) / 4;
double HABidOpen = (prevTick.BidOpen + prevTick.BidClose) / 2;
double HAAskOpen = (prevTick.AskOpen + prevTick.AskClose) / 2;
double HABidHigh = Math.Max(t.BidHigh, Math.Max(HABidOpen, HABidClose));
double HAAskHigh = Math.Max(t.AskHigh, Math.Max(HAAskOpen, HAAskClose));
double HABidLow = Math.Min(t.BidLow, Math.Min(HABidOpen, HABidClose));
double HAAskLow = Math.Min(t.AskLow, Math.Min(HAAskOpen, HAAskClose));
hTick = new Tick(
t.CurrentBid, HABidOpen, HABidHigh, HABidLow, HABidClose,
t.CurrentAsk, HAAskOpen, HAAskHigh, HAAskLow, HAAskClose,
t.Volume, t.Time
);
}
HACandle.Enqueue(hTick);
prevTick = hTick;
return hTick.BidClose;
}
public override void HandleNextTick(Tick t)
{
double emaVal = EMA.HandleNextTick(t);
LRValues.Enqueue(emaVal);
double[] Y = LRValues.ToArray();
double stdErr = 0;
if (Y.Count() == X.Length)
{
Vector x_data = new Vector(X);
Vector y_data = new Vector(LRValues.ToArray());
var poly = new PolynomialRegression(x_data, y_data, 2);
for (int i = 0; i < Period; i++)
{
double x = (i);
double y = poly.Fit(x);
stdErr += Math.Pow(LRValues.ToArray()[i] - y, 2);
}
stdErr = Math.Sqrt(stdErr);
}
HighData.Enqueue(EMA[0]+STDEV * stdErr);
MiddleData.Enqueue(EMA[0]);
LowData.Enqueue(EMA[0] - STDEV * stdErr);
}
public override void HandleNextTick(Tick t)
{
MiddleData.Enqueue(MIDDLE.HandleNextTick(t));
var stdev = MIDDLE.ToArray().StandardDeviation();
HighData.Enqueue(MIDDLE[0] + stdev * 2);
LowData.Enqueue(MIDDLE[0] - stdev * 2);
}
public override double HandleNextTick(Tick t)
{
BB.HandleNextTick(t);
WILLR.HandleNextTick(t);
UO.HandleNextTick(t);
double value = 0;
if (t.BidClose > BB.HI(0))
value--;
else if (t.BidClose < BB.LOW(0))
value++;
if (WILLR[0] > -20)
value--;
else if (WILLR[0] < -80)
value++;
if (UO[0] > 70)
value--;
else if (UO[0] < 30)
value++;
indicatorData.Enqueue(value);
return value;
}
public override double HandleNextTick(Tick t)
{
double value = double.NaN;
double a1 = BP1.ToArray().Sum() / TR1.ToArray().Sum();
double a2 = BP2.ToArray().Sum() / TR2.ToArray().Sum();
double a3 = BP3.ToArray().Sum() / TR3.ToArray().Sum();
if (BP3.Count == BP3.Capacity)
{
value = 100*((4*a1) + (2*a2) + a3)/(4 + 2 + 1);
}
if (prevTick != null)
{
double TR = Math.Max(t.BidHigh, prevTick.BidClose) - Math.Min(t.BidLow, prevTick.BidClose);
double BP = t.BidClose - Math.Min(t.BidLow, prevTick.BidClose);
BP1.Enqueue(BP);
BP2.Enqueue(BP);
BP3.Enqueue(BP);
TR1.Enqueue(TR);
TR2.Enqueue(TR);
TR3.Enqueue(TR);
}
prevTick = t;
indicatorData.Enqueue(value);
return value;
}
public MarketOrder(Tick t, Position.PositionSide side, double orderSize)
{
Symbol = t.Symbol;
Side = side;
Price = (side.Equals(Position.PositionSide.Long)) ? t.AskClose : t.BidClose;
Size = orderSize;
OrderDate = t.Time;
}
public bool IncreasePosition(Tick t, double size)
{
if (ExistsPositionForSymbol(t.Symbol))
{
_positions[t.Symbol].IncreasePosition(t, size);
return true;
}
return false;
}
public override double HandleNextTick(Tick t)
{
returnsData.Enqueue((t.BidClose-prevTick)/prevTick);
