public override void GetData(ref object Prototype, IIndicatorValues Ind)
{
int fastPeriod = (int)this.IndicatorParameters.List[0];
int slowPeriod = (int)this.IndicatorParameters.List[1];
decimal fast = 0.0M;
decimal slow = 0.0M;
decimal fastEmaAlpha = (2.0M / (Decimal)(fastPeriod + 1.0M));
//Decimal slowEmaAlpha = (2.0M / (Decimal)((int)Math.Round(fastPeriod * RATIO, 0) + 1.0M));
Decimal slowEmaAlpha = (2.0M / (Decimal)(slowPeriod + 1.0M));
if (Ind.Bar.CurrentBar > 1)
{
fast = (fastEmaAlpha * Ind.Bar[0].Close) + ((1.0M - fastEmaAlpha) * Ind.EmaPair(fastPeriod, slowPeriod)[1].Fast);
slow = (slowEmaAlpha * Ind.Bar[0].Close) + ((1.0M - slowEmaAlpha) * Ind.EmaPair(fastPeriod, slowPeriod)[1].Slow);
}
else
{
fast = Ind.Bar[0].Close;
slow = Ind.Bar[0].Close;
}
(Prototype as EMAPair).Fast = fast;
(Prototype as EMAPair).Slow = slow;
}
public override decimal GetProximateDistance(IIndicatorValues Ind, object NextValue)
{
return(Ind.ATR(ATR_PERIOD)[0].Value * ATR_PROXIMITY_MULTIPLE);
//int fastPeriod = (int)this.IndicatorParameters.List[0];
//int slowPeriod = (int)this.IndicatorParameters.List[1];
//List<decimal> ranges = new List<decimal>();
//decimal lastValue = 0.0M;
//if (Ind.Bar.CurrentBar >= (fastPeriod + 1))
//{
// for (int i = 1; i < fastPeriod; i++)
// {
// lastValue = Ind.EmaPair(fastPeriod, slowPeriod)[i].Fast;
// ranges.Add((decimal)Math.Abs((double)lastValue - (double)Ind.EmaPair(fastPeriod, slowPeriod)[i + 1].Fast));
// }
//}
//ranges.Add((decimal)Math.Abs((NextValue as EMAPair).Fast - lastValue));
//if (lastValue == 0.0M)
// return 0.0M;
//else
// return (ranges.Count > 0) ? ranges.Average() : 0.0M;
}
public override decimal GetProximateDistance(IIndicatorValues Ind, object NextValue)
{
return(Ind.ATR(ATR_PERIOD)[0].Value * ATR_PROXIMITY_MULTIPLE);
//int period = (int)this.IndicatorParameters.List[0];
//List<decimal> ranges = new List<decimal>();
//decimal lastValue = 0.0M;
//if (Ind.Bar.CurrentBar >= (period + 1))
//{
// for (int i = 1; i < period; i++)
// {
// lastValue = Ind.MamaFama(period)[i].MAMA;
// ranges.Add((decimal)Math.Abs((double)lastValue - (double)(Ind.MamaFama(period)[i + 1].MAMA)));
// }
//}
//ranges.Add((decimal)Math.Abs((double)((NextValue as MamaFama).MAMA) - (double)lastValue));
//if (lastValue == 0.0M)
// return 0.0M;
//else
// return (ranges.Count > 0) ? ranges.Average() : 0.0M;
}
public override void GetData(ref object Prototype, IIndicatorValues Ind)
{
int period = (int)this.IndicatorParameters.List[0];
decimal alpha = 0.0M;
decimal mama = 0.0M;
decimal fama = 0.0M;
if (Ind.Bar.CurrentBar == 1)
{
mama = ((Ind.Bar[0].High + Ind.Bar[0].Low) / 2.0M);
fama = mama;
}
else if (Ind.Bar.CurrentBar <= 6)
{
alpha = (2.0M / (period + 1.0M));
mama = (alpha * ((Ind.Bar[0].High + Ind.Bar[0].Low) / 2.0M)) + ((1.0M - alpha) * Ind.MamaFama(period)[1].MAMA);
