protected override void OnUpdate(MarketData mktData, DateTime updateTime, Price value)
{
if (!mktData.Levels.HasValue)
{
return;
}
Publish(updateTime, new Price(GetNearestLevel(value.Mid(), mktData.Levels.Value)));
}
protected override bool Sell(Signal signal, DateTime time, Price stockValue)
{
if (!_ptf.BookTrade(signal.Trade, signal.TradingAsset.Name))
{
Reset(time, stockValue.Mid(), true);
return(false);
}
string tradeRef = signal.Trade == null ? "" : " " + signal.Trade.Reference;
Log.Instance.WriteEntry(time + tradeRef + " Signal " + signal.Id + ": SELL " + signal.TradingAsset.Id + " " + stockValue.Bid + " spread: " + (stockValue.Offer - stockValue.Bid), EventLogEntryType.Information);
return(true);
}
protected override Price IndicatorFunc(MarketData mktData, DateTime updateTime, Price value)
{
var curEma = 0m;
if (_prevEma.HasValue)
{
var curPeriod = (decimal)(updateTime - _startTime).TotalMilliseconds;
if (curPeriod > _periodMilliSeconds)
{
curPeriod = _periodMilliSeconds;
}
var timeDecay = _timeDecayWeight * (decimal)(updateTime - _startTime).TotalSeconds;
var k = (curPeriod + timeDecay) / _periodMilliSeconds;
curEma = value.Mid() * k + _prevEma.Value * (1m - k);
}
else
{
curEma = value.Mid();
}
_prevEma = curEma;
_startTime = updateTime;
return(new Price(curEma));
}
protected virtual bool OnSell(Signal signal, DateTime time, Price stockValue)
{
if (FilterSignal(signal, time))
{
var pos = _ptf.GetPosition(signal.TradingAsset.Id);
if (pos == null)
{
Reset(time, stockValue.Mid(), true);
return(false);
}
if (pos.Quantity < 0)
{
Log.Instance.WriteEntry(time + " Signal " + signal.Id + ": Some trades are still open. last trade: " + signal.Trade.Id + " " + stockValue.Bid + ". Closing all positions...", EventLogEntryType.Error);
_ptf.CloseAllPositions(time, signal.TradingAsset.Id, stockValue.Offer);
return(false);
}
signal.Trade = new Trade(time, signal.TradingAsset.Id, SIGNAL_CODE.SELL, _amount, stockValue.Bid, 0);
return(Sell(signal, time, stockValue));
}
return(false);
}
public Price CalcWMVol(MarketData mktData, DateTime updateTime, Price value)
{
Price avg = base.IndicatorFunc(mktData, updateTime, value);
var curWMVol = 0m;
if (_prevWMVol.HasValue)
{
var curPeriod = (decimal)(updateTime - _startVolTime).TotalMilliseconds;
if (curPeriod > _periodMilliSeconds)
{
curPeriod = _periodMilliSeconds;
}
var timeDecay = _timeDecayWeight * (decimal)(updateTime - _startTime).TotalSeconds;
var k = (curPeriod + timeDecay) / _periodMilliSeconds;
curWMVol = Math.Abs(value.Mid() - _ema.TimeSeries.Last().Mid()) * k + _prevWMVol.Value * (1m - k);
}
else
{
curWMVol = 0m;
}
_prevWMVol = curWMVol;
_startVolTime = updateTime;
return(new Price(curWMVol));
}
public bool Update(DateTime updateTime, Price value, Price rsi)
{
var curValue = value.Mid();
if (StartValue == decimal.MinValue)
{
StartValue = curValue;
}
if (GlobalTrend == SIGNAL_CODE.BUY)
{
if (ReachedExtremum)
{
if (curValue > LastValue)
{
PoolTrend = LastValue < StartValue ? SIGNAL_CODE.SELL : SIGNAL_CODE.BUY;
Depth = LastValue < StartValue ? ExtremumValue - StartValue : ExtremumValue - LastValue;
return(true);
}
}
else
{
