// aggregation (quantization)
/// <include file='./info.xml' path='info/type[@name="Aggregate"]/*' />
///
public static IEnumerable <Quote> Aggregate <TQuote>(
this IEnumerable <TQuote> quotes,
PeriodSize newSize)
where TQuote : IQuote
{
if (newSize != PeriodSize.Month)
{
// parameter conversion
TimeSpan newTimeSpan = newSize.ToTimeSpan();
// convert
return(quotes.Aggregate(newTimeSpan));
}
else // month
{
return(quotes
.OrderBy(x => x.Date)
.GroupBy(x => new DateTime(x.Date.Year, x.Date.Month, 1))
.Select(x => new Quote
{
Date = x.Key,
Open = x.First().Open,
High = x.Max(t => t.High),
Low = x.Min(t => t.Low),
Close = x.Last().Close,
Volume = x.Sum(t => t.Volume)
}));
}
}
// quantization
public static IEnumerable <Quote> Aggregate <TQuote>(
this IEnumerable <TQuote> history,
PeriodSize newSize)
where TQuote : IQuote
{
TimeSpan newPeriod = newSize.ToTimeSpan();
return
// handle no history scenario
(history == null || !history.Any() ? new List <Quote>()
// validate parameters
: newPeriod == TimeSpan.Zero ?
throw new ArgumentOutOfRangeException(nameof(newSize), newSize,
"History Aggregation must use a New Size value of at least " +
"one minute and not more than one week.")
// return aggregation
: history
.OrderBy(x => x.Date)
.GroupBy(x => x.Date.RoundDown(newPeriod))
.Select(x => new Quote
{
Date = x.Key,
Open = x.First().Open,
High = x.Max(t => t.High),
Low = x.Min(t => t.Low),
Close = x.Last().Close,
Volume = x.Sum(t => t.Volume)
}));
}
// aggregation (quantization)
/// <include file='./info.xml' path='info/type[@name="Aggregate"]/*' />
///
public static IEnumerable <Quote> Aggregate <TQuote>(
this IEnumerable <TQuote> quotes,
PeriodSize newSize)
where TQuote : IQuote
{
// parameter conversion
TimeSpan newTimeSpan = newSize.ToTimeSpan();
// convert
return(quotes.Aggregate(newTimeSpan));
}
public static List <Quote> GetChartData(string pair, PeriodSize interval, DateTime from, DateTime to)
{
List <Quote> result = new List <Quote>();
using (var client = new BinanceClient())
{
var res1 = client.Spot.Market.GetKlines(pair, (KlineInterval)((int)interval), from, to).Data.ToList();
result = res1.Select(s => new Quote()
{
Close = s.Close, Date = s.OpenTime, High = s.High, Low = s.Low, Open = s.Open, Volume = s.BaseVolume
}).ToList();
}
return(result);
}
// PERIOD-SIZE to TIMESPAN CONVERSION
internal static TimeSpan ToTimeSpan(this PeriodSize periodSize)
{
return(periodSize switch
{
PeriodSize.OneMinute => TimeSpan.FromMinutes(1),
PeriodSize.TwoMinutes => TimeSpan.FromMinutes(2),
PeriodSize.ThreeMinutes => TimeSpan.FromMinutes(3),
PeriodSize.FiveMinutes => TimeSpan.FromMinutes(5),
PeriodSize.FifteenMinutes => TimeSpan.FromMinutes(15),
PeriodSize.ThirtyMinutes => TimeSpan.FromMinutes(30),
PeriodSize.OneHour => TimeSpan.FromHours(1),
PeriodSize.TwoHours => TimeSpan.FromHours(2),
PeriodSize.FourHours => TimeSpan.FromHours(4),
PeriodSize.Day => TimeSpan.FromDays(1),
PeriodSize.Week => TimeSpan.FromDays(7),
_ => TimeSpan.Zero
});
public void Removed()
{
PeriodSize periodSize = PeriodSize.Month;
PivotPointType pointType = PivotPointType.Standard;
List <PivotPointsResult> results = quotes.GetPivotPoints(periodSize, pointType)
.RemoveWarmupPeriods()
.ToList();
// assertions
Assert.AreEqual(482, results.Count);
PivotPointsResult last = results.LastOrDefault();
Assert.AreEqual(266.6767m, Math.Round((decimal)last.PP, 4));
Assert.AreEqual(258.9633m, Math.Round((decimal)last.S1, 4));
