private int CorridorCrossesCount(CorridorStatistics corridornes, Func <Rate, double> getPriceHigh, Func <Rate, double> getPriceLow, Func <CorridorStatistics, double> heightUp, Func <CorridorStatistics, double> heightDown)
{
var rates = corridornes.Rates;
double[] coeffs = corridornes.Coeffs;
var rateByIndex = rates.Select((r, i) => new { index = i, rate = r }).Skip(3).ToList();
var crossPriceHigh = CorridorCrossGetHighPrice();
var crossUps = rateByIndex
.Where(rbi => crossPriceHigh(rbi.rate) >= corridornes.priceLine[rbi.index] + heightUp(corridornes))
.Select(rbi => new __rateCross(rbi.rate, true)).ToList();
var crossPriceLow = CorridorCrossGetLowPrice();
var crossDowns = rateByIndex
.Where(rbi => crossPriceLow(rbi.rate) <= corridornes.priceLine[rbi.index] - heightDown(corridornes))
.Select(rbi => new __rateCross(rbi.rate, false)).ToList();
if (crossDowns.Any() || crossUps.Any())
{
var crosses = crossUps.Concat(crossDowns).OrderByDescending(r => r.rate.StartDate).ToList();
var crossesList = new List <__rateCross>();
crossesList.Add(crosses[0]);
crosses.Aggregate((rp, rn) => {
if (rp.isUp != rn.isUp)
{
crossesList.Add(rn);
//corridornes.LegInfos.Add(new CorridorStatistics.LegInfo(rp.rate, rn.rate, BarPeriodInt.FromMinutes()));
}
return(rn);
});
return(crossesList.Count);
}
return(0);
}
private static void SetCorrelations(TradingMacro tm, List <Rate> rates, CorridorStatistics csFirst, PriceBar[] priceBars)
{
var pbs = priceBars /*.Where(pb => pb.StartDate > csFirst.StartDate)*/.OrderBy(pb => pb.StartDate).Select(pb => pb.Power).ToArray();
var rs = rates /*.Where(r => r.StartDate > csFirst.StartDate)*/.Select(r => r.PriceAvg).ToArray();
tm.Correlation_P = global::alglib.pearsoncorrelation(pbs, rs);
tm.Correlation_R = global::alglib.spearmancorr2(pbs, rs, Math.Min(pbs.Length, rs.Length));
}
public void Init(CorridorStatistics cs, double pipSize)
{
this._pipSize = pipSize;
this.priceLine = cs.priceLine;
this.priceHigh = cs.priceHigh;
this.priceLow = cs.priceLow;
Init(cs.Rates, cs.StDev, cs.Coeffs, cs.HeightUp0, cs.HeightDown0, cs.HeightUp, cs.HeightDown, cs.Iterations, cs.CorridorCrossesCount);
this.Spread = cs.Spread;
this.StDevs = cs.StDevs;
this.HeightByRegression = cs.HeightByRegression;
//GalaSoft.MvvmLight.Threading.DispatcherHelper.CheckBeginInvokeOnUI(() => {
// LegInfos.Clear();
// LegInfos.AddRange(cs.LegInfos);
//});
RaisePropertyChanged(
() => HeightUpDown0, () => HeightUpDown, () => HeightUpDown0InPips, () => HeightUpDownInPips, () => HeightUpDown0ToSpreadRatio);
}
private int CorridorCrossesCount(CorridorStatistics corridornes)
{
return(CorridorCrossesCount(corridornes, corridornes.priceHigh, corridornes.priceLow, c => c.HeightUp, c => c.HeightDown));
}
private static bool IsCorridorCountOk(CorridorStatistics cs, double corridorCrossesCountMinimum)
{
return(IsCorridorCountOk(cs.CorridorCrossesCount, corridorCrossesCountMinimum));
}
private bool IsCorridorCountOk(CorridorStatistics cs)
{
return(IsCorridorCountOk(cs, CorridorCrossesCountMinimum));
}
private bool IsCorridorOk(CorridorStatistics cs)
{
return(true);
}
