public override void Initialize(RobotContext grobotContext, CurrentProtectedContext protectedContextx)
{
base.Initialize(grobotContext, protectedContextx);
if (Graphics.Count == 0)
{
Logger.DebugFormat("IchimokuRobot: настройки графиков не заданы");
return;
}
if (Graphics.Count > 1)
{
Logger.DebugFormat("IchimokuRobot: настройки графиков должны описывать один тикер / один ТФ");
return;
}
mainCandlePacker = new CandlePacker(MainTimeFrame);
dayCandlePacker = new CandlePacker(dayTimeFrame);
hourCandlePacker = new CandlePacker(hourTimeFrame);
// размер этой очереди именно periodL + periodM. Это связано с тем, что рассчитать "облако" надо для "сдвинутой" назад точки, а не для текущей.
// А что бы это сделать, нужно отступить от "сдвинутой назад точки" ещё на periodL.
shiftBackPoints = new RestrictedQueue <CandleData>(periodL + periodM);
subQueue = new[] { new RestrictedQueue <CandleData>(periodMSub1), new RestrictedQueue <CandleData>(periodMSub2) };
happenIntersection = new RestrictedQueue <bool>(m);
ticker = Graphics[0].a;
}
public void BuildSeries(ChartControl chart)
{
tooltipSeries.data.Clear();
averageRangeList.Clear();
var candles = chart.StockSeries.Data.Candles;
var minimumCandles = PointsRange > 0 ? 5 : MaPeriod + 5;
if (candles == null || candles.Count < minimumCandles)
{
return;
}
var lastRanges = new RestrictedQueue <float>(MaPeriod);
float targetSize = PointsRange > 0 ? DalSpot.Instance.GetAbsValue(chart.Symbol, (float)PointsRange) : 0;
var series = 0;
for (var i = 0; i < candles.Count; i++)
{
var candle = candles[i];
var range = candle.high - candle.low;
lastRanges.Add(range);
if (lastRanges.Length < lastRanges.MaxQueueLength && PointsRange == 0)
{
averageRangeList.Add(0);
continue;
}
var avgRange = lastRanges.Average();
averageRangeList.Add(avgRange);
var candlePercent = range * 100 / avgRange;
var isNarrow = PointsRange > 0 ? range < targetSize
: candlePercent <= NarrowPercent;
if (!isNarrow && series > 0)
{
if (series >= CandlesToSignal)
{
// отметить, сколько процентов данная свеча составила от обычной волатильности
AddMark($"{candlePercent:F0}%", $"{candlePercent:F0}%", i, candle.open, false);
}
series = 0;
continue;
}
if (!isNarrow)
{
continue;
}
series++;
if (series >= CandlesToSignal)
{
AddMark($"{series}", $"{series}", i, candle.close, true);
}
}
}
private void InitLastBidLists()
{
foreach (var varName in formulaVariableNames)
{
var queueLen = 1;
var tickerPart = varName.ToUpper();
if (varName.Contains('#'))
{
var indexSharp = varName.IndexOf('#');
if (indexSharp == 0 || indexSharp == (varName.Length - 1))
{
continue;
}
var numPart = varName.Substring(indexSharp + 1).ToIntSafe();
if (!numPart.HasValue)
{
continue;
}
queueLen = numPart.Value + 1;
tickerPart = varName.Substring(0, indexSharp).ToUpper();
}
if (tickerPart == "CLOSE" || tickerPart == "OPEN" ||
tickerPart == "HIGH" || tickerPart == "LOW")
{
tickerPart = ticker;
}
if (!tickerNames.Contains(tickerPart))
{
continue;
}
if (lastBidLists.ContainsKey(tickerPart))
{
if (lastBidLists[tickerPart].MaxQueueLength >= queueLen)
{
continue;
}
}
var queue = new RestrictedQueue <float>(queueLen);
if (lastBidLists.ContainsKey(tickerPart))
{
lastBidLists[tickerPart] = queue;
}
else
{
lastBidLists.Add(tickerPart, queue);
}
if (tickerPart == ticker && candles.MaxQueueLength < queueLen)
{
candles = new RestrictedQueue <CandleData>(queueLen);
}
}
}
/// <param name="str">строка вида "eur# gbp# chf jpy cad aud# nzd# /*коментарий*/"</param>
public CurrencyIndexInfo(string str)//, bool sewDiffParts)
{
// <param name="sewDiffParts">если true - границы индекса, при появлении новой пары "сшиваются"</param>
//this.sewDiffParts = sewDiffParts;
// убрать коментарии
while (true)
{
