public Price CalcRSI(MarketData mktData, DateTime updateTime)
{
if (updateTime >= _nextRsiTime)
{
if (mktData.TimeSeries.Count < 2)
return null;
if (_nextRsiTime == DateTime.MinValue)
_nextRsiTime = updateTime.AddSeconds(_subPeriodSeconds);
else
_nextRsiTime = _nextRsiTime.AddSeconds(_subPeriodSeconds);
DateTime rsiTime = _nextRsiTime.AddSeconds(-_subPeriodSeconds);
if (mktData.TimeSeries.StartTime() > rsiTime)
return null;
if (_rsiCandles.Count == _nbPeriods)
_rsiCandles.RemoveAt(0);
if (_history.Count == 120)
_history.RemoveAt(0);
if (_rsiCandles.Count > 0){
_curCandle.EndTime = updateTime;
var curStartRsi = _rsiCandles[_rsiCandles.Count - 1].StartRsiValue + (_rsiCandles[_rsiCandles.Count - 1].GainRsi ? _rsiCandles[_rsiCandles.Count - 1].DiffRsi:
-_rsiCandles[_rsiCandles.Count - 1].DiffRsi);
_curCandle = new RsiCandle(curStartRsi, mktData.TimeSeries.Last().Mid());
}
else
_curCandle = new RsiCandle(50m, mktData.TimeSeries.Last().Mid());
_rsiCandles.Add(_curCandle);
_history.Add(_curCandle);
}
else
_curCandle = _rsiCandles.Last();
DateTime startTime = _nextRsiTime.AddSeconds(-_subPeriodSeconds);
if (mktData.TimeSeries.StartTime() > startTime)
return null;
var prevValStart = mktData.TimeSeries.PrevValue(startTime);
if (!prevValStart.HasValue)
return null;
Price valStart = prevValStart.Value.Value;
Price valEnd = mktData.TimeSeries.Last();
Price valRsiStart = prevValStart.Value.Value;
Price valRsiEnd = mktData.TimeSeries.Last();
if (valEnd > valStart)
{
_curCandle.GainAsset = true;
_curCandle.DiffAsset = valEnd.Mid() - valStart.Mid();
}
else
{
_curCandle.GainAsset = false;
_curCandle.DiffAsset = valStart.Mid() - valEnd.Mid();
}
var sumGain = 0m;
var sumLosses = 0m;
var nbGain = 0;
var nbLoss = 0;
foreach (var candle in _rsiCandles)
{
if (candle.GainAsset)
{
sumGain += candle.DiffAsset;
nbGain++;
}
else
{
sumLosses += candle.DiffAsset;
nbLoss++;
}
}
var avgGain = nbGain == 0 ? 0 : sumGain / nbGain;
var avgLoss = nbLoss == 0 ? 0 : sumLosses / nbLoss;
var stdDevGain = 0m;
var stdDevLoss = 0m;
foreach (var candle in _rsiCandles)
{
if (candle.GainAsset)
stdDevGain += (decimal)Math.Pow((double)(candle.DiffAsset - avgGain), 2.0);
else
stdDevLoss += (decimal)Math.Pow((double)(candle.DiffAsset - avgLoss), 2.0);
}
_curCandle.StdDevGain = nbGain == 0 ? 0m : (decimal)Math.Sqrt((double)stdDevGain / nbGain);
_curCandle.StdDevLoss = nbLoss == 0 ? 0m : (decimal)Math.Sqrt((double)stdDevLoss / nbLoss);
decimal rs = Math.Abs(sumLosses) < 0.1m ? (Math.Abs(sumGain) < 0.1m ? 1m : 1000m) : sumGain / sumLosses;
Price rsi = new Price(100m - 100m / (1m + rs));
if (rsi.Bid > _curCandle.StartRsiValue){
_curCandle.GainRsi = true;
_curCandle.DiffRsi = rsi.Bid - _curCandle.StartRsiValue;
}
else{
_curCandle.GainRsi = false;
_curCandle.DiffRsi = _curCandle.StartRsiValue - rsi.Bid;
}
return rsi;
}
