protected override void OnCalculate(bool fullRecalculation, DataBarUpdateType? updateType)
{
if (fullRecalculation)
{
double[] values1 = DataProvider.GetValuesAsDouble(_dataSource, 0, DataProvider.BarCount);
Results.AddSetValues("Volume", 0, values1.Length, true, values1);
}
else
{
// How many steps to overlap for safety.
int overlap = Math.Max(0, Math.Min(5, Results.SetLength - 1));
if (Results.SetLength > DataProvider.BarCount)
{// This happens sometimes and causes exception.
Results.ClipTo(DataProvider.BarCount);
return;
}
int startIndex = Math.Max(0, Results.SetLength - overlap);
int count = DataProvider.BarCount - startIndex;
double[] values1 = DataProvider.GetValuesAsDouble(_dataSource, startIndex, count);
Results.AddSetValues("Volume", startIndex, count, true, values1);
}
}
/// <summary>
/// Quote dataDelivery was updated.
/// </summary>
protected override void OnDataBarPeriodUpdate(DataBarUpdateType updateType, int updatedBarsCount)
{
Indicator indicator = this.ObtainIndicator("Rsi");
if (indicator.Results.GetValueSetCurrentValue(0).HasValue == false
|| this.CanPlaceOrders == false)
{
return;
}
Trace(indicator.Results.GetValueSetCurrentValue(0).Value.ToString());
// Get the value of the [0] index operationResult set of this indicator.
// Each indicator can have many operationResult sets - each represeting a "line" on the chart.
if (indicator.Results.GetValueSetCurrentValue(0) > BuyValue)
{// If the Rsi operationResult is above BuyValue, take some action.
if (this.CurrentPositionVolume == 0)
{// Open an order if none are already opened.
this.OpenBuyOrder(10000);
}
}
else if (indicator.Results.GetValueSetCurrentValue(0) < SellValue)
{ // If the Rsi operationResult is below SellValue, take some other action.
if (this.CurrentPositionVolume > 0)
{// Close the first open order.
//this.OpenAndPendingOrders[0].Close();
this.ClosePosition();
}
}
}
/// <summary>
/// Quote dataDelivery was updated.
/// </summary>
protected override void OnDataBarPeriodUpdate(DataBarUpdateType updateType, int updatedBarsCount)
{
Indicator indicator = this.ObtainIndicator("Rsi");
if (indicator.Results.GetValueSetCurrentValue(0).HasValue == false
|| this.CanPlaceOrders == false)
{
return;
}
Trace(indicator.Results.GetValueSetCurrentValue(0).Value.ToString());
if (this.CurrentPositionVolume == 0)
{
// Get the value of the [0] index operationResult set of this indicator.
// Each indicator can have many operationResult sets - each represeting a "line" on the chart.
if (indicator.Results.GetValueSetCurrentValue(0) > BuyValue)
{// If the Rsi operationResult is above BuyValue, take some action.
this.OpenBuyOrder(10000);
}
else if (indicator.Results.GetValueSetCurrentValue(0) < SellValue)
{
this.OpenSellOrder(10000);
}
}
else
{// Maybe we need to close an open position.
if (this.CurrentPositionVolume > 0
&& indicator.Results.GetValueSetCurrentValue(0) < ClosePositionValue)
{// If the Rsi operationResult is below SellValue, close buy position.
this.ClosePosition();
}
if (this.CurrentPositionVolume < 0
&& indicator.Results.GetValueSetCurrentValue(0) > ClosePositionValue)
{// If the Rsi operationResult is above SellValue, close sell position.
this.ClosePosition();
}
}
}
/// <summary>
/// Quote dataDelivery was updated.
/// </summary>
protected override void OnDataBarPeriodUpdate(DataBarUpdateType updateType, int updatedBarsCount)
{
Indicator indicator = this.ObtainIndicator("Rsi");
if (indicator.Results.GetValueSetCurrentValue(0).HasValue == false ||
this.CanPlaceOrders == false)
{
return;
}
Trace(indicator.Results.GetValueSetCurrentValue(0).Value.ToString());
if (this.CurrentPositionVolume == 0)
{
// Get the value of the [0] index operationResult set of this indicator.