if (curValue > ExtremumValue)
{
ExtremumValue = curValue;
ExtremumTime = updateTime;
}
else if (curValue < ExtremumValue)
{
ReachedExtremum = true;
}
}
}
else
{
if (ReachedExtremum)
{
if (curValue < LastValue)
{
PoolTrend = LastValue < StartValue ? SIGNAL_CODE.SELL : SIGNAL_CODE.BUY;
Depth = LastValue < StartValue ? LastValue - ExtremumValue : StartValue - ExtremumValue;
return(true);
}
}
else
{
if (curValue < ExtremumValue)
{
ExtremumValue = curValue;
ExtremumTime = updateTime;
}
else if (curValue > ExtremumValue)
{
ReachedExtremum = true;
}
}
}
LastTime = updateTime;
LastValue = curValue;
LastRsi = rsi.Bid;
return(false);
}
public static int comparison(Price p1, Price p2)
{
// precision is set to 1/10000 of bp
return (int)(10000m * (p1.Mid() - p2.Mid()));
}
protected override bool Process(MarketData indicator, DateTime updateTime, Price value, ref Signal.Tick tradingOrder)
{
if (_calendar == null)
{
_calendar = new Calendar(updateTime);
}
IndicatorRSI rsi = (IndicatorRSI)indicator;
if (indicator.TimeSeries.TotalMinutes(updateTime) < _timeFrameMn)
{
return(false);
}
if (!_startValue.HasValue)
{
_startValue = value.Mid();
}
Price curRsi = rsi.TimeSeries.Last();
Price prevRsi = rsi.TimeSeries.PrevValue(updateTime).Value.Value;
if ((prevRsi.Bid <= 50m && curRsi.Bid >= 50m) || (curRsi.Bid <= 50m && prevRsi.Bid >= 50m))
{
_rsi_loss_reset = true;
}
//_rsiSellThreshold += Math.Max(0m, curRsi.Bid - (decimal)getSellThreshold()) / 2m;
//_rsiBuyThreshold += Math.Min(0m, curRsi.Bid - (decimal)getBuyThreshold()) / 2m;
var minVal = _asset.TimeSeries.Min(updateTime.AddMinutes(-_timeFrameStopLossMn), updateTime);
var maxVal = _asset.TimeSeries.Max(updateTime.AddMinutes(-_timeFrameStopLossMn), updateTime);
if (maxVal - minVal > _maxVol)
{
//WriteBlockReason(updateTime, string.Format("reset due to vol > {0}", _maxVol));
_rsi_loss_reset = false;
}
minVal = _asset.TimeSeries.Min(updateTime.AddMinutes(-_timeFrameBottomMn), updateTime);
maxVal = _asset.TimeSeries.Max(updateTime.AddMinutes(-_timeFrameBottomMn), updateTime);
if (maxVal - minVal > _maxLongVol)
{
//WriteBlockReason(updateTime, string.Format("reset due to long vol > {0}", _maxLongVol));
_rsi_loss_reset = false;
}
if (Math.Abs(value.Mid() - _startValue.Value) > _maxTotalVol)
{
WriteBlockReason(updateTime, string.Format("stopped trading due to vol > {0}", _maxTotalVol));
_stopTrading = true;
}
if (_tradingStart > DateTime.MinValue)
{
if ((decimal)(updateTime - _tradingStart).TotalMilliseconds > _timeFrameStopLossMn * 60000m)
{
_rsi_loss_reset = false;
return(close(_id + string.Format(" close event due to timeout, AssetStart = {0}, Value = {1}", _tradingStartValue, value.Bid), ref tradingOrder));
}
else
{
int idxStopLoss = -1;
decimal ratio = 0m;
foreach (var interval in stopLossTimes)
{
idxStopLoss++;
if (interval.IsInside((int)(updateTime - _tradingStart).TotalMinutes))
{
ratio = interval.Ratio((decimal)(updateTime - _tradingStart).TotalMinutes);
break;
}
}
if (_signalCode == SIGNAL_CODE.BUY)
{
var assetMin = rsi.MinAsset((int)(updateTime - _tradingStart).TotalMinutes + 1);
var stopWin = stopWinValues[idxStopLoss].Value(ratio);