Assert.AreEqual(248.9667m, Math.Round((decimal)last.S2, 4));
Assert.AreEqual(241.2533m, Math.Round((decimal)last.S3, 4));
Assert.AreEqual(null, last.S4);
Assert.AreEqual(276.6733m, Math.Round((decimal)last.R1, 4));
Assert.AreEqual(284.3867m, Math.Round((decimal)last.R2, 4));
Assert.AreEqual(294.3833m, Math.Round((decimal)last.R3, 4));
Assert.AreEqual(null, last.R4);
}
public void GetPivotPointsWoodie()
{
PeriodSize periodSize = PeriodSize.Day;
PivotPointType pointType = PivotPointType.Woodie;
IEnumerable <Quote> h = History.GetHistoryIntraday();
List <PivotPointsResult> results = Indicator.GetPivotPoints(h, periodSize, pointType)
.ToList();
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(1564, results.Count);
Assert.AreEqual(1173, results.Where(x => x.PP != null).Count());
// sample values
PivotPointsResult r1 = results[1563];
Assert.AreEqual(371.3625m, Math.Round((decimal)r1.PP, 4));
Assert.AreEqual(370.2650m, Math.Round((decimal)r1.S1, 4));
Assert.AreEqual(369.9525m, Math.Round((decimal)r1.S2, 4));
Assert.AreEqual(368.8550m, Math.Round((decimal)r1.S3, 4));
Assert.AreEqual(371.6750m, Math.Round((decimal)r1.R1, 4));
Assert.AreEqual(372.7725m, Math.Round((decimal)r1.R2, 4));
Assert.AreEqual(373.0850m, Math.Round((decimal)r1.R3, 4));
PivotPointsResult r2 = results[1173];
Assert.AreEqual(371.3625m, Math.Round((decimal)r2.PP, 4));
Assert.AreEqual(370.2650m, Math.Round((decimal)r2.S1, 4));
Assert.AreEqual(369.9525m, Math.Round((decimal)r2.S2, 4));
Assert.AreEqual(368.8550m, Math.Round((decimal)r2.S3, 4));
Assert.AreEqual(371.6750m, Math.Round((decimal)r2.R1, 4));
Assert.AreEqual(372.7725m, Math.Round((decimal)r2.R2, 4));
Assert.AreEqual(373.0850m, Math.Round((decimal)r2.R3, 4));
PivotPointsResult r3 = results[1172];
Assert.AreEqual(370.9769m, Math.Round((decimal)r3.PP, 4));
Assert.AreEqual(370.7938m, Math.Round((decimal)r3.S1, 4));
Assert.AreEqual(368.6845m, Math.Round((decimal)r3.S2, 4));
Assert.AreEqual(368.5014m, Math.Round((decimal)r3.S3, 4));
Assert.AreEqual(373.0862m, Math.Round((decimal)r3.R1, 4));
Assert.AreEqual(373.2693m, Math.Round((decimal)r3.R2, 4));
Assert.AreEqual(375.3786m, Math.Round((decimal)r3.R3, 4));
PivotPointsResult r4 = results[391];
Assert.AreEqual(368.7875m, Math.Round((decimal)r4.PP, 4));
Assert.AreEqual(367.9850m, Math.Round((decimal)r4.S1, 4));
Assert.AreEqual(365.1175m, Math.Round((decimal)r4.S2, 4));
Assert.AreEqual(364.3150m, Math.Round((decimal)r4.S3, 4));
Assert.AreEqual(371.6550m, Math.Round((decimal)r4.R1, 4));
Assert.AreEqual(372.4575m, Math.Round((decimal)r4.R2, 4));
Assert.AreEqual(375.3250m, Math.Round((decimal)r4.R3, 4));
PivotPointsResult r5 = results[390];
Assert.AreEqual(null, r5.R4);
Assert.AreEqual(null, r5.R3);
Assert.AreEqual(null, r5.PP);
Assert.AreEqual(null, r5.S1);
Assert.AreEqual(null, r5.S2);
Assert.AreEqual(null, r5.R1);
Assert.AreEqual(null, r5.R2);
Assert.AreEqual(null, r5.S3);
Assert.AreEqual(null, r5.S4);
}
public void GetPivotPointsFibonacci()
{
PeriodSize periodSize = PeriodSize.Hour;
PivotPointType pointType = PivotPointType.Fibonacci;
IEnumerable <Quote> h = History.GetHistoryIntraday(300);
List <PivotPointsResult> results = Indicator.GetPivotPoints(h, periodSize, pointType)
.ToList();
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(300, results.Count);
Assert.AreEqual(241, results.Where(x => x.PP != null).Count());
// sample values
