public virtual void Tan(double[] value, ref double[] returnValue)
{
Double.Vector input = new Double.DenseVector(value);
Double.Vector output = new Double.DenseVector(returnValue);
output = (Double.DenseVector)Double.Vector.Tan(input);
returnValue = output.ToArray();
}
public static double[] NormalizeZScore(this double[] data)
{
var d = new DenseVector(data);
var result = new DenseVector(d.Count);
d.CopyTo(result);
result = (DenseVector) ((result - d.Mean())/(d.StandardDeviation()));
return result.ToArray();
}
public static double[] NormalizeNeg1to1(this double[] data)
{
var d = new DenseVector(data);
var result = new DenseVector(d.Count);
d.CopyTo(result);
result = (DenseVector) (result - ((d.Max() + d.Min())/2))/((d.Max() - d.Min())/2);
return result.ToArray();
}
public static double[] Normalize0to1(this double[] data)
{
var returnData = new double[data.Length];
var d = new DenseVector(data);
var result = new DenseVector(d.Count);
d.CopyTo(result);
result = (DenseVector) (result - d.Min())/(d.Max() - d.Min());
return result.ToArray();
}
/// <summary>
/// Run example
/// </summary>
public void Run()
{
// Format vector output to console
var formatProvider = (CultureInfo)CultureInfo.InvariantCulture.Clone();
formatProvider.TextInfo.ListSeparator = " ";
// Create new empty vector
var vectorA = new DenseVector(10);
Console.WriteLine(@"Empty vector A");
Console.WriteLine(vectorA.ToString("#0.00\t", formatProvider));
Console.WriteLine();
// 1. Fill vector by data using indexer []
for (var i = 0; i < vectorA.Count; i++)
{
vectorA[i] = i;
}
Console.WriteLine(@"1. Fill vector by data using indexer []");
Console.WriteLine(vectorA.ToString("#0.00\t", formatProvider));
Console.WriteLine();
// 2. Fill vector by data using SetValues method
vectorA.SetValues(new[] { 9.0, 8.0, 7.0, 6.0, 5.0, 4.0, 3.0, 2.0, 1.0, 0.0 });
Console.WriteLine(@"2. Fill vector by data using SetValues method");
Console.WriteLine(vectorA.ToString("#0.00\t", formatProvider));
Console.WriteLine();
// 3. Convert Vector to double[]
var data = vectorA.ToArray();
Console.WriteLine(@"3. Convert vector to double array");
for (var i = 0; i < data.Length; i++)
{
Console.Write(data[i].ToString("#0.00\t", formatProvider) + @" ");
}
Console.WriteLine();
Console.WriteLine();
// 4. Convert Vector to column matrix. A matrix based on this vector in column form (one single column)
var columnMatrix = vectorA.ToColumnMatrix();
Console.WriteLine(@"4. Convert vector to column matrix");
Console.WriteLine(columnMatrix.ToString("#0.00\t", formatProvider));
Console.WriteLine();
// 5. Convert Vector to row matrix. A matrix based on this vector in row form (one single row)
var rowMatrix = vectorA.ToRowMatrix();
Console.WriteLine(@"5. Convert vector to row matrix");
Console.WriteLine(rowMatrix.ToString("#0.00\t", formatProvider));
Console.WriteLine();
// 6. Clone vector
var cloneA = vectorA.Clone();
Console.WriteLine(@"6. Clone vector");
Console.WriteLine(cloneA.ToString("#0.00\t", formatProvider));
Console.WriteLine();
// 7. Clear vector
cloneA.Clear();
Console.WriteLine(@"7. Clear vector");
Console.WriteLine(cloneA.ToString("#0.00\t", formatProvider));
Console.WriteLine();
// 8. Copy part of vector into another vector. If you need to copy all data then use CopoTy(vector) method.
