private void UpdateInternal(Bar bar)
{
Data.Add(bar);
_lowestMetric.Update(bar.LowestPrice);
_lowestPrice = _lowestMetric.Value;
_highestMetric.Update(bar.HighestPrice);
_highestPrice = _highestMetric.Value;
}
public override void Update(Bar bar)
{
_highest.Update(bar.HighestPrice);
var highest = _highest.Value;
_lowest.Update(bar.LowestPrice);
var lowest = _lowest.Value;
var rsv = (bar.ClosePrice - lowest) / (highest - lowest) * 100;
SetValue(100.0 - rsv);
}
public override void Update(Bar bar)
{
_lowest.Update(bar.LowestPrice);
var lowestPrice = _lowest.Value;
_highest.Update(bar.HighestPrice);
var highestPrice = _highest.Value;
var rsv = (bar.ClosePrice - lowestPrice) / (highestPrice - lowestPrice) * 100.0;
var k = rsv;
var d = ((_kDecay - 1) * _prevD + k) / _kDecay;
var j = _jCoeff * d - (_jCoeff - 1) * k;
// update status;
_prevD = d;
SetValue(k, d, j);
}
public override void Update(Bar bar)
{
if (_secondHalfHighest.Data.Length < _halfPeriod)
{
// second half is not full yet
if (_firstHalfHighest.Data.Length < _halfPeriod)
{
// first half is not full yet
_firstHalfHighest.Update(bar.HighestPrice);
_firstHalfLowest.Update(bar.LowestPrice);
}
else
{
// first half is full
_secondHalfHighest.Update(bar.HighestPrice);
_secondHalfLowest.Update(bar.LowestPrice);
}
}
else
{
_firstHalfHighest.Update(_secondHalfHighest.Data[0]);
_firstHalfLowest.Update(_secondHalfLowest.Data[0]);
_secondHalfHighest.Update(bar.HighestPrice);
_secondHalfLowest.Update(bar.LowestPrice);
}
// warming up stage
if (double.IsNaN(_lastFrama))
{
_initialFrama.Update(bar.ClosePrice);
if (_initialFrama.Data.Length >= _h)
{
_lastFrama = _initialFrama.Value;
}
SetValue(_initialFrama.Value);
return;
}
// calculation stage
double firstHalfHighestValue = _firstHalfHighest.Value;
double firstHalfLowestValue = _firstHalfLowest.Value;
double secondHalfHighestValue = _secondHalfHighest.Value;
double secondHalfLowestValue = _secondHalfLowest.Value;
double highestValue = Math.Max(firstHalfHighestValue, secondHalfHighestValue);
double lowestValue = Math.Min(firstHalfLowestValue, secondHalfLowestValue);
var hl1 = (firstHalfHighestValue - firstHalfLowestValue) / _halfPeriod;
var hl2 = (secondHalfHighestValue - secondHalfLowestValue) / _halfPeriod;
var hl = (highestValue - lowestValue) / _period;
var fractalDimension = (Math.Log(hl1 + hl2) - Math.Log(hl)) / _log2;
var alpha = Math.Exp(_w * (fractalDimension - 1.0));
if (alpha < _minAlpha)
{
alpha = _minAlpha;
}
if (alpha > _maxAlpha)
{
alpha = _maxAlpha;
}
var originalNEma = (2.0 - alpha) / alpha;
var newNEma = ((_sc - _fc) * ((originalNEma - 1.0) / (_sc - 1.0))) + _fc;
var newAlpha = 2.0 / (newNEma + 1.0);
var newFrama = _lastFrama + newAlpha * (bar.ClosePrice - _lastFrama);
SetValue(newFrama);
_lastFrama = newFrama;
}
