Пример #1
0
        public virtual void LoadOhlcList(List <BarRecord> barRecords)
        {
            OhlcList = new List <Ohlc>();
            foreach (BarRecord bar in barRecords)
            {
                Ohlc ohlc = new Ohlc();
                ohlc.Open   = Convert.ToDouble(bar.OPEN_PRICE);
                ohlc.Close  = Convert.ToDouble(bar.CLOSE_PRICE);
                ohlc.Low    = Convert.ToDouble(bar.LOW_PRICE);
                ohlc.High   = Convert.ToDouble(bar.HIGH_PRICE);
                ohlc.Volume = Convert.ToDouble(bar.TOTAL_VOLUME);

                OhlcList.Add(ohlc);
            }
        }
Пример #2
0
        public virtual void Load(string path)
        {
            using (CsvReader csv = new CsvReader(new StreamReader(path), true))
            {
                int      fieldCount = csv.FieldCount;
                string[] headers    = csv.GetFieldHeaders();
                OhlcList = new List <Ohlc>();
                while (csv.ReadNextRecord())
                {
                    Ohlc ohlc = new Ohlc();
                    for (int i = 0; i < fieldCount; i++)
                    {
                        switch (headers[i])
                        {
                        case "START_TIME":
                            break;

                        case "END_TIME":
                            break;

                        case "OPEN_PRICE":
                            ohlc.Open = double.Parse(csv[i], CultureInfo.InvariantCulture);
                            break;

                        case "CLOSE_PRICE":
                            ohlc.Close = double.Parse(csv[i], CultureInfo.InvariantCulture);
                            break;

                        case "HIGH_PRICE":
                            ohlc.High = double.Parse(csv[i], CultureInfo.InvariantCulture);
                            break;

                        case "LOW_PRICE":
                            ohlc.Low = double.Parse(csv[i], CultureInfo.InvariantCulture);
                            break;

                        case "TOTAL_VOLUME":
                            ohlc.Volume = int.Parse(csv[i]);
                            break;

                        case "Date":
                            ohlc.Date = new DateTime(Int32.Parse(csv[i].Substring(0, 4)), Int32.Parse(csv[i].Substring(5, 2)), Int32.Parse(csv[i].Substring(8, 2)));
                            break;

                        case "Open":
                            ohlc.Open = double.Parse(csv[i], CultureInfo.InvariantCulture);
                            break;

                        case "High":
                            ohlc.High = double.Parse(csv[i], CultureInfo.InvariantCulture);
                            break;

                        case "Low":
                            ohlc.Low = double.Parse(csv[i], CultureInfo.InvariantCulture);
                            break;

                        case "Close":
                            ohlc.Close = double.Parse(csv[i], CultureInfo.InvariantCulture);
                            break;

                        case "Volume":
                            ohlc.Volume = int.Parse(csv[i]);
                            break;

                        case "Adj Close":
                            ohlc.AdjClose = double.Parse(csv[i], CultureInfo.InvariantCulture);
                            break;

                        default:
                            break;
                        }
                    }

                    OhlcList.Add(ohlc);
                }
            }
        }
Пример #3
0
        public override ADXSerie Calculate()
        {
            ADXSerie adxSerie = new ADXSerie();

            List <Ohlc> tempOhlcList = new List <Ohlc>();

            for (int i = 0; i < OhlcList.Count; i++)
            {
                Ohlc tempOhlc = new Ohlc()
                {
                    Close = OhlcList[i].High
                };
                tempOhlcList.Add(tempOhlc);
            }
            Momentum momentum = new Momentum();

            momentum.Load(tempOhlcList);
            List <double?> highMomentums = momentum.Calculate().Values;

            tempOhlcList = new List <Ohlc>();
            for (int i = 0; i < OhlcList.Count; i++)
            {
                Ohlc tempOhlc = new Ohlc()
                {
                    Close = OhlcList[i].Low
                };
                tempOhlcList.Add(tempOhlc);
            }
            momentum = new Momentum();
            momentum.Load(tempOhlcList);
            List <double?> lowMomentums = momentum.Calculate().Values;

            for (int i = 0; i < lowMomentums.Count; i++)
            {
                if (lowMomentums[i].HasValue)
                {
                    lowMomentums[i] *= -1;
                }
            }

