private int CalcDelta(TickTypeEnum tickType, double price, int volume, GomCDCalculationModeType calcmode, bool backupmode, int filtersize, GomFilterModeType filtermode)
{
int delta = 0;
int direction = lastdirection;
if ((calcmode == GomCDCalculationModeType.BidAsk) && (tickType != TickTypeEnum.Unknown) && (tickType != TickTypeEnum.BetweenBidAsk))
{
if ((tickType == TickTypeEnum.BelowBid) || (tickType == TickTypeEnum.AtBid))
delta = -volume;
else if ((tickType == TickTypeEnum.AboveAsk) || (tickType == TickTypeEnum.AtAsk))
delta = volume;
}
else if (calcmode == GomCDCalculationModeType.UpDownTick)
{
if (lastprice != 0)
{
if (price > lastprice) delta = volume;
if (price < lastprice) delta = -volume;
}
}
else if ((calcmode == GomCDCalculationModeType.UpDownTickWithContinuation) ||(calcmode == GomCDCalculationModeType.UpDownOneTickWithContinuation)|| ((calcmode == GomCDCalculationModeType.BidAsk) && (backupmode == true)))
{
if (price > lastprice) //normal uptick/dn tick
direction = 1;
else if (price < lastprice)
direction = -1;
if (calcmode == GomCDCalculationModeType.UpDownOneTickWithContinuation)
delta=direction;
else
delta = direction * volume;
}
// added
else if ((calcmode == GomCDCalculationModeType.Hybrid))
{
if (price > lastprice) //normal uptick/dn tick
{
direction = 1;
//price changed, we reinit the startlookingforreversal bool.
startlookingforreversal = false;
}
else if (price < lastprice)
{
direction = -1;
startlookingforreversal = false;
}
if (!startlookingforreversal)
if (direction == 1)
//if going up, we want to be hitting bid to be able to start to spot reversals (hitting the ask)
startlookingforreversal = (tickType == TickTypeEnum.AtBid) || (tickType == TickTypeEnum.BelowBid);
else
startlookingforreversal = (tickType == TickTypeEnum.AtAsk) || (tickType == TickTypeEnum.AboveAsk);
//what happens when price is same
if (price == lastprice)
{
//if going up, and we have already hit the bid (startlookingforreversal is true) at a price level,
// and start hitting the ask, let's reverse
if ((direction == 1) && startlookingforreversal && ((tickType == TickTypeEnum.AtAsk) || (tickType == TickTypeEnum.BetweenBidAsk)))
direction = -1;
else if ((direction == -1) && startlookingforreversal && ((tickType == TickTypeEnum.AtBid) || (tickType == TickTypeEnum.BetweenBidAsk)))
direction = 1; //buyers take control of ask
}
delta = direction * volume;
}
lastprice = price;
lastdirection = direction;
if ((filtermode == GomFilterModeType.OnlyLargerThan) && (volume <= filtersize))
delta = 0;
if ((filtermode == GomFilterModeType.OnlySmallerThan) && (volume >= filtersize))
delta = 0;
return delta;
}
public Indicator.GomDeltaIndicator GomDeltaIndicator(bool backupMode, GomCDCalculationModeType calcMode, GomFilterModeType filterMode, int filterSize)
{
return _indicator.GomDeltaIndicator(Input, backupMode, calcMode, filterMode, filterSize);
}
/// <summary>
/// Base Class. Do not instantiate
/// </summary>
/// <returns></returns>
public Indicator.GomDeltaIndicator GomDeltaIndicator(Data.IDataSeries input, bool backupMode, GomCDCalculationModeType calcMode, GomFilterModeType filterMode, int filterSize)
{
if (InInitialize && input == null)