var startIndex = str.IndexOf("/*");
if (startIndex < 0)
{
break;
}
var endIndex = str.IndexOf("*/", startIndex);
if (endIndex < 0)
{
break;
}
var firstPart = str.Substring(0, startIndex);
firstPart = firstPart ?? "";
var lastPart = str.Substring(endIndex + 2, str.Length - endIndex - 2);
lastPart = lastPart ?? "";
str = firstPart + lastPart;
}
// имя - знак - вес
var data = new List <Cortege3 <string, int, decimal> >();
var parts = str.Split(' ', ',', ';', (char)9);
foreach (var part in parts)
{
if (string.IsNullOrEmpty(part))
{
continue;
}
string symbol;
int sign;
decimal weight;
SplitSymbolInfo(part, out symbol, out sign, out weight);
data.Add(new Cortege3 <string, int, decimal> {
a = symbol, b = sign, c = weight
});
}
pairs = data.Select(p => p.a).ToArray();
signs = data.Select(p => p.b).ToArray();
weights = data.Select(p => p.c).ToArray();
prevVector = new RestrictedQueue <decimal> [pairs.Length];
for (var i = 0; i < prevVector.Length; i++)
{
prevVector[i] = new RestrictedQueue <decimal>(momentumPeriod);
}
}
public override void Initialize(BacktestServerProxy.RobotContext robotContext, CurrentProtectedContext protectedContext)
{
base.Initialize(robotContext, protectedContext);
if (Graphics.Count == 0)
{
return;
}
ticker = Graphics[0].a;
pointCost = DalSpot.Instance.GetAbsValue(ticker, 1f);
if (BrickSizeAuto)
{
lastPrices = new RestrictedQueue <CandleData>(AutosizePeriod);
}
packer = new CandlePacker(Graphics[0].b);
}
public void BuildSeries(ChartControl chart)
{
seriesLine.Data.Clear();
seriesDeltas.data.Clear();
if (chart.StockSeries.DataCount <= periodSlow)
{
return;
}
queueFast = new RestrictedQueue <float>(periodFast);
queueSlow = new RestrictedQueue <float>(periodSlow);
// построить индюк
BuildIndi(SeriesSources[0]);
}
public void BuildSeries(ChartControl chart)
{
smmaPrev = null;
series.Data.Clear();
var candles = chart.StockSeries.Data.Candles;
if (candles.Count < period)
{
return;
}
queue = new RestrictedQueue <float>(period);
// построить МА-шку
BuildMA(SeriesSources[0]);
}
private static double [] ReduceTrendMA(double [] data, int maPeriod)
{
var maData = new RestrictedQueue <double>(maPeriod);
var outData = new List <double>();
for (var i = 0; i < data.Length; i++)
{
maData.Add(data[i]);
if (maData.Length < maPeriod)
{
continue;
}
var ma = maData.Average();
outData.Add(data[i] / ma);
}
return(outData.ToArray());
}
public CurrencyIndexInfo(string[] _pairs, int[] _signs)
{
pairs = _pairs;
signs = _signs;
prevVector = new RestrictedQueue <decimal> [pairs.Length];
for (var i = 0; i < prevVector.Length; i++)
{
prevVector[i] = new RestrictedQueue <decimal>(momentumPeriod);
}
// веса по-умолчанию
weights = new decimal[pairs.Length];
for (var i = 0; i < weights.Length; i++)
{
weights[i] = 1;
}
}
public void BuildSeries(ChartControl chart)
{
smmaPrev = null;
series.Data.Clear();
seriesUp.Data.Clear();
seriesDn.Data.Clear();
if (chart.StockSeries.DataCount < period)
{
return;
}
queue = new RestrictedQueue <float>(period);
queueDisper = new RestrictedQueue <float>(period);
// построить индюк
BuildBollinger(SeriesSources[0]);
}
public override void Initialize(BacktestServerProxy.RobotContext grobotContext,
Contract.Util.BL.CurrentProtectedContext protectedContextx)
{
base.Initialize(grobotContext, protectedContextx);
if (Graphics.Count == 0)
{
Logger.DebugFormat("CaymanRobot: настройки графиков не заданы");
return;
}
if (Graphics.Count > 1)
{
Logger.DebugFormat("CaymanRobot: настройки графиков должны описывать один тикер / один ТФ");
return;
}
packer = new CandlePacker(Graphics[0].b);
ticker = Graphics[0].a;
caymanLastSigns = new RestrictedQueue <int>(SkipCandles);
ReadCaymanHistory();
}