PivotPointsResult r1 = results[299];
Assert.AreEqual(368.8200m, Math.Round((decimal)r1.PP, 4));
Assert.AreEqual(367.5632m, Math.Round((decimal)r1.S1, 4));
Assert.AreEqual(366.7868m, Math.Round((decimal)r1.S2, 4));
Assert.AreEqual(365.5300m, Math.Round((decimal)r1.S3, 4));
Assert.AreEqual(370.0768m, Math.Round((decimal)r1.R1, 4));
Assert.AreEqual(370.8532m, Math.Round((decimal)r1.R2, 4));
Assert.AreEqual(372.1100m, Math.Round((decimal)r1.R3, 4));
PivotPointsResult r2 = results[149];
Assert.AreEqual(369.0000m, Math.Round((decimal)r2.PP, 4));
Assert.AreEqual(368.5760m, Math.Round((decimal)r2.S1, 4));
Assert.AreEqual(368.3140m, Math.Round((decimal)r2.S2, 4));
Assert.AreEqual(367.8900m, Math.Round((decimal)r2.S3, 4));
Assert.AreEqual(369.4240m, Math.Round((decimal)r2.R1, 4));
Assert.AreEqual(369.6860m, Math.Round((decimal)r2.R2, 4));
Assert.AreEqual(370.1100m, Math.Round((decimal)r2.R3, 4));
PivotPointsResult r3 = results[119];
Assert.AreEqual(369.0000m, Math.Round((decimal)r3.PP, 4));
Assert.AreEqual(368.5760m, Math.Round((decimal)r3.S1, 4));
Assert.AreEqual(368.3140m, Math.Round((decimal)r3.S2, 4));
Assert.AreEqual(367.8900m, Math.Round((decimal)r3.S3, 4));
Assert.AreEqual(369.4240m, Math.Round((decimal)r3.R1, 4));
Assert.AreEqual(369.6860m, Math.Round((decimal)r3.R2, 4));
Assert.AreEqual(370.1100m, Math.Round((decimal)r3.R3, 4));
PivotPointsResult r4 = results[118];
Assert.AreEqual(368.4967m, Math.Round((decimal)r4.PP, 4));
Assert.AreEqual(367.9237m, Math.Round((decimal)r4.S1, 4));
Assert.AreEqual(367.5697m, Math.Round((decimal)r4.S2, 4));
Assert.AreEqual(366.9967m, Math.Round((decimal)r4.S3, 4));
Assert.AreEqual(369.0697m, Math.Round((decimal)r4.R1, 4));
Assert.AreEqual(369.4237m, Math.Round((decimal)r4.R2, 4));
Assert.AreEqual(369.9967m, Math.Round((decimal)r4.R3, 4));
PivotPointsResult r5 = results[59];
Assert.AreEqual(368.4967m, Math.Round((decimal)r5.PP, 4));
Assert.AreEqual(367.9237m, Math.Round((decimal)r5.S1, 4));
Assert.AreEqual(367.5697m, Math.Round((decimal)r5.S2, 4));
Assert.AreEqual(366.9967m, Math.Round((decimal)r5.S3, 4));
Assert.AreEqual(369.0697m, Math.Round((decimal)r5.R1, 4));
Assert.AreEqual(369.4237m, Math.Round((decimal)r5.R2, 4));
Assert.AreEqual(369.9967m, Math.Round((decimal)r5.R3, 4));
PivotPointsResult r6 = results[58];
Assert.AreEqual(null, r6.R4);
Assert.AreEqual(null, r6.R3);
Assert.AreEqual(null, r6.PP);
Assert.AreEqual(null, r6.S1);
Assert.AreEqual(null, r6.S2);
Assert.AreEqual(null, r6.R1);
Assert.AreEqual(null, r6.R2);
Assert.AreEqual(null, r6.S3);
Assert.AreEqual(null, r6.S4);
}
public void GetPivotPointsDemark()
{
PeriodSize periodSize = PeriodSize.Month;
PivotPointType pointType = PivotPointType.Demark;
List <PivotPointsResult> results = Indicator.GetPivotPoints(history, periodSize, pointType)
.ToList();
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count);
Assert.AreEqual(482, results.Where(x => x.PP != null).Count());
// sample values
PivotPointsResult r1 = results[501];
Assert.AreEqual(null, r1.R4);
Assert.AreEqual(null, r1.R3);
Assert.AreEqual(268.6050m, Math.Round((decimal)r1.PP, 4));
Assert.AreEqual(262.8200m, Math.Round((decimal)r1.S1, 4));
Assert.AreEqual(null, r1.S2);
Assert.AreEqual(280.5300m, Math.Round((decimal)r1.R1, 4));
Assert.AreEqual(null, r1.R2);
Assert.AreEqual(null, r1.S3);
Assert.AreEqual(null, r1.S4);
PivotPointsResult r2 = results[251];
Assert.AreEqual(null, r2.R4);
Assert.AreEqual(null, r2.R3);
