public void Indicators_Make_TrueRange_for_rts()
{
List <Bar> bars = new List <Bar>();
bars.Add(new Bar(new DateTime(2013, 10, 11, 0, 0, 0), 148630, 149220, 148600, 149140, 35));
bars.Add(new Bar(new DateTime(2013, 10, 11, 11, 0, 0), 149170, 149310, 148380, 148800, 38));
bars.Add(new Bar(new DateTime(2013, 10, 11, 12, 0, 0), 148800, 148810, 147470, 147900, 38));
bars.Add(new Bar(new DateTime(2013, 10, 11, 13, 0, 0), 147910, 148370, 147800, 148250, 38));
bars.Add(new Bar(new DateTime(2013, 10, 11, 14, 0, 0), 148240, 148340, 147920, 148130, 38));
bars.Add(new Bar(new DateTime(2013, 10, 11, 15, 0, 0), 148110, 148290, 148000, 148260, 38));
bars.Add(new Bar(new DateTime(2013, 10, 11, 16, 0, 0), 148260, 148260, 147940, 147980, 38));
bars.Add(new Bar(new DateTime(2013, 10, 11, 17, 0, 0), 147990, 148110, 147670, 147680, 38));
bars.Add(new Bar(new DateTime(2013, 10, 11, 18, 0, 0), 147680, 147940, 147110, 147920, 38));
bars.Add(new Bar(new DateTime(2013, 10, 11, 19, 0, 0), 147920, 148030, 147550, 147810, 38));
IEnumerable <double> result = TrueRange.Values(bars);
Assert.AreEqual(10, result.Count());
Assert.AreEqual(620, result.ElementAt(0));
Assert.AreEqual(930, result.ElementAt(1));
Assert.AreEqual(1340, result.ElementAt(2));
Assert.AreEqual(570, result.ElementAt(3));
Assert.AreEqual(420, result.ElementAt(4));
Assert.AreEqual(290, result.ElementAt(5));
Assert.AreEqual(320, result.ElementAt(6));
Assert.AreEqual(440, result.ElementAt(7));
Assert.AreEqual(830, result.ElementAt(8));
Assert.AreEqual(480, result.ElementAt(9));
}
/// <summary>
/// Обработчик появления новых данных
/// Вычисляет среднюю за период
/// Вычисляет отклонение источника от средней за период
/// </summary>
///// <param name="item">Bar</param>
//public override void OnEvent(long id)
public void Do(long id)
{
///вычисляем новые занчения
///Input
var input = Input.Value.ToList <Bar>();
double iTrueRange = TRx.Indicators.BarSource.Indicator.TrueRange_i(
input, input.Count - 1);
TrueRange.Add(iTrueRange);
///вызываем обработчики значений
foreach (var handler in HandlersTrueRange)
{
handler.Invoke(TrueRange.Last());
}
///упаковка посчитанных значений
ValueTrueRange.Add(new ValueDouble()
{
Id = id,
//DateTime = item.DateTime,
//TODO 4. сейчас отрисовывается по имени MaFast, надо переделать на стороне отрисовки
Name = "TrueRange",
Value = iTrueRange
});
///отправка посчитанных значений
foreach (var handler in HandlersValueTrueRange)
{
handler.Invoke(ValueTrueRange.Last());
}
}
protected override void Initialize()
{
// Initialize and create nested indicators
// tr = CreateDataSeries();
tri = Indicators.TrueRange();
TRMA = Indicators.MovingAverage(TrResult, Periods, MovingAverageType.Simple);
}
public override void GetAll(IIndicatorValues Ind)
{
int period = (int)this.IndicatorParameters.List[0];
if (!Ind.TrueRange(period).IsPopulated)
{
int oldCurrentBar = Ind.Bar.CurrentBar;
for (int i = 1; i <= Ind.Bar.MaxBar; i++)
{
Ind.Bar.CurrentBar = i;
object prototype = null;
if (i == 1)
{
prototype = new TrueRange();
}
else
{
prototype = (TrueRange)Ind.TrueRange(period)[1].Clone();
}
Get(ref prototype, Ind);
Ind.TrueRange(period)[0] = (TrueRange)prototype;
Ind.TrueRange(period).IsPopulated = true; // set here so instance is guaranteed to exits
}
Ind.Bar.CurrentBar = oldCurrentBar;
}
}
protected override void Initialize()
{
// Initialize and create nested indicators
tr = CreateDataSeries();
tri = Indicators.TrueRange();
TRMA = Indicators.MovingAverage(tr, Periods, MovingAverageType.Simple);
}
protected override void Initialize()
{
// Initialize and create nested indicators
CCI = Indicators.CommodityChannelIndex(CCI_Period);
atr = CreateDataSeries();
tr = CreateDataSeries();
tri = Indicators.TrueRange();
}
protected override void Initialize()
{