public override void Initialize(BacktestServerProxy.RobotContext grobotContext, Contract.Util.BL.CurrentProtectedContext protectedContextx)
{
base.Initialize(grobotContext, protectedContextx);
if (Graphics.Count == 0)
{
Logger.DebugFormat("RobotMA: настройки графиков не заданы");
return;
}
if (Graphics.Count > 1)
{
Logger.DebugFormat("RobotMA: настройки графиков должны описывать один тикер / один ТФ");
return;
}
packer = new CandlePacker(Graphics[0].b);
ticker = Graphics[0].a;
stopLoss = null;
takeProfit = null;
extremumRangeQueue = new RestrictedQueue <CandleData>(ExtremumRange * 2 + 1);
extremumQueue = new RestrictedQueue <Cortege3 <float, bool, DateTime> >(4);
}
private static double CalculateRsi(RestrictedQueue <PriceRsi> currentPairs)
{
var u = 0f;
var d = 0f;
for (var i = 1; i < currentPairs.MaxQueueLength; i++)
{
var deltaPrice = currentPairs.ElementAt(i).Price - currentPairs.ElementAt(i - 1).Price;
if (deltaPrice < 0)
{
d -= deltaPrice;
}
else
{
u += deltaPrice;
}
}
var rsi = (u == 0 && d == 0) ? 50 : 100 * u / (u + d);
return(rsi);
}
//, bool sewDiffParts)
/// <param name="str">строка вида "eur# gbp# chf jpy cad aud# nzd# /*коментарий*/"</param>
public CurrencyIndexInfo(string str)
{
// <param name="sewDiffParts">если true - границы индекса, при появлении новой пары "сшиваются"</param>
//this.sewDiffParts = sewDiffParts;
// убрать коментарии
while (true)
{
var startIndex = str.IndexOf("/*");
if (startIndex < 0) break;
var endIndex = str.IndexOf("*/", startIndex);
if (endIndex < 0) break;
var firstPart = str.Substring(0, startIndex);
firstPart = firstPart ?? "";
var lastPart = str.Substring(endIndex + 2, str.Length - endIndex - 2);
lastPart = lastPart ?? "";
str = firstPart + lastPart;
}
// имя - знак - вес
var data = new List<Cortege3<string, int, decimal>>();
var parts = str.Split(' ', ',', ';', (char)9);
foreach (var part in parts)
{
if (string.IsNullOrEmpty(part)) continue;
string symbol;
int sign;
decimal weight;
SplitSymbolInfo(part, out symbol, out sign, out weight);
data.Add(new Cortege3<string, int, decimal> { a = symbol, b = sign, c = weight });
}
pairs = data.Select(p => p.a).ToArray();
signs = data.Select(p => p.b).ToArray();
weights = data.Select(p => p.c).ToArray();
prevVector = new RestrictedQueue<decimal>[pairs.Length];
for (var i = 0; i < prevVector.Length; i++)
prevVector[i] = new RestrictedQueue<decimal>(momentumPeriod);
}
public override void Initialize(BacktestServerProxy.RobotContext grobotContext)
{
base.Initialize(grobotContext);
// проверка настроек графиков
if (Graphics.Count == 0)
{
Logger.DebugFormat("OscillatorBasedRobot: настройки графиков не заданы");
return;
}
if (Graphics.Count > 1)
{
Logger.DebugFormat("OscillatorBasedRobot: настройки графиков должны описывать один тикер / один ТФ");
return;
}
ticker = Graphics[0].a;
try
{
formulaResolver = new ExpressionResolver(indexFormula);
formulaVariableNames = formulaResolver.GetVariableNames();
lastBids = new Dictionary <string, float>();
lastIndicies = new RestrictedQueue <float>(CandlesInIndexHistory);
candles = new RestrictedQueue <CandleData>(CandlesInIndexHistory);
packer = new CandlePacker(Graphics[0].b);
indexPeaks = new List <Cortege3 <float, int, float> >();
tickerNames = DalSpot.Instance.GetTickerNames();
randomGener = new Random(DateTime.Now.Millisecond);
lastBidLists = new Dictionary <string, RestrictedQueue <float> >();
// по каждой валютной паре найти макс. количество отсчетов (из формулы индекса)
InitLastBidLists();
}
catch (Exception ex)
{
Logger.ErrorFormat("OscillatorBasedRobot: ошибка парсинга выражения \"{0}\": {1}",
indexFormula, ex);
formulaResolver = null;
}
}
public override void Initialize(BacktestServerProxy.RobotContext grobotContext, CurrentProtectedContext protectedContextx)
