private void UpdateSubItem(TimeSeries values, int index)
{
this.UpdateSubItem(values.Count > 0 ? values.Last : 0.0, index);
if (!(this.Statistics.Category == "Daily / Annual returns") || values.Count != 0)
return;
this.SubItems[index].Text = string.Empty;
}
public DSView(Pad pad, TimeSeries series, Color color, SearchOption option, SmoothingMode smoothing)
: base(pad)
{
this.series = series;
Option = option;
Color = color;
SmoothingMode = smoothing;
ToolTipFormat = "{0}\n{2} - {3:F*}".Replace("*", pad.Chart.LabelDigitsCount.ToString());
}
private double GetAvg(TimeSeries values)
{
double num = 0.0;
if (values.Count > 0)
{
for (int index = 0; index < values.Count; ++index)
num += values[index];
num /= (double)values.Count;
}
return num;
}
private double GetStdDev(TimeSeries values)
{
double num = 0.0;
if (values.Count > 1)
{
double avg = this.GetAvg(values);
for (int index = 0; index < values.Count; ++index)
num += Math.Pow(values[index] - avg, 2.0);
num = Math.Sqrt(num / (double)(values.Count - 1));
}
return num;
}
public Strategy(Framework framework, string name)
{
this.framework = framework;
this.Name = name;
this.strategiesByInstrument = new IdArray<LinkedList<Strategy>>(1000);
this.strategyByOrderId = new IdArray<Strategy>(1000);
this.strategies = new LinkedList<Strategy>();
this.status = StrategyStatus.Stopped;
this.instruments = new InstrumentList();
this.instrumentCountTable = new IdArray<int>(1000);
if (framework != null)
{
this.portfolio = new Portfolio(framework, this.Name);
framework.PortfolioManager.Add(this.portfolio);
}
this.bars = new BarSeries("", "");
this.equity = new TimeSeries();
this.bids = new TickSeries("");
this.asks = new TickSeries("");
this.stops = new List<Stop>();
this.stopsByInstrument = new IdArray<List<Stop>>(1000);
}
public double GetCovariance(TimeSeries series)
{
if (series == null)
{
throw new ArgumentException("Argument series should be of TimeSeries type");
}
double num = this.GetMean();
double num2 = series.GetMean();
double num3 = 0.0;
double num4 = 0.0;
for (int i = 0; i < this.Count; i++)
{
DateTime dateTime = this.GetDateTime(i);
if (series.Contains(dateTime))
{
num4 += (this[i] - num) * (series[dateTime, SearchOption.Exact] - num2);
num3 += 1.0;
}
}
if (num3 <= 1.0)
{
return 0.0;
}
return num4 / (num3 - 1.0);
}
public Cross Crosses(TimeSeries series, DateTime dateTime)
{
int num = this.IndexOf(dateTime, SearchOption.Exact);
int num2 = series.IndexOf(dateTime, SearchOption.Exact);
if (num <= 0 || num >= this.items.Count)
{
return Cross.None;
}
if (num2 <= 0 || num2 >= series.Count)
{
return Cross.None;
}
DateTime dateTime2 = this.GetDateTime(num - 1);
DateTime dateTime3 = series.GetDateTime(num2 - 1);
if (dateTime2 == dateTime3)
{
if (this.GetValue(num - 1) <= series.GetValue(num2 - 1) && this.GetValue(num) > series.GetValue(num2))
{
return Cross.Above;
}
if (this.GetValue(num - 1) >= series.GetValue(num2 - 1) && this.GetValue(num) < series.GetValue(num2))
{
return Cross.Below;
}
}
else
{
double value;
double value2;
if (dateTime2 < dateTime3)
{
DateTime dateTime4 = this.GetDateTime(num - 1);
value = this.GetValue(num - 1);
if (series.IndexOf(dateTime4, SearchOption.Next) != num2)
{
value2 = series.GetValue(series.IndexOf(dateTime4, SearchOption.Next));
}
else
{
value2 = series.GetValue(series.IndexOf(dateTime4, SearchOption.Prev));
}
}
else
{
DateTime dateTime5 = series.GetDateTime(num2 - 1);
value2 = series.GetValue(num2 - 1);
if (this.IndexOf(dateTime5, SearchOption.Prev) != num)
{
value = this.GetValue(this.IndexOf(dateTime5, SearchOption.Next));
}
else
{
value = this.GetValue(this.IndexOf(dateTime5, SearchOption.Prev));