            //DMIp <- ifelse( dH==dL | (dH< 0 & dL< 0), 0, ifelse( dH >dL, dH, 0 ) )
            List <double?> DMIPositives = new List <double?>()
            {
                null
            };
            // DMIn <- ifelse( dH==dL | (dH< 0 & dL< 0), 0, ifelse( dH <dL, dL, 0 ) )
            List <double?> DMINegatives = new List <double?>()
            {
                null
            };

            for (int i = 1; i < OhlcList.Count; i++)
            {
                if (highMomentums[i] == lowMomentums[i] || (highMomentums[i] < 0 & lowMomentums[i] < 0))
                {
                    DMIPositives.Add(0);
                }
                else
                {
                    if (highMomentums[i] > lowMomentums[i])
                    {
                        DMIPositives.Add(highMomentums[i]);
                    }
                    else
                    {
                        DMIPositives.Add(0);
                    }
                }

                if (highMomentums[i] == lowMomentums[i] || (highMomentums[i] < 0 & lowMomentums[i] < 0))
                {
                    DMINegatives.Add(0);
                }
                else
                {
                    if (highMomentums[i] < lowMomentums[i])
                    {
                        DMINegatives.Add(lowMomentums[i]);
                    }
                    else
                    {
                        DMINegatives.Add(0);
                    }
                }
            }

            ATR atr = new ATR();

            atr.Load(OhlcList);
            List <double?> trueRanges = atr.Calculate().TrueRange;

            adxSerie.TrueRange = trueRanges;

            List <double?> trSum = wilderSum(trueRanges);

            // DIp <- 100 * wilderSum(DMIp, n=n) / TRsum
            List <double?> DIPositives     = new List <double?>();
            List <double?> wilderSumOfDMIp = wilderSum(DMIPositives);

            for (int i = 0; i < wilderSumOfDMIp.Count; i++)
            {
                if (wilderSumOfDMIp[i].HasValue)
                {
                    DIPositives.Add(wilderSumOfDMIp[i].Value * 100 / trSum[i].Value);
                }
                else
                {
                    DIPositives.Add(null);
                }
            }
            adxSerie.DIPositive = DIPositives;

            // DIn <- 100 * wilderSum(DMIn, n=n) / TRsum
            List <double?> DINegatives     = new List <double?>();
            List <double?> wilderSumOfDMIn = wilderSum(DMINegatives);

            for (int i = 0; i < wilderSumOfDMIn.Count; i++)
            {
                if (wilderSumOfDMIn[i].HasValue)
                {
                    DINegatives.Add(wilderSumOfDMIn[i].Value * 100 / trSum[i].Value);
                }
                else
                {
                    DINegatives.Add(null);
                }
            }
            adxSerie.DINegative = DINegatives;

            // DX  <- 100 * ( abs(DIp - DIn) / (DIp + DIn) )
            List <double?> DX = new List <double?>();

            for (int i = 0; i < OhlcList.Count; i++)
            {
                if (DIPositives[i].HasValue)
                {
                    double?dx = 100 * (Math.Abs(DIPositives[i].Value - DINegatives[i].Value) / (DIPositives[i].Value + DINegatives[i].Value));
                    DX.Add(dx);
                }
                else
                {
                    DX.Add(null);
                }
            }
            adxSerie.DX = DX;

            for (int i = 0; i < OhlcList.Count; i++)
            {
                if (DX[i].HasValue)
                {
                    OhlcList[i].Close = DX[i].Value;
                }
                else
                {
                    OhlcList[i].Close = 0.0;
                }
            }

            EMA ema = new EMA(Period, true);

            ema.Load(OhlcList.Skip(Period).ToList());
            List <double?> emaValues = ema.Calculate().Values;

            for (int i = 0; i < Period; i++)
            {
                emaValues.Insert(0, null);
            }
            adxSerie.ADX = emaValues;

            return(adxSerie);
        }