/// <summary>
/// </summary>
/// <param name="bars"></param>
/// <param name="open"></param>
/// <param name="high"></param>
/// <param name="low"></param>
/// <param name="close"></param>
/// <param name="time"></param>
/// <param name="volume"></param>
/// <param name="isRealtime"></param>
public override void Add(Bars bars, double open, double high, double low, double close, DateTime time, long volume, bool isRealtime)
{
if (volume <= bars.Period.Value2) return;
if (bars.Count == 0)
{
while (volume > bars.Period.Value)
{
AddBar(bars, open, high, low, close, time, bars.Period.Value, isRealtime);
volume -= bars.Period.Value;
}
if (volume > 0)
AddBar(bars, open, high, low, close, time, volume, isRealtime);
}
else
{
long volumeTmp = 0;
if (!bars.IsNewSession(time, isRealtime))
{
volumeTmp = Math.Min(bars.Period.Value - bars.GetVolume(bars.Count - 1), volume);
if (volumeTmp > 0)
UpdateBar(bars, open, high, low, close, time, volumeTmp, isRealtime);
}
volumeTmp = volume - volumeTmp;
while (volumeTmp > 0)
{
AddBar(bars, open, high, low, close, time, Math.Min(volumeTmp, bars.Period.Value), isRealtime);
volumeTmp -= bars.Period.Value;
}
}
}
protected override void OnDataPoint(Bars bars, double open, double high, double low, double close, DateTime time, long volume, bool isBar, double bid, double ask)
{
if (SessionIterator == null)
{
SessionIterator = new SessionIterator(bars);
}
bool isNewSession = SessionIterator.IsNewSession(time, isBar);
if (isNewSession)
{
SessionIterator.GetNextSession(time, isBar);
}
long barsPeriodValue = bars.BarsPeriod.Value;
if (bars.Instrument.MasterInstrument.InstrumentType == InstrumentType.CryptoCurrency)
{
barsPeriodValue = Core.Globals.FromCryptocurrencyVolume(bars.BarsPeriod.Value);
}
if (bars.Count == 0)
{
while (volume > barsPeriodValue)
{
AddBar(bars, open, high, low, close, time, barsPeriodValue);
volume -= barsPeriodValue;
}
if (volume > 0)
{
AddBar(bars, open, high, low, close, time, volume);
}
}
else
{
long volumeTmp = 0;
if (!bars.IsResetOnNewTradingDay || !isNewSession)
{
volumeTmp = Math.Min(barsPeriodValue - bars.GetVolume(bars.Count - 1), volume);
if (volumeTmp > 0)
{
UpdateBar(bars, high, low, close, time, volumeTmp);
}
}
volumeTmp = volume - volumeTmp;
while (volumeTmp > 0)
{
AddBar(bars, open, high, low, close, time, Math.Min(volumeTmp, barsPeriodValue));
volumeTmp -= barsPeriodValue;
}
}
}
/// <summary>
/// </summary>
/// <param name="bars"></param>
/// <param name="open"></param>
/// <param name="high"></param>
/// <param name="low"></param>
/// <param name="close"></param>
/// <param name="time"></param>
/// <param name="volume"></param>
/// <param name="isRealtime"></param>
public override void Add(Bars bars, double open, double high, double low, double close, DateTime time, long volume, bool isRealtime)
{
if (volume <= bars.Period.Value2)
{
return;
}
if (bars.Count == 0)
{
while (volume > bars.Period.Value)
{
AddBar(bars, open, high, low, close, time, bars.Period.Value, isRealtime);
volume -= bars.Period.Value;
}
if (volume > 0)
{
AddBar(bars, open, high, low, close, time, volume, isRealtime);
}
}
else
{
long volumeTmp = 0;
if (!bars.IsNewSession(time, isRealtime))
{
volumeTmp = Math.Min(bars.Period.Value - bars.GetVolume(bars.Count - 1), volume);
if (volumeTmp > 0)
{
UpdateBar(bars, open, high, low, close, time, volumeTmp, isRealtime);
}
}
volumeTmp = volume - volumeTmp;
while (volumeTmp > 0)
{
AddBar(bars, open, high, low, close, time, Math.Min(volumeTmp, bars.Period.Value), isRealtime);
volumeTmp -= bars.Period.Value;
}
}
}
public override double GetPercentComplete(Bars bars, DateTime now)
{
switch (BarsPeriod.BaseBarsPeriodType)
{
case BarsPeriodType.Day: return(now.Date <= bars.LastBarTime.Date
? 1.0 - bars.LastBarTime.AddDays(1).Subtract(now).TotalDays / bars.BarsPeriod.BaseBarsPeriodValue
: 1);
case BarsPeriodType.Minute: return(now <= bars.LastBarTime ? 1.0 - bars.LastBarTime.Subtract(now).TotalMinutes / bars.BarsPeriod.BaseBarsPeriodValue : 1);
case BarsPeriodType.Month:
if (now.Date <= bars.LastBarTime.Date)
{
int month = now.Month;
int daysInMonth = month == 2 ? (DateTime.IsLeapYear(now.Year) ? 29 : 28) : (month == 1 || month == 3 || month == 5 || month == 7 || month == 8 || month == 10 || month == 12 ? 31 : 30);
return((daysInMonth - bars.LastBarTime.Date.AddDays(1).Subtract(now).TotalDays / bars.BarsPeriod.BaseBarsPeriodValue) / daysInMonth);
}
return(1);
case BarsPeriodType.Second: return(now <= bars.LastBarTime ? 1.0 - bars.LastBarTime.Subtract(now).TotalSeconds / bars.BarsPeriod.BaseBarsPeriodValue : 1);
case BarsPeriodType.Tick: return((double)bars.TickCount / bars.BarsPeriod.BaseBarsPeriodValue);
case BarsPeriodType.Volume: return(bars.Count == 0 ? 0 : (double)bars.GetVolume(bars.Count - 1) / bars.BarsPeriod.BaseBarsPeriodValue);