Assert.AreEqual(256.0725m, Math.Round((decimal)r2.PP, 4));
Assert.AreEqual(253.4450m, Math.Round((decimal)r2.S1, 4));
Assert.AreEqual(null, r2.S2);
Assert.AreEqual(262.2750m, Math.Round((decimal)r2.R1, 4));
Assert.AreEqual(null, r2.R2);
Assert.AreEqual(null, r2.S3);
Assert.AreEqual(null, r2.S4);
PivotPointsResult r3 = results[250];
Assert.AreEqual(null, r3.R4);
Assert.AreEqual(null, r3.R3);
Assert.AreEqual(252.1925m, Math.Round((decimal)r3.PP, 4));
Assert.AreEqual(249.4450m, Math.Round((decimal)r3.S1, 4));
Assert.AreEqual(null, r3.S2);
Assert.AreEqual(259.4350m, Math.Round((decimal)r3.R1, 4));
Assert.AreEqual(null, r3.R2);
Assert.AreEqual(null, r3.S3);
Assert.AreEqual(null, r3.S4);
PivotPointsResult r4 = results[149];
Assert.AreEqual(null, r4.R4);
Assert.AreEqual(null, r4.R3);
Assert.AreEqual(234.3475m, Math.Round((decimal)r4.PP, 4));
Assert.AreEqual(232.2250m, Math.Round((decimal)r4.S1, 4));
Assert.AreEqual(null, r4.S2);
Assert.AreEqual(239.5350m, Math.Round((decimal)r4.R1, 4));
Assert.AreEqual(null, r4.R2);
Assert.AreEqual(null, r4.S3);
Assert.AreEqual(null, r4.S4);
PivotPointsResult r5 = results[20];
Assert.AreEqual(null, r5.R4);
Assert.AreEqual(null, r5.R3);
Assert.AreEqual(215.1300m, Math.Round((decimal)r5.PP, 4));
Assert.AreEqual(213.2400m, Math.Round((decimal)r5.S1, 4));
Assert.AreEqual(null, r5.S2);
Assert.AreEqual(218.7400m, Math.Round((decimal)r5.R1, 4));
Assert.AreEqual(null, r5.R2);
Assert.AreEqual(null, r5.S3);
Assert.AreEqual(null, r5.S4);
PivotPointsResult r6 = results[19];
Assert.AreEqual(null, r6.R4);
Assert.AreEqual(null, r6.R3);
Assert.AreEqual(null, r6.PP);
Assert.AreEqual(null, r6.S1);
Assert.AreEqual(null, r6.S2);
Assert.AreEqual(null, r6.R1);
Assert.AreEqual(null, r6.R2);
Assert.AreEqual(null, r6.S3);
Assert.AreEqual(null, r6.S4);
}
public void GetPivotPointsStandard()
{
PeriodSize periodSize = PeriodSize.Month;
PivotPointType pointType = PivotPointType.Standard;
List <PivotPointsResult> results = Indicator.GetPivotPoints(history, periodSize, pointType)
.ToList();
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count);
Assert.AreEqual(482, results.Where(x => x.PP != null).Count());
// sample values
PivotPointsResult r1 = results[501];
Assert.AreEqual(null, r1.R4);
Assert.AreEqual(null, r1.R3);
Assert.AreEqual(266.6767m, Math.Round((decimal)r1.PP, 4));
Assert.AreEqual(258.9633m, Math.Round((decimal)r1.S1, 4));
Assert.AreEqual(248.9667m, Math.Round((decimal)r1.S2, 4));
Assert.AreEqual(276.6733m, Math.Round((decimal)r1.R1, 4));
Assert.AreEqual(284.3867m, Math.Round((decimal)r1.R2, 4));
Assert.AreEqual(null, r1.S3);
Assert.AreEqual(null, r1.S4);
PivotPointsResult r2 = results[251];
Assert.AreEqual(null, r2.R4);
Assert.AreEqual(null, r2.R3);
Assert.AreEqual(255.1967m, Math.Round((decimal)r2.PP, 4));
Assert.AreEqual(251.6933m, Math.Round((decimal)r2.S1, 4));
Assert.AreEqual(246.3667m, Math.Round((decimal)r2.S2, 4));
Assert.AreEqual(260.5233m, Math.Round((decimal)r2.R1, 4));
Assert.AreEqual(264.0267m, Math.Round((decimal)r2.R2, 4));
Assert.AreEqual(null, r2.S3);
Assert.AreEqual(null, r2.S4);
PivotPointsResult r3 = results[250];
Assert.AreEqual(null, r3.R4);
Assert.AreEqual(null, r3.R3);
Assert.AreEqual(251.2767m, Math.Round((decimal)r3.PP, 4));
Assert.AreEqual(247.6133m, Math.Round((decimal)r3.S1, 4));
Assert.AreEqual(241.2867m, Math.Round((decimal)r3.S2, 4));
Assert.AreEqual(257.6033m, Math.Round((decimal)r3.R1, 4));
