List <double> GetMA(List <IMarketData> marketDataList, int n)
{
try
{
var valueList = new List <double>();
int begin = 0;
int rlength = 0;
int rbegin = 0;
double[] values = new double[marketDataList.Count];
var dataList = marketDataList.Select(v => v.Close).ToArray();
Core.Sma(begin, marketDataList.Count - 1, dataList, n, out rbegin, out rlength, values);
valueList = values.ToList();
CommonProc.TrimDoubleList(valueList);
if (IsAnalyse)
{
if (valueList.Count > 0)
{
var o = new TimeValueObject()
{
Name = Name, Value = valueList.LastOrDefault()
};
o.Time = marketDataList.LastOrDefault().Time;
AddReference(n.ToString(), o);
}
}
return(valueList);
}
catch (Exception ex)
{
LogSupport.Error(ex);
throw ex;
}
}
protected override ISignal Calculate(IInstrument instrument, DateTime startTime, DateTime endTime, MarketDataGrade?grade)
{
isSignalBiggerMeansBetter = true;
if (grade == null)
{
grade = Grade;
}
try
{
var dl = AnalyseDataSource.GetDataList(instrument, startTime, endTime, grade.Value);
var RSI = new double[dl.Count];
int bindex;
int element;
Core.Rsi(0, dl.Count - 1, dl.Select(p => p.Close).ToArray(),
Period, out bindex, out element, RSI);
var valueList = RSI.ToList();
CommonProc.TrimDoubleList(valueList);
if (IsAnalyse)
{
//if (!AnalyseValueList.ContainsKey("RSI"))
//{
// AnalyseValueList.Add("RSI", new List<TimeValueObject>());
//}
if (valueList.Count > 0)
{
//AddSignal(instrument, dl.Max(v => v.Time), valueList.LastOrDefault(), dl.LastOrDefault().Close, "RSI", SignalType.Analyse);
var obj = new TimeValueObject()
{
Name = Name, Value = valueList.LastOrDefault()
};
obj.Time = dl.Max(v => v.Time);
AddReference("RSI", obj);
//AnalyseValueList["RSI"].Add(obj);
//var dif = dl.Count - valueList.Count;
//for (int i = valueList.Count - 1; i >= 0; i--)
//{
// var o = new TimeValueObject() { Name = Name, Value = valueList[i] };
// o.Time = dl[dif + i].Time;
// AddReference("RSI", o);
//}
}
}
//var o = new TimeValueObject() { Name = Name, Time = endTime, Value = null };
//o.Time = dl.Max(v => v.Time);
//o.Value = RSI.ToArray().LastOrDefault();
return(CreateSignal(instrument, dl.Max(v => v.Time), RSI.ToArray().LastOrDefault(), dl.LastOrDefault().Close));
}
catch (Exception e)
{
LogSupport.Error(e);
}
return(null);
}
List <double> GetMA(List <IMarketData> marketDataList, int n)
{
try
{
var valueList = new List <double>();
int begin = 0;
int rlength = 0;
int rbegin = 0;
//if (MarketDataList.Count > n) { begin = MarketDataList.Count - n; }
double[] values = new double[marketDataList.Count];
var dataList = marketDataList.Select(v => v.Close).ToArray();
Core.Sma(begin, marketDataList.Count - 1, dataList, n, out rbegin, out rlength, values);
valueList = values.ToList();
CommonProc.TrimDoubleList(valueList);
if (IsAnalyse)
{
//if (!AnalyseValueList.ContainsKey(n.ToString()))
//{
// AnalyseValueList.Add(n.ToString(), new List<TimeValueObject>());
//}
if (valueList.Count > 0)
{
//var data = marketDataList.FirstOrDefault();
//AddSignal(data.InstrumentTicker, marketDataList.Max(v => v.Time), valueList.LastOrDefault(), marketDataList.LastOrDefault().Close, n.ToString(), SignalType.Analyse);
//var dif = marketDataList.Count - valueList.Count;
//for (int i = valueList.Count-1 ;i>=0; i--)
//{
var o = new TimeValueObject()
{
Name = Name, Value = valueList.LastOrDefault()