double value = returnsData.ToArray().StandardDeviation();
indicatorData.Enqueue(value);
prevTick = t.BidClose;
return value;
}
public double ClosePosition(Tick t, double price)
{
CloseDate = t.Time;
if (Side.Equals(PositionSide.Long))
return Size * (price - PositionPrice);
else
return Size * (PositionPrice - price);
}
public override double HandleNextTick(Tick t)
{
double value = double.NaN;
double aonext = AO.HandleNextTick(t);
double smanext = SMA.HandleNextTick(aonext);
value = aonext - smanext;
indicatorData.Enqueue(value);
return value;
}
public bool ReducePosition(Tick t, double size)
{
if (ExistsPositionForSymbol(t.Symbol))
{
double changeInBalance = _positions[t.Symbol].ReducePosition(t, size);
AdjustPortfolioBalance(changeInBalance);
return true;
}
return false;
}
public UltimateOscillator(int p1 = 7, int p2 = 14, int p3 = 28):base(p3)
{
prevTick = null;
BP1 = new MovingQueue<double>(p1);
TR1 = new MovingQueue<double>(p1);
BP2 = new MovingQueue<double>(p2);
TR2 = new MovingQueue<double>(p2);
BP3 = new MovingQueue<double>(p3);
TR3 = new MovingQueue<double>(p3);
}
//Balance is update when positions are closed
public double ClosePosition(Tick t, double price)
{
if (ExistsPositionForSymbol(t.Symbol))
{
double changeInBalance = _positions[t.Symbol].ClosePosition(t, price);
_positions.Remove(t.Symbol);
AdjustPortfolioBalance(changeInBalance);
return changeInBalance;
}
return 0;
}
public override double HandleNextTick(Tick t)
{
double ema1 = EMA1.HandleNextTick(t);
double ema2 = EMA2.HandleNextTick(ema1);
double ema3 = EMA3.HandleNextTick(ema2);
double value = 100 * (ema3 - EMA3[1]) / ema3;
indicatorData.Enqueue(value);
return value;
}
public override double HandleNextTick(Tick t)
{
double value = double.NaN;
value = SMA1[0] - SMA2[0];
indicatorData.Enqueue(value);
double MEDIANPRICE = (t.BidHigh + t.BidLow)/2;
SMA1.HandleNextTick(MEDIANPRICE);
SMA2.HandleNextTick(MEDIANPRICE);
return value;
}
public override double HandleNextTick(Tick t)
{
double mfm = MoneyFlowMultiplier.HandleNextTick(t);
double mfv = mfm*t.Volume;
ADL += mfv;
double a1 = ADL1.HandleNextTick(ADL);
double a2 = ADL2.HandleNextTick(ADL);
indicatorData.Enqueue(a1 - a2);
return a1 - a2;
}
public override double HandleNextTick(Tick t)
{
priceData.Enqueue(t.BidClose);
double value = double.NaN;
if (priceData.Count.Equals(priceData.Capacity))
{
value = HurstEstimation.CalculateHurstEstimate(priceData.ToArray());
}
indicatorData.Enqueue(value);
return value;
}
public override double HandleNextTick(Tick t)
{
double value = double.NaN;
_highData.Enqueue(t.BidHigh);
_lowData.Enqueue(t.BidLow);
value = (_highData.ToArray().Max() - t.BidClose)/
(_highData.ToArray().Max() - _lowData.ToArray().Min())*-100;
indicatorData.Enqueue(value);
return value;
}
public override double HandleNextTick(Tick t)
{
double value = Double.NaN;
if (prevTick != null)
{
value = EMA.HandleNextTick(t.Volume*(t.BidClose - prevTick.BidClose));
}
prevTick = t;
indicatorData.Enqueue(value);
return value;
}
public override double HandleNextTicks(Tick[] t)
{