Assert.AreEqual(261.2667m, Math.Round((decimal)r3.R2, 4));
Assert.AreEqual(null, r3.S3);
Assert.AreEqual(null, r3.S4);
PivotPointsResult r4 = results[149];
Assert.AreEqual(null, r4.R4);
Assert.AreEqual(null, r4.R3);
Assert.AreEqual(233.6400m, Math.Round((decimal)r4.PP, 4));
Assert.AreEqual(230.8100m, Math.Round((decimal)r4.S1, 4));
Assert.AreEqual(226.3300m, Math.Round((decimal)r4.S2, 4));
Assert.AreEqual(238.1200m, Math.Round((decimal)r4.R1, 4));
Assert.AreEqual(240.9500m, Math.Round((decimal)r4.R2, 4));
Assert.AreEqual(null, r4.S3);
Assert.AreEqual(null, r4.S4);
PivotPointsResult r5 = results[20];
Assert.AreEqual(null, r5.R4);
Assert.AreEqual(null, r5.R3);
Assert.AreEqual(214.5000m, Math.Round((decimal)r5.PP, 4));
Assert.AreEqual(211.9800m, Math.Round((decimal)r5.S1, 4));
Assert.AreEqual(209.0000m, Math.Round((decimal)r5.S2, 4));
Assert.AreEqual(217.4800m, Math.Round((decimal)r5.R1, 4));
Assert.AreEqual(220.0000m, Math.Round((decimal)r5.R2, 4));
Assert.AreEqual(null, r5.S3);
Assert.AreEqual(null, r5.S4);
PivotPointsResult r6 = results[19];
Assert.AreEqual(null, r6.R4);
Assert.AreEqual(null, r6.R3);
Assert.AreEqual(null, r6.PP);
Assert.AreEqual(null, r6.S1);
Assert.AreEqual(null, r6.S2);
Assert.AreEqual(null, r6.R1);
Assert.AreEqual(null, r6.R2);
Assert.AreEqual(null, r6.S3);
Assert.AreEqual(null, r6.S4);
}
public void GetPivotPointsCamarilla()
{
PeriodSize periodSize = PeriodSize.Week;
PivotPointType pointType = PivotPointType.Camarilla;
IEnumerable <Quote> h = History.GetHistory(38);
List <PivotPointsResult> results = Indicator.GetPivotPoints(h, periodSize, pointType)
.ToList();
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(38, results.Count);
Assert.AreEqual(33, results.Where(x => x.PP != null).Count());
// sample values
PivotPointsResult r1 = results[37];
Assert.AreEqual(239.7667m, Math.Round((decimal)r1.PP, 4));
Assert.AreEqual(224.3975m, Math.Round((decimal)r1.S1, 4));
Assert.AreEqual(222.9550m, Math.Round((decimal)r1.S2, 4));
Assert.AreEqual(221.5125m, Math.Round((decimal)r1.S3, 4));
Assert.AreEqual(217.1850m, Math.Round((decimal)r1.S4, 4));
Assert.AreEqual(261.9025m, Math.Round((decimal)r1.R1, 4));
Assert.AreEqual(263.3450m, Math.Round((decimal)r1.R2, 4));
Assert.AreEqual(264.7875m, Math.Round((decimal)r1.R3, 4));
Assert.AreEqual(269.1150m, Math.Round((decimal)r1.R4, 4));
PivotPointsResult r2 = results[23];
Assert.AreEqual(262.2767m, Math.Round((decimal)r2.PP, 4));
Assert.AreEqual(238.1900m, Math.Round((decimal)r2.S1, 4));
Assert.AreEqual(236.7300m, Math.Round((decimal)r2.S2, 4));
Assert.AreEqual(235.2700m, Math.Round((decimal)r2.S3, 4));
Assert.AreEqual(230.8900m, Math.Round((decimal)r2.S4, 4));
Assert.AreEqual(276.1500m, Math.Round((decimal)r2.R1, 4));
Assert.AreEqual(277.6100m, Math.Round((decimal)r2.R2, 4));
Assert.AreEqual(279.0700m, Math.Round((decimal)r2.R3, 4));
Assert.AreEqual(283.4500m, Math.Round((decimal)r2.R4, 4));
PivotPointsResult r3 = results[22];
Assert.AreEqual(265.8100m, Math.Round((decimal)r3.PP, 4));
Assert.AreEqual(257.4008m, Math.Round((decimal)r3.S1, 4));
Assert.AreEqual(256.5117m, Math.Round((decimal)r3.S2, 4));
Assert.AreEqual(255.6225m, Math.Round((decimal)r3.S3, 4));
Assert.AreEqual(252.9550m, Math.Round((decimal)r3.S4, 4));
Assert.AreEqual(280.5192m, Math.Round((decimal)r3.R1, 4));
Assert.AreEqual(281.4083m, Math.Round((decimal)r3.R2, 4));
Assert.AreEqual(282.2975m, Math.Round((decimal)r3.R3, 4));
