public void AnalyzeATR(XSymbol xs, int minutes, int atrLength)
{
var candles = m_maker.ReadCandles(xs.Exchange, xs.Symbol, minutes);
var atr = new AverageTrueRange(candles, atrLength);
atr.Values.ToList().ForEach(kv => Console.WriteLine("{0,20} {1:0.00000000}", kv.Key, kv.Value));
}
private void ConstructRenko()
{
cout("Exchange: {0} Symbol: {1} lookback: {2}", m_exchange, m_symbol, m_nbars);
//m_hourCandles = m_maker.GetCandles(m_exchange, m_symbol, minutes: 60, iterationCount: 1, force: true);
m_hourCandles = m_maker.ReadCandles(m_exchange, m_symbol, minutes: 60);
var rvol = new RealizedVolatility(m_hourCandles, m_nbars, numerator: 252 * 24);
var heights = rvol.RangeStdValues;
var candleMap = rvol.CandleMap;
/*var nstddev = 2.0M; // two standard deviations
* foreach (var kv in heights)
* {
* var ts = kv.Key;
* var stdValue = kv.Value;
* var candle = candleMap[ts];
* cout("{0} {1:0.00000000}", ts, 2 * nstddev * stdValue); // stddev goes up and down, so multiply by 2
* }*/
// Now iterate through the 1-minute bars to construct the Renko boxes
//m_minuteCandles = m_maker.GetCandles(m_exchange, m_symbol, minutes: 1, iterationCount: 20, force: true);
m_minuteCandles = m_maker.ReadCandles(m_exchange, m_symbol, minutes: 1);
//cout("minute candles count: {0}", m_minuteCandles.Count);
//var stdMult = 2.0M; // multiply stddev * 2 (+/- 2 stddev of price will be used)
var stdMult = 2.8M; // multiply stddev * 2 (+/- 2 stddev of price will be used)
decimal price = decimal.MinValue;
decimal boxHeight;
decimal triggerUp = 0, triggerDown = 0;
DateTime startTime = DateTime.MinValue, endTime = DateTime.MinValue;
foreach (var mc in m_minuteCandles)
{
var hourTimestamp = m_hourCandles.Where(c => c.Timestamp <= mc.Timestamp).Last().Timestamp;
if (price == decimal.MinValue)
{
price = mc.OpenPrice;
boxHeight = stdMult * heights[hourTimestamp];
triggerUp = price + boxHeight;
triggerDown = price - boxHeight;
startTime = mc.Timestamp;
}
var h = mc.HighPrice;
var l = mc.LowPrice;
if (h > triggerUp || l < triggerDown)
{
endTime = mc.Timestamp;
var startTimeStr = startTime.ToString("MM/dd HH:mm");
var endTimeStr = endTime.ToString("MM/dd HH:mm");
if (h > triggerUp && l < triggerDown)
{
cout("ERROR! These should not BOTH be true!");
}
if (h > triggerUp)
{
//cout("HIGH minute bar timestamp: {0} hour bar timestamp: {1} {2:0.00000000} {3:0.00000000} {4} to {5}", mc.Timestamp, hourTimestamp, h, triggerUp, startTime, endTime);
cout("UP bar {0:0.00000000} {1:0.00000000} {2:0.00000000} {3} to {4} {5,6:0.0} minutes", price, triggerUp, triggerUp - price, startTimeStr, endTimeStr, endTime.Subtract(startTime).TotalMinutes);
price = triggerUp;
}
else if (l < triggerDown)
{
//cout("LOW minute bar timestamp: {0} hour bar timestamp: {1} {2:0.00000000} {3:0.00000000} {4} to {5}", mc.Timestamp, hourTimestamp, l, triggerDown, startTime, endTime);
cout("DOWN bar {0:0.00000000} {1:0.00000000} {2:0.00000000} {3} to {4} {5,6:0.0} minutes", price, triggerDown, price - triggerDown, startTimeStr, endTimeStr, endTime.Subtract(startTime).TotalMinutes);
price = triggerDown;
}
boxHeight = stdMult * heights[hourTimestamp];
triggerUp = price + boxHeight;
triggerDown = price - boxHeight;
startTime = mc.Timestamp;
}
}
}
