/// <summary>
/// Calculate ATRM indicator for bars list
/// </summary>
public static IList <double> CalcATRM(IContext context, IReadOnlyList <IDataBar> bars, int period,
Interval roundInterval, bool positive)
{
var count = bars.Count;
var atrs = context.GetArray <double>(count) ?? new double[count];
if (count == 0)
{
return(atrs);
}
double high = 0, low = 0;
double kr = 0, no = 0;
var date = roundInterval.AlignDate(bars[0].Date);
for (var i = 0; i < period; i++)
{
atrs[i] = 0;
}
double prevATR = 0;
var first = true;
for (var i = period; i < count; i++)
{
prevATR = Series.AverageTrueRange(bars, i, period, prevATR);
var kirPer = prevATR;
prevATR = kirPer;
if (DoubleUtil.IsZero(kirPer))
{
kirPer = 1e-10;
}
var date2 = roundInterval.AlignDate(bars[i].Date);
var cur = bars[i].Close;
if (first || date < date2)
{
first = false;
date = date2;
high = low = cur;
kr = no = 0;
}
if (cur > high + kirPer)
{
var kk = Math.Floor((cur - (high + kirPer)) / kirPer) + 1;
high = cur;
low = cur - kirPer;
kr = kr + kk;
no = 0;
}
if (cur < low - kirPer)
{
var kn = Math.Floor((low - kirPer - cur) / kirPer) + 1;
low = cur;
high = cur + kirPer;
no = no + kn;
kr = 0;
}
var lowValue = -no;
var highValue = kr;
var value = highValue + lowValue;
if (positive && value < 0)
{
value = 0;
}
if (!positive && value > 0)
{
value = 0;
}
atrs[i] = value;
}
return(atrs);
}