}
}
if (value <= value2 && this.GetValue(num) > series.GetValue(num2))
{
return Cross.Above;
}
if (value >= value2 && this.GetValue(num) < series.GetValue(num2))
{
return Cross.Below;
}
}
return Cross.None;
}
public double GetCorrelation(TimeSeries series)
{
return this.GetCovariance(series) / (this.GetStdDev() * series.GetStdDev());
}
public DSView DrawSeries(TimeSeries series, int padNumber, Color color, SimpleDSStyle style, SearchOption option, SmoothingMode smoothingMode)
{
lock (this.lockObject)
{
if (!this.volumePadShown && padNumber > 1)
--padNumber;
DSView local_0 = new DSView(this.pads[padNumber], series, color, option, smoothingMode);
local_0.Style = style;
this.pads[padNumber].AddPrimitive(local_0);
local_0.SetInterval(this.leftDateTime, this.rightDateTime);
this.contentUpdated = true;
return local_0;
}
}
public static TimeSeries operator /(double Value, TimeSeries series)
{
if (series == null)
{
throw new ArgumentException("Operator argument can not be null");
}
TimeSeries timeSeries = new TimeSeries(string.Concat(new string[]
{
"(",
Value.ToString("F2"),
"/",
series.Name,
")"
}), "");
for (int i = 0; i < series.Count; i++)
{
if (series[i, 0] != 0.0)
{
timeSeries.Add(series.GetDateTime(i), Value / series[i, 0]);
}
}
return timeSeries;
}
private double GetCovariance(TimeSeries values1, TimeSeries values2)
{
double num1 = 0.0;
int num2 = Math.Min(values1.Count, values2.Count);
if (num2 > 1)
{
double avg1 = this.GetAvg(values1);
double avg2 = this.GetAvg(values2);
for (int index = num2 - 1; index >= 0; --index)
num1 += (values1[index] - avg1) * (values2[index] - avg2);
num1 /= (double)(num2 - 1);
}
return num1;
}
public void DrawSeries(TimeSeries series, int padNumber, Color color)
{
DrawSeries(series, padNumber, color, SearchOption.ExactFirst);
}
public void DrawSeries(TimeSeries series, int padNumber, Color color, SearchOption option)
{
lock (this.lockObject)
{
if (!this.volumePadShown && padNumber > 1)
--padNumber;
var view = new DSView(this.pads[padNumber], series, color, option, this.TimeSeriesSmoothingMode);
this.pads[padNumber].AddPrimitive(view);
view.SetInterval(this.leftDateTime, this.rightDateTime);
this.contentUpdated = true;
}
}
public virtual TimeSeries GetPositiveSeries()
{
TimeSeries timeSeries = new TimeSeries();
for (int i = 0; i < this.Count; i++)
{
if (this[i] > 0.0)
{
timeSeries.Add(this.GetDateTime(i), this[i]);
}
}
return timeSeries;
}
public DSView(Pad pad, TimeSeries series, SearchOption option)
: this(pad, series, Color.White, option, SmoothingMode.AntiAlias)
{
}
public DSView(Pad pad, TimeSeries series, Color color)
: this(pad, series, color, SearchOption.ExactFirst, SmoothingMode.AntiAlias)
{
}
public DSView(Pad pad, TimeSeries series)
: this(pad, series, SearchOption.ExactFirst)
{
}
private double GetCorrelation(TimeSeries values1, TimeSeries values2)
{
double num = 0.0;
if (Math.Min(values1.Count, values2.Count) > 1)
num = this.GetCovariance(values1, values2) / (this.GetStdDev(values1) * this.GetStdDev(values2));
return num;
}
public Chart(TimeSeries mainSeries)
: this()
{
SetMainSeries(mainSeries);
}
private TimeSeries GetEqualSeries(TimeSeries values1, TimeSeries values2)
{
TimeSeries timeSeries = new TimeSeries();
for (int index = 0; index < values2.Count; ++index)
{
DateTime dateTime = values1.GetDateTime(index);
if (values2.Contains(dateTime))
timeSeries.Add(dateTime, values1[index]);
}
return timeSeries;
}
public static TimeSeries operator /(TimeSeries series1, TimeSeries series2)
{
if (series1 == null || series2 == null)
{
throw new ArgumentException("Operator argument can not be null");
