Exemplo n.º 1
0
 protected override void Initialize()
 {
     halfPeriodHigh = CreateDataSeries();
     halfPeriodLow  = CreateDataSeries();
     filter         = CreateDataSeries();
     highLowRange1  = CreateDataSeries();
     highLowRange2  = CreateDataSeries();
     stddev         = Indicators.StandardDeviation(Source, period, MovingAverageType.Simple);
 }
Exemplo n.º 2
0
 protected override void Initialize()
 {
     halfPeriodHigh = CreateDataSeries();
     halfPeriodLow = CreateDataSeries();
     filter = CreateDataSeries();
     highLowRange1 = CreateDataSeries();
     highLowRange2 = CreateDataSeries();
     stddev = Indicators.StandardDeviation(Source, period, MovingAverageType.Simple);
 }
Exemplo n.º 3
0
 protected override void Initialize()
 {
     // Initialize and create nested indicators
     movingAverage     = Indicators.MovingAverage(Source, Period, MaType);
     standardDeviation = Indicators.StandardDeviation(Source, Period, MaType);
 }
Exemplo n.º 4
0
 protected override void Initialize()
 {
     // Initialize and create nested indicators
     movingAverage = Indicators.MovingAverage(Source, Period, MaType);
     standardDeviation = Indicators.StandardDeviation(Source, Period, MaType);
 }
Exemplo n.º 5
0
        // func()

        protected override void OnStart()
        {
            // demonstrate using indicators easier to compute in pre-build cAlgo
            // code than to compute in the external system. 
            //rsiBase = Indicators.RelativeStrengthIndex(DataSeries, RSIPeriod);
            rsi = Indicators.RelativeStrengthIndex(Source, RSIPeriod);
            stdDev = Indicators.StandardDeviation(Source, RSIPeriod, MovingAverageType.Simple);
            var ticktype = MarketSeries.TimeFrame.ToString();
            fiName = DataDir + "\\" + "exp-" + Symbol.Code + "-" + ticktype + "-rsi" + RSIPeriod + "-stddev" + StdDevPeriod + "-bars.csv";
            Print("fiName=" + fiName);

            if (System.IO.Directory.Exists(DataDir) == false)
            {
                System.IO.Directory.CreateDirectory(DataDir);
            }

            if (System.IO.File.Exists(fiName) == false)
            {
                // generate new file with CSV header only if
                // one does not already exist. 
                System.IO.File.WriteAllText(fiName, csvhead);
            }
            else
            {
                maxDate = get_most_recent_date(fiName);
            }
            Print("maxDate=" + maxDate);

            // had to open file this way to prevent .net from locking it and preventing
            // access by other processes when using to download live ticks.
            fstream = File.Open(fiName, FileMode.Open, FileAccess.Write, FileShare.ReadWrite);
            // setup to append to end of file
            Print("File is Open");
            fstream.Seek(0, SeekOrigin.End);
            // write stream has to be created after seek due to .net wierdness
            // creating with 0 prevents buffering since we want tick data
            // to be available to consumers right away.            
            fwriter = new System.IO.StreamWriter(fstream, System.Text.Encoding.UTF8, 1);
            // QUESTION:  How to tell when in Backtest mode so we
            //  can create the stream with a large buffer and turn off 
            // auto flush to improve IO performance.             
            Print("Fwriter is created");
            fwriter.AutoFlush = true;
            // with autoflush true will autocleanup 
            // since we can not close since we may run forever
            Print("done onStart()");
        }
Exemplo n.º 6
0
 protected override void Initialize()
 {
     _movingAverage = Indicators.MovingAverage(Price, Period, MaType);
     _standardDeviation = Indicators.StandardDeviation(Price, Period, MaType);
 }
Exemplo n.º 7
0
 protected override void Initialize()
 {
     _movingAverage     = Indicators.MovingAverage(Price, Period, MaType);
     _standardDeviation = Indicators.StandardDeviation(Price, Period, MaType);
 }