// Initialize and create nested indicators
CCI = Indicators.CommodityChannelIndex(CCI_Period);
atr = CreateDataSeries();
tr = CreateDataSeries();
tri = Indicators.TrueRange();
}
public async Task TestTrueRangeAsync()
{
var candles = await ImportCandlesAsync();
var indicator = new TrueRange(candles);
var result = indicator[candles.Count() - 1];
Assert.IsTrue(0.94m.IsApproximatelyEquals(result.Tick.Value));
}
protected override void Initialize()
{
// Initialize and create nested indicators
tr = CreateDataSeries();
tri = Indicators.TrueRange();
TRMAF = Indicators.MovingAverage(tr, FPeriods, MovingAverageType.Simple);
TRMAM = Indicators.MovingAverage(tr, MPeriods, MovingAverageType.Simple);
TRMAS = Indicators.MovingAverage(tr, SPeriods, MovingAverageType.Simple);
}
public void Indicators_Make_TrueRange_for_bar_test()
{
List <Bar> bars = new List <Bar>();
bars.Add(new Bar(new DateTime(2013, 10, 1), 50, 55, 49, 51, 35));
bars.Add(new Bar(new DateTime(2013, 10, 2), 51, 56, 48, 52, 38));
bars.Add(new Bar(new DateTime(2013, 10, 3), 49, 53, 44, 50, 41));
Assert.AreEqual(6, TrueRange.Value(bars, 0));
Assert.AreEqual(8, TrueRange.Value(bars, 1));
Assert.AreEqual(9, TrueRange.Value(bars, 2));
}
public Density(Bars bars, int NBars, string description)
: base(bars, description)
{
base.FirstValidValue = NBars;
DataSeries Area = (Highest.Series(bars.High, NBars) - Lowest.Series(bars.Low, NBars));
for (int bar = FirstValidValue; bar < bars.Count; bar++)
{
base[bar] = Sum.Series(TrueRange.Series(bars), NBars)[bar] / Area[bar];
}
}
protected override string GetPresentDetail(IOutputInstant Instant, IIndicatorValues Data, IndicatorParameters IndicatorParameters)
{
TrueRange tr = Data.TrueRange(IndicatorParameters)[Instant.ExposureDate];
if (tr != null)
{
return(String.Format("{0}|", tr.Value));
}
else
{
return(String.Format("{0}|", ""));
}
}
public TrendQuality(Bars bars, int period, string description)
: base(bars, description)
{
base.FirstValidValue = period;
double val = 0.0; double net = 0.0; double gross = 0.0;
for (int bar = FirstValidValue; bar < bars.Count; bar++)
{
net = Momentum.Series(bars.Close, period)[bar];
gross = Sum.Series(TrueRange.Series(bars), period)[bar];
val = (gross > 0) ? (net / gross) * 100 : 0;
base[bar] = val;
}
}
public Choppiness(Bars bars, int period, string description)
: base(bars, description)
{
base.FirstValidValue = period;
double true_high, true_low, true_rng, sum;
DataSeries n_high = bars.High - bars.High;
DataSeries n_low = bars.Low - bars.Low;
for (int bar = bars.FirstActualBar + period; bar < bars.Count; bar++)
{
true_high = Math.Max(bars.High[bar], bars.Close[bar - 1]);
true_low = Math.Min(bars.Low[bar], bars.Close[bar - 1]);
true_rng = TrueRange.Series(bars)[bar];
n_high[bar] = true_high;
n_low[bar] = true_low;
}
DataSeries trueHigh = Highest2.Series(bars.High, bars.Close >> 1, period);
DataSeries trueLow = Lowest2.Series(bars.Low, bars.Close >> 1, period);
double nHigh, nLow, nRange, ratio, log_ratio, log_n;
for (int bar = bars.FirstActualBar + period; bar < bars.Count; bar++)
{
// OLD:
/* nHigh = Highest.Series( n_high, period )[bar];
* nLow = Lowest.Series( n_low, period )[bar]; */
// NEW:
nHigh = trueHigh[bar];
nLow = trueLow[bar];
nRange = nHigh - nLow;
sum = Sum.Series(TrueRange.Series(bars), period)[bar];
ratio = sum / nRange;
log_ratio = Math.Log(ratio);
log_n = Math.Log(period);
if (bar <= period)
{
base[bar] = 50;
}
else
{
base[bar] = 100 * log_ratio / log_n;
}
}
}
public NRTR_WATR(Bars bars, int lookback, double multiple, string description)
: base(bars, description)
{
base.FirstValidValue = lookback;
int Trend = 0;
double Reverse = 0;
double HPrice = 0;
double LPrice = 0;
DataSeries K = WMA.Series(TrueRange.Series(bars), lookback) * multiple;
for (int bar = base.FirstValidValue; bar < bars.Count; bar++)