case BarsPeriodType.Week: return(now.Date <= bars.LastBarTime.Date ? (7 - bars.LastBarTime.AddDays(1).Subtract(now).TotalDays / bars.BarsPeriod.BaseBarsPeriodValue) / 7 : 1);
case BarsPeriodType.Year:
if (now.Date <= bars.LastBarTime.Date)
{
double daysInYear = DateTime.IsLeapYear(now.Year) ? 366 : 365;
return((daysInYear - bars.LastBarTime.Date.AddDays(1).Subtract(now).TotalDays / bars.BarsPeriod.BaseBarsPeriodValue) / daysInYear);
}
return(1);
default: return(1);
}
}
//
protected override void OnBarUpdate()
{
double currentBarSize = (float)Math.Abs(Open[0] - Close[0]);
if (CurrentBar > 2)
{
//
if (Int32.Parse(MyStopW.ElapsedTime) >= 5)
{
long volumeValue = Bars.GetVolume(CurrentBar);
//
if (volumeValue >= volumenTarget && currentBarSize >= candleSize)
{
//
if (emailSent == false && CurrentBar != emailBar)
{
emailSent = true;
emailBar = CurrentBar;
string filePath = pathAssembler(CurrentBar.ToString());
SaveScreenShot(filePath);
//
string message = string.Format("- Alert!!! The volume of the current bar is above target, current bar volumen of {0} and bar size of {1}",
volumeValue.ToString(), currentBarSize.ToString());
string subject = "Nestor Colt Informatic Trading Solutions";
// Send email :
Thread.Sleep(1000);
Sender.composeMessage("*****@*****.**", Email, subject, message, filePath);
Print("Email Sent");
}
}
else if (volumeValue < 50 && CurrentBar != emailBar)
{
emailSent = false;
}
}
}
}
protected override void OnDataPoint(Bars bars, double open, double high, double low, double close, DateTime time, long volume, bool isBar, double bid, double ask)
{
if (SessionIterator == null)
{
SessionIterator = new SessionIterator(bars);
}
double haClose = 0.0;
double haHigh = 0.0;
double haLow = 0.0;
double haOpen = 0.0;
switch (BarsPeriod.BaseBarsPeriodType)
{
case BarsPeriodType.Day:
{
if (bars.Count == 0)
{
if (isBar || bars.TradingHours.Sessions.Count == 0)
{
AddBar(bars, open, high, low, close, time.Date, volume);
}
else
{
SessionIterator.CalculateTradingDay(time, false);
AddBar(bars, open, high, low, close, SessionIterator.ActualTradingDayExchange, volume);
}
}
else
{
DateTime barTime;
if (isBar)
{
barTime = time.Date;
}
else
{
if (bars.TradingHours.Sessions.Count > 0 && SessionIterator.IsNewSession(time, false))
{
SessionIterator.CalculateTradingDay(time, false);
barTime = SessionIterator.ActualTradingDayExchange;
if (barTime < bars.LastBarTime.Date)
{
barTime = bars.LastBarTime.Date; // Make sure timestamps are ascending
}
}
else
{
barTime = bars.LastBarTime.Date; // Make sure timestamps are ascending
}
}
if (bars.DayCount < bars.BarsPeriod.BaseBarsPeriodValue ||
isBar && bars.Count > 0 && barTime == bars.LastBarTime.Date ||
!isBar && bars.Count > 0 && barTime <= bars.LastBarTime.Date)
{
haClose = bars.Instrument.MasterInstrument.RoundToTickSize((open + high + low + close) / 4.0);
haHigh = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Max(high, bars.GetOpen(bars.Count - 1)));
haLow = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Min(low, bars.GetOpen(bars.Count - 1)));
UpdateBar(bars, haHigh, haLow, haClose, barTime, volume);
}
else
{
haOpen = bars.Instrument.MasterInstrument.RoundToTickSize((bars.GetOpen(bars.Count - 1) + bars.GetClose(bars.Count - 1)) / 2.0);
haClose = bars.Instrument.MasterInstrument.RoundToTickSize((open + high + low + close) / 4.0);
haHigh = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Max(high, haOpen));
haLow = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Min(low, haOpen));
AddBar(bars, haOpen, haHigh, haLow, haClose, barTime, volume);
}
}
break;
}
case BarsPeriodType.Minute:
{
if (bars.Count == 0)
{
AddBar(bars, open, high, low, close, TimeToBarTimeMinute(bars, time, isBar), volume);
}
else if (!isBar && time < bars.LastBarTime)
{
haClose = bars.Instrument.MasterInstrument.RoundToTickSize((open + high + low + close) / 4.0);
haHigh = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Max(high, bars.GetOpen(bars.Count - 1)));
haLow = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Min(low, bars.GetOpen(bars.Count - 1)));
UpdateBar(bars, haHigh, haLow, haClose, bars.LastBarTime, volume);
}
else if (isBar && time <= bars.LastBarTime)
{
haClose = bars.Instrument.MasterInstrument.RoundToTickSize((open + high + low + close) / 4.0);
haHigh = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Max(high, bars.GetOpen(bars.Count - 1)));
haLow = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Min(low, bars.GetOpen(bars.Count - 1)));
UpdateBar(bars, haHigh, haLow, haClose, bars.LastBarTime, volume);
}
else
{
haOpen = bars.Instrument.MasterInstrument.RoundToTickSize((bars.GetOpen(bars.Count - 1) + bars.GetClose(bars.Count - 1)) / 2.0);
haClose = bars.Instrument.MasterInstrument.RoundToTickSize((open + high + low + close) / 4.0);
haHigh = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Max(high, haOpen));
