protected override int InternalCalculate(IEnumerable <Bar> bars = null)
{
List <Bar> history;
if (bars != null)
{
history = new List <Bar>(bars);
}
else if (_buff.Values.Count == 0)
{
history = _dataProvider.GetBars(_selection);
}
else
{
var sel = _selection.Clone() as Selection;
sel.From = _buff.Values.Last().Date;
sel.To = DateTime.MaxValue;
history = _dataProvider.GetBars(sel);
}
if (history == null || history.Count == 0)
{
return(0);
}
MA.Calculate(bars);
for (var i = _buff.Length > 0 ? _buff.Length - 1 : 0; i < MA.Series[0].Values.Count; i++)
{
_buff.AppendOrUpdate(MA.Series[0].Values[i].Date, MA.Series[0].Values[i].Value);
}
foreach (var bar in history)
{
var ma = _buff.Values.FirstOrDefault(p => p.Date.Equals(bar.Date));
if (ma == null)
{
continue;
}
if (ma.Value == EMPTY_VALUE)
{
Series[0].AppendOrUpdate(ma.Date, ma.Value);
}
else
{
Series[0].AppendOrUpdate(ma.Date, (double)GetPrice(bar, PriceConstants.LOW) - ma.Value);
}
}
return(history.Count);
}
protected override int InternalCalculate(IEnumerable <Bar> bars = null)
{
List <Bar> history;
if (bars != null)
{
history = new List <Bar>(bars);
}
else if (Series[0].Values.Count < 2)
{
history = _dataProvider.GetBars(_selection);
}
else
{
var sel = _selection.Clone() as Selection;
sel.From = Series[0].Values[Series[0].Values.Count - 2].Date;
sel.To = DateTime.MaxValue;
history = _dataProvider.GetBars(sel);
}
if (history == null || history.Count < 2)
{
return(0);
}
// True range calculation
for (var i = 1; i < history.Count; i++)
{
var hi = GetPrice(history[i], PriceConstants.HIGH);
var lo = GetPrice(history[i], PriceConstants.LOW);
var prevClose = GetPrice(history[i - 1], PriceConstants.CLOSE);
if (_tr.Length == 0)
{
_tr.AppendOrUpdate(history[i].Date, (double)(hi - lo));
}
else
{
var value = Math.Max((hi - lo), Math.Abs((hi - prevClose)));
value = Math.Max(value, Math.Abs((lo - prevClose)));
_tr.AppendOrUpdate(history[i].Date, (double)value);
}
}
//Avg. true range calculation
for (var i = 0; i < history.Count; i++)
{
if (Series[0].Length < Period - 1)
{
Series[0].AppendOrUpdate(history[i].Date, EMPTY_VALUE);
}
else if (Series[0].Length == Period - 1)
{
var sum = _tr.Values.GetRange(0, Period).Sum(p => p.Value) * (1 / Period);
Series[0].AppendOrUpdate(history[i].Date, sum);
}
else
{
var prevATR = Series[0].Values.LastOrDefault(p => p.Date < history[i].Date);
if (prevATR == null)
{
continue;
}
var tr = _tr.Values.FirstOrDefault(p => p.Date.Equals(history[i].Date));
if (tr != null)
{
Series[0].AppendOrUpdate(history[i].Date, ((prevATR.Value * (Period - 1)) + tr.Value) / Period);
}
}
}
return(history.Count - 1);
}