{
// Calculate the NRTR_WATR Series
if (Trend >= 0)
{
HPrice = Math.Max(bars.Close[bar], HPrice);
Reverse = HPrice - K[bar];
if (bars.Close[bar] <= Reverse)
{
Trend = -1;
LPrice = bars.Close[bar];
Reverse = LPrice + K[bar];
}
}
if (Trend <= 0)
{
LPrice = Math.Min(bars.Close[bar], LPrice);
Reverse = LPrice + K[bar];
if (bars.Close[bar] >= Reverse)
{
Trend = 1;
HPrice = bars.Close[bar];
Reverse = HPrice - K[bar];
}
}
base[bar] = Reverse;
}
}
protected override void Initialize()
{
_sma = Indicators.SimpleMovingAverage(MarketSeries.Close, Period);
_trueRange = (TrueRange)Indicators.TrueRange();
_ema = Indicators.ExponentialMovingAverage(_trueRange.Result, Period);
}
protected override void Initialize()
{
tr = CreateDataSeries();
tri = Indicators.TrueRange();
ema = Indicators.ExponentialMovingAverage(tr, Period);
}
protected override void Initialize()
{
alpha = 2.0 / (Period + 1.0);
tr = Indicators.TrueRange();
}
private void BData_CollectionChanged(object sender, System.Collections.Specialized.NotifyCollectionChangedEventArgs e)
{
if (e.Action == System.Collections.Specialized.NotifyCollectionChangedAction.Add)
{
var candle = (BinanceCandle)e.NewItems[0];
var TPC = (candle.Candle.High + candle.Candle.Low + candle.Candle.Close) / 3;
var TPVM = TPC * candle.Candle.Volume;
var RawData = Starter.core.Candles.Select(y => y.Candle).ToList();
int countIndex = RawData.Count - 1;
var indexdcandles = new IndexedCandle(RawData, RawData.Count() - 1);
//public static class OhlcvExtension
//zone to update with TA - Node (temporary here)
try
{
var rsi = RawData.Rsi(12, 0, countIndex);
var bb = RawData.BbWidth(20, 2);
var macd = RawData.Macd(7, 10, 12);
var chandelier = RawData.Chandlr(14, 22);
var ichimoku = RawData.Ichimoku(9, 26, 52);
var KAMA = RawData.Kama(21, 12, 32);
var Median = RawData.Median(12);
var PSAR = RawData.Sar(0.2m, 0.2m);
var DM = new DownMomentum(RawData);
var bbw = new BollingerBands(RawData, 20, 2);
var UM = new UpMomentum(RawData);
var Bullish = new Bullish(RawData);
var Bearish = new Bearish(RawData);
var trendup = new UpTrend(RawData);
var trenddown = new DownTrend(RawData);
var dmi = new DynamicMomentumIndex(RawData, 14, 30, 12, 70, 30);
var minusDI = new MinusDirectionalIndicator(RawData, 12);
var truerange = new TrueRange(RawData);
var efratio = new EfficiencyRatio(RawData, 12);
var obv = new OnBalanceVolume(RawData);
var sthrsi = new StochasticsRsiOscillator(RawData, 12);
if (rsi.Count() > 0)
{
//TA
candle.Properties.Add("RSI", rsi.Last().Tick);
candle.Properties.Add("DOWNMOMENTUM", DM.Compute(12).Last().Tick);
candle.Properties.Add("UPMOMENTUM", UM.Compute(12).Last().Tick);
candle.Properties.Add("MACD", macd.Last().Tick);
candle.Properties.Add("BB", bb.Last().Tick);
candle.Properties.Add("bbw", bbw.Compute().Last().Tick);
candle.Properties.Add("PSAR", PSAR.Last().Tick);
candle.Properties.Add("CHANDELIEREXIT", chandelier.Last().Tick);
candle.Properties.Add("ichimoku", ichimoku.Last().Tick);
candle.Properties.Add("KAMA", KAMA.Last().Tick);
candle.Properties.Add("Median", Median.Last().Tick);
candle.Properties.Add("DynamicMomentumIndex", dmi.Compute(12).Last().Tick);
candle.Properties.Add("MinusDirectionalIndicator", minusDI.Compute(12).Last().Tick);
candle.Properties.Add("TrueRange", truerange.Compute(12).Last().Tick);
candle.Properties.Add("EfficiencyRatio", efratio.Compute(12).Last().Tick);
candle.Properties.Add("OnBalanceVolume", obv.Compute(12).Last().Tick);
candle.Properties.Add("StochasticsRsiOscillator", sthrsi.Compute(12).Last().Tick);
//Pattern Periodic
candle.Properties.Add("BullishPeriodic_L1", Bullish.Compute(12).Last().Tick);
candle.Properties.Add("BearishPeriodic_L1", Bearish.Compute(12).Last().Tick);
candle.Properties.Add("UptrendPeriodic_L1", trendup.Compute(12).Last().Tick);