var stopBigLoss = bigStopLossValues[idxStopLoss].Value(ratio);
if (value.Bid >= _tradingStartValue + stopWin && curRsi.Bid >= getBuyThreshold() + 10)
{
return(close(_id + string.Format(" close event due to stop win. SELL AssetStart = {0}, LastValue = {1}, StopWin = {2}", _tradingStartValue, value.Bid, stopWin), ref tradingOrder));
}
else if (value.Bid - assetMin >= stopWin && curRsi.Bid >= getBuyThreshold() + 10)
{
if (value.Bid > _tradingStartValue)
{
return(close(_id + string.Format(" close event due to stop win. SELL AssetStart = {0}, LastValue = {1}", _tradingStartValue, value.Bid), ref tradingOrder));
}
else
{
_rsi_loss_reset = false;
return(close(_id + string.Format(" close event due to stop loss. SELL AssetStart = {0}, LastValue = {1}", _tradingStartValue, value.Bid), ref tradingOrder));
}
}
else if (value.Bid - _tradingStartValue >= stopBigLoss)
{
_rsi_loss_reset = false;
return(close(_id + string.Format(" close event due to stop loss. SELL AssetMin = {0}, LastValue = {1}, StopLoss = {2}", assetMin, value.Bid, stopBigLoss), ref tradingOrder));
}/*
* else if (_trend.TimeSeries.Last().Bid <= _tradingTrend - 5m && curRsi.Bid >= getBuyThreshold() + 10)
* {
* if (value.Offer > _tradingStartValue)
* return close(_id + string.Format(" close event due to stop win forced by trend. SELL AssetStart = {0}, LastValue = {1}", _tradingStartValue, value.Offer), ref tradingOrder);
* else
* {
* _rsi_loss_reset = false;
* return close(_id + string.Format(" close event due to stop loss forced by trend. SELL AssetStart = {0}, LastValue = {1}", _tradingStartValue, value.Offer), ref tradingOrder);
* }
* }*/
else
{
var stopLoss = stopLossValues[idxStopLoss].Value(ratio);
var bigStopLoss = bigStopLossValues[idxStopLoss].Value(ratio);
if ((_tradingStartValue - value.Bid >= stopLoss && curRsi.Bid >= getBuyThreshold() + 20) ||
(_tradingStartValue - value.Bid >= bigStopLoss))
{
_rsi_loss_reset = false;
return(close(_id + string.Format(" close event due to stop loss. SELL AssetStart = {0}, LastValue = {1}, StopLoss = {2}", _tradingStartValue, value.Bid, stopLoss), ref tradingOrder));
}
}
}
else
{
var assetMax = rsi.MaxAsset((int)(updateTime - _tradingStart).TotalMinutes + 1);
var stopWin = stopWinValues[idxStopLoss].Value(ratio);
var stopBigLoss = bigStopLossValues[idxStopLoss].Value(ratio);
if (value.Offer <= _tradingStartValue - stopWin && curRsi.Bid <= getSellThreshold() - 10)
{
return(close(_id + string.Format(" close event due to stop win. BUY AssetStart = {0}, LastValue = {1}, StopWin = {2}", _tradingStartValue, value.Offer, stopWin), ref tradingOrder));
}
else if (assetMax - value.Offer >= stopWin && curRsi.Bid <= getSellThreshold() - 10)
{
if (value.Offer < _tradingStartValue)
{
return(close(_id + string.Format(" close event due to stop win. BUY AssetStart = {0}, LastValue = {1}", _tradingStartValue, value.Offer), ref tradingOrder));
}
else
{
_rsi_loss_reset = false;
return(close(_id + string.Format(" close event due to stop loss. BUY AssetStart = {0}, LastValue = {1}", _tradingStartValue, value.Offer), ref tradingOrder));
}
}
else if (assetMax - value.Offer >= stopBigLoss)
{
_rsi_loss_reset = false;
