protected void SetupIndicators()
{
if (SlowMaPeriod <= FastMaPeriod)
{
throw new ArgumentOutOfRangeException("SlowMaPeriod",
"Slow MA period must be greater than fast MA period");
}
CurrentExecutionBarSeries = GetBars(BarType.Time, CurrentExecutionTimePeriodInSeconds);
SlowEmaIndicator = new EMA(CurrentExecutionBarSeries, SlowMaPeriod, Color.Orange);
FastEmaIndicator = new EMA(CurrentExecutionBarSeries, FastMaPeriod, Color.Cyan);
FastEmaIndicator.Color = Color.Cyan;
Draw(SlowEmaIndicator, 0);
Draw(FastEmaIndicator, 0);
KSlowIndicator = new K_Slow(CurrentExecutionBarSeries, StochasticsKPeriod, StochasticsSmoothPeriod, Color.Yellow);
DSlowIndicator = new D_Slow(CurrentExecutionBarSeries, StochasticsKPeriod, StochasticsDPeriod,
StochasticsSmoothPeriod,
Color.Red);
Draw(KSlowIndicator, 2);
Draw(DSlowIndicator, 2);
CurrentDailyBarSeries = GetBars(BarType.Time, PeriodConstants.PERIOD_DAILY);
DailyAtrIndicator = new ATR(CurrentDailyBarSeries, AtrPeriod, Color.Wheat);
DailyVolumeSmaIndicator = new SMA(CurrentDailyBarSeries, 20, BarData.Volume);
DailyPriceSmaIndicator = new SMA(CurrentDailyBarSeries, 20, BarData.Close);
Draw(DailyAtrIndicator, 3);
}
protected ATR GetAtr(Instrument instrument, int period)
{
BarSeries dailyBarSeries = null;
string instId = instrument.ToIdentifier();
dailyBarSeriesDictionary.TryGetValue(instId, out dailyBarSeries);
if (dailyBarSeries == null || dailyBarSeries.Count <= 0)
throw new ApplicationException("Daily bar series has not been initialized");
string atrId = string.Format("{0}:{1}", instId, period);
if (!atrDictionary.ContainsKey(atrId))
{
lock (LockObject)
{
if (!atrDictionary.ContainsKey(atrId))
{
ATR atr = new ATR(dailyBarSeries, period);
atrDictionary.Add(atrId, atr);
}
}
}
return atrDictionary[atrId];
}
/// <summary>
///
/// </summary>
/// <param name="atrPeriod"></param>
/// <param name="triggerTime"></param>
/// <returns></returns>
private double GetAtrValue(int atrPeriod, DateTime triggerTime, double price)
{
ATR atr = new ATR(DailyBarSeries, atrPeriod);
double returnValue = 0;
int idx = atr.Count - 1;
bool found = false;
while (!found && idx >= 0)
{
if (atr.GetDateTime(idx) < triggerTime)
{
found = true;
returnValue = atr[idx];
break;
}
idx--;
}
if (!found || returnValue <= 0)
throw new ApplicationException(string.Format("Count not retrieve an ATR for {0} before bar {1}. If it is due to exchange holidays - then set the 'DaysToGoBackForMinutelyData' parameter to fetch more data.", Instrument.Symbol, triggerTime));
LoggingUtility.WriteInfo(LoggingConfig, string.Format("Found ATR value of {0:c} ({2:p}) as of {1}", returnValue, atr.GetDateTime(idx), returnValue / price ));
return returnValue;
}