/// <summary>
/// Computes the next value of this indicator from the given state
/// </summary>
/// <param name="time"></param>
/// <param name="input">The input given to the indicator</param>
/// <returns>A new value for this indicator</returns>
protected override DoubleArray Forward(long time, DoubleArray input)
{
_trueRange.Update(time, input);
if (Samples == 1)
{
_previousInput = input.Clone();
return(50.0d);
}
var buyingPressure = new DoubleArrayScalar(input[CloseIdx] - Math.Min(input[LowIdx], _previousInput.Close));
_sumBuyingPressure1.Update(time, buyingPressure);
_sumBuyingPressure2.Update(time, buyingPressure);
_sumBuyingPressure3.Update(time, buyingPressure);
_sumTrueRange1.Update(time, _trueRange.Current);
_sumTrueRange2.Update(time, _trueRange.Current);
_sumTrueRange3.Update(time, _trueRange.Current);
_previousInput = input;
if (!IsReady)
{
return(50.0d);
}
var average1 = _sumBuyingPressure1 / _sumTrueRange1;
var average2 = _sumBuyingPressure2 / _sumTrueRange2;
var average3 = _sumBuyingPressure3 / _sumTrueRange3;
return(100.0d * (4 * average1 + 2 * average2 + average3) / 7);
}
/// <summary>
/// Computes the next value of this indicator from the given state
/// </summary>
/// <param name="time"></param>
/// <param name="input">The trade bar input given to the indicator</param>
/// <returns>A new value for this indicator</returns>
protected override DoubleArray Forward(long time, DoubleArray input)
{
// On first iteration we can’t produce an SAR value so we save the current bar and return zero
if (Samples == 1)
{
_previousBar = input.Clone();
// return a value that's close to where we will be, returning 0 doesn't make sense
return(input[CloseIdx]);
}
// On second iteration we initiate the position the extreme point and the SAR
if (Samples == 2)
{
Init(input);
_previousBar = input;
return(_sar);
}
if (_isLong)
{
HandleLongPosition(input);
}
else
{
HandleShortPosition(input);
}
_previousBar = input;
return(_outputSar);
}
/// <summary>
/// Computes the next value of this indicator from the given state
/// </summary>
/// <param name="time"></param>
/// <param name="input">The input given to the indicator</param>
/// <returns>A new value for this indicator</returns>
protected override DoubleArray Forward(long time, DoubleArray input)
{
_trueRange.Update(time, input);
_directionalMovementPlus.Update(time, input);
_directionalMovementMinus.Update(time, input);
_smoothedTrueRange.Update(time, Current);
_smoothedDirectionalMovementPlus.Update(time, Current);
_smoothedDirectionalMovementMinus.Update(time, Current);
_previousInput = input.Clone();
PositiveDirectionalIndex.Update(time, Current);
NegativeDirectionalIndex.Update(time, Current);
var diff = Math.Abs(PositiveDirectionalIndex.Current.Value - NegativeDirectionalIndex);
var sum = PositiveDirectionalIndex + NegativeDirectionalIndex;
if (sum == 0)
{
return((DoubleArray)50d);
}
_averageDirectionalIndex.Update(time, 100d * diff / sum);
return(_averageDirectionalIndex);
}
/// <summary>
/// Computes the next value of this indicator from the given state
/// </summary>
/// <param name="time"></param>
/// <param name="input">The input given to the indicator</param>
/// <returns>A new value for this indicator, which by convention is the mean value of the upper band and lower band.</returns>
protected override DoubleArray Forward(long time, DoubleArray input)
{
if (_previousInput != null)
{
UpperBand.Update(_previousTime, _previousInput.High);
LowerBand.Update(_previousTime, _previousInput.Low);
}
_previousInput = input.Clone();
_previousTime = time;
return((UpperBand + LowerBand) / 2);
}
/// <summary>
/// Computes the next value of this indicator from the given state
/// </summary>
/// <param name="time"></param>
/// <param name="input">The input given to the indicator</param>
/// <returns>A new value for this indicator</returns>
protected override DoubleArray Forward(long time, DoubleArray input)
{
if (_filter(input))
{
_previousInput = input.Clone();
return(input);
}
if (_previousInput != null)
{
return(_previousInput.Clone());
}
_previousInput = Constants.Empty;
return(_previousInput.Clone());
}
/// <summary>
/// Updates the state of this indicator with the given value and returns true
/// if this indicator is ready, false otherwise
/// </summary>
/// <param name="time"></param>
/// <param name="input">The value to use to update this indicator</param>
/// <returns>True if this indicator is ready, false otherwise</returns>
public override void Update(long time, DoubleArray input)
{
#if DEBUG
if (this.InputProperties > input.Properties)
{
throw new ArgumentException($"Unable to update with given input because atleast {InputProperties} properties required but got input with {input.Properties} properties.");
}
#endif
double volume, averagePrice;
if (!TryGetVolumeAndAveragePrice(input, out volume, out averagePrice))
{
return;
}
// reset vwap on daily boundaries
var date = time.ToDateTime().Date;
if (_lastDate != date)
{
_sumOfVolume = Constants.Zero;
_sumOfPriceTimesVolume = Constants.Zero;
_lastDate = date;
}
// running totals for Σ PiVi / Σ Vi
_sumOfVolume += volume;
_sumOfPriceTimesVolume += averagePrice * volume;
CurrentTime = time;
Samples++;
if (_sumOfVolume == Constants.Zero)
{
// if we have no trade volume then use the current price as VWAP
Current = input.Clone();
OnUpdated(time, Current);
return;
}
Current = _sumOfPriceTimesVolume / _sumOfVolume;
OnUpdated(time, Current);
}
/// <summary>
/// Computes the next value of this indicator from the given state
/// </summary>
/// <param name="time"></param>
/// <param name="input">The input given to the indicator</param>
/// <returns>A new value for this indicator</returns>
protected override DoubleArray Forward(long time, DoubleArray input)
{
return(input.Clone());
}