haLow = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Min(low, haOpen));
time = TimeToBarTimeMinute(bars, time, isBar);
AddBar(bars, haOpen, haHigh, haLow, haClose, time, volume);
}
break;
}
case BarsPeriodType.Month:
{
if (bars.Count == 0)
{
AddBar(bars, open, high, low, close, TimeToBarTimeMonth(time, bars.BarsPeriod.BaseBarsPeriodValue), volume);
}
else if (time.Month <= bars.LastBarTime.Month && time.Year == bars.LastBarTime.Year || time.Year < bars.LastBarTime.Year)
{
if (high.ApproxCompare(bars.GetHigh(bars.Count - 1)) != 0 || low.ApproxCompare(bars.GetLow(bars.Count - 1)) != 0 || close.ApproxCompare(bars.GetClose(bars.Count - 1)) != 0 || volume > 0)
{
haClose = bars.Instrument.MasterInstrument.RoundToTickSize((open + high + low + close) / 4.0);
haHigh = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Max(high, bars.GetOpen(bars.Count - 1)));
haLow = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Min(low, bars.GetOpen(bars.Count - 1)));
UpdateBar(bars, haHigh, haLow, haClose, bars.LastBarTime, volume);
}
}
else
{
haOpen = bars.Instrument.MasterInstrument.RoundToTickSize((bars.GetOpen(bars.Count - 1) + bars.GetClose(bars.Count - 1)) / 2.0);
haClose = bars.Instrument.MasterInstrument.RoundToTickSize((open + high + low + close) / 4.0);
haHigh = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Max(high, haOpen));
haLow = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Min(low, haOpen));
AddBar(bars, haOpen, haHigh, haLow, haClose, TimeToBarTimeMonth(time, bars.BarsPeriod.BaseBarsPeriodValue), volume);
}
break;
}
case BarsPeriodType.Second:
{
if (bars.Count == 0)
{
DateTime barTime = TimeToBarTimeSecond(bars, time, isBar);
AddBar(bars, open, high, low, close, barTime, volume);
}
else
{
if (bars.BarsPeriod.BaseBarsPeriodValue > 1 && time < bars.LastBarTime || bars.BarsPeriod.BaseBarsPeriodValue == 1 && time <= bars.LastBarTime)
{
haClose = bars.Instrument.MasterInstrument.RoundToTickSize((open + high + low + close) / 4.0);
haHigh = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Max(high, bars.GetOpen(bars.Count - 1)));
haLow = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Min(low, bars.GetOpen(bars.Count - 1)));
UpdateBar(bars, haHigh, haLow, haClose, bars.LastBarTime, volume);
}
else
{
haOpen = bars.Instrument.MasterInstrument.RoundToTickSize((bars.GetOpen(bars.Count - 1) + bars.GetClose(bars.Count - 1)) / 2.0);
haClose = bars.Instrument.MasterInstrument.RoundToTickSize((open + high + low + close) / 4.0);
haHigh = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Max(high, haOpen));
haLow = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Min(low, haOpen));
time = TimeToBarTimeSecond(bars, time, isBar);
AddBar(bars, haOpen, haHigh, haLow, haClose, time, volume);
}
}
break;
}
case BarsPeriodType.Tick:
{
bool isNewSession = SessionIterator.IsNewSession(time, isBar);
if (isNewSession)
{
SessionIterator.GetNextSession(time, isBar);
}
if (bars.BarsPeriod.BaseBarsPeriodValue == 1)
{
haOpen = haOpen.ApproxCompare(0.0) == 0 ? open : (haOpen + haClose) / 2.0;
haClose = haClose.ApproxCompare(0.0) == 0 ? close : bars.Instrument.MasterInstrument.RoundToTickSize((open + high + low + close) / 4.0);
haHigh = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Max(high, haOpen));
haLow = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Min(low, haOpen));
AddBar(bars, haOpen, haHigh, haLow, haClose, time, volume);
}
else if (bars.Count == 0)
{
AddBar(bars, open, high, low, close, time, volume);
}
else if (bars.Count > 0 && (!isNewSession || !bars.IsResetOnNewTradingDay) && bars.BarsPeriod.BaseBarsPeriodValue > 1 && bars.TickCount < bars.BarsPeriod.BaseBarsPeriodValue)
{
haClose = bars.Instrument.MasterInstrument.RoundToTickSize((open + high + low + close) / 4.0);
haHigh = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Max(high, bars.GetOpen(bars.Count - 1)));
haLow = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Min(low, bars.GetOpen(bars.Count - 1)));
UpdateBar(bars, haHigh, haLow, haClose, time, volume);
}
else
{
haOpen = bars.Instrument.MasterInstrument.RoundToTickSize((bars.GetOpen(bars.Count - 1) + bars.GetClose(bars.Count - 1)) / 2.0);
haClose = bars.Instrument.MasterInstrument.RoundToTickSize((open + high + low + close) / 4.0);
haHigh = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Max(high, haOpen));
haLow = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Min(low, haOpen));
AddBar(bars, haOpen, haHigh, haLow, haClose, time, volume);
}
break;
}
case BarsPeriodType.Volume:
{
if (bars.Count == 0)
{
while (volume > bars.BarsPeriod.BaseBarsPeriodValue)
{
haOpen = haOpen.ApproxCompare(0.0) == 0 ? open : (haOpen + haClose) / 2.0;
haClose = haClose.ApproxCompare(0) == 0 ? close : bars.Instrument.MasterInstrument.RoundToTickSize((open + high + low + close) / 4.0);
