public Candle(decimal open, decimal close, decimal max, decimal min)
{
if (open < close)
{
Type = CandleTypeEnum.Increase;
}
else
{
Type = CandleTypeEnum.Decrease;
}
OpenPrice = open;
ClosePrice = close;
MaxPrice = max;
MinPrice = min;
}
public async Task <ICollection <MovingAverageDataPoint> > Ema(ExchangeEnum exchange, SymbolCodeEnum symbolCode, IntervalKey intervalKey, Epoch from, int dataPoints, CandleTypeEnum candleType, int period)
{
var periodOffset = period - 1;
var fromOffset = IntervalFactory.GetInterval(intervalKey, from, periodOffset * -1);
var aggValues = await MarketRepository.GetTradeAggregates(exchange, symbolCode, intervalKey, fromOffset.From, periodOffset + dataPoints);
var values = aggValues.GetValues(candleType);
int outBegIdx, outNbElement;
var smaValues = new double[dataPoints];
var retCode = TicTacTec.TA.Library.Core.Ema(0, values.Length - 1, values, period, out outBegIdx, out outNbElement, smaValues);
var validSmaValues = smaValues.Skip(outNbElement - dataPoints).Take(dataPoints).ToArray();
var validAggValues = aggValues.Skip(aggValues.Count - dataPoints).Take(dataPoints).ToArray();
if (retCode == RetCode.Success)
{
var dp = new List <MovingAverageDataPoint>();
for (var i = 0; i < validAggValues.Length; i++)
{
var agg = validAggValues[i];
dp.Add(new MovingAverageDataPoint
{
Epoch = agg.Epoch,
Value = validSmaValues[i]
});
}
return(dp);
}
throw new Exception("Unable to calculate EMA - " + retCode);
}
public async Task <ICollection <BollingerBandsDataPoint> > BollingerBands(ExchangeEnum exchange, SymbolCodeEnum symbolCode, IntervalKey intervalKey, Epoch from, int dataPoints, CandleTypeEnum candleType, int period, MovingAverageTypeEnum maType, double stdDevUp, double stdDevDown)
{
var maTypeConverted = maType.ToTaLib();
var periodOffset = period - 1;
var fromOffset = IntervalFactory.GetInterval(intervalKey, from, periodOffset * -1);
var aggValues = await MarketRepository.GetTradeAggregates(exchange, symbolCode, intervalKey, fromOffset.From, periodOffset + dataPoints);
var values = aggValues.GetValues(candleType);
int outBegIdx, outNbElement;
var upperBandValues = new double[dataPoints];
var middleBandValues = new double[dataPoints];
var lowerBandValues = new double[dataPoints];
var retCode = Bbands(0, values.Length - 1, values, period, stdDevUp, stdDevDown, maTypeConverted, out outBegIdx, out outNbElement, upperBandValues, middleBandValues, lowerBandValues);
var validUpperBandValues = upperBandValues.Skip(outNbElement - dataPoints).Take(dataPoints).ToArray();
var validMiddleBandValues = middleBandValues.Skip(outNbElement - dataPoints).Take(dataPoints).ToArray();
var validLowerBandValues = lowerBandValues.Skip(outNbElement - dataPoints).Take(dataPoints).ToArray();
var validAggValues = aggValues.Skip(aggValues.Count - dataPoints).Take(dataPoints).ToArray();
if (retCode == RetCode.Success)
{
var dp = new List <BollingerBandsDataPoint>();
for (var i = 0; i < validAggValues.Length; i++)
{
var agg = validAggValues[i];
dp.Add(new BollingerBandsDataPoint
{
Epoch = agg.Epoch,
Upper = upperBandValues[i],
Middle = middleBandValues[i],
Lower = lowerBandValues[i]
});
}
return(dp);
}
throw new Exception("Unable to calculate Bollinger Bands - " + retCode);
}
public async Task <ICollection <MacdDataPoint> > Macd(ExchangeEnum exchange, SymbolCodeEnum symbolCode, IntervalKey intervalKey, Epoch from, int dataPoints, CandleTypeEnum candleType, int fastEmaPeriod, int slowEmaPeriod, int signalPeriod)
{
var periodOffset = (slowEmaPeriod + signalPeriod) - 2;
var fromOffset = IntervalFactory.GetInterval(intervalKey, from, periodOffset * -1);
var aggValues = await MarketRepository.GetTradeAggregates(exchange, symbolCode, intervalKey, fromOffset.From, periodOffset + dataPoints);
var values = aggValues.GetValues(candleType);
int outBegIdx, outNbElement;
var macdValues = new double[dataPoints];
var signalValues = new double[dataPoints];
var histogramValues = new double[dataPoints];
var retCode = TicTacTec.TA.Library.Core.Macd(0, values.Length - 1, values, fastEmaPeriod, slowEmaPeriod, signalPeriod, out outBegIdx, out outNbElement, macdValues, signalValues, histogramValues);
var validMacdValues = macdValues.Skip(outNbElement - dataPoints).Take(dataPoints).ToArray();
var validSignalValues = signalValues.Skip(outNbElement - dataPoints).Take(dataPoints).ToArray();
var validHistogramValues = histogramValues.Skip(outNbElement - dataPoints).Take(dataPoints).ToArray();
var validAggValues = aggValues.Skip(aggValues.Count - dataPoints).Take(dataPoints).ToArray();
if (retCode == RetCode.Success)
{
var dp = new List <MacdDataPoint>();
for (var i = 0; i < validAggValues.Length; i++)
{
var agg = validAggValues[i];
dp.Add(new MacdDataPoint
{
Epoch = agg.Epoch,
Macd = validMacdValues[i],
Signal = validSignalValues[i],
Histogram = validHistogramValues[i]
});
}
return(dp);
}
throw new Exception("Unable to calculate MACD - " + retCode);
}
public static double[] GetValues(this ICollection <MarketAggregate> aggregates, CandleTypeEnum candleType)
{
switch (candleType)
{
case CandleTypeEnum.Open:
return(aggregates.Select(a => (double)a.Open).ToArray());
case CandleTypeEnum.High:
return(aggregates.Select(a => (double)a.High).ToArray());
case CandleTypeEnum.Low:
return(aggregates.Select(a => (double)a.Low).ToArray());
case CandleTypeEnum.Close:
return(aggregates.Select(a => (double)a.Close).ToArray());
default:
throw new ArgumentException($"Unhandled candle type: {candleType}", "candleType");
}
}