{
base.Initialize(grobotContext, protectedContextx);
if (Graphics.Count == 0)
{
Logger.DebugFormat("RobotMA: настройки графиков не заданы");
return;
}
if (Graphics.Count > 1)
{
Logger.DebugFormat("RobotMA: настройки графиков должны описывать один тикер / один ТФ");
return;
}
packer = new CandlePacker(Graphics[0].b);
ticker = Graphics[0].a;
maDifSign = 0;
queueSlow = new RestrictedQueue <float>(RangeSlowMA);
queueFast = new RestrictedQueue <float>(RangeFastMA);
virtualDeal = null;
prevSign = 0;
virtualResults = new RestrictedQueue <float>(PeriodVirtualResults);
}
/// <summary>
/// Проверяет, является ли средний элемент в "queue" локальным экстремумом
/// </summary>
private void CheckExtremum(RestrictedQueue <CandleData> queue)
{
bool isMax = true, isMin = true;
// Проверяемая на экстремум свеча
var checkingCandle = queue.ElementAt(ExtremumRange);
for (var i = 0; i < queue.MaxQueueLength; i++)
{
if (i == ExtremumRange)
{
continue;
}
var candle = queue.ElementAt(i);
if (checkingCandle.close <= candle.close)
{
isMax = false;
}
if (checkingCandle.close >= candle.close)
{
isMin = false;
}
if (!isMax && !isMin)
{
return;
}
}
if (isMax)
{
extremumQueue.Add(new Cortege3 <float, bool, DateTime>(checkingCandle.close, true, checkingCandle.timeClose));
}
if (isMin)
{
extremumQueue.Add(new Cortege3 <float, bool, DateTime>(checkingCandle.close, false, checkingCandle.timeClose));
}
}
public CurrencyIndexInfo(string[] _pairs, int[] _signs)
{
pairs = _pairs;
signs = _signs;
prevVector = new RestrictedQueue<decimal>[pairs.Length];
for (var i = 0; i < prevVector.Length; i++)
prevVector[i] = new RestrictedQueue<decimal>(momentumPeriod);
// веса по-умолчанию
weights = new decimal[pairs.Length];
for (var i = 0; i < weights.Length; i++) weights[i] = 1;
}
public void BuildSeries(ChartControl chart)
{
smmaPrev = null;
series.Data.Clear();
var candles = chart.StockSeries.Data.Candles;
if (candles.Count < period) return;
queue = new RestrictedQueue<float>(period);
// построить МА-шку
BuildMA(SeriesSources[0]);
}
private void InitLastBidLists()
{
foreach (var varName in formulaVariableNames)
{
var queueLen = 1;
var tickerPart = varName.ToUpper();
if (varName.Contains('#'))
{
var indexSharp = varName.IndexOf('#');
if (indexSharp == 0 || indexSharp == (varName.Length - 1)) continue;
var numPart = varName.Substring(indexSharp + 1).ToIntSafe();
if (!numPart.HasValue) continue;
queueLen = numPart.Value + 1;
tickerPart = varName.Substring(0, indexSharp).ToUpper();
}
if (tickerPart == "CLOSE" || tickerPart == "OPEN" ||
tickerPart == "HIGH" || tickerPart == "LOW")
tickerPart = ticker;
if (!tickerNames.Contains(tickerPart)) continue;
if (lastBidLists.ContainsKey(tickerPart))
if (lastBidLists[tickerPart].MaxQueueLength >= queueLen) continue;
var queue = new RestrictedQueue<float>(queueLen);
if (lastBidLists.ContainsKey(tickerPart))
lastBidLists[tickerPart] = queue;
else lastBidLists.Add(tickerPart, queue);
if (tickerPart == ticker && candles.MaxQueueLength < queueLen)
candles = new RestrictedQueue<CandleData>(queueLen);
}
}
public override void Initialize(BacktestServerProxy.RobotContext grobotContext)
{
base.Initialize(grobotContext);
// проверка настроек графиков
if (Graphics.Count == 0)
{
Logger.DebugFormat("OscillatorBasedRobot: настройки графиков не заданы");
return;
}
if (Graphics.Count > 1)
{
Logger.DebugFormat("OscillatorBasedRobot: настройки графиков должны описывать один тикер / один ТФ");
return;
}
ticker = Graphics[0].a;
try
{
formulaResolver = new ExpressionResolver(indexFormula);
formulaVariableNames = formulaResolver.GetVariableNames();
lastBids = new Dictionary<string, float>();
lastIndicies = new RestrictedQueue<float>(CandlesInIndexHistory);