Assert.AreEqual(284.9650m, Math.Round((decimal)r3.R4, 4));
PivotPointsResult r4 = results[5];
Assert.AreEqual(270.0567m, Math.Round((decimal)r4.PP, 4));
Assert.AreEqual(260.5875m, Math.Round((decimal)r4.S1, 4));
Assert.AreEqual(259.7850m, Math.Round((decimal)r4.S2, 4));
Assert.AreEqual(258.9825m, Math.Round((decimal)r4.S3, 4));
Assert.AreEqual(256.5750m, Math.Round((decimal)r4.S4, 4));
Assert.AreEqual(281.4525m, Math.Round((decimal)r4.R1, 4));
Assert.AreEqual(282.2550m, Math.Round((decimal)r4.R2, 4));
Assert.AreEqual(283.0575m, Math.Round((decimal)r4.R3, 4));
Assert.AreEqual(285.4650m, Math.Round((decimal)r4.R4, 4));
PivotPointsResult r5 = results[4];
Assert.AreEqual(null, r5.R4);
Assert.AreEqual(null, r5.R3);
Assert.AreEqual(null, r5.PP);
Assert.AreEqual(null, r5.S1);
Assert.AreEqual(null, r5.S2);
Assert.AreEqual(null, r5.R1);
Assert.AreEqual(null, r5.R2);
Assert.AreEqual(null, r5.S3);
Assert.AreEqual(null, r5.S4);
}
// PIVOT POINTS
/// <include file='./info.xml' path='indicator/*' />
///
public static IEnumerable <PivotPointsResult> GetPivotPoints <TQuote>(
IEnumerable <TQuote> history,
PeriodSize windowSize,
PivotPointType pointType = PivotPointType.Standard)
where TQuote : IQuote
{
// sort history
List <TQuote> historyList = history.Sort();
// check parameter arguments
ValidatePivotPoints(history, windowSize);
// initialize
List <PivotPointsResult> results = new(historyList.Count);
PivotPointsResult windowPoint = new();
TQuote h0 = historyList[0];
int windowId = GetWindowNumber(h0.Date, windowSize);
int windowEval;
bool firstWindow = true;
decimal windowHigh = h0.High;
decimal windowLow = h0.Low;
decimal windowOpen = h0.Open;
decimal windowClose = h0.Close;
// roll through history
for (int i = 0; i < historyList.Count; i++)
{
TQuote h = historyList[i];
PivotPointsResult r = new()
{
Date = h.Date
};
// new window evaluation
windowEval = GetWindowNumber(h.Date, windowSize);
if (windowEval != windowId)
{
windowId = windowEval;
firstWindow = false;
// set new levels
if (pointType == PivotPointType.Woodie)
{
windowOpen = h.Open;
}
windowPoint = GetPivotPoint(pointType, windowOpen, windowHigh, windowLow, windowClose);
// reset window min/max thresholds
windowOpen = h.Open;
windowHigh = h.High;
windowLow = h.Low;
}
// add levels
if (!firstWindow)
{
// pivot point
r.PP = windowPoint.PP;
// support
r.S1 = windowPoint.S1;
r.S2 = windowPoint.S2;
r.S3 = windowPoint.S3;
r.S4 = windowPoint.S4;
// resistance
r.R1 = windowPoint.R1;
r.R2 = windowPoint.R2;
r.R3 = windowPoint.R3;
r.R4 = windowPoint.R4;
}
results.Add(r);
// capture window threholds (for next iteration)
windowHigh = (h.High > windowHigh) ? h.High : windowHigh;
windowLow = (h.Low < windowLow) ? h.Low : windowLow;
windowClose = h.Close;
}
return(results);
}
public void Camarilla()
{
PeriodSize periodSize = PeriodSize.Week;
PivotPointType pointType = PivotPointType.Camarilla;
IEnumerable <Quote> h = HistoryTestData.Get(38);
List <PivotPointsResult> results = Indicator.GetPivotPoints(h, periodSize, pointType)
.ToList();
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(38, results.Count);
Assert.AreEqual(33, results.Where(x => x.PP != null).Count());
// sample values
PivotPointsResult r2 = results[4];
Assert.AreEqual(null, r2.R4);
Assert.AreEqual(null, r2.R3);
Assert.AreEqual(null, r2.PP);
Assert.AreEqual(null, r2.S1);
Assert.AreEqual(null, r2.S2);
Assert.AreEqual(null, r2.R1);