throw new ArgumentException("You only can access an indicator with the default input/bar series from within the 'Initialize()' method");
return _indicator.GomDeltaIndicator(input, backupMode, calcMode, filterMode, filterSize);
}
public GomCD GomCD(GomCDCalculationModeType calcMode, GomCDChartType chart, string fileFormat, Gom.FileModeType fileModeType, GomFilterModeType filterMode, int filterSize, bool reinitSession)
{
GomCD indy = GomCD(calcMode, chart, fileFormat, filterMode, filterSize, reinitSession);
indy.CalcMode = calcMode;
indy.FilterMode = filterMode;
indy.FilterSize = filterSize;
indy.FileMode = fileModeType;
return(indy);
}
/// <summary>
/// Base Class. Do not instantiate
/// </summary>
/// <returns></returns>
public GomDeltaIndicator GomDeltaIndicator(Data.IDataSeries input, bool backupMode, GomCDCalculationModeType calcMode, GomFilterModeType filterMode, int filterSize)
{
if (cacheGomDeltaIndicator != null)
for (int idx = 0; idx < cacheGomDeltaIndicator.Length; idx++)
if (cacheGomDeltaIndicator[idx].BackupMode == backupMode && cacheGomDeltaIndicator[idx].CalcMode == calcMode && cacheGomDeltaIndicator[idx].FilterMode == filterMode && cacheGomDeltaIndicator[idx].FilterSize == filterSize && cacheGomDeltaIndicator[idx].EqualsInput(input))
return cacheGomDeltaIndicator[idx];
lock (checkGomDeltaIndicator)
{
checkGomDeltaIndicator.BackupMode = backupMode;
backupMode = checkGomDeltaIndicator.BackupMode;
checkGomDeltaIndicator.CalcMode = calcMode;
calcMode = checkGomDeltaIndicator.CalcMode;
checkGomDeltaIndicator.FilterMode = filterMode;
filterMode = checkGomDeltaIndicator.FilterMode;
checkGomDeltaIndicator.FilterSize = filterSize;
filterSize = checkGomDeltaIndicator.FilterSize;
if (cacheGomDeltaIndicator != null)
for (int idx = 0; idx < cacheGomDeltaIndicator.Length; idx++)
if (cacheGomDeltaIndicator[idx].BackupMode == backupMode && cacheGomDeltaIndicator[idx].CalcMode == calcMode && cacheGomDeltaIndicator[idx].FilterMode == filterMode && cacheGomDeltaIndicator[idx].FilterSize == filterSize && cacheGomDeltaIndicator[idx].EqualsInput(input))
return cacheGomDeltaIndicator[idx];
GomDeltaIndicator indicator = new GomDeltaIndicator();
indicator.BarsRequired = BarsRequired;
indicator.CalculateOnBarClose = CalculateOnBarClose;
#if NT7
indicator.ForceMaximumBarsLookBack256 = ForceMaximumBarsLookBack256;
indicator.MaximumBarsLookBack = MaximumBarsLookBack;
#endif
indicator.Input = input;
indicator.BackupMode = backupMode;
indicator.CalcMode = calcMode;
indicator.FilterMode = filterMode;
indicator.FilterSize = filterSize;
Indicators.Add(indicator);
indicator.SetUp();
GomDeltaIndicator[] tmp = new GomDeltaIndicator[cacheGomDeltaIndicator == null ? 1 : cacheGomDeltaIndicator.Length + 1];
if (cacheGomDeltaIndicator != null)
cacheGomDeltaIndicator.CopyTo(tmp, 0);
tmp[tmp.Length - 1] = indicator;
cacheGomDeltaIndicator = tmp;
return indicator;
}
}
/// <summary>
/// Base Class. Do not instantiate
/// </summary>
/// <returns></returns>
public Indicator.GomDeltaIndicator GomDeltaIndicator(Data.IDataSeries input, bool backupMode, GomCDCalculationModeType calcMode, GomFilterModeType filterMode, int filterSize)
{
