// Updates this model using the new price information in the specified security instance
// Update is a mandatory method
public void Update(Security security, BaseData data)
{
var timeSinceLastUpdate = data.EndTime - _lastUpdate;
if (timeSinceLastUpdate >= _periodSpan && data.Price > 0m)
{
if (_lastPrice > 0)
{
_window.Add(data.Price / _lastPrice - 1.0m);
_needsUpdate = _window.IsReady;
}
_lastUpdate = data.EndTime;
_lastPrice = data.Price;
}
if (_window.Count() < 2)
{
Volatility = 0;
return;
}
if (_needsUpdate)
{
_needsUpdate = false;
var mean = _window.Average();
var std = Math.Sqrt((double)_window.Sum(x => (x - mean) * (x - mean)) / _window.Count());
Volatility = Convert.ToDecimal(std * Math.Sqrt(252d));
}
}
// Recycles unused blocks by removing them from the beginning
// of the block list and adding them back to the end of it.
private void Recycle()
{
const int Sentinel = -1;
// Don't recycle blocks too often so we don't
// spend too much time spinning our wheels
Ticks recycleTime = DateTime.UtcNow;
if ((recycleTime - m_lastRecycle).ToSeconds() < 1.0D)
{
return;
}
// The retention time tells whether a block is old
// enough that the cosumer doesn't need it anymore
Ticks retentionTime = m_retentionTime;
int unusedBlockCount = -1;
// Make sure to access m_blocks by index to avoid exceptions during
// iteration if another thread adds a block to the end of the list
for (int i = 0; i < m_endBlock && m_blocks[i].Timestamp < retentionTime; i++)
{
unusedBlockCount++;
}
if (unusedBlockCount <= 0)
{
return;
}
// The number of blocks retained is computed statistically
// to minimize both unused space and block allocations
int retainedBlockCount = unusedBlockCount;
m_removedBlockCounts.Add(unusedBlockCount);
if (m_removedBlockCounts[StatWindow - 1] != Sentinel)
{
retainedBlockCount = Math.Min((int)Math.Ceiling(m_removedBlockCounts.Average()) + 1, unusedBlockCount);
}
List <MeasurementBlock> retainedBlocks = m_blocks.GetRange(0, retainedBlockCount);
// Now lock the block list since changes to the
// list may contend with the queuing thread
lock (m_blockLock)
{
m_blocks.RemoveRange(0, unusedBlockCount);
retainedBlocks.ForEach(block => block.Reset());
m_blocks.AddRange(retainedBlocks);
m_endBlock -= unusedBlockCount;
}
m_lastRecycle = recycleTime;
}
public void WhenComputing_The_ResultIsTheArithmeticMeanOfAllDataInTheWindow()
{
const int period = 5;
var sut = new MeanComputation();
var window = new RollingWindow <double>(period);
for (int i = 0; i < 2 * period; i++)
{
window.Add(i);
var result = sut.Compute(window);
Assert.AreEqual(window.Average(), result);
}
}
public void Scan(TradeBar data)
{
var isDecreasingVolume = _volume.Skip(27).Average() < _volume.Average();
var tb = new TradeBar
{
EndTime = data.EndTime,
Close = data.Close
};
if (_rsi > 70 && !_securityHolding.Invested)
{
Signal = SignalType.Short;
}
else if (_rsi < 30 && !_securityHolding.Invested)
{
Signal = SignalType.Long;
}
else
{
Signal = SignalType.NoSignal;
}
}