public CCMRow(CMRow cmRow)
{
this.startTime = cmRow.startTime;
this.endTime = cmRow.endTime;
this.deltaPt = cmRow.deltaPt;
this.startPt = cmRow.startPt;
this.endPt = cmRow.endPt;
this.isMomentumDetected = cmRow.isMomentumDetected;
}
public static List <CMRow> cloneRows(List <CMRow> rows)
{
List <CMRow> cRows = new List <CMRow>();
foreach (CMRow row in rows)
{
CMRow cRow = row.Clone() as CMRow;
cRows.Add(cRow);
}
return(cRows);
}
public static Boolean isMomentumDetected(List <CMRow> rows, int period, double averageThreshold, double pctRemove)
{
cmResult result = calculateMaxAndAvg(rows, period, pctRemove);
CMRow currentRow = rows[rows.Count - 1];
if (currentRow.deltaPt >= result.maxThreshold && currentRow.deltaPt >= result.averageThreshold * averageThreshold)
{
return(true);
}
return(false);
/*
* List<CMRow> _clnRows = new List<CMRow> ();
* _clnRows = cloneRows(rows);
* CMRow currentRow = rows[rows.Count - 1];
* _clnRows.Reverse();
* List<CMRow> lastNRows = firstNRow(_clnRows, period);
* lastNRows.Sort(delegate(CMRow x, CMRow y)
* {
* if (x.deltaPt > y.deltaPt)
* return 1;
* if (x.deltaPt < y.deltaPt)
* return -1;
* if (x.deltaPt == y.deltaPt)
* return 0;
* return 0;
* });
*
* int numExcluded = Convert.ToInt32(Math.Floor(period * 0.1));
* int numTooHigh = numExcluded * 2;
* int indexTooHighInclude = period -numTooHigh-1;
* int startIncludeIndex = 0 + numExcluded ;
* int endIncludeIndex = period - numExcluded -1;
*
* double average = 0;
* double valueTooHigh = 0;
* for (int i = 0; i < lastNRows.Count; i++)
* {
* if (i >= startIncludeIndex && i <= endIncludeIndex) {
* average += lastNRows[i].deltaPt;
* }
*
* if (i == indexTooHighInclude)
* valueTooHigh = lastNRows[i].deltaPt;
* }
* average = average / (lastNRows.Count - numExcluded * 2);
* if (currentRow.deltaPt >= valueTooHigh && currentRow.deltaPt >= average * 3 )
* return true;
* return false;
*/
}
public static List <CMRow> calculate(List <CMRow> rows, Series <DateTime, MarketDataElement> series, int period, DateTime startTime)
{
Series <DateTime, MarketDataElement> lastNData = MarketDateElementHelper.getLastNMarketData(series, period);
MarketDataElement firstData = MarketDateElementHelper.getFirstAvaMarketData(lastNData, startTime);
MarketDataElement lastData = series.GetAt(series.KeyCount - 1);
double open = firstData.open;
double close = lastData.close;
double delta = Math.Abs(close - open);
CMRow row = new CMRow();
row.startTime = firstData.time;
row.startPt = firstData.open;
row.endTime = lastData.time;
row.endPt = lastData.close;
row.deltaPt = delta;
rows.Add(row);
return(rows);
}
public static CMRow resolveConflictRow(CMRow row1, CMRow row2)
{
Boolean isConflict = false;
if (row1.startTime <= row2.startTime && row1.endTime >= row2.startTime)
{
isConflict = true;
}
if (isConflict)
{
CMRow newRow = (CMRow)row2.Clone();
newRow.startTime = row1.endTime.AddMinutes(1);
return(newRow);
}
else
{
return(null);
}
return(null);
}
public static CMRow mergeRow(CMRow row1, CMRow row2)
{
double direction1 = row1.endPt - row1.startPt;
double direction2 = row2.endPt - row2.startPt;
if (direction1 * direction2 > 0 && row1.isMomentumDetected && row2.isMomentumDetected)
{
CMRow newRow = new CMRow();
newRow.startPt = row1.startPt;
newRow.startTime = row1.startTime;
newRow.endPt = row2.endPt;
newRow.endTime = row2.endTime;
newRow.deltaPt = Math.Abs(newRow.endPt - newRow.startPt);
newRow.isMomentumDetected = true;
return(newRow);
}
else
{
return(null);
}
return(null);
}
public static cmResult calculateMaxAndAvg(List <CMRow> rows, int period, double pctRemove)
{
List <CMRow> _clnRows = new List <CMRow>();
_clnRows = cloneRows(rows);
CMRow currentRow = rows[rows.Count - 1];
_clnRows.Reverse();
List <CMRow> lastNRows = firstNRow(_clnRows, period);
lastNRows.Sort(delegate(CMRow x, CMRow y)
{
if (x.deltaPt > y.deltaPt)
{
return(1);
}
if (x.deltaPt < y.deltaPt)
{
return(-1);
}
if (x.deltaPt == y.deltaPt)
{
return(0);
}
return(0);
});
double halfPctRemove = pctRemove / 2;
//halfPctRemove = Math.Round(halfPctRemove, 1);
int numExcluded = Convert.ToInt32(Math.Floor(period * halfPctRemove));
int numTooHigh = numExcluded * 2;
int indexTooHighInclude = period - numTooHigh - 1;
int startIncludeIndex = 0 + numExcluded;
int endIncludeIndex = period - numExcluded - 1;
double average = 0;
double valueTooHigh = 0;
for (int i = 0; i < lastNRows.Count; i++)
{
if (i >= startIncludeIndex && i <= endIncludeIndex)
{
average += lastNRows[i].deltaPt;
}
if (i == indexTooHighInclude)
{
valueTooHigh = lastNRows[i].deltaPt;
}
}
average = average / (lastNRows.Count - numExcluded * 2);
cmResult result = new cmResult();
result.averageThreshold = average;
result.maxThreshold = valueTooHigh;
return(result);
//if (currentRow.deltaPt >= valueTooHigh && currentRow.deltaPt >= average * 3 )
// return true;
//return false;
}
