//Data Event Handler: New data arrives here. "TradeBars" type is a dictionary of strings so you can access it by symbol.
// "TradeBars" object holds many "TradeBar" objects: it is a dictionary indexed by the symbol:
//
// e.g. data["MSFT"] data["GOOG"]
public void OnData(TradeBars data)
{
// update Indicators
decimal price = data[symbol].Close;
IndicatorDataPoint datum = new IndicatorDataPoint(data[symbol].Time, price);
logr14.Update(datum);
logr30.Update(datum);
// wait for the indicators to fully initialize
if (!logr30.IsReady)
{
return;
}
// stock is moving in an upwards trend
if (logr30.Current.Value > logr_30.Current.Value * 1.0m)
{
if (!Portfolio.HoldStock)
{
SetHoldings(symbol, 1m);
}
}
// stock is moving in a downwards trend
else if (logr_30.Current.Value > logr30.Current.Value * 1.0m)
{
Liquidate();
}
Plot(symbol, logr14);
Plot(symbol, logr30);
}
public void LSMAComputesCorrectly()
{
int LSMAPeriod = 20;
LeastSquaresMovingAverage LSMA = new LeastSquaresMovingAverage(LSMAPeriod);
DateTime time = DateTime.Now;
#region Array input
decimal[] expected = new decimal[40]
{
125.99m , 125.91m , 125.75m , 125.62m , 125.54m , 125.45m , 125.47m , 125.4m , 125.43m , 125.45m ,
125.42m , 125.36m , 125.23m , 125.32m , 125.26m , 125.31m , 125.41m , 125.5m , 125.51m , 125.41m ,
125.328m , 125.381m , 125.4423m, 125.4591m, 125.4689m, 125.4713m, 125.4836m, 125.4834m, 125.4803m, 125.4703m,
125.4494m, 125.4206m, 125.3669m, 125.3521m, 125.3214m, 125.2986m, 125.2909m, 125.2723m, 125.2619m, 125.2224m,
};
#endregion Array input
decimal[] actual = new decimal[prices.Length];
for (int i = 0; i < prices.Length; i++)
{
LSMA.Update(new IndicatorDataPoint(time, prices[i]));
decimal LSMAValue = Math.Round(LSMA.Current.Value, 4);
actual[i] = LSMAValue;
//Console.WriteLine(string.Format("Bar : {0} | {1}, Is ready? {2}", i, LSMA.ToString(), LSMA.IsReady));
time = time.AddMinutes(1);
}
Assert.AreEqual(expected, actual);
}
public void LSMAComputesCorrectly()
{
int LSMAPeriod = 20;
LeastSquaresMovingAverage LSMA = new LeastSquaresMovingAverage(LSMAPeriod);
DateTime time = DateTime.Now;
#region Array input
decimal[] expected = new decimal[40]
{
125.99m, 125.91m, 125.75m, 125.62m, 125.54m, 125.45m, 125.47m, 125.4m, 125.43m, 125.45m,
125.42m, 125.36m, 125.23m, 125.32m, 125.26m, 125.31m, 125.41m, 125.5m, 125.51m, 125.41m,
125.328m, 125.381m, 125.4423m, 125.4591m, 125.4689m, 125.4713m, 125.4836m, 125.4834m, 125.4803m, 125.4703m,
125.4494m, 125.4206m, 125.3669m, 125.3521m, 125.3214m, 125.2986m, 125.2909m, 125.2723m, 125.2619m, 125.2224m,
};
#endregion Array input
decimal[] actual = new decimal[prices.Length];
for (int i = 0; i < prices.Length; i++)
{
LSMA.Update(new IndicatorDataPoint(time, prices[i]));
decimal LSMAValue = Math.Round(LSMA.Current.Value, 4);
actual[i] = LSMAValue;
//Console.WriteLine(string.Format("Bar : {0} | {1}, Is ready? {2}", i, LSMA.ToString(), LSMA.IsReady));
time = time.AddMinutes(1);
}
Assert.AreEqual(expected, actual);
}
public void ResetsProperly()
{
int LSMAPeriod = 10;
DateTime time = DateTime.Now;
LeastSquaresMovingAverage LSMA = new LeastSquaresMovingAverage(LSMAPeriod);
for (int i = 0; i < LSMAPeriod + 1; i++)
{
LSMA.Update(new IndicatorDataPoint(time, 1m));
time = time.AddMinutes(1);
}
Assert.IsTrue(LSMA.IsReady, "LSMA ready");
LSMA.Reset();
TestHelper.AssertIndicatorIsInDefaultState(LSMA);
}
public void ResetsProperly()
{
int LSMAPeriod = 10;
DateTime time = DateTime.Now;
LeastSquaresMovingAverage LSMA = new LeastSquaresMovingAverage(LSMAPeriod);
for (int i = 0; i < LSMAPeriod + 1; i++)
{
LSMA.Update(new IndicatorDataPoint(time, 1m));
time.AddMinutes(1);
}
Assert.IsTrue(LSMA.IsReady, "LSMA ready");
LSMA.Reset();
TestHelper.AssertIndicatorIsInDefaultState(LSMA);
}
public void LSMAComputesCorrectly()
{
int LSMAPeriod = 20;
LeastSquaresMovingAverage LSMA = new LeastSquaresMovingAverage(LSMAPeriod);
DateTime time = DateTime.Now;
decimal[] actual = new decimal[prices.Length];
for (int i = 0; i < prices.Length; i++)
{
LSMA.Update(new IndicatorDataPoint(time, prices[i]));
decimal LSMAValue = Math.Round(LSMA.Current.Value, 4);
actual[i] = LSMAValue;
time = time.AddMinutes(1);
}
Assert.AreEqual(expected, actual);
}
public void LSMAComputesCorrectly()
{
int LSMAPeriod = 20;
LeastSquaresMovingAverage LSMA = new LeastSquaresMovingAverage(LSMAPeriod);
DateTime time = DateTime.Now;
decimal[] actual = new decimal[prices.Length];
for (int i = 0; i < prices.Length; i++)
{
LSMA.Update(new IndicatorDataPoint(time, prices[i]));
decimal LSMAValue = Math.Round(LSMA.Current.Value, 4);
actual[i] = LSMAValue;
time = time.AddMinutes(1);
}
Assert.AreEqual(expected, actual);
}