haHigh = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Max(high, haOpen));
haLow = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Min(low, haOpen));
AddBar(bars, haOpen, haHigh, haLow, haClose, time, bars.BarsPeriod.BaseBarsPeriodValue);
volume -= bars.BarsPeriod.BaseBarsPeriodValue;
}
if (volume > 0)
{
haOpen = haOpen.ApproxCompare(0.0) == 0 ? open : bars.Instrument.MasterInstrument.RoundToTickSize((haOpen + haClose) / 2.0);
haClose = haClose.ApproxCompare(0.0) == 0 ? close : bars.Instrument.MasterInstrument.RoundToTickSize((open + high + low + close) / 4.0);
haHigh = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Max(high, haOpen));
haLow = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Min(low, haOpen));
AddBar(bars, haOpen, haHigh, haLow, haClose, time, volume);
}
}
else
{
long volumeTmp = 0;
bool isNewSession = SessionIterator.IsNewSession(time, isBar);
if (!bars.IsResetOnNewTradingDay || !isNewSession)
{
volumeTmp = Math.Min(bars.BarsPeriod.BaseBarsPeriodValue - bars.GetVolume(bars.Count - 1), volume);
if (volumeTmp > 0)
{
haClose = bars.Instrument.MasterInstrument.RoundToTickSize((open + high + low + close) / 4.0);
haHigh = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Max(high, bars.GetOpen(bars.Count - 1)));
haLow = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Min(low, bars.GetOpen(bars.Count - 1)));
UpdateBar(bars, haHigh, haLow, haClose, time, volumeTmp);
}
}
if (isNewSession)
{
SessionIterator.GetNextSession(time, isBar);
}
volumeTmp = volume - volumeTmp;
while (volumeTmp > 0)
{
haOpen = bars.Instrument.MasterInstrument.RoundToTickSize((bars.GetOpen(bars.Count - 1) + bars.GetClose(bars.Count - 1)) / 2.0);
haClose = bars.Instrument.MasterInstrument.RoundToTickSize((open + high + low + close) / 4.0);
haHigh = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Max(high, haOpen));
haLow = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Min(low, haOpen));
AddBar(bars, haOpen, haHigh, haLow, haClose, time, Math.Min(volumeTmp, bars.BarsPeriod.BaseBarsPeriodValue));
volumeTmp -= bars.BarsPeriod.BaseBarsPeriodValue;
}
}
break;
}
case BarsPeriodType.Week:
{
if (bars.Count == 0)
{
AddBar(bars, open, high, low, close, TimeToBarTimeWeek(time, time.AddDays(6 - ((int)time.DayOfWeek + 1) % 7 + (bars.BarsPeriod.BaseBarsPeriodValue - 1) * 7), bars.BarsPeriod.BaseBarsPeriodValue), volume);
}
else if (time.Date <= bars.LastBarTime.Date)
{
haClose = bars.Instrument.MasterInstrument.RoundToTickSize((open + high + low + close) / 4.0);
haHigh = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Max(high, bars.GetOpen(bars.Count - 1)));
haLow = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Min(low, bars.GetOpen(bars.Count - 1)));
UpdateBar(bars, haHigh, haLow, haClose, bars.LastBarTime, volume);
}
else
{
haOpen = bars.Instrument.MasterInstrument.RoundToTickSize((bars.GetOpen(bars.Count - 1) + bars.GetClose(bars.Count - 1)) / 2.0);
haClose = bars.Instrument.MasterInstrument.RoundToTickSize((open + high + low + close) / 4.0);
haHigh = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Max(high, haOpen));
haLow = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Min(low, haOpen));
AddBar(bars, haOpen, haHigh, haLow, haClose, TimeToBarTimeWeek(time.Date, bars.LastBarTime.Date, bars.BarsPeriod.BaseBarsPeriodValue), volume);
}
break;
}
case BarsPeriodType.Year:
{
if (bars.Count == 0)
{
AddBar(bars, open, high, low, close, TimeToBarTimeYear(time, bars.BarsPeriod.BaseBarsPeriodValue), volume);
}
else
{
if (time.Year <= bars.LastBarTime.Year)
{
haClose = bars.Instrument.MasterInstrument.RoundToTickSize((open + high + low + close) / 4.0);
haHigh = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Max(high, bars.GetOpen(bars.Count - 1)));
haLow = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Min(low, bars.GetOpen(bars.Count - 1)));
UpdateBar(bars, haHigh, haLow, haClose, bars.LastBarTime, volume);
}
else
{
haOpen = bars.Instrument.MasterInstrument.RoundToTickSize((bars.GetOpen(bars.Count - 1) + bars.GetClose(bars.Count - 1)) / 2.0);
haClose = bars.Instrument.MasterInstrument.RoundToTickSize((open + high + low + close) / 4.0);
haHigh = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Max(high, haOpen));
haLow = bars.Instrument.MasterInstrument.RoundToTickSize(Math.Min(low, haOpen));
AddBar(bars, haOpen, haHigh, haLow, haClose, TimeToBarTimeYear(time.Date, bars.BarsPeriod.BaseBarsPeriodValue), volume);
}
}
break;
}
}
bars.LastPrice = haClose;
}
protected override void OnBarUpdate()
{
/* When working with multiple bar series objects it is important to understand the sequential order in which the
* OnBarUpdate() method is triggered. The bars will always run with the primary first followed by the secondary and
* so on.
*
* Important: Primary bars will always execute before the secondary bar series.