};
o.Time = marketDataList.LastOrDefault().Time;
AddReference(n.ToString(), o);
//}
}
}
//for (int i = 0; i < values.Length - n + 1; i++)
//{
// valueList.Add(values[i]);
//}
return(valueList);
}
catch (Exception ex)
{
LogSupport.Error(ex);
throw ex;
}
}
List <double> GetMA(List <IMarketData> marketDataList, int n)
{
try
{
var valueList = new List <double>();
int begin = 0;
int rlength = 0;
int rbegin = 0;
//if (MarketDataList.Count > n) { begin = MarketDataList.Count - n; }
double[] values = new double[marketDataList.Count];
var dataList = marketDataList.Select(v => v.Volume).ToArray();
Core.Sma(begin, marketDataList.Count - 1, dataList, n, out rbegin, out rlength, values);
var l = values.ToList <double>();
CommonProc.TrimDoubleList(l);
return(l);
}
catch (Exception ex)
{
LogSupport.Error(ex);
throw ex;
}
}
protected override ISignal Calculate(IInstrument instrument, DateTime startTime, DateTime endTime, MarketDataGrade?grade)
{
isSignalBiggerMeansBetter = true;
if (grade == null)
{
grade = Grade;
}
try
{
var dl = GetMarketData(instrument, startTime, endTime, grade.Value);
if (dl.Count == 0)
{
return(null);
}
var macd = new double[dl.Count];
var macdhis = new double[dl.Count];
var macdsignal = new double[dl.Count];
int bindex;
int element;
Core.Macd(0, dl.Count - 1, dl.Select(p => p.Close).ToArray(), FastPeriod, SlowPeriod, SignalPeriod, out bindex, out element, macd, macdsignal, macdhis);
var signal = macdsignal.ToList();
CommonProc.TrimDoubleList(signal);
if (IsAnalyse)
{
var macdList = macd.ToList();
CommonProc.TrimDoubleList(macdList);
var his = macdhis.ToList();
CommonProc.TrimDoubleList(his);
//if (!AnalyseValueList.ContainsKey("MACD"))
//{
// AnalyseValueList.Add("MACD", new List<TimeValueObject>());
//}
//if (!AnalyseValueList.ContainsKey("Signal"))
//{
// AnalyseValueList.Add("Signal", new List<TimeValueObject>());
//}
//if (!AnalyseValueList.ContainsKey("His"))
//{
// AnalyseValueList.Add("His", new List<TimeValueObject>());
//}
if (macdList.Count > 0)
{
//AddSignal(instrument, dl.Max(v => v.Time), macdList.LastOrDefault(), dl.LastOrDefault().Close, "MACD", SignalType.Analyse);
//var dif = dl.Count - macdList.Count;
//for (int i = macdList.Count - 1; i >= 0; i--)
//{
// var o = new TimeValueObject() { Name = Name, Value = macdList[i] };
// o.Time = dl[dif + i].Time;
// AddReference("MACD", o);
//}
var o = new TimeValueObject()
{
Name = Name, Value = macdList.LastOrDefault()
};
o.Time = dl.Max(v => v.Time);
AddReference("MACD", o);
}
if (signal.Count > 0)
{
//var dif = dl.Count - signal.Count;
//for (int i = signal.Count - 1; i >= 0; i--)
//{
// var o = new TimeValueObject() { Name = Name, Value = signal[i] };
// o.Time = dl[dif + i].Time;
// AddReference("Signal", o);
//}
//AddSignal(instrument, dl.Max(v => v.Time), signal.LastOrDefault(), dl.LastOrDefault().Close, "Signal", SignalType.Analyse);
var o = new TimeValueObject()
{
Name = Name, Value = signal.LastOrDefault()
};
o.Time = dl.Max(v => v.Time);
AddReference("Signal", o);
//AnalyseValueList["Signal"].Add(o);
}
if (his.Count > 0)
{
//var dif = dl.Count - his.Count;
//for (int i = his.Count - 1; i >= 0; i--)
//{
// var o = new TimeValueObject() { Name = Name, Value = his[i] };
// o.Time = dl[dif + i].Time;
// AddReference("His", o);
//}