fama = (0.5M * alpha * mama) + ((1.0M - (0.5M * alpha)) * Ind.MamaFama(period)[1].FAMA);
}
if (Ind.Bar.CurrentBar > 6)
{
decimal fastAlpha = (2.0M / (period + 1.0M));
decimal deltaPhase = Ind.MESA()[0].DeltaPhase;
alpha = fastAlpha / deltaPhase;
mama = (alpha * ((Ind.Bar[0].High + Ind.Bar[0].Low) / 2.0M)) + ((1.0M - alpha) * Ind.MamaFama(period)[1].MAMA);
fama = (0.5M * alpha * mama) + ((1.0M - (0.5M * alpha)) * Ind.MamaFama(period)[1].FAMA);
}
(Prototype as MamaFama).MAMA = mama;
(Prototype as MamaFama).FAMA = fama;
(Prototype as MamaFama).Alpha = alpha;
}
public override void GetAll(IIndicatorValues Ind)
{
int atrPeriod = (int)this.IndicatorParameters.List[0];
decimal atrMultiple = (decimal)this.IndicatorParameters.List[1];
decimal proximityFraction = (decimal)this.IndicatorParameters.List[2];
if (!Ind.DoubleZeros(atrPeriod, atrMultiple, proximityFraction).IsPopulated)
{
int oldCurrentBar = Ind.Bar.CurrentBar;
for (int i = 1; i <= Ind.Bar.MaxBar; i++)
{
Ind.Bar.CurrentBar = i;
object prototype = null;
if (i == 1)
{
prototype = new DoubleZeros();
}
else
{
prototype = (DoubleZeros)Ind.DoubleZeros(atrPeriod, atrMultiple, proximityFraction)[1].Clone();
}
Get(ref prototype, Ind);
Ind.DoubleZeros(atrPeriod, atrMultiple, proximityFraction)[0] = (DoubleZeros)prototype;
Ind.DoubleZeros(atrPeriod, atrMultiple, proximityFraction).IsPopulated = true; // set here so instance is guaranteed to exits
}
Ind.Bar.CurrentBar = oldCurrentBar;
}
}
public override void GetAll(IIndicatorValues Ind)
{
if (!Ind.MESA().IsPopulated)
{
int oldCurrentBar = Ind.Bar.CurrentBar;
for (int i = 1; i <= Ind.Bar.MaxBar; i++)
{
Ind.Bar.CurrentBar = i;
object prototype = null;
if (i == 1)
{
prototype = new MESA();
}
else
{
prototype = (MESA)Ind.MESA()[1].Clone();
}
Get(ref prototype, Ind);
Ind.MESA()[0] = (MESA)prototype;
Ind.MESA().IsPopulated = true; // set here so instance is guaranteed to exits
}
Ind.Bar.CurrentBar = oldCurrentBar;
}
}
public override void GetAll(IIndicatorValues Ind)
{
int period = (int)this.IndicatorParameters.List[0];
if (!Ind.ATR(period).IsPopulated)
{
int oldCurrentBar = Ind.Bar.CurrentBar;
for (int i = 1; i <= Ind.Bar.MaxBar; i++)
{
Ind.Bar.CurrentBar = i;
object prototype = null;
if (i == 1)
{
prototype = new ATR();
}
else
{
prototype = (ATR)Ind.ATR(period)[1].Clone();
}
Get(ref prototype, Ind);
Ind.ATR(period)[0] = (ATR)prototype;
Ind.ATR(period).IsPopulated = true; // set here so instance is guaranteed to exits
}
Ind.Bar.CurrentBar = oldCurrentBar;
}
}
public override void Get(ref object Prototype, IIndicatorValues Ind)
{
int period = (int)this.IndicatorParameters.List[0];
int smoothingPeriod = (int)this.IndicatorParameters.List[1];
decimal cti = 1.0M;
if (Ind.Bar.CurrentBar > (period + 1))
{
List <double> logChanges = new List <double>();
// TODO: why is this <0 at times??