* If a bar is timestamped as 12:00PM on the 5min bar series, the call order between the equally timestamped 12:00PM
* bar on the 1min bar series is like this:
* 12:00PM 5min
* 12:00PM 1min
* 12:01PM 1min
* 12:02PM 1min
* 12:03PM 1min
* 12:04PM 1min
* 12:05PM 5min
* 12:05PM 1min
*
* When the OnBarUpdate() is called from the primary bar series (2000 ticks series in this example), do the following */
if (BarsInProgress == 0)
{
if (CurrentBar < BarsRequiredToTrade)
{
return;
}
//Print("Current Bar time=" + Bars.GetTime(CurrentBar).ToString("HHmmss"));
// if the bar elapsed time span across 12 mid night
DateTime t1 = Bars.GetTime(CurrentBar - 1);
DateTime t2 = Bars.GetTime(CurrentBar);
if (TimeSpan.Compare(t1.TimeOfDay, t2.TimeOfDay) > 0)
{
Print("EOD Session");
HandleEOD();
string resetString = "-1";
byte[] resetMsg = Encoding.UTF8.GetBytes(resetString);
// Send reset string of "-1" to the server
int resetSent = sender.Send(resetMsg);
lineNo = 0;
//reset global flags
currPos = Position.posFlat;
profitChasingFlag = false;
stopLossEncountered = false;
return;
}
// prior Stop-Loss observed, construct the lineNo with special code before sending msg to the server - so that the server will flatten the position
if (stopLossEncountered)
{
lineNo += 10000;
}
// construct the string buffer to be sent to DLNN
string bufString = lineNo.ToString() + ',' +
Bars.GetTime(CurrentBar - 1).ToString("HHmmss") + ',' + Bars.GetTime(CurrentBar).ToString("HHmmss") + ',' +
Bars.GetOpen(CurrentBar).ToString() + ',' + Bars.GetClose(CurrentBar).ToString() + ',' +
Bars.GetHigh(CurrentBar).ToString() + ',' + Bars.GetLow(CurrentBar).ToString() + ',' +
Bars.GetVolume(CurrentBar).ToString() + ',' +
SMA(9)[0].ToString() + ',' + SMA(20)[0].ToString() + ',' + SMA(50)[0].ToString() + ',' +
MACD(12, 26, 9).Diff[0].ToString() + ',' + RSI(14, 3)[0].ToString() + ',' +
Bollinger(2, 20).Lower[0].ToString() + ',' + Bollinger(2, 20).Upper[0].ToString() + ',' +
CCI(20)[0].ToString() + ',' +
Bars.GetHigh(CurrentBar).ToString() + ',' + Bars.GetLow(CurrentBar).ToString() + ',' +
Momentum(20)[0].ToString() + ',' +
DM(14).DiPlus[0].ToString() + ',' + DM(14).DiMinus[0].ToString() + ',' +
VROC(25, 3)[0].ToString() + ',' +
'0' + ',' + '0' + ',' + '0' + ',' + '0' + ',' + '0' + ',' +
'0' + ',' + '0' + ',' + '0' + ',' + '0' + ',' + '0';
//Print("CurrentBar = " + CurrentBar + ": " + "bufString = " + bufString);
byte[] msg = Encoding.UTF8.GetBytes(bufString);
// Send the data through the socket.
int bytesSent = sender.Send(msg);
// Receive the response from the remote device.
int bytesRec = sender.Receive(bytes);
// prior Stop-Loss observed, hence ignore the returned signal from server and move on to the next bar, reset lineNo to next counter and reset stopLossEncountered flag
if (stopLossEncountered)
{
lineNo -= 10000;
lineNo++;
stopLossEncountered = false;
//svrSignal = ExtractResponse(System.Text.Encoding.UTF8.GetString(bytes, 0, bytes.Length));
svrSignal = System.Text.Encoding.UTF8.GetString(bytes, 0, bytes.Length).Split(',')[1];
Print(Bars.GetTime(CurrentBar).ToString("yyyy-MM-ddTHH:mm:ss.ffffffK") + " Ignore Post STOP-LOSS Server response= <" + svrSignal + "> Current Bar: Open=" + Bars.GetOpen(CurrentBar) + " Close=" + Bars.GetClose(CurrentBar) + " High=" + Bars.GetHigh(CurrentBar) + " Low=" + Bars.GetLow(CurrentBar));
return;
}
//svrSignal = ExtractResponse(System.Text.Encoding.UTF8.GetString(bytes, 0, bytes.Length));
svrSignal = System.Text.Encoding.UTF8.GetString(bytes, 0, bytes.Length).Split(',')[1];
Print(Bars.GetTime(CurrentBar).ToString("yyyy-MM-ddTHH:mm:ss.ffffffK") + " Server response= <" + svrSignal + "> Current Bar: Open=" + Bars.GetOpen(CurrentBar) + " Close=" + Bars.GetClose(CurrentBar) + " High=" + Bars.GetHigh(CurrentBar) + " Low=" + Bars.GetLow(CurrentBar));
//Print(Bars.GetTime(CurrentBar).ToString("yyyy-MM-ddTHH:mm:ss.ffffffK") + " Server response= <" + svrSignal + ">");
// Return signal from DLNN is not we expected, close outstanding position and restart
if (bytesRec == -1)
{
lineNo = 0;
// TODO: close current position?