return(close(_id + string.Format(" close event due to stop loss. BUY AssetMax = {0}, LastValue = {1}, StopLoss = {2}", assetMax, value.Offer, stopBigLoss), ref tradingOrder));
}/*
* else if (_trend.TimeSeries.Last().Bid >= _tradingTrend + 5m && curRsi.Bid <= getSellThreshold() - 10)
* {
* if (value.Offer < _tradingStartValue)
* return close(_id + string.Format(" close event due to stop win forced by trend. BUY AssetStart = {0}, LastValue = {1}", _tradingStartValue, value.Offer), ref tradingOrder);
* else
* {
* _rsi_loss_reset = false;
* return close(_id + string.Format(" close event due to stop loss forced by trend. BUY AssetStart = {0}, LastValue = {1}", _tradingStartValue, value.Offer), ref tradingOrder);
* }
* }*/
else
{
var stopLoss = stopLossValues[idxStopLoss].Value(ratio);
var bigStopLoss = bigStopLossValues[idxStopLoss].Value(ratio);
if ((value.Offer - _tradingStartValue >= stopLoss && curRsi.Bid <= getSellThreshold() - 20) ||
(value.Offer - _tradingStartValue >= bigStopLoss))
{
_rsi_loss_reset = false;
return(close(_id + string.Format(" close event due to stop loss. BUY AssetStart = {0}, LastValue = {1}, StopLoss = {2}", _tradingStartValue, value.Offer, stopLoss), ref tradingOrder));
}
}
}
}
}
else
{
if (!_rsi_loss_reset || _stopTrading || maxVal - minVal < _minVol || value.Offer - value.Bid > _maxSpread)
{
return(false);
}
/*
* foreach (var rsiRef in _rsiRefs)
* {
* if (rsiRef.TimeSeries.Count > 0)
* {
* if (Math.Abs(curRsi.Mid() - 50m) < Math.Abs(rsiRef.TimeSeries.Last().Mid() - 50m))
* return false;
* }
* }*/
string eventName = "";
if (_calendar.IsNearEvent(_asset.Name, updateTime, ref eventName))
{
WriteBlockReason(updateTime, "deal blocked by event: " + eventName);
_rsi_loss_reset = false;
return(false);
}
var rsiMax = rsi.MaxRsi(_timeFramePeakMn);
var rsiMin = rsi.MinRsi(_timeFramePeakMn);
//var rsiLongMax = _rsiLong.MaxRsi(_timeFrameRsiLongMn);
//var rsiLongMin = _rsiLong.MinRsi(_timeFrameRsiLongMn);
var rsiAdjustment = Math.Max(0, rsi.MaxRsi(_timeFrameBottomMn) - getSellThreshold()) - Math.Max(0, getBuyThreshold() - rsi.MinRsi(_timeFrameBottomMn));
var curEmaVeryShort = _emaVeryShort.TimeSeries.Last();
var curEmaShort = _emaShort.TimeSeries.Last();
var curEmaLong = _emaLong.TimeSeries.Last();
var curVol = _wmvol.TimeSeries.Last().Bid;
if (curVol < _maxWmVol)
{
WriteBlockReason(updateTime, "deal blocked due to vol < " + _maxWmVol);
return(false);
}
var curVolAvg = (_wmvol.Min() + _wmvol.Max()) / 2m;
if (curVol < curVolAvg)
{
WriteBlockReason(updateTime, "deal blocked due to vol < vol average");
return(false);
}
if ((curRsi.Bid >= getSellThreshold()) &&
//(curRsi.Bid - rsiAdjustment >= getSellThreshold() && curRsi.Bid >= (getSellThreshold() - 10))) && (rsiLongMax >= getSellThreshold() - 15m) &&
(curRsi.Bid > rsiMax - _startThreshold) && (curEmaVeryShort.Mid() + _maxShortMacDSpread > curEmaLong.Mid()) &&
(Math.Abs(curEmaShort.Mid() - curEmaLong.Mid()) < _maxLongMacDSpread))
{
var curVolTrend = _volTrend.TimeSeries.Last().Bid;
if (curVolTrend > 0.5m || curVolTrend < 0m)
{
WriteBlockReason(updateTime, "deal blocked due to vol not within 0 < trend < 0.5");