candles = new RestrictedQueue<CandleData>(CandlesInIndexHistory);
packer = new CandlePacker(Graphics[0].b);
indexPeaks = new List<Cortege3<float, int, float>>();
tickerNames = DalSpot.Instance.GetTickerNames();
randomGener = new Random(DateTime.Now.Millisecond);
lastBidLists = new Dictionary<string, RestrictedQueue<float>>();
// по каждой валютной паре найти макс. количество отсчетов (из формулы индекса)
InitLastBidLists();
}
catch (Exception ex)
{
Logger.ErrorFormat("OscillatorBasedRobot: ошибка парсинга выражения \"{0}\": {1}",
indexFormula, ex);
formulaResolver = null;
}
}
public void BuildSeries(ChartControl chart)
{
seriesK.Data.Clear();
seriesD.Data.Clear();
seriesBounds.parts.Clear();
if (SeriesSources.Count == 0) return;
var source = SeriesSources[0];
if (source.DataCount == 0) return;
if (source is CandlestickSeries == false &&
source is LineSeries == false) return;
// границы
if (lowerBound > 0)
seriesBounds.parts.Add(new List<PartSeriesPoint>
{
new PartSeriesPoint(1, lowerBound),
new PartSeriesPoint(source.DataCount, lowerBound)
});
if (upperBound > 0 && upperBound < 100)
seriesBounds.parts.Add(new List<PartSeriesPoint>
{
new PartSeriesPoint(1, upperBound),
new PartSeriesPoint(source.DataCount, upperBound)
});
queue = new RestrictedQueue<float>(period);
queueMA = new RestrictedQueue<float>(periodMA);
for (var i = 0; i < source.DataCount; i++)
{
var price =
source is CandlestickSeries
? ((CandlestickSeries) source).Data.Candles[i].close
: ((LineSeries) source).GetPrice(i) ?? 0;
queue.Add(price);
if (queue.Length < period)
{
seriesK.Data.Add(50);
seriesD.Data.Add(50);
continue;
}
var minValue = float.MaxValue;
var maxValue = float.MinValue;
foreach (var p in queue)
{
if (p < minValue) minValue = p;
if (p > maxValue) maxValue = p;
}
var range = maxValue - minValue;
var k = range == 0 ? 50 : 100*(price - minValue)/range;
queueMA.Add(k);
var d = queueMA.Length == periodMA ? queueMA.Average() : k;
seriesK.Data.Add(k);
seriesD.Data.Add(d);
}
}
public void BuildSeries(ChartControl chart)
{
tooltipSeries.data.Clear();
averageRangeList.Clear();
seriesUp.Data.Clear();
seriesDn.Data.Clear();
var candles = chart.StockSeries.Data.Candles;
var minimumCandles = PointsRange > 0 ? 5 : MaPeriod + 5;
if (candles == null || candles.Count < minimumCandles)
{
return;
}
var lastRanges = new RestrictedQueue <float>(MaPeriod);
var lastHL = new RestrictedQueue <float>(MaPeriod);
float targetSize = PointsRange > 0 ? DalSpot.Instance.GetAbsValue(chart.Symbol, (float)PointsRange) : 0;
var curFrame = candles.Take(FrameLength).ToList();
lastRanges.Add(curFrame.Max(c => c.high) - curFrame.Min(c => c.low));
seriesUp.Data.Add(candles[0].high);
seriesDn.Data.Add(candles[0].low);
for (var i = 0; i < FrameLength; i++)
{
averageRangeList.Add(0);
seriesUp.Data.Add(candles[i].high);
seriesDn.Data.Add(candles[i].low);
}
var breakCandleLengthPercents = new List <float>();
var prevFrameIsNarrow = false;
for (var i = FrameLength; i < candles.Count; i++)
{
var candle = candles[i];
curFrame.RemoveAt(0);
curFrame.Add(candle);
var high = curFrame[0].high;
var low = curFrame[0].low;
foreach (var c in curFrame.Skip(1))
{
if (c.high > high)
{
high = c.high;
}
if (c.low < low)
{
low = c.low;
}
}
var range = high - low;
lastRanges.Add(range);
lastHL.Add(candle.high - candle.low);
if (lastRanges.Length < lastRanges.MaxQueueLength && PointsRange == 0)
{
averageRangeList.Add(0);
seriesUp.Data.Add(candles[i].high);
seriesDn.Data.Add(candles[i].low);
continue;
}
var avgRange = lastRanges.Average();
averageRangeList.Add(avgRange);
seriesUp.Data.Add(candles[i].close + range);
seriesDn.Data.Add(candles[i].close - range);
var avgHl = lastHL.Average();