}
else
{
lineNo++;
}
// Start processing signal after 8th signal and beyond, otherwise ignore
if (lineNo >= 8)
{
ExecuteAITrade(svrSignal);
// if position is flat, no need to do anything
if (currPos == Position.posFlat)
{
return;
}
// handle stop loss or profit chasing if there is existing position and order action is either SellShort or Buy
if (entryOrder != null && (entryOrder.OrderAction == OrderAction.Buy || entryOrder.OrderAction == OrderAction.SellShort) && (entryOrder.OrderState == OrderState.Filled || entryOrder.OrderState == OrderState.PartFilled))
{
// if Close[0] violates soft deck, if YES handle stop loss accordingly
if (ViolateSoftDeck())
{
HandleSoftDeck(svrSignal);
}
// if profitChasingFlag is TRUE or TouchedProfitChasing then handle profit chasing
if ((profitChasingFlag || TouchedProfitChasing()))
{
HandleProfitChasing();
}
}
}
}
// When the OnBarUpdate() is called from the secondary bar series, in our case for each tick, handle stop loss and profit chasing accordingly
else
{
return;
}
}
/// <summary>
/// </summary>
/// <param name="bars"></param>
/// <param name="open"></param>
/// <param name="high"></param>
/// <param name="low"></param>
/// <param name="close"></param>
/// <param name="time"></param>
/// <param name="volume"></param>
/// <param name="isRealtime"></param>
public override void Add(Bars bars, double open, double high, double low, double close, DateTime time, long volume, bool isRealtime)
{
#region Building Bars from Base Period
if (bars.Count != tmpCount) // reset cache when bars are trimmed
if (bars.Count == 0)
{
tmpTime = Cbi.Globals.MinDate;
tmpVolume = 0;
tmpDayCount = 0;
tmpTickCount = 0;
}
else
{
tmpTime = bars.GetTime(bars.Count - 1);
tmpVolume = bars.GetVolume(bars.Count - 1);
tmpTickCount = bars.TickCount;
tmpDayCount = bars.DayCount;
bars.LastPrice = bars.GetClose(bars.Count - 1);
anchorPrice = bars.LastPrice;
}
switch (bars.Period.BasePeriodType)
{
case PeriodType.Day:
tmpTime = time.Date; // will be modified for realtime only
if (isRealtime && time >= cacheSessionEnd /* on realtime include60 is always false */)
{
bars.Session.GetSessionDate(time, false, out tmpTime, out cacheSessionEnd);
if (tmpTime < time.Date) tmpTime = time.Date; // make sure timestamps are ascending
}
if (prevTime != tmpTime) tmpDayCount++;
if (tmpDayCount < bars.Period.BasePeriodValue
|| (!isRealtime && bars.Count > 0 && tmpTime == bars.TimeLastBar.Date)
|| (isRealtime && bars.Count > 0 && tmpTime <= bars.TimeLastBar.Date))
endOfBar = false;
else
{
prevTime = tmpTime;
endOfBar = true;
}
break;
case PeriodType.Minute:
if (tmpTime == Cbi.Globals.MinDate)
prevTime = tmpTime = TimeToBarTimeMinute(bars, time, bars.Session.NextBeginTime, bars.Period.BasePeriodValue, isRealtime);
if (!isRealtime && time <= tmpTime || isRealtime && time < tmpTime)
endOfBar = false;
else
{
prevTime = tmpTime;
tmpTime = TimeToBarTimeMinute(bars, time, bars.Session.NextBeginTime, bars.Period.BasePeriodValue, isRealtime);
endOfBar = true;
}
break;
case PeriodType.Volume:
if (tmpTime == Cbi.Globals.MinDate)
{
tmpVolume = volume;
endOfBar = tmpVolume >= bars.Period.BasePeriodValue;
prevTime = tmpTime = time;
if (endOfBar) tmpVolume = 0;
break;
}
tmpVolume += volume;
endOfBar = tmpVolume >= bars.Period.BasePeriodValue;
if (endOfBar)
{
prevTime = tmpTime;
tmpVolume = 0;
}
tmpTime = time;
break;
case PeriodType.Tick:
if (tmpTime == Cbi.Globals.MinDate || bars.Period.BasePeriodValue == 1)
{
prevTime = tmpTime == Cbi.Globals.MinDate ? time : tmpTime;
tmpTime = time;
tmpTickCount = bars.Period.BasePeriodValue == 1 ? 0 : 1;
endOfBar = bars.Period.BasePeriodValue == 1;
break;
}
if (tmpTickCount < bars.Period.BasePeriodValue)
{
tmpTime = time;
endOfBar = false;
tmpTickCount++;
}
else
{
prevTime = tmpTime;
tmpTime = time;
endOfBar = true;
tmpTickCount = 1;
}
break;
case PeriodType.Month:
if (tmpTime == Cbi.Globals.MinDate)
prevTime = tmpTime = TimeToBarTimeMonth(time, bars.Period.BasePeriodValue);
if (time.Month <= tmpTime.Month && time.Year == tmpTime.Year || time.Year < tmpTime.Year)
endOfBar = false;
else
{
prevTime = tmpTime;
endOfBar = true;
tmpTime = TimeToBarTimeMonth(time, bars.Period.BasePeriodValue);
}
break;
case PeriodType.Second:
if (tmpTime == Cbi.Globals.MinDate)
{
prevTime = tmpTime = TimeToBarTimeSecond(bars, time,
new DateTime( bars.Session.NextBeginTime.Year,
bars.Session.NextBeginTime.Month,