for (int i = 0; i < period; i++)
{
logChanges.Add(Math.Log((double)Ind.Bar[i].Close / (double)Ind.Bar[i + 1].Close));
}
cti = (decimal)Math.Log((double)Ind.Bar[0].Close / (double)Ind.Bar[period].Close)
/ (decimal)(Utilities.StandardDeviation(logChanges) * Math.Sqrt(period));
if (Ind.Bar.CurrentBar > (period + 2))
{
decimal alpha = (2.0M / (smoothingPeriod + 1.0M));
cti = (alpha * cti) + ((1.0M - alpha) * Ind.CTI(period, smoothingPeriod)[1].Value);
}
}
(Prototype as CTI).Value = cti;
}
public override void GetAll(IIndicatorValues Ind)
{
int period = (int)this.IndicatorParameters.List[0];
decimal thresholdADX = (decimal)this.IndicatorParameters.List[1];
int oldCurrentBar = Ind.Bar.CurrentBar;
for (int i = 1; i <= Ind.Bar.MaxBar; i++)
{
Ind.Bar.CurrentBar = i;
object prototype = null;
if (i == 1)
{
prototype = new ADX(thresholdADX);
}
else
{
prototype = (ADX)Ind.ADXExponential(period, thresholdADX)[1].Clone();
}
Get(ref prototype, Ind);
Ind.ADXExponential(period, thresholdADX)[0] = (ADX)prototype;
Ind.ADXExponential(period, thresholdADX).IsPopulated = true; // set here so instance is guaranteed to exits
}
Ind.Bar.CurrentBar = oldCurrentBar;
}
public override void GetAll(IIndicatorValues Ind)
{
int period = (int)this.IndicatorParameters.List[0];
int firstSmoothingPeriod = (int)this.IndicatorParameters.List[1];
int secondSmoothingPeriod = (int)this.IndicatorParameters.List[2];
decimal thresholdPercentage = (decimal)this.IndicatorParameters.List[3];
if (!Ind.SlowStochastic(period, firstSmoothingPeriod, secondSmoothingPeriod, thresholdPercentage).IsPopulated)
{
int oldCurrentBar = Ind.Bar.CurrentBar;
for (int i = 1; i <= Ind.Bar.MaxBar; i++)
{
Ind.Bar.CurrentBar = i;
object prototype = null;
if (i == 1)
{
prototype = new Stochastic(thresholdPercentage);
}
else
{
prototype = (Stochastic)Ind.SlowStochastic(period, firstSmoothingPeriod, secondSmoothingPeriod, thresholdPercentage)[1].Clone();
}
Get(ref prototype, Ind);
Ind.SlowStochastic(period, firstSmoothingPeriod, secondSmoothingPeriod, thresholdPercentage)[0] = (Stochastic)prototype;
Ind.SlowStochastic(period, firstSmoothingPeriod, secondSmoothingPeriod, thresholdPercentage).IsPopulated = true; // set here so instance is guaranteed to exits
}
Ind.Bar.CurrentBar = oldCurrentBar;
}
}
public override void GetAll(IIndicatorValues Ind)
{
IDivergentIndicator studyIndicator = (IDivergentIndicator)this.IndicatorParameters.List[0];
IDivergentIndicator divergenceIndicator = (IDivergentIndicator)this.IndicatorParameters.List[1];
if (!Ind.Divergence(studyIndicator, divergenceIndicator).IsPopulated)
{
int oldCurrentBar = Ind.Bar.CurrentBar;
for (int i = 1; i <= Ind.Bar.MaxBar; i++)
{
Ind.Bar.CurrentBar = i;
object prototype = null;
if (i == 1)
{
prototype = new Divergence();
}
else
{
prototype = (Divergence)Ind.Divergence(studyIndicator, divergenceIndicator)[1].Clone();
}
Get(ref prototype, Ind);
Ind.Divergence(studyIndicator, divergenceIndicator)[0] = (Divergence)prototype;
