internal SymbolHistory(HistoryView raw)
{
Market = raw.Id.Market;
Symbol = raw.Id.Symbol;
Resolution = raw.Id.Resolution;
Ticks = new TimeSerieNavigator <ITradeBar>(raw.Ticks);
}
public EMA(int emaPeriod, Func <T, double> valueSelector, TimeSerieNavigator <T> signal, DateTime warmUpTime)
: base("EMA", signal, warmUpTime)
{
ValueSelector = valueSelector;
Period = emaPeriod;
Alpha = 1d / Period;
}
internal SymbolHistory(HistoryView raw, DateTime startOfData, DateTime endOfData)
{
Market = raw.Id.Market;
Symbol = raw.Id.Symbol;
Resolution = raw.Id.Resolution;
Ticks = new TimeSerieNavigator <ITradeBar>(raw.Ticks.Where(t => t.Time >= startOfData && t.Time <= endOfData));
}
/// <summary>
/// Initializes a new instance of the <see cref="MeanAndVariance"/> class using the specified name and period.
/// </summary>
public ZeroLagMA(string name, int period, TimeSerieNavigator <ITradeBar> chart, DateTime warmUpTime)
: base(name, chart, warmUpTime)
{
Period = period;
Inputs = new RollingWindow <ITradeBar>(Period);
Outputs = new RollingWindow <ZeroLagMARecord>(Period);
}
public AverageTrueRange(string name, int period, TimeSerieNavigator <ITradeBar> chart, DateTime warmUpTime) :
base(name, chart, warmUpTime)
{
TrueRanges = new RollingWindow <IndicatorDataPoint>(period + 1);
Period = period;
TrueRange = new TrueRange($"{name} Companion");
}
public BollingerBands(string name, int period, double deviation, TimeSerieNavigator <ITradeBar> data, DateTime warmUpTime)
: base(name, data, warmUpTime)
{
MeanAndVariance = new MeanAndVariance($"{name} Companion", period);
Period = period;
Deviation = deviation;
}
public Indicator(string name, TimeSerieNavigator <TIn> signal, DateTime warmUpTime)
: this(name)
{
Name = name;
Signal = new TimeSerieNavigator <TIn>(signal);
Signal.SeekNearestBefore(warmUpTime);
while (Signal.MoveNext())
{
this.Update(Signal.Current);
}
signal.OnNewRecord += rec => Update(rec);
}
public virtual Task <TimeSerie <ITradeBar> > GetHistoryNavigator(DateTime historyStartTime)
{
//todo fetch history from database
TimeSerie <ITradeBar> newNavigator = new TimeSerie <ITradeBar>();
//consolidate the currently available data
using (var navigator = new TimeSerieNavigator <ITradeBar>(this.DataSource.Ticks))
{
//add all records up to current time
navigator.SeekNearestBefore(historyStartTime);
while (navigator.MoveNext() && navigator.Time <= this.DataSource.Ticks.Time)
{
newNavigator.AddRecord(navigator.Current);
}
}
return(Task.FromResult(newNavigator));
}
/// <summary>
/// Initializes a new instance of the <see cref="MeanAndVariance"/> class using the specified period.
/// </summary>
public ZeroLagMA(SymbolInfo symbol, int period, TimeSerieNavigator <ITradeBar> chart, DateTime warmUpTime) :
this($"ZLMA {symbol.Key} {period}", period, chart, warmUpTime)
{
}
public SweptArea(string name, int period, TimeSerieNavigator <ITradeBar> candles)
: base(name)
{
Period = period;
Inputs = new RollingWindow <IBaseData>(period);
}
/// <summary>
/// Initializes a new instance of the <see cref="MeanAndVariance"/> class using the specified period.
/// </summary>
public MeanAndVariance(string name, int period, TimeSerieNavigator <ITradeBar> chart, DateTime warmUpTime)
: base(name, chart, warmUpTime)
{
Inputs = new RollingWindow <ITradeBar>(Period);
Period = period;
}
public TrueRange(string name, TimeSerieNavigator <ITradeBar> chart, DateTime warmUpTime) :
base(name, chart, warmUpTime)
{
}
public HighPass(string name, int cutOffPeriod, TimeSerieNavigator <TIn> signal, DateTime warmUpTime)
: base(name, signal, warmUpTime)
{
CutoffPeriod = cutOffPeriod;
alpha = (double)CutoffPeriod / (1 + CutoffPeriod);
}
public MarketMeannessIndex(string name, int period, TimeSerieNavigator <ITradeBar> chart) : base(name)
{
Period = period;
Inputs = new RollingWindow <ITradeBar>(period);
}
