public double CalculateEquityUtilization(ITradingObject tradingObject)
{
var boardIndexTradingObject = _context.GetBoardIndexTradingObject(tradingObject);
if (boardIndexTradingObject == null)
{
return(1.0);
}
var ma10values = _ma10.GetMetricValues(boardIndexTradingObject);
if (ma10values == null)
{
// the board index value is not ready yet, back off to main board index
boardIndexTradingObject = _context.GetBoardIndexTradingObject(StockBoard.MainBoard);
}
var closeValue = _close.GetMetricValues(boardIndexTradingObject)[0];
var ma5Value = _ma5.GetMetricValues(boardIndexTradingObject)[0];
var ma10Value = _ma10.GetMetricValues(boardIndexTradingObject)[0];
var ma20Value = _ma20.GetMetricValues(boardIndexTradingObject)[0];
var ma60Value = _ma60.GetMetricValues(boardIndexTradingObject)[0];
if (ma5Value < ma20Value)
{
// descending trends
if (closeValue < ma5Value)
{
return(0.0);
}
else if (closeValue >= ma5Value && closeValue < ma20Value)
{
return(0.15);
}
else if (closeValue >= ma20Value)
{
return(0.3);
}
}
else
{
// ascending trends
if (closeValue >= ma5Value)
{
return(1.0);
}
else if (closeValue >= ma20Value && closeValue < ma5Value)
{
return(0.7);
}
else if (closeValue < ma20Value)
{
return(0.5);
}
}
return(0.0);
}
public double[] GetValues(ITradingObject tradingObject)
{
ITradingObject trueObject = IsBoardIndexMetric ? _context.GetBoardIndexTradingObject(tradingObject) : tradingObject;
var values = Proxy.GetMetricValues(trueObject);
if (values == null)
{
if (!object.ReferenceEquals(trueObject, tradingObject))
{
trueObject = _context.GetBoardIndexTradingObject(StockBoard.MainBoard);
values = Proxy.GetMetricValues(trueObject);
}
}
return(values);
}
public double CalculateEquityUtilization(ITradingObject tradingObject)
{
var boardIndexTradingObject = _context.GetBoardIndexTradingObject(tradingObject);
if (boardIndexTradingObject == null)
{
return(1.0);
}
var maValues = _ma.GetMetricValues(boardIndexTradingObject);
if (maValues == null)
{
// the board index value is not ready yet, back off to main board index
boardIndexTradingObject = _context.GetBoardIndexTradingObject(StockBoard.MainBoard);
}
var closeValue = _close.GetMetricValues(boardIndexTradingObject)[0];
var maValue = _ma.GetMetricValues(boardIndexTradingObject)[0];
var percentage = closeValue / maValue;
double utilization;
//if (percentage > 1.1)
//{
// utilization = 1.0 - (percentage - 1.1) * 2.0;
//}
//else if (percentage < 0.9)
//{
// utilization = 1.0;
//}
//else
//{
// utilization = 0.7;
//}
utilization = 1.0;
return(Math.Max(Math.Min(utilization, 1.0), 0.1));
//var utilization = NormalDistribution(1.0, 0.1, percentage) / _normalDistribution0;
//return Math.Max(utilization, 0.1);
}
public void Dump(ITradingObject tradingObject)
{
if (tradingObject == null)
{
throw new ArgumentNullException();
}
var bars = _provider.GetAllBarsForTradingObject(tradingObject.Index);
var currentBar = _context.GetBarOfTradingObjectForCurrentPeriod(tradingObject);
int index = FindIndexOfBar(bars, currentBar);
if (index < 0)
{
throw new InvalidOperationException("Logic error");
}
var sequence = new List <Bar>(_numberOfBarsToDump);
int actualIndexToStartWith;
if (index < _numberOfBarsBacktrace)
{
for (int i = 0; i < _numberOfBarsBacktrace - index; ++i)
{
sequence.Add(Bar.DefaultValue);
}
actualIndexToStartWith = 0;
}
else
{
actualIndexToStartWith = index - _numberOfBarsBacktrace;
}
index = actualIndexToStartWith;
while (index < bars.Length && sequence.Count < _numberOfBarsToDump)
{
var bar = bars[index];
if (bar.Time != Bar.InvalidTime)
{
sequence.Add(bar);
}
++index;
}
while (sequence.Count < _numberOfBarsToDump)
{
sequence.Add(Bar.DefaultValue);
}
foreach (var bar in sequence)
{
// Time, O, H, L, C
_writer.Write(
"{4:yyyy-MM-dd},{0:0.000},{1:0.000},{2:0.000},{3:0.000},",
bar.OpenPrice,
bar.HighestPrice,
bar.LowestPrice,
bar.ClosePrice,
bar.Time);
}
// dump metrics
if (_metricProxies != null)
{
for (int j = 0; j < _metricProxies.Length; ++j)
{
ITradingObject trueObject = _forBoardIndex[j] ? _context.GetBoardIndexTradingObject(tradingObject) : tradingObject;
double value = 0.0;
var values = _metricProxies[j].GetMetricValues(trueObject);
if (values == null)
{
if (!object.ReferenceEquals(trueObject, tradingObject))
{
trueObject = _context.GetBoardIndexTradingObject(StockBoard.MainBoard);
values = _metricProxies[j].GetMetricValues(trueObject);
}
}
if (values == null)
{
value = 0.0;
}
else
{
value = values[0];
}
_writer.Write("{0:0.0000},", value);
}
}
_writer.WriteLine();
}
