public static ValueDatum Momentum(this IBar bar, int period, IEnumerable <IBarDatum> data)
{
double mom = double.MinValue;
double slope = double.MinValue;
double dSlope = double.MinValue;
if (period - data.Count() <= 1)
{
var previousBars = ToSet(data, period - 1);
IBarDatum periodBar = previousBars.Last();
double prevClose = periodBar.Close == double.MinValue ? 0 : periodBar.Close;
mom = bar.Close - prevClose;
IBarDatum previousBar = previousBars.First();
int minutes = (bar.Time - previousBar.Time).Minutes;
double prevMomentum = previousBar.M == double.MinValue ? 0 : previousBar.M;
slope = (mom - prevMomentum) / (double)minutes;
double prevMomDelta = previousBar.DM == double.MinValue ? 0 : previousBar.DM;
dSlope = (slope - prevMomDelta) / (double)minutes;
}
ValueDatum newDatum = new ValueDatum("M", mom, slope, dSlope);
return(newDatum);
}
private void BuildMomentum(int period, IEnumerable <IBarDatum> barData)
{
ValueDatum mom = Bar.Momentum(period, barData);
Datum.M = mom.Value;
Datum.DM = mom.Slope;
Datum.D2M = mom.DSlope;
}
private void BuildMeta(IMetaMapping mapping, IEnumerable <IBarDatum> barData)
{
ValueDatum ave = Bar.Sma(mapping, barData);
string propertyBase = mapping.Property;
properties.Where(p => p.Name == propertyBase)
.First()
.SetValue(Datum, ave.Value);
properties.Where(p => p.Name == $"D{propertyBase}")
.First()
.SetValue(Datum, ave.Slope);
properties.Where(p => p.Name == $"D2{propertyBase}")
.First()
.SetValue(Datum, ave.DSlope);
}
public static ValueDatum Sma(this IBar bar, IMetaMapping mapping, IEnumerable <IBarDatum> data)
{
int period = mapping.Value.Value;
double ave = double.MinValue;
double slope = double.MinValue;
double dSlope = double.MinValue;
var previousBars = ToSet(data, period - 1);
if (period - previousBars.Count <= 1)
{
ave = (previousBars.Sum(b => b.Close) + bar.Close) / (double)period;
IBarDatum previousBar = previousBars[0];
int minutes = (bar.Time - previousBar.Time).Minutes;
double prevAve = (double)Properties.Where(p => p.Name == mapping.Property)
.First()
.GetValue(previousBar, null);
prevAve = prevAve == double.MinValue ? 0 : prevAve;
slope = (ave - prevAve) / (double)minutes;
double prevSlope = (double)Properties.Where(p => p.Name == $"D{mapping.Property}")
.First()
.GetValue(previousBar, null);
prevSlope = prevSlope == double.MinValue ? 0 : prevSlope;
dSlope = (slope - prevSlope) / (double)minutes;
}
ValueDatum newDatum = new ValueDatum(mapping.Property, ave, slope, dSlope);
return(newDatum);
}