public Dictionary <BarrierDirection, decimal> GetSpacingAroundTarget(AggregateLines Lines, int BarNumber, decimal TargetValue)
{
Dictionary <BarrierDirection, decimal> directionSpacing = new Dictionary <BarrierDirection, decimal>();
Dictionary <BarrierDirection, List <IAggregateLine> > linesOfSameDirection = GetLinesOfSameDirection(Lines);
foreach (BarrierDirection key in linesOfSameDirection.Keys)
{
decimal?previousLineValue = null;
decimal?spacing = null;
bool isTargetReached = false;
foreach (IAggregateLine line in linesOfSameDirection[key].OrderBy(b => b.GetValueAt(BarNumber)))
{
decimal lineCurrentValue = line.GetValueAt(BarNumber);
if (previousLineValue == null)
{
if (lineCurrentValue > TargetValue)
{
isTargetReached = true;
break;
}
previousLineValue = lineCurrentValue;
}
else
{
spacing = lineCurrentValue - previousLineValue;
if (lineCurrentValue > TargetValue)
{
isTargetReached = true;
break;
}
previousLineValue = lineCurrentValue;
}
}
if ((spacing != null) && isTargetReached)
{
directionSpacing.Add(key, spacing ?? 0.0M);
}
}
return(directionSpacing);
}
private Dictionary <BarrierDirection, List <IAggregateLine> > GetLinesOfSameDirection(AggregateLines Lines)
{
Dictionary <BarrierDirection, List <IAggregateLine> > linesOfSameDirection = new Dictionary <BarrierDirection, List <IAggregateLine> >();
foreach (IAggregateLine line in Lines.Lines)
{
if (!linesOfSameDirection.ContainsKey(line.BarrierDirection))
{
linesOfSameDirection.Add(line.BarrierDirection, new List <IAggregateLine>());
}
linesOfSameDirection[line.BarrierDirection].Add(line);
}
return(linesOfSameDirection);
}
/// <summary>
/// Sets IsCongested and CongestedBoundary on the passed lines
/// </summary>
/// <param name="Lines"></param>
/// <param name="BarNumber"></param>
public void GetCongestion(ref AggregateLines Lines, int BarNumber)
{
Dictionary <BarrierDirection, List <IAggregateLine> > linesOfSameDirection = GetLinesOfSameDirection(Lines);
foreach (BarrierDirection key in linesOfSameDirection.Keys)
{
decimal currentLimit = Decimal.MinValue;
IAggregateLine previousLine = null;
bool isCongested = false;
bool isPreviousSetToLower = false;
bool isPreviousSetToUpper = false;
foreach (IAggregateLine line in linesOfSameDirection[key].OrderBy(b => b.GetValueAt(BarNumber)))
{
isPreviousSetToLower = false;
isPreviousSetToUpper = false;
decimal lineCurrentValue = line.GetValueAt(BarNumber);
//if ((lineCurrentValue - line.ProximateDistance) <= currentLimit)
if ((lineCurrentValue - line.CongestionDistance) <= currentLimit)
{
if (!isCongested)
{
isPreviousSetToLower = true;
}
isCongested = true;
}
else
{
if (isCongested)
{
isPreviousSetToUpper = true;
isCongested = false;
}
}
line.IsCongested = isCongested;
line.CongestedBoundary = CongestionBoundary.NotSet;
if (isPreviousSetToLower)
{
previousLine.CongestedBoundary = CongestionBoundary.Lower;
previousLine.IsCongested = true;
}
if (isPreviousSetToUpper)
{
previousLine.CongestedBoundary = CongestionBoundary.Upper;
previousLine.IsCongested = true;
}
//currentLimit = lineCurrentValue + line.ProximateDistance;
currentLimit = lineCurrentValue + line.CongestionDistance;
previousLine = line;
}
// if the last line was congested then it becomes a boundary
if (isCongested)
{
previousLine.CongestedBoundary = CongestionBoundary.Upper;
previousLine.IsCongested = true;
}
}
}
public override void Get(ref object Prototype, IIndicatorValues Ind)
{
int atrPeriod = (int)this.IndicatorParameters.List[0];
decimal atrMultiple = (decimal)this.IndicatorParameters.List[1];
decimal proximityFraction = (decimal)this.IndicatorParameters.List[2];
List <IAggregateLine> linesToAdd = new List <IAggregateLine>();
decimal atr = Ind.ATR(atrPeriod)[0].Value;
//==================
// The ATR multiple is likely to increase the range of the lines by twice its value (TODO: a power law of sorts may work better)
decimal approxSpacing = atr * (atrMultiple * 2.0M);
//==================
decimal doubleZeroIncrement = GetIncrement(approxSpacing);
decimal proximateDistance = doubleZeroIncrement * proximityFraction;
// TODO: need to deal with congestion differently as the proximity distance will now scale with the distance between lines
//decimal congestionDistance = (doubleZeroIncrement * proximityFraction) * CONGESTION_FACTOR;
decimal congestionDistance = 0.0M;
if (doubleZeroIncrement > 0.0M)
{
decimal min = Ind.Bar[0].Close - (doubleZeroIncrement * MAX_LEVELS_ABOVEANDBELOW);
decimal max = Ind.Bar[0].Close + (doubleZeroIncrement * MAX_LEVELS_ABOVEANDBELOW);
decimal value = 0.0M;
while (value < min)
{
value += doubleZeroIncrement;
}
for (; value <= max; value += doubleZeroIncrement)
{
linesToAdd.Add(new PriceLevel(
Ind.Bar.CurrentBar,
value,
true,
0,
this.FailureDistanceMultiple));
}
}
base.CleanLines(ref Prototype, Ind);
foreach (IAggregateLine line in linesToAdd)
{
(Prototype as AggregateLines).Lines.Add(line);
}
// update thresholds and proximate distance / no need to update vertical threshold for double zeros
foreach (IAggregateLine line in (Prototype as AggregateLines).Lines)
{
line.ProximateDistance = proximateDistance;
line.CongestionDistance = congestionDistance;
}
// get congestion // TODO: does this work as expected
AggregateLines lines = (Prototype as AggregateLines);
GetCongestion(ref lines, Ind.Bar[0].Number);
Prototype = lines;
}