//AddSignal(instrument, dl.Max(v => v.Time), his.LastOrDefault(), dl.LastOrDefault().Close, "His", SignalType.Analyse);
var o = new TimeValueObject()
{
Name = Name, Value = his.LastOrDefault()
};
o.Time = dl.Max(v => v.Time);
AddReference("His", o);
//AnalyseValueList["His"].Add(o);
}
}
if (signal.Count > 1 && signal[signal.Count - 2] < 0 && signal[signal.Count - 1] > 0)
{
//var o = new TimeValueObject() { Name = Name, Time = dl.Max(v=>v.Time), Value = null };
//o.Value = signal[signal.Count - 1] - signal[signal.Count - 2];
//return o;
return(CreateSignal(instrument, dl.Max(v => v.Time), signal[signal.Count - 1] - signal[signal.Count - 2], dl.LastOrDefault().Close));
}
}
catch (Exception e)
{
//LogSupport.Error(e);
}
return(null);
}
protected override ISignal Calculate(IInstrument instrument, DateTime startTime, DateTime endTime, MarketDataGrade?grade)
{
isSignalBiggerMeansBetter = true;
if (grade == null)
{
grade = Grade;
}
try
{
var dl = AnalyseDataSource.GetDataList(instrument, startTime, endTime, grade.Value);
var slowK = new double[dl.Count];
var slowD = new double[dl.Count];
int bindex;
int element;
Core.Stoch(0, dl.Count - 1, dl.Select(p => p.High).ToArray(), dl.Select(p => p.Low).ToArray(), dl.Select(p => p.Close).ToArray(),
FastKPeriod, SlowKPeriod, SlowKType, SlowDPeriod, SlowDType, out bindex, out element, slowK, slowD);
var skl = slowK.ToList <double>();
var sdl = slowD.ToList <double>();
CommonProc.TrimDoubleList(skl);
CommonProc.TrimDoubleList(sdl);
if (IsAnalyse)
{
//if (!AnalyseValueList.ContainsKey("K"))
//{
// AnalyseValueList.Add("K", new List<TimeValueObject>());
//}
//if (!AnalyseValueList.ContainsKey("D"))
//{
// AnalyseValueList.Add("D", new List<TimeValueObject>());
//}
if (skl.Count > 0)
{
//var dif = dl.Count - skl.Count;
//for (int i = skl.Count - 1; i >= 0; i--)
//{
// var o = new TimeValueObject() { Name = Name, Value = skl[i] };
// o.Time = dl[dif + i].Time;
// AddReference("K", o);
//}
var o = new TimeValueObject()
{
Name = Name, Value = skl.LastOrDefault()
};
o.Time = dl.Max(v => v.Time);
AddReference("K", o);
//AddSignal(instrument, dl.Max(v => v.Time), skl.LastOrDefault(), dl.LastOrDefault().Close, "K", SignalType.Analyse);
//AnalyseValueList["K"].Add(o);
}
if (sdl.Count > 0)
{
//var dif = dl.Count - sdl.Count;
//for (int i = skl.Count - 1; i >= 0; i--)
//{
// var o = new TimeValueObject() { Name = Name, Value = sdl[i] };
// o.Time = dl[dif + i].Time;
// AddReference("D", o);
//}
var o = new TimeValueObject()
{
Name = Name, Value = sdl.LastOrDefault()
};
o.Time = dl.Max(v => v.Time);
AddReference("D", o);
//AnalyseValueList["D"].Add(o);
//AddSignal(instrument, dl.Max(v => v.Time), sdl.LastOrDefault(), dl.LastOrDefault().Close, "D", SignalType.Analyse);
}
}
if (skl[skl.Count - 2] < skl[skl.Count - 1] && sdl[sdl.Count - 2] < sdl[sdl.Count - 1])//current K,D increase
{
return(CreateSignal(instrument, dl.Max(v => v.Time), ((skl[skl.Count - 1] - skl[skl.Count - 2]) + (sdl[sdl.Count - 1] - sdl[sdl.Count - 2])) / 2d, dl.LastOrDefault().Close));
//var o = new TimeValueObject() { Name = Name, Time = endTime, Value = null };
//o.Time = dl.Max(v => v.Time);
//o.Value= ((skl[skl.Count - 1] - skl[skl.Count - 2]) + (sdl[sdl.Count - 1] - sdl[sdl.Count - 2])) / 2d;
//return o;
}
}
catch (Exception e)
{
LogSupport.Error(e);
}
return(null);
}