var rangePercent = avgRange == 0 ? 0 : range * 100 / avgRange;
var isNarrow = PointsRange > 0 ? range < targetSize
: rangePercent <= NarrowPercent;
if (prevFrameIsNarrow) // && !isNarrow)
{
// отметить, сколько процентов данная свеча составила от обычной волатильности
var candlePercent = avgHl == 0 ? 0 : (candle.high - candle.low) * 100 / avgHl;
if (candlePercent > 0)
{
breakCandleLengthPercents.Add(candlePercent);
}
AddMark($"{candlePercent:F0}%", $"{candlePercent:F0}%", i, candle.open, false);
}
prevFrameIsNarrow = isNarrow;
}
// вывести в лог среднее
if (breakCandleLengthPercents.Count > 0)
{
avgBreakCandle = breakCandleLengthPercents.Average();
minBreakCandle = breakCandleLengthPercents.Min();
maxBreakCandle = breakCandleLengthPercents.Max();
breaksCount = breakCandleLengthPercents.Count;
Logger.Info($"{breakCandleLengthPercents.Count}, от {minBreakCandle:F1} до {maxBreakCandle:F1}, среднее: {avgBreakCandle:F1}");
}
}
protected string BuildSeries()
{
var indi = chart.indicators.FirstOrDefault(i => i.GetType() == typeof(IndicatorExternSeries));
if (indi == null)
{
return("Нет данных для построения (данные из файла)");
}
var indiData = indi.SeriesResult[0] as CandlestickSeries;
if (indiData.DataCount == 0)
{
return("Индикатор пуст");
}
var candles = chart.chart.StockSeries.Data.Candles;
var max = Math.Min(candles.Count, indiData.DataCount);
var lines = new List <TrendLine>();
TrendLine trendLine = null;
var dealSign = 0;
var caymanSigns = new RestrictedQueue <int>(skippedCandles);
for (var i = 0; i < max; i++)
{
var candle = indiData.Data[i];
var chartCandle = candles[i];
var extremumSign = candle.close <lowerMargin ? -1 : candle.close> upperMargin ? 1 : 0;
caymanSigns.Add(extremumSign);
if (dealSign != 0)
{
trendLine.AddPoint(i, chartCandle.close);
if ((dealSign < 0 && candle.close > 50) ||
(dealSign > 0 && candle.close < 50))
{
trendLine = null;
dealSign = 0;
}
continue;
}
dealSign = caymanSigns.Last;
if (dealSign == 0)
{
continue;
}
if (caymanSigns.Any(s => s != dealSign))
{
dealSign = 0;
continue;
}
trendLine = new TrendLine
{
Comment = CommentSpecName,
Magic = LineMagic,
LineColor = dealSign > 0 ? colorSell : ColorBuy
};
trendLine.AddPoint(i, chartCandle.close);
trendLine.AddPoint(i, chartCandle.close);
lines.Add(trendLine);
}
MakeChartGraph(lines);
return("Построено " + lines.Count + " областей");
}
private void PlaceMarkers()
{
var candles = chart.chart.StockSeries.Data.Candles;
if (candles.Count <= FrameLength + MaPeriod)
{
return;
}
var lastRanges = new RestrictedQueue <float>(MaPeriod);
var curFrame = candles.Take(FrameLength).ToList();
lastRanges.Add(curFrame.Max(c => c.high));
var prevFrameIsNarrow = false;
for (var i = FrameLength; i < candles.Count; i++)
{
var candle = candles[i];
curFrame.RemoveAt(0);
curFrame.Add(candle);
var high = curFrame[0].high;
var low = curFrame[0].low;
foreach (var c in curFrame.Skip(1))
{
if (c.high > high)
{
high = c.high;
}
if (c.low < low)
{
low = c.low;
}
}
var range = high - low;
lastRanges.Add(range);
if (lastRanges.Length < lastRanges.MaxQueueLength)
{
continue;
}
var avgRange = lastRanges.Average();
var rangePercent = avgRange == 0 ? 0 : range * 100 / avgRange;
var isNarrow = rangePercent <= NarrowPercent;
if (prevFrameIsNarrow) // && !isNarrow)
{
if (i <= MomentumPeriod)
{
continue;
}
var prevClose = candles[i - MomentumPeriod - 1].close;
if (prevClose <= 0)
{
continue;
}
var momentum = candles[i - 1].close * 100 / prevClose;
var side = momentum > 100 ? -1 : 1;
AddMark(side, i, candles, $"M: {momentum:F1}");
}
prevFrameIsNarrow = isNarrow;
}
}
public void BuildSeries(ChartControl chart)
{
seriesK.Data.Clear();
seriesD.Data.Clear();
seriesBounds.parts.Clear();
if (SeriesSources.Count == 0)
{
return;
}
