public static ForexTrackData InitializeForexTrackData(ForexRecord record, ForexTrackData trackData = null)
{
return new ForexTrackData
{
CurrentRecord = 1,
AskMean = record.Ask,
BidMean = record.Bid,
SpreadMean = record.Ask - record.Bid,
AskVariance = 0.0,
BidVariance = 0.0,
SpreadVariance = 0.0,
PreviousBid = trackData == null ? -1.0 : trackData.PreviousBid,
PreviousAsk = trackData == null ? -1.0 : trackData.PreviousAsk,
PreviousSpread = trackData == null ? 1.0 : trackData.PreviousSpread
};
}
public static ForexTrackData InitializeForexTrackData(ForexRecord record, ForexTrackData trackData = null)
{
return(new ForexTrackData
{
CurrentRecord = 1,
AskMean = record.Ask,
BidMean = record.Bid,
SpreadMean = record.Ask - record.Bid,
AskVariance = 0.0,
BidVariance = 0.0,
SpreadVariance = 0.0,
PreviousBid = trackData == null ? -1.0 : trackData.PreviousBid,
PreviousAsk = trackData == null ? -1.0 : trackData.PreviousAsk,
PreviousSpread = trackData == null ? 1.0 : trackData.PreviousSpread
});
}
public static ForexTreeData BuildForexTreeRecord(ForexRecord record, ForexTrackData options)
{
var spread = record.Bid - record.Ask;
var prevSize = options.CurrentRecord - 1;
options.BidMean = (prevSize * options.BidMean + record.Bid) / options.CurrentRecord;
options.AskMean = (prevSize * options.AskMean + record.Ask) / options.CurrentRecord;
options.SpreadMean = (prevSize * options.SpreadMean + spread) / options.CurrentRecord;
if (prevSize > 0)
{
var differenceBid = record.Bid - options.BidMean;
options.BidVariance = (double)prevSize / options.CurrentRecord * options.BidVariance + 1.0 / prevSize * differenceBid * differenceBid;
var differenceAsk = record.Ask - options.AskMean;
options.AskVariance = (double)prevSize / options.CurrentRecord * options.AskVariance + 1.0 / prevSize * differenceAsk * differenceAsk;
var differenceSpread = spread - options.SpreadMean;
options.SpreadVariance = (double)prevSize / options.CurrentRecord * options.SpreadVariance + 1.0 / prevSize * differenceSpread * differenceSpread;
}
var forexTreeData = new ForexTreeData
{
Bid = record.Bid,
Ask = record.Ask,
Spread = MathHelpers.PreservePrecision(spread),
BidChange = options.PreviousBid < 0.0 ? 0.0 : MathHelpers.PreservePrecision(record.Bid / options.PreviousBid - 1),
AskChange = options.PreviousAsk < 0.0 ? 0.0 : MathHelpers.PreservePrecision(record.Ask / options.PreviousAsk - 1),
SpreadChange = options.PreviousSpread >= 0.0 ? 0.0 : MathHelpers.PreservePrecision(spread / options.PreviousSpread - 1),
BidStandardDeviation = MathHelpers.PreservePrecision(Math.Sqrt(options.BidVariance)),
AskStandardDeviation = MathHelpers.PreservePrecision(Math.Sqrt(options.AskVariance)),
SpreadStandardDeviation = MathHelpers.PreservePrecision(Math.Sqrt(options.SpreadVariance)),
BidMovingAverage = MathHelpers.PreservePrecision(options.BidMean),
AskMovingAverage = MathHelpers.PreservePrecision(options.AskMean),
SpreadMovingAverage = MathHelpers.PreservePrecision(options.SpreadMean)
};
options.PreviousBid = record.Bid;
options.PreviousAsk = record.Ask;
options.PreviousSpread = spread;
return forexTreeData;
}
public static ForexTreeData BuildForexTreeRecord(ForexRecord record, ForexTrackData options)
{
var spread = record.Bid - record.Ask;
var prevSize = options.CurrentRecord - 1;
options.BidMean = (prevSize * options.BidMean + record.Bid) / options.CurrentRecord;
options.AskMean = (prevSize * options.AskMean + record.Ask) / options.CurrentRecord;
options.SpreadMean = (prevSize * options.SpreadMean + spread) / options.CurrentRecord;
if (prevSize > 0)
{
var differenceBid = record.Bid - options.BidMean;
options.BidVariance = (double)prevSize / options.CurrentRecord * options.BidVariance + 1.0 / prevSize * differenceBid * differenceBid;
var differenceAsk = record.Ask - options.AskMean;
options.AskVariance = (double)prevSize / options.CurrentRecord * options.AskVariance + 1.0 / prevSize * differenceAsk * differenceAsk;
var differenceSpread = spread - options.SpreadMean;
options.SpreadVariance = (double)prevSize / options.CurrentRecord * options.SpreadVariance + 1.0 / prevSize * differenceSpread * differenceSpread;
}
var forexTreeData = new ForexTreeData
{
Bid = record.Bid,
Ask = record.Ask,
Spread = MathHelpers.PreservePrecision(spread),
BidChange = options.PreviousBid < 0.0 ? 0.0 : MathHelpers.PreservePrecision(record.Bid / options.PreviousBid - 1),
AskChange = options.PreviousAsk < 0.0 ? 0.0 : MathHelpers.PreservePrecision(record.Ask / options.PreviousAsk - 1),
SpreadChange = options.PreviousSpread >= 0.0 ? 0.0 : MathHelpers.PreservePrecision(spread / options.PreviousSpread - 1),
BidStandardDeviation = MathHelpers.PreservePrecision(Math.Sqrt(options.BidVariance)),
AskStandardDeviation = MathHelpers.PreservePrecision(Math.Sqrt(options.AskVariance)),
SpreadStandardDeviation = MathHelpers.PreservePrecision(Math.Sqrt(options.SpreadVariance)),
BidMovingAverage = MathHelpers.PreservePrecision(options.BidMean),
AskMovingAverage = MathHelpers.PreservePrecision(options.AskMean),
SpreadMovingAverage = MathHelpers.PreservePrecision(options.SpreadMean)
};
options.PreviousBid = record.Bid;
options.PreviousAsk = record.Ask;
options.PreviousSpread = spread;
return(forexTreeData);
}
public void PreviousSpreadIsZero_ShoudGetCorrectSpreadChange()
{
var record = new ForexRecord
{
Ask = 1.02,
Bid = 1.01,
CurrencyPair = "EURUSD",
Date = "123"
};
var options = new ForexTrackData
{
PreviousSpread = 0.0
};
var forexTreeData = ForexHelper.BuildForexTreeRecord(record, options);
Assert.AreEqual(0.0, forexTreeData.SpreadChange);
}