Ind.Divergence(studyIndicator, divergenceIndicator).IsPopulated = true; // set here so instance is guaranteed to exits
}
Ind.Bar.CurrentBar = oldCurrentBar;
}
}
public override void Get(ref object Prototype, IIndicatorValues Ind)
{
int period = (int)this.IndicatorParameters.List[0];
int smoothingPeriod = (int)this.IndicatorParameters.List[1];
decimal thresholdPercentage = (decimal)this.IndicatorParameters.List[2];
Decimal pfe = Decimal.MinValue;
Decimal alpha = 2.0M / (smoothingPeriod + 1.0M);
Decimal directPath = 0.0M;
Decimal complexPath = 0.0M;
if (Ind.Bar.CurrentBar > (period + 1))
{
for (int i = 0; i < period; i++)
{
complexPath += (decimal)Math.Sqrt(Math.Pow((double)(Ind.Bar[i].Close - Ind.Bar[i + 1].Close), 2) + 1.0);
}
directPath = (decimal)Math.Sqrt(Math.Pow((double)(Ind.Bar[0].Close - Ind.Bar[period].Close), 2) + Math.Pow((double)period, 2));
Decimal tmpFE = Math.Sign(Ind.Bar[0].Close - Ind.Bar[period].Close) * Math.Round((directPath / complexPath) * 100.0M, 0);
pfe = (alpha * tmpFE) + ((1.0M - alpha) * Ind.PFE(period, smoothingPeriod, thresholdPercentage)[1].Value);
}
else
{
pfe = 0.0M;
}
(Prototype as PFE).Value = pfe;
}
public override void GetAll(IIndicatorValues Ind)
{
int period = (int)this.IndicatorParameters.List[0];
int volatilityPeriod = (int)this.IndicatorParameters.List[1];
decimal volitilityMultiple = (decimal)this.IndicatorParameters.List[2];
decimal marginThreshold = (decimal)this.IndicatorParameters.List[3];
decimal proximityMultiple = (decimal)this.IndicatorParameters.List[4];
if (!Ind.VolatilityChannel(period, volatilityPeriod, volitilityMultiple, marginThreshold, proximityMultiple).IsPopulated)
{
int oldCurrentBar = Ind.Bar.CurrentBar;
for (int i = 1; i <= Ind.Bar.MaxBar; i++)
{
Ind.Bar.CurrentBar = i;
object prototype = null;
if (i == 1)
{
prototype = new VolatilityChannel(marginThreshold);
}
else
{
prototype = (VolatilityChannel)Ind.VolatilityChannel(period, volatilityPeriod, volitilityMultiple, marginThreshold, proximityMultiple)[1].Clone();
}
Get(ref prototype, Ind);
Ind.VolatilityChannel(period, volatilityPeriod, volitilityMultiple, marginThreshold, proximityMultiple)[0] = (VolatilityChannel)prototype;
Ind.VolatilityChannel(period, volatilityPeriod, volitilityMultiple, marginThreshold, proximityMultiple).IsPopulated = true; // set here so instance is guaranteed to exits
}
Ind.Bar.CurrentBar = oldCurrentBar;
}
}
public override void Get(ref object Prototype, IIndicatorValues Ind)
{
IDivergentIndicator divergentIndicator = (IDivergentIndicator)this.IndicatorParameters.List[0];
(Prototype as Trends).PeakToPeak = divergentIndicator.GetPeakToPeakLine(0, Ind);
(Prototype as Trends).DipToDip = divergentIndicator.GetDipToDipLine(0, Ind);
}
public override void Get(ref object Prototype, IIndicatorValues Ind)
{
GetData(ref Prototype, Ind);
decimal proximateDistance = GetProximateDistance(Ind, Prototype);
foreach (PriceRangeBarrierProperty barrierProperty in (Prototype as PriceRangeBarrierPropertiesBase).Properties)