return(false);
}
if (!_volTrendTrend.IsMin(2, curVolTrend, 0.01m) || _volTrendTrend.IsMax(2, curVolTrend, 0.02m))
{
WriteBlockReason(updateTime, "sell event blocked due to vol trend not 1mn minimum");
return(false);
}
tradingOrder = _onSell;
_signalCode = SIGNAL_CODE.SELL;
_tradingStart = updateTime;
_tradingStartValue = value.Bid;
_tradingTrend = _trend.TimeSeries.Last().Bid;
if (curRsi.Bid >= getSellThreshold())
{
Log.Instance.WriteEntry(_id + " sell event due to RSI >= getSellThreshold()");
}
// else if (Math.Abs(curRsi.Bid - rsiMax) < _startThreshold)
// Log.Instance.WriteEntry(_id + " sell event due highest RSI peak reached");
else
{
Log.Instance.WriteEntry(_id + " sell event due to adjusted RSI >= getSellThreshold()");
}
return(true);
}
else if ((curRsi.Bid <= getBuyThreshold()) &&
//(curRsi.Bid + rsiAdjustment <= getBuyThreshold() && curRsi.Bid <= (getBuyThreshold() + 10))) && (rsiLongMin <= getBuyThreshold() + 15m) &&
(curRsi.Bid < rsiMin + _startThreshold) && (curEmaVeryShort.Mid() - _maxShortMacDSpread < curEmaLong.Mid()) &&
(Math.Abs(curEmaShort.Mid() - curEmaLong.Mid()) < _maxLongMacDSpread))
{
var curVolTrend = _volTrend.TimeSeries.Last().Bid;
if (curVolTrend < -0.5m || curVolTrend > 0m)
{
WriteBlockReason(updateTime, "deal blocked due to vol not within -0.5 < trend < 0");
return(false);
}
if (!_volTrendTrend.IsMax(2, curVolTrend, 0.01m) || _volTrendTrend.IsMin(2, curVolTrend, 0.02m))
{
WriteBlockReason(updateTime, "buy event blocked due to vol trend not 1mn maximum");
return(false);
}
tradingOrder = _onBuy;
_signalCode = SIGNAL_CODE.BUY;
_tradingStart = updateTime;
_tradingStartValue = value.Offer;
_tradingTrend = _trend.TimeSeries.Last().Bid;
if (curRsi.Bid <= getBuyThreshold())
{
Log.Instance.WriteEntry(_id + " buy event due to RSI <= getBuyThreshold()");
}
// else if (Math.Abs(curRsi.Bid - rsiMin) < _startThreshold)
// Log.Instance.WriteEntry(_id + " buy event due lowest RSI peak reached");
else
{
Log.Instance.WriteEntry(_id + " buy event due to adjusted RSI <= getBuyThreshold()");
}
return(true);
}
else
{
_signalCode = SIGNAL_CODE.HOLD;
_tradingStart = DateTime.MinValue;
_tradingStartValue = 0m;
}
}
return(false);
}
public Price CalcCurve(MarketData mktData, DateTime updateTime)
{
/*
* var topValues = new List<KeyValuePair<decimal, decimal>>();
* var bottomValues = new List<KeyValuePair<decimal, decimal>>();
* var timeOrig = updateTime.AddSeconds(_periodSec * _nbCandles);
* foreach (var candle in _trend.Candles)
* {
* topValues.Add(new KeyValuePair<decimal, decimal>((decimal)(candle.EndTime - timeOrig).TotalSeconds, candle.Max));
* bottomValues.Add(new KeyValuePair<decimal, decimal>((decimal)(candle.StartTime - timeOrig).TotalSeconds, candle.Min));
* }
* var topCurve = curvature(topValues[0].Key, topValues[0].Value, topValues[1].Key, topValues[1].Value, topValues[2].Key, topValues[2].Value);
* var bottomCurve = curvature(topValues[0].Key, topValues[0].Value, topValues[1].Key, topValues[1].Value, topValues[2].Key, topValues[2].Value);
*
* return new Price((topCurve + bottomCurve) / 2m);*/
if (updateTime >= _nextCurveTime)
{
if (mktData.TimeSeries.Count < 2)