var source = SeriesSources[0];
if (source.DataCount == 0)
{
return;
}
if (source is CandlestickSeries == false &&
source is LineSeries == false)
{
return;
}
// границы
if (lowerBound > 0)
{
seriesBounds.parts.Add(new List <PartSeriesPoint>
{
new PartSeriesPoint(1, lowerBound),
new PartSeriesPoint(source.DataCount, lowerBound)
});
}
if (upperBound > 0 && upperBound < 100)
{
seriesBounds.parts.Add(new List <PartSeriesPoint>
{
new PartSeriesPoint(1, upperBound),
new PartSeriesPoint(source.DataCount, upperBound)
});
}
queue = new RestrictedQueue <float>(period);
queueMA = new RestrictedQueue <float>(periodMA);
for (var i = 0; i < source.DataCount; i++)
{
var price =
source is CandlestickSeries
? ((CandlestickSeries)source).Data.Candles[i].close
: ((LineSeries)source).GetPrice(i) ?? 0;
queue.Add(price);
if (queue.Length < period)
{
seriesK.Data.Add(50);
seriesD.Data.Add(50);
continue;
}
var minValue = float.MaxValue;
var maxValue = float.MinValue;
foreach (var p in queue)
{
if (p < minValue)
{
minValue = p;
}
if (p > maxValue)
{
maxValue = p;
}
}
var range = maxValue - minValue;
var k = range == 0 ? 50 : 100 * (price - minValue) / range;
queueMA.Add(k);
var d = queueMA.Length == periodMA?queueMA.Average() : k;
seriesK.Data.Add(k);
seriesD.Data.Add(d);
}
}
private static double[] ReduceTrendMA(double []data, int maPeriod)
{
var maData = new RestrictedQueue<double>(maPeriod);
var outData = new List<double>();
for (var i = 0; i < data.Length; i++)
{
maData.Add(data[i]);
if (maData.Length < maPeriod) continue;
var ma = maData.Average();
outData.Add(data[i] / ma);
}
return outData.ToArray();
}
public void BuildSeries(ChartControl chart)
{
seriesLine.Data.Clear();
seriesDeltas.data.Clear();
if (chart.StockSeries.DataCount <= periodSlow) return;
queueFast = new RestrictedQueue<float>(periodFast);
queueSlow = new RestrictedQueue<float>(periodSlow);
// построить индюк
BuildIndi(SeriesSources[0]);
}
public override void Initialize(BacktestServerProxy.RobotContext grobotContext, CurrentProtectedContext protectedContextx)
{
base.Initialize(grobotContext, protectedContextx);
if (Graphics.Count == 0)
{
Logger.DebugFormat("RobotMA: настройки графиков не заданы");
return;
}
if (Graphics.Count > 1)
{
Logger.DebugFormat("RobotMA: настройки графиков должны описывать один тикер / один ТФ");
return;
}
packer = new CandlePacker(Graphics[0].b);
ticker = Graphics[0].a;
maDifSign = 0;
queueSlow = new RestrictedQueue<float>(RangeSlowMA);
queueFast = new RestrictedQueue<float>(RangeFastMA);
virtualDeal = null;
prevSign = 0;
virtualResults = new RestrictedQueue<float>(PeriodVirtualResults);
}
public void BuildSeries(ChartControl chart)
{
smmaPrev = null;
series.Data.Clear();
seriesUp.Data.Clear();
seriesDn.Data.Clear();
if (chart.StockSeries.DataCount < period) return;
queue = new RestrictedQueue<float>(period);
queueDisper = new RestrictedQueue<float>(period);
// построить индюк
BuildBollinger(SeriesSources[0]);
}
private string BuildSeries()
{
var indi = chart.indicators.FirstOrDefault(i => i.GetType() == typeof (IndicatorExternSeries));
if (indi == null)
return "Нет данных для построения (данные из файла)";
var indiData = indi.SeriesResult[0] as CandlestickSeries;
if (indiData.DataCount == 0) return "Индикатор пуст";
var candles = chart.chart.StockSeries.Data.Candles;
var max = Math.Min(candles.Count, indiData.DataCount);
var lastSign = 0;
var lastSigns = new RestrictedQueue<int>(skippedCandles);
var lines = new List<TrendLine>();
TrendLine trendLine = null;
for (var i = 0; i < max; i++)
{
var candle = indiData.Data[i];
var chartCandle = candles[i];
var thisSign = GetCaymanSign(candle);
lastSigns.Add(thisSign);
// растянуть регион
if (trendLine != null)
{