candle.Properties.Add("DowntrendPeriodic_L1", trenddown.Compute(12).Last().Tick);
Console.WriteLine(candle.ToString());
//candle.Properties.Add("BullishPeriodic_L2", Bullish.Compute(24).Last().Tick);
//candle.Properties.Add("BearishPeriodic_L2", Bearish.Compute(24).Last().Tick);
//candle.Properties.Add("UptrendPeriodic_L2", trendup.Compute(24).Last().Tick);
//candle.Properties.Add("DowntrendPeriodic_L2", trenddown.Compute(24).Last().Tick);
//candle.Properties.Add("BullishPeriodic_L3", Bullish.Compute(36).Last().Tick);
//candle.Properties.Add("BearishPeriodic_L3", Bearish.Compute(36).Last().Tick);
//candle.Properties.Add("UptrendPeriodic_L3", trendup.Compute(36).Last().Tick);
//candle.Properties.Add("DowntrendPeriodic_L3", trenddown.Compute(36).Last().Tick);
//PatternInject
candle.Properties.Add("bearish", indexdcandles.IsBearish());
candle.Properties.Add("isbullish", indexdcandles.IsBullish());
candle.Properties.Add("isaccumdistbearish", indexdcandles.IsAccumDistBearish());
candle.Properties.Add("isaccumdistbullish", indexdcandles.IsAccumDistBullish());
candle.Properties.Add("closepricepercentagechange", indexdcandles.ClosePricePercentageChange());
candle.Properties.Add("closepricechange", indexdcandles.ClosePriceChange());
candle.Properties.Add("isbreakinghistoricalhighestclose", indexdcandles.IsBreakingHistoricalHighestClose());
candle.Properties.Add("isbreakinghistoricalhighesthigh", indexdcandles.IsBreakingHistoricalHighestHigh());
candle.Properties.Add("isbreakinghistoricallowestlow", indexdcandles.IsBreakingHistoricalLowestLow());
candle.Properties.Add("isobvbearish", indexdcandles.IsObvBearish());
candle.Properties.Add("isobvbullish", indexdcandles.IsObvBullish());
candle.UpdateContainer();
}
}
catch { }
var LastBinanceCandle = (BinanceCandle)e.NewItems[0];
Console.WriteLine("Market Node - Sending candle : {0} to suscribers", LastBinanceCandle.UID);
Messages Content = new Messages();
Content.Content = candle.Jscontainer;
Content.MessageType = TypeOfContent.Binance_Candles;
Content.RootType = candle.TypeOfData;
Content.TargetObject = "BinanceCandle";
try
{
Send(Content.ToString());
this.Starter.core.Candles.Clear();
}
catch
{
}
}
}
protected override void Initialize()
{
atr = CreateDataSeries();
tri = Indicators.TrueRange();
expo = Indicators.MovingAverage(MarketSeries.Close, KeltnerPeriod, matype);
}
protected override void Initialize()
{
atr = CreateDataSeries();
tri = Indicators.TrueRange();
expo = Indicators.MovingAverage(MarketSeries.Close, KeltnerPeriod, matype);
}
protected override void Initialize()
{
_globalSeries = MarketData.GetSeries(Symbol, GlobalTimeFrame);
_globalTr = Indicators.TrueRange(_globalSeries);
_globalAtr = Indicators.AverageTrueRange(_globalSeries, AtrPeriod, AtrMovingAverageType);
}
protected override void Initialize()
{
_tri = Indicators.TrueRange();
}
/// <summary>
/// Initialize test
/// </summary>
public TestIndicatorTrueRange()
{
DataStream stream = new OHLCBarStream(new ForexSecurity("EURUSD"), BarInterval.FiveMin);
_sut = new TrueRange(stream, stream.DefaultInterval);
}
protected override void Initialize()
{
tr = Indicators.TrueRange();
}
protected override void Initialize()
{
_sma = Indicators.SimpleMovingAverage(MarketSeries.Close, Period);
_trueRange = (TrueRange)Indicators.TrueRange();
_ema = Indicators.ExponentialMovingAverage(_trueRange.Result, Period);
}
protected override void Initialize()
{
tr = CreateDataSeries();
tri = Indicators.TrueRange();
ema = Indicators.ExponentialMovingAverage(tr, Period);
}
protected override void Initialize()
{
_globalSeries = MarketData.GetSeries(Symbol, GlobalTimeFrame);
_globalTr = Indicators.TrueRange(_globalSeries);
_globalAtr = Indicators.AverageTrueRange(_globalSeries, AtrPeriod, AtrMovingAverageType);
}