{
return(null);
}
if (_nextCurveTime == DateTime.MinValue)
{
_nextCurveTime = updateTime.AddSeconds(_subPeriodSeconds);
}
else
{
_nextCurveTime = _nextCurveTime.AddSeconds(_subPeriodSeconds);
}
DateTime rsiTime = _nextCurveTime.AddSeconds(-_subPeriodSeconds);
if (mktData.TimeSeries.StartTime() > rsiTime)
{
return(null);
}
if (_curvCandles.Count == _nbCandles)
{
_curvCandles.RemoveAt(0);
}
if (_curvCandles.Count > 0)
{
_curCandle.EndTime = updateTime;
_curCandle = new CurvCandle(mktData.TimeSeries.Last().Mid());
}
else
{
_curCandle = new CurvCandle(mktData.TimeSeries.Last().Mid());
}
_curvCandles.Add(_curCandle);
}
else
{
_curCandle = _curvCandles.Last();
}
DateTime startTime = _nextCurveTime.AddSeconds(-_subPeriodSeconds);
if (mktData.TimeSeries.StartTime() > startTime)
{
return(null);
}
var prevValStart = mktData.TimeSeries.PrevValue(startTime);
if (!prevValStart.HasValue)
{
return(null);
}
Price valStart = prevValStart.Value.Value;
Price valEnd = mktData.TimeSeries.Last();
Price valRsiStart = prevValStart.Value.Value;
Price valRsiEnd = mktData.TimeSeries.Last();
if (valEnd > valStart)
{
_curCandle.GainAsset = true;
_curCandle.DiffAsset = valEnd.Mid() - valStart.Mid();
}
else
{
_curCandle.GainAsset = false;
_curCandle.DiffAsset = valStart.Mid() - valEnd.Mid();
}
var sumGain = 0m;
var sumLosses = 0m;
var nbGain = 0;
var nbLoss = 0;
foreach (var candle in _curvCandles)
{
if (candle.GainAsset)
{
sumGain += candle.DiffAsset;
nbGain++;
}
else
{
sumLosses += candle.DiffAsset;
nbLoss++;
}
}
var avgGain = nbGain == 0 ? 0 : sumGain / nbGain;
var avgLoss = nbLoss == 0 ? 0 : sumLosses / nbLoss;
var stdDevGain = 0m;
var stdDevLoss = 0m;
foreach (var candle in _curvCandles)
{
if (candle.GainAsset)
{
stdDevGain += (decimal)Math.Pow((double)(candle.DiffAsset - avgGain), 2.0);
}
else
{
stdDevLoss += (decimal)Math.Pow((double)(candle.DiffAsset - avgLoss), 2.0);
}
}
_curCandle.StdDevGain = nbGain == 0 ? 0m : (decimal)Math.Sqrt((double)stdDevGain / nbGain);
_curCandle.StdDevLoss = nbLoss == 0 ? 0m : (decimal)Math.Sqrt((double)stdDevLoss / nbLoss);
decimal curv = Math.Abs(sumLosses) < 0.1m ? (Math.Abs(sumGain) < 0.1m ? 1m : 1000m) : sumGain / sumLosses;
if (curv > 1m)
{
curv = 1m / curv;
}
return(new Price(100m * curv));
}
protected virtual bool OnSell(Signal signal, DateTime time, Price stockValue)
{
if (_tradingSignals != null)
{
if (_tradingSignals.Contains(signal.Id))
{
var pos = _ptf.GetPosition(signal.TradingAsset.Id);
if (pos == null)
{
Reset(time, stockValue.Mid(), true);
return false;
}
if (pos.Quantity < 0)
{
Log.Instance.WriteEntry(time + " Signal " + signal.Id + ": Some trades are still open. last trade: " + signal.Trade.Id + " " + stockValue.Bid + ". Closing all positions...", EventLogEntryType.Error);
Portfolio.Instance.CloseAllPositions(time, signal.TradingAsset.Id, stockValue.Offer, signal);
return false;
}
signal.Trade = new Trade(time, signal.TradingAsset.Id, SIGNAL_CODE.SELL, _amount, stockValue.Bid, 0, Reset);
return Sell(signal, time, stockValue);
}
}
return false;
}
public Price CalcRSI(MarketData mktData, DateTime updateTime)
{
if (updateTime >= _nextRsiTime)