// Each indicator can have many operationResult sets - each represeting a "line" on the chart.
if (indicator.Results.GetValueSetCurrentValue(0) > BuyValue)
{// If the Rsi operationResult is above BuyValue, take some action.
this.OpenBuyOrder(10000);
}
else if (indicator.Results.GetValueSetCurrentValue(0) < SellValue)
{
this.OpenSellOrder(10000);
}
}
else
{// Maybe we need to close an open position.
if (this.CurrentPositionVolume > 0 &&
indicator.Results.GetValueSetCurrentValue(0) < ClosePositionValue)
{// If the Rsi operationResult is below SellValue, close buy position.
this.ClosePosition();
}
if (this.CurrentPositionVolume < 0 &&
indicator.Results.GetValueSetCurrentValue(0) > ClosePositionValue)
{// If the Rsi operationResult is above SellValue, close sell position.
this.ClosePosition();
}
}
}
void _dataProvider_DataBarHistoryUpdateEvent(IDataBarHistoryProvider provider, DataBarUpdateType updateType, int updatedBarsCount)
{
Calculate(false, updateType);
}
void DataBarHistory_DataBarHistoryUpdateEvent(IDataBarHistoryProvider provider, DataBarUpdateType updateType, int updatedBarsCount)
{
if (updateType == DataBarUpdateType.Initial)
{// Only executes on initial adding of many items.
WinFormsHelper.BeginFilteredManagedInvoke(this, new GeneralHelper.GenericDelegate <bool, bool>(chartControl.MasterPane.FitDrawingSpaceToScreen), true, true);
}
}
protected virtual void OnDataBarPeriodUpdate(DataBarUpdateType updateType, int updatedBarsCount)
{
}
/// <summary>
/// Since we are in back test delivery, it is possible to receive this before we are initialized,
/// since the underlying data bar provider gets launched before this class does.
/// </summary>
void _sourceDataBarProvider_DataBarHistoryUpdateEvent(IDataBarHistoryProvider provider, DataBarUpdateType updateType, int updatedBarsCount)
{
SystemMonitor.CheckError(provider == _sourceDataBarProvider, "Data provider update not expected.");
RestoreLastStep();
if (_pendingSessionInfo.HasValue && _pendingRequest.HasValue)
{// Executed only the first time.
_pendingSessionInfo = null;
_pendingRequest = null;
RequestDataHistoryUpdate(_pendingSessionInfo.Value, _pendingRequest.Value, false);
}
}
protected override void OnCalculate(bool fullRecalculation, DataBarUpdateType? updateType)
{
if (_isUpdating == false)
{
GeneralHelper.FireAndForget(Update);
}
}
void _dataProvider_DataBarHistoryUpdateEvent(IDataBarHistoryProvider provider, DataBarUpdateType updateType, int updatedBarsCount)
{
Calculate(false, updateType);
}
/// <summary> /// Perform calculation on the given piece of dataDelivery. /// </summary> protected abstract void OnCalculate(bool fullRecalculation, DataBarUpdateType? updateType);
/// <summary>
/// Calculation helper function.
/// </summary>
public void Calculate(bool fullRecalculation, DataBarUpdateType? updateType)
{
if (this.Initialized == false || this.Enabled == false)
{
return;
}
if (_dataProvider.BarCount == 0)
{
return;
}
// Calculate the indicator level lines.
OnCalculate(fullRecalculation, updateType);
//// Start the mostly child performed signal analisys.
//Signals.PerformCrossingResultAnalysis(ProvideSignalAnalysisLines());
//Signals.PerformExtremumResultAnalysis();
if (IndicatorCalculatedEvent != null)
{
IndicatorCalculatedEvent(this, fullRecalculation);
}
}
void DataBarHistory_DataBarHistoryUpdateEvent(IDataBarHistoryProvider provider, DataBarUpdateType updateType, int updatedBarsCount)
{
OnDataBarPeriodUpdate(updateType, updatedBarsCount);
}
protected virtual void OnDataBarPeriodUpdate(DataBarUpdateType updateType, int updatedBarsCount)
{
}
void DataBarHistory_DataBarHistoryUpdateEvent(IDataBarHistoryProvider provider, DataBarUpdateType updateType, int updatedBarsCount)
{
if (updateType != DataBarUpdateType.CurrentBarUpdate)
{// Do the full update only on actual bar update.
UpdateValues(updatedBarsCount);
}
else
{
RaiseSeriesValuesUpdated(true);
}
}
protected override void OnDataBarPeriodUpdate(IDataBarHistoryProvider provider, DataBarUpdateType updateType, int updatedBarsCount)
{
lock (this)
{
if (provider != null)
{
//Console.WriteLine("Bars: {0}", provider.BarCount);
//Keep bars have no more limit than the quotes
if (provider.DataBarLimit > this.QuotesLimit)
{
provider.DataBarLimit = this.QuotesLimit;
}
}
}
}
protected override void OnCalculate(bool fullRecalculation, DataBarUpdateType? updateType)
{
double[] values1, values2;
int startingIndex = 0;
int indecesCount = DataProvider.BarCount - 1;
if (UseOpenClose)
{
values1 = DataProvider.GetValuesAsDouble(DataBar.DataValueEnum.Open, startingIndex, indecesCount);
values2 = DataProvider.GetValuesAsDouble(DataBar.DataValueEnum.Close, startingIndex, indecesCount);
}
else
{
values1 = DataProvider.GetValuesAsDouble(DataBar.DataValueEnum.High, startingIndex, indecesCount);
values2 = DataProvider.GetValuesAsDouble(DataBar.DataValueEnum.Low, startingIndex, indecesCount);
}
System.Diagnostics.Debug.Assert(values1.Length == values2.Length);
if (indecesCount == 0)
{
Results.AddSetValues("ZigZag", startingIndex, indecesCount, true, new double[] { });
return;
}
// This is simple indicator, it can directly write to the signals array.