Assert.AreEqual(null, r2.R2);
Assert.AreEqual(null, r2.S3);
Assert.AreEqual(null, r2.S4);
PivotPointsResult r3 = results[5];
Assert.AreEqual(271.0200m, Math.Round((decimal)r3.PP, 4));
Assert.AreEqual(270.13725m, Math.Round((decimal)r3.S1, 5));
Assert.AreEqual(269.2545m, Math.Round((decimal)r3.S2, 4));
Assert.AreEqual(268.3718m, Math.Round((decimal)r3.S3, 4));
Assert.AreEqual(265.7235m, Math.Round((decimal)r3.S4, 4));
Assert.AreEqual(271.9028m, Math.Round((decimal)r3.R1, 4));
Assert.AreEqual(272.7855m, Math.Round((decimal)r3.R2, 4));
Assert.AreEqual(273.66825m, Math.Round((decimal)r3.R3, 5));
Assert.AreEqual(276.3165m, Math.Round((decimal)r3.R4, 4));
PivotPointsResult r4 = results[22];
Assert.AreEqual(268.9600m, Math.Round((decimal)r4.PP, 4));
Assert.AreEqual(267.9819m, Math.Round((decimal)r4.S1, 4));
Assert.AreEqual(267.0038m, Math.Round((decimal)r4.S2, 4));
Assert.AreEqual(266.0258m, Math.Round((decimal)r4.S3, 4));
Assert.AreEqual(263.0915m, Math.Round((decimal)r4.S4, 4));
Assert.AreEqual(269.9381m, Math.Round((decimal)r4.R1, 4));
Assert.AreEqual(270.9162m, Math.Round((decimal)r4.R2, 4));
Assert.AreEqual(271.89425m, Math.Round((decimal)r4.R3, 5));
Assert.AreEqual(274.8285m, Math.Round((decimal)r4.R4, 4));
PivotPointsResult r5 = results[23];
Assert.AreEqual(257.1700m, Math.Round((decimal)r5.PP, 4));
Assert.AreEqual(255.5640m, Math.Round((decimal)r5.S1, 4));
Assert.AreEqual(253.9580m, Math.Round((decimal)r5.S2, 4));
Assert.AreEqual(252.3520m, Math.Round((decimal)r5.S3, 4));
Assert.AreEqual(247.5340m, Math.Round((decimal)r5.S4, 4));
Assert.AreEqual(258.7760m, Math.Round((decimal)r5.R1, 4));
Assert.AreEqual(260.3820m, Math.Round((decimal)r5.R2, 4));
Assert.AreEqual(261.9880m, Math.Round((decimal)r5.R3, 4));
Assert.AreEqual(266.8060m, Math.Round((decimal)r5.R4, 4));
PivotPointsResult r6 = results[37];
Assert.AreEqual(243.1500m, Math.Round((decimal)r6.PP, 4));
Assert.AreEqual(241.56325m, Math.Round((decimal)r6.S1, 5));
Assert.AreEqual(239.9765m, Math.Round((decimal)r6.S2, 4));
Assert.AreEqual(238.3898m, Math.Round((decimal)r6.S3, 4));
Assert.AreEqual(233.6295m, Math.Round((decimal)r6.S4, 4));
Assert.AreEqual(244.7368m, Math.Round((decimal)r6.R1, 4));
Assert.AreEqual(246.3235m, Math.Round((decimal)r6.R2, 4));
Assert.AreEqual(247.91025m, Math.Round((decimal)r6.R3, 5));
Assert.AreEqual(252.6705m, Math.Round((decimal)r6.R4, 4));
}
public PivotPointsResult[] CalculatePivotPoints(IEnumerable <IQuote> quotes, PeriodSize period)
{
return(Indicator.GetPivotPoints(quotes, period).ToArray());
}
public IEnumerable <object> GetAllStandardSignals(string pair = "BTCUSDT", PeriodSize periodSize = PeriodSize.ThirtyMinutes, long?fromTicks = null, long?toTicks = null)
{
DateTime from = DateTime.Now.AddDays(-2);
DateTime to = DateTime.Now;
if (fromTicks.HasValue)
{
from = new DateTime(fromTicks.Value);
}
if (toTicks.HasValue)
{
to = new DateTime(toTicks.Value);
}
if (to > DateTime.Now)
{
to = DateTime.Now;
}
IEnumerable <PatternQuote> history = HistoryService.GetHistory(pair, periodSize, from, to).Select(s => ToDerived <Quote, PatternQuote>(s));
var result = Indicator.GetBearishEngulfing(history);
result = result.Union(Indicator.GetDarkCloudCover(history)); // "date": "2021-01-14T15:30:00Z" not confirmed ony 2 Candles
result = result.Union(Indicator.GetEveningStar(history));
result = result.Union(Indicator.GetHangingMan(history)); // "date": "2021-01-15T22:00:00Z" ??? highest?
