private int _CalcDelta(GTickTypeEnum tickType, double price, int volume, GCDCalculationModeType calcmode, bool backupmode, int filtersize, GFilterModeType filtermode)
{
int delta = 0;
int direction = _lastDirection;
if ((calcmode == GCDCalculationModeType.BidAsk) && (tickType != GTickTypeEnum.Unknown) && (tickType != GTickTypeEnum.BetweenBidAsk))
{
if ((tickType == GTickTypeEnum.BelowBid) || (tickType == GTickTypeEnum.AtBid))
{
delta = -volume;
}
else if ((tickType == GTickTypeEnum.AboveAsk) || (tickType == GTickTypeEnum.AtAsk))
{
delta = volume;
}
}
else if (calcmode == GCDCalculationModeType.UpDownTick)
{
if (_lastPrice != 0)
{
if (price > _lastPrice)
{
delta = volume;
}
if (price < _lastPrice)
{
delta = -volume;
}
}
}
else if ((calcmode == GCDCalculationModeType.UpDownTickWithContinuation) || (calcmode == GCDCalculationModeType.UpDownOneTickWithContinuation) || ((calcmode == GCDCalculationModeType.BidAsk) && (backupmode == true)))
{
if (price > _lastPrice) //normal uptick/dn tick
{
direction = 1;
}
else if (price < _lastPrice)
{
direction = -1;
}
if (calcmode == GCDCalculationModeType.UpDownOneTickWithContinuation)
{
delta = direction;
}
else
{
delta = direction * volume;
}
}
// added
else if ((calcmode == GCDCalculationModeType.Hybrid))
{
if (price > _lastPrice) //normal uptick/dn tick
{
direction = 1;
//price changed, we reinit the startlookingforreversal bool.
_startLookingForReversal = false;
}
else if (price < _lastPrice)
{
direction = -1;
_startLookingForReversal = false;
}
if (!_startLookingForReversal)
{
if (direction == 1)
{
//if going up, we want to be hitting bid to be able to start to spot reversals (hitting the ask)
_startLookingForReversal = (tickType == GTickTypeEnum.AtBid) || (tickType == GTickTypeEnum.BelowBid);
}
else
{
_startLookingForReversal = (tickType == GTickTypeEnum.AtAsk) || (tickType == GTickTypeEnum.AboveAsk);
}
}
//what happens when price is same
if (price == _lastPrice)
{
//if going up, and we have already hit the bid (startlookingforreversal is true) at a price level,
// and start hitting the ask, let's reverse
if ((direction == 1) && _startLookingForReversal && ((tickType == GTickTypeEnum.AtAsk) || (tickType == GTickTypeEnum.BetweenBidAsk)))
{
direction = -1;
}
else if ((direction == -1) && _startLookingForReversal && ((tickType == GTickTypeEnum.AtBid) || (tickType == GTickTypeEnum.BetweenBidAsk)))
{
direction = 1; //buyers take control of ask
}
}
delta = direction * volume;
}
_lastPrice = price;
_lastDirection = direction;
if ((filtermode == GFilterModeType.OnlyLargerThan) && (volume <= filtersize))
{
delta = 0;
}
if ((filtermode == GFilterModeType.OnlySmallerThan) && (volume >= filtersize))
{
delta = 0;
}
return(delta);
}
public Indicator.GDeltaIndicator GDeltaIndicator(bool backupMode, GCDCalculationModeType calcMode, GFilterModeType filterMode, int filterSize)
{
return(_indicator.GDeltaIndicator(Input, backupMode, calcMode, filterMode, filterSize));
}
/// <summary>
/// Base Class. Do not instantiate
/// </summary>
/// <returns></returns>
public Indicator.GDeltaIndicator GDeltaIndicator(Data.IDataSeries input, bool backupMode, GCDCalculationModeType calcMode, GFilterModeType filterMode, int filterSize)
{
if (InInitialize && input == null)
{
throw new ArgumentException("You only can access an indicator with the default input/bar series from within the 'Initialize()' method");
}
return(_indicator.GDeltaIndicator(input, backupMode, calcMode, filterMode, filterSize));
}
/// <summary>
/// Base Class. Do not instantiate
/// </summary>
/// <returns></returns>
public GDeltaIndicator GDeltaIndicator(Data.IDataSeries input, bool backupMode, GCDCalculationModeType calcMode, GFilterModeType filterMode, int filterSize)
{
if (cacheGDeltaIndicator != null)
{
for (int idx = 0; idx < cacheGDeltaIndicator.Length; idx++)
{
if (cacheGDeltaIndicator[idx].BackupMode == backupMode && cacheGDeltaIndicator[idx].CalcMode == calcMode && cacheGDeltaIndicator[idx].FilterMode == filterMode && cacheGDeltaIndicator[idx].FilterSize == filterSize && cacheGDeltaIndicator[idx].EqualsInput(input))
{
return(cacheGDeltaIndicator[idx]);
}
}
}
lock (checkGDeltaIndicator)
{
checkGDeltaIndicator.BackupMode = backupMode;
backupMode = checkGDeltaIndicator.BackupMode;
checkGDeltaIndicator.CalcMode = calcMode;
calcMode = checkGDeltaIndicator.CalcMode;
checkGDeltaIndicator.FilterMode = filterMode;
filterMode = checkGDeltaIndicator.FilterMode;
checkGDeltaIndicator.FilterSize = filterSize;
filterSize = checkGDeltaIndicator.FilterSize;
if (cacheGDeltaIndicator != null)
{
for (int idx = 0; idx < cacheGDeltaIndicator.Length; idx++)
{
if (cacheGDeltaIndicator[idx].BackupMode == backupMode && cacheGDeltaIndicator[idx].CalcMode == calcMode && cacheGDeltaIndicator[idx].FilterMode == filterMode && cacheGDeltaIndicator[idx].FilterSize == filterSize && cacheGDeltaIndicator[idx].EqualsInput(input))
{
return(cacheGDeltaIndicator[idx]);
}
}
}
GDeltaIndicator indicator = new GDeltaIndicator();
indicator.BarsRequired = BarsRequired;
indicator.CalculateOnBarClose = CalculateOnBarClose;
#if NT7
indicator.ForceMaximumBarsLookBack256 = ForceMaximumBarsLookBack256;
indicator.MaximumBarsLookBack = MaximumBarsLookBack;
#endif
indicator.Input = input;
indicator.BackupMode = backupMode;
indicator.CalcMode = calcMode;
indicator.FilterMode = filterMode;
indicator.FilterSize = filterSize;
Indicators.Add(indicator);
indicator.SetUp();
GDeltaIndicator[] tmp = new GDeltaIndicator[cacheGDeltaIndicator == null ? 1 : cacheGDeltaIndicator.Length + 1];
if (cacheGDeltaIndicator != null)
{
cacheGDeltaIndicator.CopyTo(tmp, 0);
}
tmp[tmp.Length - 1] = indicator;
cacheGDeltaIndicator = tmp;
return(indicator);
}
}