double[] signals = new double[indecesCount];
signals[0] = (double)ZigZagStates.PeakHigh;
int lastPeakIndex = 0;
ZigZagStates lastPeakState = ZigZagStates.PeakHigh;
// Perform actual calculation.
for (int i = 0; i < values1.Length; i++)
{
double requiredDifferenceValue = (SignificancePercentage / 100) * values1[i];
double high = Math.Max(values1[i], values2[i]);
double low = Math.Min(values1[i], values2[i]);
double lastPeakValue = 0;
if (lastPeakState == ZigZagStates.PeakHigh)
{
lastPeakValue = Math.Max(values1[lastPeakIndex], values2[lastPeakIndex]);
}
else if (lastPeakState == ZigZagStates.PeakLow)
{
lastPeakValue = Math.Min(values1[lastPeakIndex], values2[lastPeakIndex]);
}
bool newLow = (lastPeakState == ZigZagStates.PeakHigh && (lastPeakValue - low >= requiredDifferenceValue)) || (lastPeakState == ZigZagStates.PeakLow && low < lastPeakValue);
bool newHigh = (lastPeakState == ZigZagStates.PeakLow && (high - lastPeakValue >= requiredDifferenceValue)) || (lastPeakState == ZigZagStates.PeakHigh && high > lastPeakValue);
//System.Diagnostics.Debug.Assert(newLow == false || newHigh == false);
if (newLow && newHigh)
{// Favor the extension of existing peak in this case.
if (lastPeakState == ZigZagStates.PeakHigh)
{
newLow = false;
}
else
{
newHigh = false;
}
}
if (newHigh)
{
if (lastPeakState == ZigZagStates.PeakHigh)
{// Update the high.
signals[lastPeakIndex] = (double)ZigZagStates.Default;
}
else if (lastPeakState == ZigZagStates.PeakLow)
{// New high found.
lastPeakState = ZigZagStates.PeakHigh;
}
else
{
System.Diagnostics.Debug.Fail("Unexpected case.");
}
lastPeakIndex = i;
signals[i] = (double)ZigZagStates.PeakHigh;
}
else if (newLow)
{
if (lastPeakState == ZigZagStates.PeakLow)
{// Update the low.
signals[lastPeakIndex] = (double)ZigZagStates.Default;
}
else if (lastPeakState == ZigZagStates.PeakHigh)
{// New low found.
lastPeakState = ZigZagStates.PeakLow;
}
lastPeakIndex = i;
signals[lastPeakIndex] = (double)ZigZagStates.PeakLow;
}
}
// Finish with a signal.
if (signals[signals.Length - 1] == (double)ZigZagStates.Default)
{
if (lastPeakState == ZigZagStates.PeakHigh)
{
signals[signals.Length - 1] = (double)ZigZagStates.PeakLow;
}
else
{
signals[signals.Length - 1] = (double)ZigZagStates.PeakHigh;
}
}
// Finally create the results, that shows a line moving between the peak values - like a proper ZigZag indicator.
lastPeakIndex = 0;
lastPeakState = ZigZagStates.PeakHigh;
double[] results = new double[indecesCount];
for (int i = 1; i < signals.Length; i++)
{
if (signals[i] != (double)ZigZagStates.Default)
{
double lastPeakValue, currentPeakValue;
if (lastPeakState == ZigZagStates.PeakHigh)
{
lastPeakValue = Math.Max(values1[lastPeakIndex], values2[lastPeakIndex]);
currentPeakValue = Math.Min(values1[i], values2[i]);
}
else
{
lastPeakValue = Math.Min(values1[lastPeakIndex], values2[lastPeakIndex]);
currentPeakValue = Math.Max(values1[i], values2[i]);
}
double[] midValues = MathHelper.CreateConnectionValues(lastPeakValue, currentPeakValue, i - lastPeakIndex);
midValues.CopyTo(results, lastPeakIndex);
lastPeakIndex = i;
lastPeakState = (ZigZagStates)signals[i];
}
}
Results.AddSetValues("ZigZag", startingIndex, indecesCount - 1, true, results);
// Only after we add the operationResult set, the signals become available.