vectorA.CopySubVectorTo(cloneA, 3, 3, 4);
Console.WriteLine(@"8. Copy part of vector into another vector");
Console.WriteLine(cloneA.ToString("#0.00\t", formatProvider));
Console.WriteLine();
// 9. Get part of vector as another vector
var subvector = vectorA.SubVector(0, 5);
Console.WriteLine(@"9. Get subvector");
Console.WriteLine(subvector.ToString("#0.00\t", formatProvider));
Console.WriteLine();
// 10. Enumerator usage
Console.WriteLine(@"10. Enumerator usage");
foreach (var value in vectorA)
{
Console.Write(value.ToString("#0.00\t", formatProvider) + @" ");
}
Console.WriteLine();
Console.WriteLine();
// 11. Indexed enumerator usage
Console.WriteLine(@"11. Enumerator usage");
foreach (var value in vectorA.GetIndexedEnumerator())
{
Console.WriteLine(@"Index = {0}; Value = {1}", value.Item1, value.Item2.ToString("#0.00\t", formatProvider));
}
Console.WriteLine();
}
public override void OnTick(params Tick[] t)
{
data1.Enqueue(t[0].BidClose);
data2.Enqueue(t[1].BidClose);
double STOP = 1.005;
if (counter++ >= n)
{
var d1 = new DenseVector(data1.ToArray().NormalizeZScore());
var d2 = new DenseVector(data2.ToArray().NormalizeZScore());
double spread;
//spread= (d1 - d2).ToArray().NormalizeZScore()[d1.Count - 1];
List<double[]> mat = new List<double[]>();
mat.Add(d1.ToArray());
mat.Add(d2.ToArray());
List<MaxEigenData> maxEigen = new List<MaxEigenData>();
double[] maxEigenValues;
double[,] eigenMatrix;
JohansenHelper.DoMaxEigenValueTest(mat, 5, out maxEigen, out maxEigenValues, out eigenMatrix);
spread = (maxEigenValues[0]*d1 - maxEigenValues[1]*d2).ToArray().NormalizeZScore()[d1.Count-1];
TEMA.HandleNextTick(spread);
((GenericContainer)indicatorList["Container"]).HandleNextTick(spread);
/*
//t[0] hit stop / limit
if ( (IAccountManager.ExistsShortPositionForSymbol(t[1].Symbol) &&
!IAccountManager.ExistsLongPositionForSymbol(t[0].Symbol))
||
(IAccountManager.ExistsLongPositionForSymbol(t[1].Symbol) &&
!IAccountManager.ExistsShortPositionForSymbol(t[0].Symbol))
)
{
if(!IAccountManager.GetStopOrder(t[1].Symbol).Trailing)
IAccountManager.ModifyTrailingStop(t[1], STOP/2);
}
//t[1] positiong hit stop/limit
if ((IAccountManager.ExistsShortPositionForSymbol(t[0].Symbol) &&
!IAccountManager.ExistsLongPositionForSymbol(t[1].Symbol))
||
(IAccountManager.ExistsLongPositionForSymbol(t[0].Symbol) &&
!IAccountManager.ExistsShortPositionForSymbol(t[1].Symbol))
)
{
if (!IAccountManager.GetStopOrder(t[0].Symbol).Trailing)
IAccountManager.ModifyTrailingStop(t[0], STOP/2);
}
*/
if (spread < -1 && IAccountManager.ExistsShortPositionForSymbol(t[0].Symbol) &&
IAccountManager.ExistsLongPositionForSymbol(t[1].Symbol))
{
IAccountManager.ClosePosition(t[0].Symbol);
IAccountManager.ClosePosition(t[1].Symbol);
Console.WriteLine("Closed Pair Trade.");
}
if (spread > 1 && IAccountManager.ExistsLongPositionForSymbol(t[0].Symbol) &&
IAccountManager.ExistsShortPositionForSymbol(t[1].Symbol))
{
IAccountManager.ClosePosition(t[0].Symbol);
IAccountManager.ClosePosition(t[1].Symbol);
Console.WriteLine("Closed Pair Trade.");
}
//short d1, long d2 if spread > 2.0
if (TEMA[0] < 3 && TEMA[1] > 3 && !IAccountManager.ExistsPositionForSymbol(t[0].Symbol) &&
!IAccountManager.ExistsPositionForSymbol(t[1].Symbol))
{
IAccountManager.PlaceMarketOrder(t[0].Symbol, 10000, Position.PositionSide.Short, STOP);
IAccountManager.PlaceMarketOrder(t[1].Symbol, 10000, Position.PositionSide.Long, STOP);
Console.WriteLine("Placed Pair Trade.");
}
if (TEMA[0] > -3 && TEMA[1] < -3 && !IAccountManager.ExistsPositionForSymbol(t[0].Symbol) &&
!IAccountManager.ExistsPositionForSymbol(t[1].Symbol))
{
IAccountManager.PlaceMarketOrder(t[0].Symbol, 10000, Position.PositionSide.Long, STOP);
IAccountManager.PlaceMarketOrder(t[1].Symbol, 10000, Position.PositionSide.Short, STOP);
Console.WriteLine("Placed Pair Trade.");
}
}
}