{
if (mktData.TimeSeries.Count < 2)
{
return(null);
}
if (_nextRsiTime == DateTime.MinValue)
{
_nextRsiTime = updateTime.AddSeconds(_subPeriodSeconds);
}
else
{
_nextRsiTime = _nextRsiTime.AddSeconds(_subPeriodSeconds);
}
DateTime rsiTime = _nextRsiTime.AddSeconds(-_subPeriodSeconds);
if (mktData.TimeSeries.StartTime() > rsiTime)
{
return(null);
}
if (_rsiCandles.Count == _nbPeriods)
{
_rsiCandles.RemoveAt(0);
}
if (_history.Count == 120)
{
_history.RemoveAt(0);
}
if (_rsiCandles.Count > 0)
{
_curCandle.EndTime = updateTime;
var curStartRsi = _rsiCandles[_rsiCandles.Count - 1].StartRsiValue + (_rsiCandles[_rsiCandles.Count - 1].GainRsi ? _rsiCandles[_rsiCandles.Count - 1].DiffRsi:
-_rsiCandles[_rsiCandles.Count - 1].DiffRsi);
_curCandle = new RsiCandle(curStartRsi, mktData.TimeSeries.Last().Mid());
}
else
{
_curCandle = new RsiCandle(50m, mktData.TimeSeries.Last().Mid());
}
_rsiCandles.Add(_curCandle);
_history.Add(_curCandle);
}
else
{
_curCandle = _rsiCandles.Last();
}
DateTime startTime = _nextRsiTime.AddSeconds(-_subPeriodSeconds);
if (mktData.TimeSeries.StartTime() > startTime)
{
return(null);
}
var prevValStart = mktData.TimeSeries.PrevValue(startTime);
if (!prevValStart.HasValue)
{
return(null);
}
Price valStart = prevValStart.Value.Value;
Price valEnd = mktData.TimeSeries.Last();
Price valRsiStart = prevValStart.Value.Value;
Price valRsiEnd = mktData.TimeSeries.Last();
if (valEnd > valStart)
{
_curCandle.GainAsset = true;
_curCandle.DiffAsset = valEnd.Mid() - valStart.Mid();
}
else
{
_curCandle.GainAsset = false;
_curCandle.DiffAsset = valStart.Mid() - valEnd.Mid();
}
var sumGain = 0m;
var sumLosses = 0m;
var nbGain = 0;
var nbLoss = 0;
foreach (var candle in _rsiCandles)
{
if (candle.GainAsset)
{
sumGain += candle.DiffAsset;
nbGain++;
}
else
{
sumLosses += candle.DiffAsset;
nbLoss++;
}
}
var avgGain = nbGain == 0 ? 0 : sumGain / nbGain;
var avgLoss = nbLoss == 0 ? 0 : sumLosses / nbLoss;
var stdDevGain = 0m;
var stdDevLoss = 0m;
foreach (var candle in _rsiCandles)
{
if (candle.GainAsset)
{
stdDevGain += (decimal)Math.Pow((double)(candle.DiffAsset - avgGain), 2.0);
}
else
{
stdDevLoss += (decimal)Math.Pow((double)(candle.DiffAsset - avgLoss), 2.0);
}
}
_curCandle.StdDevGain = nbGain == 0 ? 0m : (decimal)Math.Sqrt((double)stdDevGain / nbGain);
_curCandle.StdDevLoss = nbLoss == 0 ? 0m : (decimal)Math.Sqrt((double)stdDevLoss / nbLoss);
decimal rs = Math.Abs(sumLosses) < 0.1m ? (Math.Abs(sumGain) < 0.1m ? 1m : 1000m) : sumGain / sumLosses;
Price rsi = new Price(100m - 100m / (1m + rs));
if (rsi.Bid > _curCandle.StartRsiValue)
{
_curCandle.GainRsi = true;
_curCandle.DiffRsi = rsi.Bid - _curCandle.StartRsiValue;
}
else
{
_curCandle.GainRsi = false;
_curCandle.DiffRsi = _curCandle.StartRsiValue - rsi.Bid;
}
return(rsi);
}
protected override void OnUpdate(MarketData mktData, DateTime updateTime, Price value)
{
if (!mktData.Levels.HasValue)
return;
Publish(updateTime, new Price(GetNearestLevel(value.Mid(), mktData.Levels.Value)));
}
public static int comparison(Price p1, Price p2)
{
// precision is set to 1/10000 of bp
return((int)(10000m * (p1.Mid() - p2.Mid())));
}