{
barrierProperty.ProximateDistance = proximateDistance;
}
}
public override void Get(ref object Prototype, IIndicatorValues Ind)
{
int period = (int)this.IndicatorParameters.List[0];
decimal adxRelative = 0.0M;
if (Ind.Bar.CurrentBar > period)
{
adxRelative = (Ind.ADXExponential(period, UNNEEDED_ADX_THRESHOLD)[0].ADXValue - Ind.ADXExponential(period, UNNEEDED_ADX_THRESHOLD)[period].ADXValue);
}
(Prototype as ADXRelative).Value = adxRelative;
}
protected override String GetPresentDetail(IOutputInstant Instant, IIndicatorValues Data, IndicatorParameters IndicatorParameters)
{
VPFEChannel channel = Data.VPFEChannel(IndicatorParameters)[Instant.ExposureDate];
if (channel != null)
{
return(String.Format("{0}|{1}|{2}|{3}|{4}|", channel.Lower, channel.Mid, channel.Upper, (int)channel.Oscillation, channel.Oscillation));
}
else
{
return(String.Format("{0}|{1}|{2}|{3}|{4}|", "", "", "", "", ""));
}
}
protected override string GetPresentDetail(IOutputInstant Instant, IIndicatorValues Data, IndicatorParameters IndicatorParameters)
{
Stochastic stochastic = Data.SlowStochastic(IndicatorParameters)[Instant.ExposureDate];
if (stochastic != null)
{
return(String.Format("{0}|{1}|{2}|{3}|", stochastic.PercentageK, stochastic.PercentageD, (int)stochastic.Oscillation, stochastic.Oscillation));
}
else
{
return(String.Format("{0}|{1}|{2}|{3}|", "", "", "", ""));
}
}
protected override string GetPresentDetail(IOutputInstant Instant, IIndicatorValues Data, IndicatorParameters IndicatorParameters)
{
MomentumRelative momRelative = Data.MomentumRelative(IndicatorParameters)[Instant.ExposureDate];
if (momRelative != null)
{
return(String.Format("{0}|{1}|{2}|", momRelative.Value, (int)momRelative.Direction, momRelative.Direction));
}
else
{
return(String.Format("{0}|{1}|{2}|", "", "", ""));
}
}
public override void Get(ref object Prototype, IIndicatorValues Ind)
{
int period = (int)this.IndicatorParameters.List[0];
Decimal atr = 0.0M;
if (Ind.Bar.CurrentBar > 1)
{
atr = ((Ind.ATR(period)[1].Value * (period - 1)) + Ind.TrueRange(TRUE_RANGE_PERIOD)[0].Value) / period;
}
(Prototype as ATR).Value = atr;
}
public override void Get(ref object Prototype, IIndicatorValues Ind)
{
int period = (int)this.IndicatorParameters.List[0];
decimal momentum = 0.0M;
if (Ind.Bar.CurrentBar > (period))
{
momentum = (Ind.Bar[0].Close - Ind.Bar[period].Close);
}
(Prototype as MomentumAbsolute).Value = momentum;
}
protected override string GetPresentDetail(IOutputInstant Instant, IIndicatorValues Data, IndicatorParameters IndicatorParameters)
{
Trends trends = Data.Trends(IndicatorParameters)[Instant.ExposureDate];
if (trends != null)
{
return(String.Format("{0}|{1}|", (int)trends.Direction, trends.Direction));
}
else
{
return(String.Format("{0}|{1}|", "", ""));
}
}
protected override string GetPresentDetail(IOutputInstant Instant, IIndicatorValues Data, IndicatorParameters IndicatorParameters)
{
ADXRelative adx = Data.ADXExponentialRelative(IndicatorParameters)[Instant.ExposureDate];