bars.Session.NextBeginTime.Day,
bars.Session.NextBeginTime.Hour,
bars.Session.NextBeginTime.Minute, 0),
bars.Period.BasePeriodValue);
}
if ((bars.Period.Value > 1 && time < tmpTime) || (bars.Period.Value == 1 && time <= tmpTime))
endOfBar = false;
else
{
prevTime = tmpTime;
tmpTime = TimeToBarTimeSecond(bars, time, bars.Session.NextBeginTime, bars.Period.BasePeriodValue);
endOfBar = true;
}
break;
case PeriodType.Week:
if (tmpTime == Cbi.Globals.MinDate)
prevTime = tmpTime = TimeToBarTimeWeek(time.Date, tmpTime.Date, bars.Period.BasePeriodValue);
if (time.Date <= tmpTime.Date)
endOfBar = false;
else
{
prevTime = tmpTime;
endOfBar = true;
tmpTime = TimeToBarTimeWeek(time.Date, tmpTime.Date, bars.Period.BasePeriodValue);
}
break;
case PeriodType.Year:
if (tmpTime == Cbi.Globals.MinDate)
prevTime = tmpTime = TimeToBarTimeYear(time, bars.Period.Value);
if (time.Year <= tmpTime.Year)
endOfBar = false;
else
{
prevTime = tmpTime;
endOfBar = true;
tmpTime = TimeToBarTimeYear(time, bars.Period.Value);
}
break;
}
#endregion
#region Kagi Logic
reversalPoint = bars.Period.ReversalType == ReversalType.Tick ? bars.Period.Value * bars.Instrument.MasterInstrument.TickSize : bars.Period.Value * 0.01 * anchorPrice;
if (bars.Count == 0 || (IsIntraday && ((bars.Period.BasePeriodType != PeriodType.Second && bars.IsNewSession(time, isRealtime))
|| (bars.Period.BasePeriodType == PeriodType.Second && bars.IsNewSession(tmpTime, isRealtime)))))
{
if (bars.Count > 0)
{
double lastOpen = bars.GetOpen(bars.Count - 1);
double lastHigh = bars.GetHigh(bars.Count - 1);
double lastLow = bars.GetLow(bars.Count - 1);
double lastClose = bars.GetClose(bars.Count - 1);
if (bars.Count == tmpCount)
CalculateKagiBar(bars, lastOpen, lastHigh, lastLow, lastClose, prevTime, volume, isRealtime);
}
AddBar(bars, close, close, close, close, tmpTime, volume, isRealtime);
anchorPrice = close;
trend = Trend.Undetermined;
prevTime = tmpTime;
volumeCount = 0;
bars.LastPrice = close;
tmpCount = bars.Count;
return;
}
Bar bar = (Bar)bars.Get(bars.Count - 1);
double c = bar.Close;
double o = bar.Open;
double h = bar.High;
double l = bar.Low;
if (endOfBar)
CalculateKagiBar(bars, o, h, l, c, prevTime, volume, isRealtime);
else
volumeCount += volume;
bars.LastPrice = close;
tmpCount = bars.Count;
#endregion
}
protected override void OnDataPoint(Bars bars, double open, double high, double low, double close, DateTime time, long volume, bool isBar, double bid, double ask)
{
if (SessionIterator == null)
{
SessionIterator = new SessionIterator(bars);
}
if (bars.Count == 0 && tmpTime != Core.Globals.MinDate) // Reset caching when live request trimmed existing bars
{
tmpTime = Core.Globals.MinDate;
}
bool endOfBar = true;
if (tmpTime == Core.Globals.MinDate)
{
tmpTime = time;
tmpDayCount = 1;
tmpTickCount = 1;
}
else if (bars.Count < tmpCount && bars.Count == 0) // Reset cache when bars are trimmed
{
tmpTime = Core.Globals.MinDate;
tmpVolume = 0;
tmpDayCount = 0;
tmpTickCount = 0;
}
else if (bars.Count < tmpCount && bars.Count > 0) // Reset cache when bars are trimmed
{
tmpTime = bars.GetTime(bars.Count - 1);
tmpVolume = bars.GetVolume(bars.Count - 1);
tmpTickCount = bars.TickCount;
tmpDayCount = bars.DayCount;
}
switch (BarsPeriod.BaseBarsPeriodType)
{
case BarsPeriodType.Day:
{
if (bars.Count == 0 || bars.Count > 0 && (bars.LastBarTime.Month < time.Month || bars.LastBarTime.Year < time.Year))
{
tmpTime = time.Date;
bars.LastPrice = close;
newSession = true;
}
else
{
tmpTime = time.Date;
tmpVolume += volume;
bars.LastPrice = close;
tmpDayCount++;
if (tmpDayCount < BarsPeriod.BaseBarsPeriodValue || bars.Count > 0 && bars.LastBarTime.Date == time.Date)
{
endOfBar = false;
}
}
break;
}
case BarsPeriodType.Minute:
{
if (bars.Count == 0 || SessionIterator.IsNewSession(time, isBar) && bars.IsResetOnNewTradingDay)
{
tmpTime = TimeToBarTimeMinute(bars, time, isBar);
newSession = true;
tmpVolume = 0;
}
else
{
if (!isBar && time < bars.LastBarTime || isBar && time <= bars.LastBarTime)
{
tmpTime = bars.LastBarTime;
endOfBar = false;
}
else
{
tmpTime = TimeToBarTimeMinute(bars, time, isBar);
}
tmpVolume += volume;
}
break;
}
case BarsPeriodType.Month:
{
if (tmpTime == Core.Globals.MinDate)
{
tmpTime = TimeToBarTimeMonth(time, BarsPeriod.BaseBarsPeriodValue);
if (bars.Count == 0)
{
break;
}
endOfBar = false;
}
else if (time.Month <= tmpTime.Month && time.Year == tmpTime.Year || time.Year < tmpTime.Year)