public Price CalcRSI(MarketData mktData, DateTime updateTime)
{
if (updateTime >= _nextRsiTime)
{
if (mktData.TimeSeries.Count < 2)
{
return(null);
}
if (_nextRsiTime == DateTime.MinValue)
{
_nextRsiTime = updateTime.AddSeconds(_subPeriodSeconds);
}
else
{
_nextRsiTime = _nextRsiTime.AddSeconds(_subPeriodSeconds);
}
DateTime rsiTime = _nextRsiTime.AddSeconds(-_subPeriodSeconds);
if (mktData.TimeSeries.StartTime() > rsiTime)
{
return(null);
}
if (_rsiCandles.Count == _nbPeriods)
{
_rsiCandles.RemoveAt(0);
}
if (_history.Count == 120)
{
_history.RemoveAt(0);
}
if (_rsiCandles.Count > 0)
{
_curCandle.EndTime = updateTime;
var curStartRsi = _rsiCandles[_rsiCandles.Count - 1].StartRsiValue + (_rsiCandles[_rsiCandles.Count - 1].GainRsi ? _rsiCandles[_rsiCandles.Count - 1].DiffRsi:
-_rsiCandles[_rsiCandles.Count - 1].DiffRsi);
_curCandle = new RsiCandle(curStartRsi, mktData.TimeSeries.Last().Mid());
}
else
{
_curCandle = new RsiCandle(50m, mktData.TimeSeries.Last().Mid());
}
_rsiCandles.Add(_curCandle);
_history.Add(_curCandle);
}
else
{
_curCandle = _rsiCandles.Last();
}
DateTime startTime = _nextRsiTime.AddSeconds(-_subPeriodSeconds);
if (mktData.TimeSeries.StartTime() > startTime)
{
return(null);
}
var prevValStart = mktData.TimeSeries.PrevValue(startTime);
if (!prevValStart.HasValue)
{
return(null);
}
Price valStart = prevValStart.Value.Value;
Price valEnd = mktData.TimeSeries.Last();
Price valRsiStart = prevValStart.Value.Value;
Price valRsiEnd = mktData.TimeSeries.Last();
if (valEnd > valStart)
{
_curCandle.GainAsset = true;
_curCandle.DiffAsset = valEnd.Mid() - valStart.Mid();
}
else
{
_curCandle.GainAsset = false;
_curCandle.DiffAsset = valStart.Mid() - valEnd.Mid();
}
var sumGain = 0m;
var sumLosses = 0m;
var nbGain = 0;
var nbLoss = 0;
foreach (var candle in _rsiCandles)
{
if (candle.GainAsset)
{
sumGain += candle.DiffAsset;
nbGain++;
}
else
{
sumLosses += candle.DiffAsset;
nbLoss++;
}
}
var avgGain = nbGain == 0 ? 0 : sumGain / nbGain;
var avgLoss = nbLoss == 0 ? 0 : sumLosses / nbLoss;
var stdDevGain = 0m;
var stdDevLoss = 0m;
foreach (var candle in _rsiCandles)
{
if (candle.GainAsset)
{
stdDevGain += (decimal)Math.Pow((double)(candle.DiffAsset - avgGain), 2.0);
}
else
{
stdDevLoss += (decimal)Math.Pow((double)(candle.DiffAsset - avgLoss), 2.0);
}
}
_curCandle.StdDevGain = nbGain == 0 ? 0m : (decimal)Math.Sqrt((double)stdDevGain / nbGain);
_curCandle.StdDevLoss = nbLoss == 0 ? 0m : (decimal)Math.Sqrt((double)stdDevLoss / nbLoss);
decimal rs = Math.Abs(sumLosses) < 0.1m ? (Math.Abs(sumGain) < 0.1m ? 1m : 1000m) : sumGain / sumLosses;
Price rsi = new Price(100m - 100m / (1m + rs));
if (rsi.Bid > _curCandle.StartRsiValue)
{
_curCandle.GainRsi = true;
_curCandle.DiffRsi = rsi.Bid - _curCandle.StartRsiValue;
}
else
{
_curCandle.GainRsi = false;
_curCandle.DiffRsi = _curCandle.StartRsiValue - rsi.Bid;
}
return(rsi);
}