if (adx != null)
{
return(String.Format("{0}|{1}|{2}|", adx.Value, (int)adx.Trendiness, adx.Trendiness));
}
else
{
return(String.Format("{0}|{1}|{2}|", "", "", ""));
}
}
protected override string GetPresentDetail(IOutputInstant Instant, IIndicatorValues Data, IndicatorParameters IndicatorParameters)
{
Complexity fc = Data.Complexity(IndicatorParameters)[Instant.ExposureDate];
if (fc != null)
{
return(String.Format("{0}|", fc.FractalComplexity));
}
else
{
return(String.Format("{0}|", ""));
}
}
public override void Get(ref object Prototype, IIndicatorValues Ind)
{
int period = (int)this.IndicatorParameters.List[0];
decimal relativeMomentum = 0.0M;
if (Ind.Bar.CurrentBar > period)
{
relativeMomentum = (Ind.MomentumAbsolute(period)[0].Value - Ind.MomentumAbsolute(period)[period].Value);
}
(Prototype as MomentumRelative).Value = relativeMomentum;
}
protected override string GetPresentDetail(IOutputInstant Instant, IIndicatorValues Data, IndicatorParameters IndicatorParameters)
{
RSI rsi = Data.RSI(IndicatorParameters)[Instant.ExposureDate];
if (rsi != null)
{
return(String.Format("{0}|{1}|{2}|", rsi.Value, (int)rsi.Oscillation, rsi.Oscillation));
}
else
{
return(String.Format("{0}|{1}|{2}|", "", "", ""));
}
}
protected override string GetPresentDetail(IOutputInstant Instant, IIndicatorValues Data, IndicatorParameters IndicatorParameters)
{
CCI cci = Data.CCI(IndicatorParameters)[Instant.ExposureDate];
if (cci != null)
{
return(String.Format("{0}|{1}|{2}|{3}|{4}|{5}|{6}|", cci.Value, (int)cci.Trendiness, cci.Trendiness, (int)cci.Direction, cci.Direction, (int)cci.Oscillation, cci.Oscillation));
}
else
{
return(String.Format("{0}|{1}|{2}|{3}|{4}|{5}|{6}|", "", "", "", "", "", "", ""));
}
}
protected override string GetPresentDetail(IOutputInstant Instant, IIndicatorValues Data, IndicatorParameters IndicatorParameters)
{
ADX adx = Data.ADXSimple(IndicatorParameters)[Instant.ExposureDate];
if (adx != null)
{
return(String.Format("{0}|{1}|{2}|{3}|{4}|", adx.MinusDI, adx.PlusDI, adx.ADXValue, (int)adx.Trendiness, adx.Trendiness));
}
else
{
return(String.Format("{0}|{1}|{2}|{3}|{4}|", "", "", "", "", ""));
}
}
protected override string GetPresentDetail(IOutputInstant Instant, IIndicatorValues Data, IndicatorParameters IndicatorParameters)
{
ATR atr = Data.ATR(IndicatorParameters)[Instant.ExposureDate];
if (atr != null)
{
return(String.Format("{0}|", atr.Value));
}
else
{
return(String.Format("{0}|", ""));
}
}
protected override string GetPresentDetail(IOutputInstant Instant, IIndicatorValues Data, IndicatorParameters IndicatorParameters)
{
PFE pfe = Data.PFE(IndicatorParameters)[Instant.ExposureDate];
if (pfe != null)
{
return(String.Format("{0}|{1}|{2}|{3}|{4}|{5}|{6}|", pfe.Value, (int)pfe.Trendiness, pfe.Trendiness, (int)pfe.Direction, pfe.Direction, (int)pfe.Oscillation, pfe.Oscillation));
}
else
{
return(String.Format("{0}|{1}|{2}|{3}|{4}|{5}|{6}|", "", "", "", "", "", "", ""));
}
}