trendLine.AddPoint(i, chartCandle.close);
if (thisSign == lastSign)
continue;
}
lastSign = thisSign;
// завершить регион
if (trendLine != null)
{
trendLine = null;
continue;
}
if (lastSigns.Any(s => s != lastSign) || lastSigns.Length < skippedCandles) continue;
// новая линия
trendLine = new TrendLine
{
Comment = CommentSpecName,
Magic = LineMagic,
LineColor = thisSign > 0 ? colorSell : ColorBuy
};
trendLine.AddPoint(i, chartCandle.close);
lines.Add(trendLine);
}
MakeChartGraph(lines);
return "Построено " + lines.Count + " областей";
}
public override void Initialize(BacktestServerProxy.RobotContext grobotContext, Contract.Util.BL.CurrentProtectedContext protectedContextx)
{
base.Initialize(grobotContext, protectedContextx);
if (Graphics.Count == 0)
{
Logger.DebugFormat("RobotMA: настройки графиков не заданы");
return;
}
if (Graphics.Count > 1)
{
Logger.DebugFormat("RobotMA: настройки графиков должны описывать один тикер / один ТФ");
return;
}
packer = new CandlePacker(Graphics[0].b);
ticker = Graphics[0].a;
stopLoss = null;
takeProfit = null;
extremumRangeQueue = new RestrictedQueue<CandleData>(ExtremumRange * 2 + 1);
extremumQueue = new RestrictedQueue<Cortege3<float, bool, DateTime>>(4);
}
private static double CalculateRsi(RestrictedQueue<PriceRsi> currentPairs)
{
var u = 0f;
var d = 0f;
for (var i = 1; i < currentPairs.MaxQueueLength; i++)
{
var deltaPrice = currentPairs.ElementAt(i).Price - currentPairs.ElementAt(i - 1).Price;
if (deltaPrice < 0)
d -= deltaPrice;
else
u += deltaPrice;
}
var rsi = (u == 0 && d == 0) ? 50 : 100 * u / (u + d);
return rsi;
}
/// <summary>
/// Проверяет, является ли средний элемент в "queue" локальным экстремумом
/// </summary>
private void CheckExtremum(RestrictedQueue<CandleData> queue)
{
bool isMax = true, isMin = true;
// Проверяемая на экстремум свеча
var checkingCandle = queue.ElementAt(ExtremumRange);
for (var i = 0; i < queue.MaxQueueLength; i++)
{
if (i == ExtremumRange) continue;
var candle = queue.ElementAt(i);
if (checkingCandle.close <= candle.close) isMax = false;
if (checkingCandle.close >= candle.close) isMin = false;
if (!isMax && !isMin) return;
}
if (isMax) extremumQueue.Add(new Cortege3<float, bool, DateTime>(checkingCandle.close, true, checkingCandle.timeClose));
if (isMin) extremumQueue.Add(new Cortege3<float, bool, DateTime>(checkingCandle.close, false, checkingCandle.timeClose));
}
private string BuildSeries()
{
var indi = chart.indicators.FirstOrDefault(i => i.GetType() == typeof(IndicatorExternSeries));
if (indi == null)
{
return("Нет данных для построения (данные из файла)");
}
var indiData = indi.SeriesResult[0] as CandlestickSeries;
if (indiData.DataCount == 0)
{
return("Индикатор пуст");
}
var candles = chart.chart.StockSeries.Data.Candles;
var max = Math.Min(candles.Count, indiData.DataCount);
var lastSign = 0;
var lastSigns = new RestrictedQueue <int>(skippedCandles);
var lines = new List <TrendLine>();
TrendLine trendLine = null;
for (var i = 0; i < max; i++)
{
var candle = indiData.Data[i];
var chartCandle = candles[i];
var thisSign = GetCaymanSign(candle);
lastSigns.Add(thisSign);
// растянуть регион
if (trendLine != null)
{
trendLine.AddPoint(i, chartCandle.close);
if (thisSign == lastSign)
{
continue;
}
}
lastSign = thisSign;
// завершить регион
if (trendLine != null)
{
trendLine = null;
continue;
}
if (lastSigns.Any(s => s != lastSign) || lastSigns.Length < skippedCandles)
{
continue;
}
// новая линия
trendLine = new TrendLine
{
Comment = CommentSpecName,
Magic = LineMagic,
LineColor = thisSign > 0 ? colorSell : ColorBuy
};
trendLine.AddPoint(i, chartCandle.close);
lines.Add(trendLine);
}
MakeChartGraph(lines);
return("Построено " + lines.Count + " областей");
}