if (InInitialize && input == null)
{
throw new ArgumentException("You only can access an indicator with the default input/bar series from within the 'Initialize()' method");
}
return(_indicator.GomDeltaIndicator(input, backupMode, calcMode, filterMode, filterSize));
}
private int CalcDelta(TickTypeEnum tickType, double price, int volume, GomCDCalculationModeType calcmode, bool backupmode, int filtersize, GomFilterModeType filtermode)
{
int delta = 0;
int direction = lastdirection;
if ((calcmode == GomCDCalculationModeType.BidAsk) && (tickType != TickTypeEnum.Unknown) && (tickType != TickTypeEnum.BetweenBidAsk))
{
if ((tickType == TickTypeEnum.BelowBid) || (tickType == TickTypeEnum.AtBid))
{
delta = -volume;
}
else if ((tickType == TickTypeEnum.AboveAsk) || (tickType == TickTypeEnum.AtAsk))
{
delta = volume;
}
}
else if (calcmode == GomCDCalculationModeType.UpDownTick)
{
if (lastprice != 0)
{
if (price > lastprice)
{
delta = volume;
}
if (price < lastprice)
{
delta = -volume;
}
}
}
else if ((calcmode == GomCDCalculationModeType.UpDownTickWithContinuation) || ((calcmode == GomCDCalculationModeType.BidAsk) && (backupmode == true)))
{
if (price > lastprice) //normal uptick/dn tick
{
direction = 1;
}
else if (price < lastprice)
{
direction = -1;
}
delta = direction * volume;
}
// added
else if ((calcmode == GomCDCalculationModeType.Hybrid))
{
if (price > lastprice) //normal uptick/dn tick
{
direction = 1;
//price changed, we reinit the startlookingforreversal bool.
startlookingforreversal = false;
}
else if (price < lastprice)
{
direction = -1;
startlookingforreversal = false;
}
if (!startlookingforreversal)
{
if (direction == 1)
{
//if going up, we want to be hitting bid to be able to start to spot reversals (hitting the ask)
startlookingforreversal = (tickType == TickTypeEnum.AtBid) || (tickType == TickTypeEnum.BelowBid);
}
else
{
startlookingforreversal = (tickType == TickTypeEnum.AtAsk) || (tickType == TickTypeEnum.AboveAsk);
}
}
//what happens when price is same
if (price == lastprice)
{
//if going up, and we have already hit the bid (startlookingforreversal is true) at a price level,
// and start hitting the ask, let's reverse
if ((direction == 1) && startlookingforreversal && ((tickType == TickTypeEnum.AtAsk) || (tickType == TickTypeEnum.BetweenBidAsk)))
{
direction = -1;
}
else if ((direction == -1) && startlookingforreversal && ((tickType == TickTypeEnum.AtBid) || (tickType == TickTypeEnum.BetweenBidAsk)))
{
direction = 1; //buyers take control of ask
}
}
delta = direction * volume;
}
lastprice = price;
lastdirection = direction;
if ((filtermode == GomFilterModeType.OnlyLargerThan) && (volume <= filtersize))
{
delta = 0;
}
if ((filtermode == GomFilterModeType.OnlySmallerThan) && (volume >= filtersize))
{
delta = 0;
}
return(delta);
}
public Indicator.GomDeltaIndicator GomDeltaIndicator(bool backupMode, GomCDCalculationModeType calcMode, GomFilterModeType filterMode, int filterSize)
{
return(_indicator.GomDeltaIndicator(Input, backupMode, calcMode, filterMode, filterSize));
}
/// <summary>
/// Base Class. Do not instantiate
/// </summary>
/// <returns></returns>
