public static Leg GetUpLeg(int numberOfBars, Leg previousLeg = null)
{
FxBar[] barlist = new FxBar[numberOfBars + 1];
FxBar upBar = new FxBar(30, 31, 60, 61, 10, 11, 40, 41, 0, DateTime.Now, DateTime.Now);
barlist[0] = upBar;
Leg leg = new Leg(upBar, previousLeg);
for (int i = 1; i < numberOfBars; i++)
{
barlist[i] = (new FxBar
{
Open = upBar.Open + (i + 10),
AskOpen = upBar.AskOpen + (i + 10),
High = upBar.High + (i + 10),
AskHigh = upBar.AskHigh + (i + 10),
Low = upBar.Low + (i + 10),
AskLow = upBar.AskLow + (i + 10),
Close = upBar.Close + (i + 10),
AskClose = upBar.AskClose + (i + 10),
PreviousBar = barlist[i - 1]
});
leg.AddBar(barlist[i]);
}
return(leg);
}
public static Leg GetDownLeg(int numberOfBars, Leg previousLeg = null)
{
FxBar[] barlist = new FxBar[numberOfBars + 1];
FxBar downBar = new FxBar(60, 61, 120, 121, 40, 41, 50, 51, 0, DateTime.Now, DateTime.Now);
barlist[0] = downBar;
Leg leg = new Leg(downBar, previousLeg);
for (int i = 1; i < numberOfBars; i++)
{
barlist[i] = (new FxBar
{
Open = downBar.Open - (i + 10),
AskOpen = downBar.AskOpen - (i + 10),
High = downBar.High - (i + 10),
AskHigh = downBar.AskHigh - (i + 10),
Low = downBar.Low - (i + 10),
AskLow = downBar.AskLow - (i + 10),
Close = downBar.Close - (i + 10),
AskClose = downBar.AskClose - (i + 10),
PreviousBar = barlist[i - 1]
});
leg.AddBar(barlist[i]);
}
return(leg);
}
public void UpdateLastBar__Turn_LastBar_To_DownBar_And_Create_New_DownLeg()
{
LegAnalyzer la = new LegAnalyzer();
List <Bar> barList = new List <Bar>();
barList.Add(Helper.GetUpBar());
barList.Add(Helper.GetUpBar(barList.Last(), barList.Last().DateTime.AddDays(1)));
barList.Add(Helper.GetUpBar(barList.Last(), barList.Last().DateTime.AddDays(1)));
la.AddBarList(barList);
FxBar b = (FxBar)la.LastLeg.BarList[1];
FxBar nb = new FxBar
{
Open = b.Open,
AskOpen = b.AskOpen,
High = b.High - 5,
AskHigh = b.AskHigh - 5,
Low = b.Low - 5,
AskLow = b.AskLow - 5,
Close = b.Open - 3,
AskClose = b.AskOpen - 3,
DateTime = b.DateTime,
Volume = 100
};
la.UpdateLastBar(nb);
Assert.AreEqual(2, la.LegsCount);
Assert.AreEqual(LegDirection.Down, la.LastLeg.Direction);
}
public void FxBar_Update()
{
FxBar upBar = new FxBar(50, 51, 100, 101, 20, 21, 60, 61, 0, DateTime.Now, DateTime.Now);
upBar.Update(new FxBar(10, 10, 10, 10, 10, 10, 10, 10, 0, DateTime.Now, DateTime.Now));
Assert.AreEqual(10, upBar.AskHigh);
Assert.AreEqual(10, upBar.AskLow);
}
private static IEnumerable <Bar> normalizeToQuarterlyTimeFrame(List <FxBar> barList)
{
List <FxBar> quarterlyBarList = new List <FxBar>();
var index = 0;
List <FxBar> tempList;
while (index < barList.Count)
{
int count = 3 - ((barList[index].DateTime.Month - 1) % 3);
tempList = barList.GetRange(index, count);
index = index + count;
var open = tempList.First().Open;
var askOpen = tempList.First().AskOpen;
var close = tempList.Last().Close;
var askClose = tempList.Last().AskClose;
var high = tempList.Max(p => p.High);
var askHigh = tempList.Max(p => p.AskHigh);
var low = tempList.Min(p => p.Low);
var askLow = tempList.Min((p) => p.AskLow);
var volume = tempList.Sum(p => p.Volume);
var dateTime = tempList.Last().DateTime;
FxBar bar = new FxBar()
{
Open = open,
AskOpen = askOpen,
High = high,
AskHigh = askHigh,
Low = low,
AskLow = askLow,
Close = close,
AskClose = askClose,
Volume = volume,
DateTime = dateTime
};
quarterlyBarList.Add(bar);
}
return(quarterlyBarList);
}
public void UpdateLastBar__Update_Close()
{
LegAnalyzer la = new LegAnalyzer();
la.AddBar(Helper.GetUpBar());
la.AddBar(Helper.GetUpBar(la.LastBar, la.LastBar.DateTime.AddDays(1)));
FxBar b = (FxBar)la.LastBar;
FxBar nb = new FxBar
{
Open = b.Open, AskOpen = b.AskOpen, High = b.High + 5, AskHigh = b.AskHigh + 5, Low = b.Low, AskLow = b.AskLow, Close = b.Close + 3, AskClose = b.AskClose + 3, DateTime = b.DateTime, Volume = 100
};
la.UpdateLastBar(nb);
Assert.AreEqual(BarDirection.Up, la.LastBar.Direction);
Assert.AreEqual(115, la.LastBar.High);
Assert.AreEqual(116, ((FxBar)la.LastBar).AskHigh);
Assert.AreEqual(73, la.LastBar.Close);
Assert.AreEqual(74, ((FxBar)la.LastBar).AskClose);
Assert.AreEqual(200, la.LastBar.Volume);
}
public IEnumerable <Bar> ReadLocalDataAsync(Instrument instrument, Resolution resolution, DateTime fromDate, DateTime toDate)
{
List <Bar> barList = new List <Bar>();
if (!File.Exists(getFullPath(instrument, resolution)))
{
return(barList);
}
using (StreamReader sr = new StreamReader(getFullPath(instrument, resolution)))
{
string line;
if (instrument.Type == InstrumentType.Forex)
{
while ((line = sr.ReadLine()) != null)
{
string[] str = line.Split(new char[] { ',' });
FxBar b = new FxBar(Convert.ToDouble(str[0]), Convert.ToDouble(str[1]), Convert.ToDouble(str[2]), Convert.ToDouble(str[3]), Convert.ToDouble(str[4]), Convert.ToDouble(str[5]), Convert.ToDouble(str[6]), Convert.ToDouble(str[7]), Convert.ToDouble(str[8]), Convert.ToDateTime(str[9]), Convert.ToDateTime(str[10]));
barList.Add(b);
}
}
else
{
while ((line = sr.ReadLine()) != null)
{
string[] str = line.Split(new char[] { ',' });
Bar b = new Bar(Convert.ToDouble(str[0]), Convert.ToDouble(str[1]), Convert.ToDouble(str[2]), Convert.ToDouble(str[3]), Convert.ToDouble(str[4]), Convert.ToDateTime(str[5]), Convert.ToDateTime(str[6]));
barList.Add(b);
}
}
}
return(barList);
}