foreach (Tick tick in t)
{
if (!subIndicators.ContainsKey(tick.Symbol.SymbolString))
{
subIndicators.Add(tick.Symbol.SymbolString, new GenericContainer(Period));
}
}
return 0;
}
public override double HandleNextTick(Tick t)
{
double value = double.NaN;
double typicalPrice = (t.BidClose + t.BidHigh + t.BidLow)/3;
priceData.Enqueue(typicalPrice);
SMA.HandleNextTick(typicalPrice);
if(priceData.Capacity.Equals(priceData.Count))
value = (1/constant)*(typicalPrice - SMA[0])/priceData.ToArray().StandardDeviation();
indicatorData.Enqueue(value);
return value;
}
public override double HandleNextTick(Tick t)
{
double value = double.NaN;
double RWIH = double.NaN;
double RWIL = double.NaN;
if (prevTick != null)
{
double m1 = t.BidHigh - t.BidLow;
double m2 = Math.Abs(t.BidHigh - prevTick.BidClose);
double m3 = Math.Abs(t.BidLow - prevTick.BidClose);
double tr = Math.Max(m1, Math.Max(m2, m3));
TR.Enqueue(tr);
}
else
{
TR.Enqueue(t.BidHigh - t.BidLow);
}
if (priceData.Count.Equals(priceData.Capacity))
{
List<double> maxRWIHI = new List<double>(Period - 1);
List<double> maxRWILO = new List<double>(Period - 1);
for (int k = 0; k < Period - 1; k++)
{
double avgTR = 0;
for (int i = k; i < Period; i++) avgTR += TR.ToArray()[i];
avgTR /= (Period - k);
double rwiHI = 1/Math.Sqrt(Period-k)*(t.BidHigh - priceData.ToArray()[k].BidLow)/avgTR;
double rwiLO = 1/Math.Sqrt(Period-k)*(priceData.ToArray()[k].BidHigh - t.BidLow)/avgTR;
maxRWIHI.Add(rwiHI);
maxRWILO.Add(rwiLO);
}
RWIH = maxRWIHI.Max();
RWIL = maxRWILO.Max();
}
((GenericContainer)subIndicators["RWHI"]).HandleNextTick(RWIH);
((GenericContainer)subIndicators["RWLO"]).HandleNextTick(RWIL);
prevTick = t;
priceData.Enqueue(t);
indicatorData.Enqueue(double.NaN);
return double.NaN;
}
public void ModifyStopOrder(Tick stop, double newPrice)
{
if (_outStandingStopOrders.ContainsKey(stop.Symbol))
{
_outStandingStopOrders[stop.Symbol].TriggerPrice = newPrice;
}
/*
//Flags for visualization purposes
_flags.Add(new HighstockFlag(
"MS",""+newPrice, stop.Time
));
*/
}
public override void HandleNextTick(Tick t)
{
double emaVal = EMA.HandleNextTick(t);
LRValues.Enqueue(emaVal);
double[] Y = LRValues.ToArray();
LinearRegression l = new LinearRegression();
l.Model(Y);
HighData.Enqueue(EMA[0]+STDEV * l.STDERR);
MiddleData.Enqueue(EMA[0]);
LowData.Enqueue(EMA[0] - STDEV * l.STDERR);
}
public override double HandleNextTick(Tick t)
{
EMA1.HandleNextTick(t.BidClose);
EMA2.HandleNextTick(t.BidClose);
double MACD = EMA1[0] - EMA2[0];
indicatorData.Enqueue(MACD);
((EMA)subIndicators["Signal"]).HandleNextTick(MACD);
double MACDHist = MACD - subIndicators["Signal"][0];
((GenericContainer)subIndicators["Histogram"]).HandleNextTick(MACDHist);
return MACD;
}
public void RecalculateTrail(Tick t)
{
if (Side.Equals(Position.PositionSide.Long))
{
if (t.BidClose - TrailSize > TriggerPrice)
{
TriggerPrice = t.BidClose - TrailSize;
}
} else if(Side.Equals(Position.PositionSide.Short))
{
if (t.AskClose + TrailSize < TriggerPrice)
{
TriggerPrice = t.AskClose + TrailSize;
}
}
}