result = result.Union(Indicator.GetShootingStar(history)); // "date": "2021-01-16T00:30:00Z"
result = result.Union(Indicator.GetThreeBlackCrows(history));
result = result.Union(Indicator.GetBullishEngulfing(history));
result = result.Union(Indicator.GetHammer(history)); // "date": "2021-01-15T16:00:00Z"
result = result.Union(Indicator.GetInverseHammer(history)); // "date": "2021-01-15T04:30:00Z"
result = result.Union(Indicator.GetMorningStar(history));
result = result.Union(Indicator.GetPiercingLine(history)); // 14.01.2021 10UTC
result = result.Union(Indicator.GetThreeWhiteSoldiers(history)); //"date": "2021-01-14T14:00:00Z"
result = result.Union(Indicator.GetDragonflyDoji(history)); // "date": "2021-01-17T17:30:00Z"
result = result.Union(Indicator.GetGraveStoneDoji(history));
result = result.Union(Indicator.GetLongLeggedDoji(history)); // "date": "2021-01-15T01:00:00Z"
result = result.Union(Indicator.GetMarubozu(history)); //"source": "Marubozu open bullish", "date": "2021-01-14T17:00:00Z"
// result = result.Union(Indicator.GetSpinningTop(history)); // "date": "2021-01-17T08:00:00Z"
var groupedPatterns = result.GroupBy(r => r.Source).ToDictionary(x => x.Key, y => y.ToList());
//bool isFirstElemet = true;
//List<object[]> returnValue = new List<object[]>();
//foreach (var v in history)
//{
// if (isFirstElemet)
// {
// isFirstElemet = false;
// List<object> curHeader = new List<object>();
// curHeader.Add("Date");
// curHeader.Add("Low");
// curHeader.Add("Open");
// curHeader.Add("Close");
// curHeader.Add("High");
// foreach (var key in groupedPatterns)
// {
// curHeader.Add(key.Key);
// }
// returnValue.Add(curHeader.ToArray());
// }
// List<object> curEntry = new List<object>();
// curEntry.Add(v.Date);
// curEntry.Add(v.Low);
// curEntry.Add(v.Open);
// curEntry.Add(v.Close);
// curEntry.Add(v.High);
// foreach (var key in groupedPatterns)
// {
// var pattern = key.FirstOrDefault(p => p.Date == v.Date);
// if (pattern == null)
// curEntry.Add(null);
// else
// curEntry.Add(pattern.Candle.High);
// }
// returnValue.Add(curEntry.ToArray());
//}
return(new List <object>()
{
history.Select(s => s as IQuote), groupedPatterns
});
}
// PIVOT POINTS
/// <include file='./info.xml' path='indicator/*' />
///
public static IEnumerable <PivotPointsResult> GetPivotPoints <TQuote>(
this IEnumerable <TQuote> quotes,
PeriodSize windowSize,
PivotPointType pointType = PivotPointType.Standard)
where TQuote : IQuote
{
// sort quotes
List <TQuote> quotesList = quotes.SortToList();
// initialize
int length = quotesList.Count;
List <PivotPointsResult> results = new(length);
PivotPointsResult windowPoint = new();
TQuote h0;
if (length == 0)
{
return(results);
}
else
{
h0 = quotesList[0];
}
int windowId = GetWindowNumber(h0.Date, windowSize);
int windowEval;
bool firstWindow = true;
decimal windowHigh = h0.High;
decimal windowLow = h0.Low;
decimal windowOpen = h0.Open;
decimal windowClose = h0.Close;
// roll through quotes
for (int i = 0; i < length; i++)
{
TQuote q = quotesList[i];
PivotPointsResult r = new()
{
Date = q.Date
};
// new window evaluation
windowEval = GetWindowNumber(q.Date, windowSize);
if (windowEval != windowId)
{
windowId = windowEval;
firstWindow = false;
// set new levels
if (pointType == PivotPointType.Woodie)
{
windowOpen = q.Open;
}
windowPoint = GetPivotPoint <PivotPointsResult>(
pointType, windowOpen, windowHigh, windowLow, windowClose);
// reset window min/max thresholds
windowOpen = q.Open;
windowHigh = q.High;
windowLow = q.Low;
}
// add levels
if (!firstWindow)
{
// pivot point
r.PP = windowPoint.PP;
// support
r.S1 = windowPoint.S1;
r.S2 = windowPoint.S2;
r.S3 = windowPoint.S3;
r.S4 = windowPoint.S4;
// resistance
r.R1 = windowPoint.R1;
r.R2 = windowPoint.R2;
r.R3 = windowPoint.R3;
r.R4 = windowPoint.R4;
}
results.Add(r);
// capture window threholds (for next iteration)
windowHigh = (q.High > windowHigh) ? q.High : windowHigh;
windowLow = (q.Low < windowLow) ? q.Low : windowLow;
windowClose = q.Close;
}
return(results);
}