Signals.Signals = signals;
}
void DataBarHistory_DataBarHistoryUpdateEvent(IDataBarHistoryProvider provider, DataBarUpdateType updateType, int updatedBarsCount)
{
if (updateType != DataBarUpdateType.CurrentBarUpdate)
{// Do the full update only on actual bar update.
UpdateValues(updatedBarsCount);
}
else
{
RaiseSeriesValuesUpdated(true);
}
}
protected virtual void OnDataBarPeriodUpdate(IDataBarHistoryProvider provider, DataBarUpdateType updateType, int updatedBarsCount)
{
}
void DataBarHistory_DataBarHistoryUpdateEvent(IDataBarHistoryProvider provider, DataBarUpdateType updateType, int updatedBarsCount)
{
OnDataBarPeriodUpdate(updateType, updatedBarsCount);
}
// Parameters format of TaLibCore functions.
//int startIdx, - mandatory
//int endIdx, - mandatory
//double[] inReal[added 0/1] or/and inOpen or/and inLow or/and inHigh or/and inClose
//int/double optIn[NAME] or/and another one or none - parameters
//out int outBegIdx,
//out int outNBElement,
//double/int[] out[Real/Integer] and or another one
// Example:
//TicTacTec.TA.Library.Core.RetCode code = TicTacTec.TA.Library.Core.Sma(0, indecesCount - 1, _closeResultValues, Period, out beginIndex, out number, ma); }
/// <summary>
/// Actual calculation routine.
/// </summary>
protected override void OnCalculate(bool fullRecalculation, DataBarUpdateType? updateType)
{
// Format of a TA baseMethod.
//int startIdx, - mandatory
//int endIdx, - mandatory
//double[] inReal[added 0/1] or/and inOpen or/and inLow or/and inHigh or/and inClose
//int/double optIn[NAME] or/and another one or none - parameters
//out int outBegIdx,
//out int outNBElement,
//double/int[] out[Real/Integer] and or another one
// Example:
//TicTacTec.TA.Library.Core.RetCode code = TicTacTec.TA.Library.Core.Sma(0, indecesCount - 1, _closeResultValues, Period, out beginIndex, out number, ma); }
EstablishLookback();
// Prepare parameters.
int dataProviderStartIndex = 0;
if (fullRecalculation == false)
{
dataProviderStartIndex = Math.Max(0, Results.SetLength - _lookbackCount.Value - 1);
}
int startIndex = 0;
int endIndex = DataProvider.BarCount - dataProviderStartIndex - 1;
//if (StepByStepCalculation)
//{
// int outBeginIdxPosition;
// object[] parameters = SetupParameters(startIndex, endIndex, dataProviderStartIndex, out outBeginIdxPosition);
// for (int i = 0; i < DataProvider.BarCount - Results.SetLength; i++)
// {
// parameters[0] = i;
// parameters[1] = endIndex - i;
// Calc(parameters, outBeginIdxPosition, dataProviderStartIndex);
// }
//}
int outBeginIdxPosition;
object[] parameters = SetupParameters(startIndex, endIndex, dataProviderStartIndex, out outBeginIdxPosition);
PerformCalculation(parameters, outBeginIdxPosition, dataProviderStartIndex);
}
/// <summary>
/// Since we are in back test delivery, it is possible to receive this before we are initialized,
/// since the underlying data bar provider gets launched before this class does.
/// </summary>
void _sourceDataBarProvider_DataBarHistoryUpdateEvent(IDataBarHistoryProvider provider, DataBarUpdateType updateType, int updatedBarsCount)
{
SystemMonitor.CheckError(provider == _sourceDataBarProvider, "Data provider update not expected.");
RestoreLastStep();
if (_pendingSessionInfo.HasValue && _pendingRequest.HasValue)
{// Executed only the first time.
_pendingSessionInfo = null;
_pendingRequest = null;
RequestDataHistoryUpdate(_pendingSessionInfo.Value, _pendingRequest.Value, false);
}
}
void DataBarHistory_DataBarHistoryUpdateEvent(IDataBarHistoryProvider provider, DataBarUpdateType updateType, int updatedBarsCount)
{
if (updateType == DataBarUpdateType.Initial)
{// Only executes on initial adding of many items.
WinFormsHelper.BeginFilteredManagedInvoke(this, new GeneralHelper.GenericDelegate<bool, bool>(chartControl.MasterPane.FitDrawingSpaceToScreen), true, true);
}
}