public GomDeltaIndicator GomDeltaIndicator(Data.IDataSeries input, bool backupMode, GomCDCalculationModeType calcMode, GomFilterModeType filterMode, int filterSize)
{
if (cacheGomDeltaIndicator != null)
{
for (int idx = 0; idx < cacheGomDeltaIndicator.Length; idx++)
{
if (cacheGomDeltaIndicator[idx].BackupMode == backupMode && cacheGomDeltaIndicator[idx].CalcMode == calcMode && cacheGomDeltaIndicator[idx].FilterMode == filterMode && cacheGomDeltaIndicator[idx].FilterSize == filterSize && cacheGomDeltaIndicator[idx].EqualsInput(input))
{
return(cacheGomDeltaIndicator[idx]);
}
}
}
lock (checkGomDeltaIndicator)
{
checkGomDeltaIndicator.BackupMode = backupMode;
backupMode = checkGomDeltaIndicator.BackupMode;
checkGomDeltaIndicator.CalcMode = calcMode;
calcMode = checkGomDeltaIndicator.CalcMode;
checkGomDeltaIndicator.FilterMode = filterMode;
filterMode = checkGomDeltaIndicator.FilterMode;
checkGomDeltaIndicator.FilterSize = filterSize;
filterSize = checkGomDeltaIndicator.FilterSize;
if (cacheGomDeltaIndicator != null)
{
for (int idx = 0; idx < cacheGomDeltaIndicator.Length; idx++)
{
if (cacheGomDeltaIndicator[idx].BackupMode == backupMode && cacheGomDeltaIndicator[idx].CalcMode == calcMode && cacheGomDeltaIndicator[idx].FilterMode == filterMode && cacheGomDeltaIndicator[idx].FilterSize == filterSize && cacheGomDeltaIndicator[idx].EqualsInput(input))
{
return(cacheGomDeltaIndicator[idx]);
}
}
}
GomDeltaIndicator indicator = new GomDeltaIndicator();
indicator.BarsRequired = BarsRequired;
indicator.CalculateOnBarClose = CalculateOnBarClose;
#if NT7
indicator.ForceMaximumBarsLookBack256 = ForceMaximumBarsLookBack256;
indicator.MaximumBarsLookBack = MaximumBarsLookBack;
#endif
indicator.Input = input;
indicator.BackupMode = backupMode;
indicator.CalcMode = calcMode;
indicator.FilterMode = filterMode;
indicator.FilterSize = filterSize;
Indicators.Add(indicator);
indicator.SetUp();
GomDeltaIndicator[] tmp = new GomDeltaIndicator[cacheGomDeltaIndicator == null ? 1 : cacheGomDeltaIndicator.Length + 1];
if (cacheGomDeltaIndicator != null)
{
cacheGomDeltaIndicator.CopyTo(tmp, 0);
}
tmp[tmp.Length - 1] = indicator;
cacheGomDeltaIndicator = tmp;
return(indicator);
}
}
public Indicator.GomCD GomCD(GomCDCalculationModeType calcMode, GomCDChartType chart, string fileFormat, GomFilterModeType filterMode, int filterSize, bool reinitSession)
{
Indicator.GomCD indy = _indicator.GomCD(Input, calcMode, chart, reinitSession);
indy.FileFormat = fileFormat;
indy.FilterMode = filterMode;
indy.FilterSize = filterSize;
return(indy);
}
public Indicator.GomCD GomCD(GomCDCalculationModeType calcMode, GomCDChartType chart, string fileFormat, Gom.FileModeType fileModeType,GomFilterModeType filterMode, int filterSize, bool reinitSession)
{
Indicator.GomCD indy = _indicator.GomCD(calcMode,chart,fileFormat,filterMode,filterSize,reinitSession);
indy.FileMode=fileModeType;
return indy;
}
public GomCD GomCD(GomCDCalculationModeType calcMode, GomCDChartType chart, string fileFormat, GomFilterModeType filterMode, int filterSize, bool reinitSession)
{
GomCD indy = GomCD(Input,calcMode,chart,reinitSession);
indy.FileFormat=fileFormat;
indy.FilterMode = filterMode;
indy.FilterSize = filterSize;
return indy;
}