}
TimeSeries timeSeries = new TimeSeries(string.Concat(new string[]
{
"(",
series1.Name,
"/",
series2.Name,
")"
}), "");
for (int i = 0; i < series1.Count; i++)
{
DateTime dateTime = series1.GetDateTime(i);
if (series2.Contains(dateTime) && series2[dateTime, SearchOption.Exact] != 0.0)
{
timeSeries.Add(dateTime, series1[dateTime, 0] / series2[dateTime, 0]);
}
}
return timeSeries;
}
public virtual TimeSeries GetReturnSeries()
{
TimeSeries timeSeries = new TimeSeries(this.name, this.description + " (return)");
if (this.Count > 1)
{
double num = this[0];
for (int i = 0; i < this.Count; i++)
{
DateTime dateTime = this.GetDateTime(i);
double num2 = this[i];
if (num != 0.0)
{
timeSeries.Add(dateTime, num2 / num);
}
else
{
timeSeries.Add(dateTime, 0.0);
}
num = num2;
}
}
return timeSeries;
}
public void DrawSeries(TimeSeries series, int padNumber, Color color, SimpleDSStyle style, SmoothingMode smoothingMode)
{
DrawSeries(series, padNumber, color, style, SearchOption.ExactFirst, smoothingMode);
}
public void OnNewGroupEvent(GroupEvent groupEvent)
{
var item = this.table[groupEvent.Group.Id];
Tuple<Viewer, object> tuple = null;
item.Table.TryGetValue(groupEvent.Obj.TypeId, out tuple);
switch (groupEvent.Obj.TypeId)
{
case DataObjectType.Bar:
object obj1;
if (tuple == null)
{
obj1 = new BarSeries("", "", -1);
int padNumber = item.PadNumber;
this.EnsurePadExists(padNumber, item.Format);
int viewerIndex = this.GetViewerIndex(groupEvent.Group, padNumber);
Viewer viewer = this.chart.Pads[padNumber].Insert(viewerIndex, obj1 as BarSeries);
this.chart.Pads[padNumber].Legend.Add(groupEvent.Group.Name, Color.Black);
item.Table.Add(groupEvent.Obj.TypeId, new Tuple<Viewer, object>(viewer, obj1));
}
else
obj1 = tuple.Item2 as BarSeries;
(obj1 as BarSeries).Add(groupEvent.Obj as Bar);
break;
case DataObjectType.Fill:
object obj2;
if (tuple == null)
{
obj2 = new FillSeries("");
int padNumber = item.PadNumber;
this.EnsurePadExists(padNumber, item.Format);
int viewerIndex = this.GetViewerIndex(groupEvent.Group, padNumber);
Viewer viewer = this.chart.Pads[padNumber].Insert(viewerIndex, obj2);
item.Table.Add(groupEvent.Obj.TypeId, new Tuple<Viewer, object>(viewer, obj2));
}
else
obj2 = tuple.Item2 as FillSeries;
(obj2 as FillSeries).Add(groupEvent.Obj as Fill);
break;
case DataObjectType.TimeSeriesItem:
object obj3;
if (tuple == null)
{
obj3 = new TimeSeries();
int padNumber = item.PadNumber;
EnsurePadExists(padNumber, item.Format);
int viewerIndex = this.GetViewerIndex(groupEvent.Group, padNumber);
Viewer viewer = this.chart.Pads[padNumber].Insert(viewerIndex, obj3);
foreach (var kv in groupEvent.Group.Fields)
viewer.Set(obj3, kv.Value.Name, kv.Value.Value);
if (groupEvent.Group.Fields.ContainsKey("Color"))
this.chart.Pads[padNumber].Legend.Add(groupEvent.Group.Name, (Color)groupEvent.Group.Fields["Color"].Value);
else
this.chart.Pads[padNumber].Legend.Add(groupEvent.Group.Name, Color.Black);
item.Table.Add(groupEvent.Obj.TypeId, new Tuple<Viewer, object>(viewer, obj3));
}
else
obj3 = tuple.Item2 as TimeSeries;
(obj3 as TimeSeries).Add((groupEvent.Obj as TimeSeriesItem).DateTime, (groupEvent.Obj as TimeSeriesItem).Value);
break;
}
}
public TimeSeries Shift(int offset)
{
TimeSeries timeSeries = new TimeSeries(this.name, this.description);
int num = 0;
if (offset < 0)
{
num += Math.Abs(offset);
}
for (int i = num; i < this.Count; i++)
{
int num2 = i + offset;
if (num2 >= this.Count)
{
break;
}
DateTime dateTime = this.GetDateTime(num2);
double value = this[i];
timeSeries[dateTime, SearchOption.Exact] = value;
}
return timeSeries;
}
