/// <summary>
///
/// </summary>
/// <param name="rates"></param>
/// <param name="priceHigh"></param>
/// <param name="priceLow"></param>
/// <param name="periodsStart">Must be >= 1</param>
/// <param name="periodsLength"></param>
/// <param name="barsInterval"></param>
/// <param name="pointSize"></param>
/// <param name="corridorMethod"></param>
/// <param name="exitCondition"></param>
/// <returns></returns>
static Dictionary <int, CorridorStatistics> GetCorridornessesCore(this ICollection <Rate> rates
, Func <Rate, double> priceHigh, Func <Rate, double> priceLow, int periodsStart, int periodsLength
, TimeSpan barsInterval, double pointSize, CorridorCalculationMethod corridorMethod, Predicate <CorridorStatistics> exitCondition)
{
var corridornesses = new Dictionary <int, CorridorStatistics>();
if (rates.Count() > 2)
{
try {
if (rates.Last().StartDate > rates.First().StartDate)
{
rates = rates.Reverse().ToList();
}
else
{
rates = rates.ToArray();
}
{
////Stopwatch sw = Stopwatch.StartNew(); int swCount = 1; /*sw.Stop();*/ Debug.WriteLine("ScanCorridorWithAngle " + (swCount) + ":" + sw.ElapsedMilliseconds + " ms."); //sw.Restart();
//var periodsEnd = Math.Min(rates.Count(), periodsStart + periodsLength);
//periodsStart = Math.Min(rates.Count() - 1, periodsStart);
//for (var i = periodsStart; i < periodsEnd; i++ /*= i + Math.Max(1, i / 100.0).Ceiling() * Math.Max(1, i / 1000.0).Ceiling()*/) {
periodsStart = periodsStart.Min(rates.Count);
periodsLength = periodsLength.Min(rates.Count - periodsStart + 1);
foreach (var i in Enumerable.Range(periodsStart, periodsLength))
{
var ratesForCorr = rates.Take(i).ToList();
var cs = ratesForCorr.ScanCorridorWithAngle(priceHigh, priceLow, barsInterval, pointSize, corridorMethod);
if (cs != null)
{
corridornesses.Add(i, cs);
if (exitCondition(cs))
{
break;
}
}
}
}
} catch (Exception exc) {
Debug.Fail(exc + "");
throw;
}
}
return(corridornesses);
}
public static CorridorStatistics ScanCorridorWithAngle(this IList <Rate> source, Func <Rate, double> price, Func <Rate, double> priceHigh, Func <Rate, double> priceLow, TimeSpan barsInterval, double pointSize, CorridorCalculationMethod corridorMethod)
{
try {
if (source == null)
{
throw new ArgumentNullException("Rates list must not be null.");
}
if (source.Count == 0)
{
throw new ArgumentOutOfRangeException("Rates list must not be empty.");
}
var rates = source.ToList();
#region Funcs
double[] linePrices = new double[rates.Count()];
Func <int, double> priceLine = index => linePrices[index];
Action <int, double> lineSet = (index, d) => linePrices[index] = d;
var coeffs = rates.SetRegressionPrice(price, lineSet);
var sineOffset = 1;// Math.Sin(Math.PI / 2 - coeffs[1] / pointSize);
Func <Rate, int, double> heightHigh = (rate, index) => (priceHigh(rate) - priceLine(index)) * sineOffset;
Func <Rate, int, double> heightLow = (rate, index) => (priceLow(rate) - priceLine(index)) * sineOffset;
#endregion
#region Locals
var lineLow = new LineInfo(new Rate[0], 0, 0);
var lineHigh = new LineInfo(new Rate[0], 0, 0);
double stDev = double.NaN;
double height = double.NaN;
#endregion
var stDevDict = new Dictionary <CorridorCalculationMethod, double>();
if (corridorMethod == CorridorCalculationMethod.Minimum || corridorMethod == CorridorCalculationMethod.Maximum)
{
stDevDict.Add(CorridorCalculationMethod.HeightUD, rates.Select(heightHigh).Union(rates.Select(heightLow)).ToList().StDevP());
stDevDict.Add(CorridorCalculationMethod.Height, rates.Select((r, i) => heightHigh(r, i).Abs() + heightLow(r, i).Abs()).ToList().StDevP());
if (corridorMethod == CorridorCalculationMethod.Minimum)
{
stDevDict.Add(CorridorCalculationMethod.Price, rates.GetPriceForStats(price, priceLine, priceHigh, priceLow).ToList().StDevP());
}
else
{
stDevDict.Add(CorridorCalculationMethod.PriceAverage, rates.StDev(price));
}
}
else
{
switch (corridorMethod)
{
case CorridorCalculationMethod.Minimum:
stDevDict.Add(CorridorCalculationMethod.Minimum, stDev = stDevDict.Values.Min()); break;
case CorridorCalculationMethod.Maximum:
stDevDict.Add(CorridorCalculationMethod.Maximum, stDev = stDevDict.Values.Max()); break;
case CorridorCalculationMethod.MinMax:
case CorridorCalculationMethod.MinMaxMM:
case CorridorCalculationMethod.Height:
double max = double.MinValue, min = double.MaxValue;
var sd = rates.Select(price).ToArray().StDevByRegressoin(coeffs, diffs => { max = diffs.Max(max); min = diffs.Min(min); });
height = max - min;
stDevDict.Add(CorridorCalculationMethod.Height, stDev = sd /* heights.StDevP()*/);
break;
case CorridorCalculationMethod.HeightUD:
stDevDict.Add(CorridorCalculationMethod.Height, stDev = rates.Select(heightHigh).Union(rates.Select(heightLow)).ToList().StDevP());
break;
case CorridorCalculationMethod.Price:
stDevDict.Add(CorridorCalculationMethod.Price, stDev = rates.GetPriceForStats(price, priceLine, priceHigh, priceLow).ToList().StDevP()); break;
default:
throw new NotSupportedException(new { corridorMethod } +"");
}
}
stDevDict.Add(CorridorCalculationMethod.PriceAverage, rates.StDev(price));
return(new CorridorStatistics(rates, stDev, coeffs, stDev, stDev, stDev * 2, stDev * 2)
{
priceLine = linePrices, priceHigh = priceHigh, priceLow = priceLow,
StDevs = stDevDict, HeightByRegression = height.IfNaN(stDevDict[CorridorCalculationMethod.Height] * 4)
});
} catch (Exception exc) {
Debug.WriteLine(exc);
throw;
}
}
/// <summary>
///
/// </summary>
/// <param name="rates"></param>
/// <param name="priceHigh"></param>
/// <param name="priceLow"></param>
/// <param name="periodsStart">Must be >= 1</param>
/// <param name="periodsLength"></param>
/// <param name="barsInterval"></param>
/// <param name="pointSize"></param>
/// <param name="corridorMethod"></param>
/// <param name="exitCondition"></param>
/// <returns></returns>
public static Dictionary <int, CorridorStatistics> GetCorridornesses(
this ICollection <Rate> rates, Func <Rate, double> priceHigh, Func <Rate, double> priceLow, int periodsStart, int periodsLength
, TimeSpan barsInterval, double pointSize, CorridorCalculationMethod corridorMethod, Predicate <CorridorStatistics> exitCondition)
{
return(rates.GetCorridornessesCore(priceHigh, priceLow, periodsStart, periodsLength, barsInterval, pointSize, corridorMethod, exitCondition));
}
public static CorridorStatistics ScanCorridorWithAngle(this IList <Rate> rates, Func <Rate, double> priceHigh, Func <Rate, double> priceLow, TimeSpan barsInterval, double pointSize, CorridorCalculationMethod corridorMethod)
{
return(rates.ScanCorridorWithAngle(r => r.PriceAvg, priceHigh, priceLow, barsInterval, pointSize, corridorMethod));
}