{
tmpVolume += volume;
bars.LastPrice = close;
endOfBar = false;
}
break;
}
case BarsPeriodType.Second:
{
if (SessionIterator.IsNewSession(time, isBar))
{
tmpTime = TimeToBarTimeSecond(bars, time, isBar);
if (bars.Count == 0)
{
break;
}
endOfBar = false;
newSession = true;
}
else if (time <= tmpTime)
{
tmpVolume += volume;
bars.LastPrice = close;
endOfBar = false;
}
else
{
tmpTime = TimeToBarTimeSecond(bars, time, isBar);
}
break;
}
case BarsPeriodType.Tick:
{
if (SessionIterator.IsNewSession(time, isBar))
{
SessionIterator.GetNextSession(time, isBar);
newSession = true;
tmpTime = time;
tmpTickCount = 1;
if (bars.Count == 0)
{
break;
}
endOfBar = false;
}
else if (BarsPeriod.BaseBarsPeriodValue > 1 && tmpTickCount < BarsPeriod.BaseBarsPeriodValue)
{
tmpTime = time;
tmpVolume += volume;
tmpTickCount++;
bars.LastPrice = close;
endOfBar = false;
}
else
{
tmpTime = time;
}
break;
}
case BarsPeriodType.Volume:
{
if (SessionIterator.IsNewSession(time, isBar))
{
SessionIterator.GetNextSession(time, isBar);
newSession = true;
}
else if (bars.Count == 0 && volume > 0)
{
break;
}
else
{
tmpVolume += volume;
if (tmpVolume < BarsPeriod.BaseBarsPeriodValue)
{
bars.LastPrice = close;
endOfBar = false;
}
else if (tmpVolume == 0)
{
endOfBar = false;
}
}
tmpTime = time;
break;
}
case BarsPeriodType.Week:
{
if (tmpTime == Core.Globals.MinDate)
{
tmpTime = TimeToBarTimeWeek(time.Date, tmpTime.Date, BarsPeriod.BaseBarsPeriodValue);
if (bars.Count == 0)
{
break;
}
endOfBar = false;
}
else if (time.Date <= tmpTime.Date)
{
tmpVolume += volume;
bars.LastPrice = close;
endOfBar = false;
}
break;
}
case BarsPeriodType.Year:
{
if (tmpTime == Core.Globals.MinDate)
{
tmpTime = TimeToBarTimeYear(time, BarsPeriod.BaseBarsPeriodValue);
if (bars.Count == 0)
{
break;
}
endOfBar = false;
}
else if (time.Year <= tmpTime.Year)
{
tmpVolume += volume;
bars.LastPrice = close;
endOfBar = false;
}
break;
}
}
if (bars.Count > 0 && tmpTime < bars.GetTime(bars.Count - 1) && BarsPeriod.BaseBarsPeriodType == BarsPeriodType.Second)
{
tmpTime = bars.GetTime(bars.Count - 1);
}
if (bars.Count == 0 || newSession && IsIntraday)
{
AddBar(bars, open, close, close, close, tmpTime, volume);
upTrend = open < close;
newSessionIdx = bars.Count - 1;
newSession = false;
firstBarOfSession = true;
anchorPrice = close;
switchPrice = open;
}
else if (firstBarOfSession && endOfBar == false)
{
double prevOpen = bars.GetOpen(bars.Count - 1);
RemoveLastBar(bars);
if (SessionIterator.IsNewSession(tmpTime, true))
{
SessionIterator.GetNextSession(tmpTime, true);
}
AddBar(bars, prevOpen, close, close, close, tmpTime, tmpVolume);
upTrend = prevOpen < close;
anchorPrice = close;
}
else
{
int breakCount = BarsPeriod.Value;
double breakMax = double.MinValue;
double breakMin = double.MaxValue;
if (firstBarOfSession)
{
AddBar(bars, anchorPrice, close, close, close, tmpTime, volume);
firstBarOfSession = false;
tmpVolume = volume;
tmpTime = Core.Globals.MinDate;
return;
}
if (bars.Count - newSessionIdx - 1 < breakCount)
{
breakCount = bars.Count - (newSessionIdx + 1);
}
for (int k = 1; k <= breakCount; k++)
{
breakMax = Math.Max(breakMax, bars.GetOpen(bars.Count - k - 1));
breakMax = Math.Max(breakMax, bars.GetClose(bars.Count - k - 1));
breakMin = Math.Min(breakMin, bars.GetOpen(bars.Count - k - 1));
breakMin = Math.Min(breakMin, bars.GetClose(bars.Count - k - 1));
}
bars.LastPrice = close;
if (upTrend)
{
if (endOfBar)
{
bool adding = false;
if (bars.Instrument.MasterInstrument.Compare(bars.GetClose(bars.Count - 1), anchorPrice) > 0)
{
anchorPrice = bars.GetClose(bars.Count - 1);
switchPrice = bars.GetOpen(bars.Count - 1);
tmpVolume = volume;
adding = true;
}
else
if (bars.Instrument.MasterInstrument.Compare(breakMin, bars.GetClose(bars.Count - 1)) > 0)
{
anchorPrice = bars.GetClose(bars.Count - 1);
switchPrice = bars.GetOpen(bars.Count - 1);
tmpVolume = volume;
upTrend = false;
adding = true;
}
if (adding)
{
double tmpOpen = upTrend ? Math.Min(Math.Max(switchPrice, close), anchorPrice) : Math.Max(Math.Min(switchPrice, close), anchorPrice);
AddBar(bars, tmpOpen, close, close, close, tmpTime, volume);
}
else
{
RemoveLastBar(bars);
double tmpOpen = Math.Min(Math.Max(switchPrice, close), anchorPrice);
if (SessionIterator.IsNewSession(tmpTime, true))
{
SessionIterator.GetNextSession(tmpTime, true);
}
AddBar(bars, tmpOpen, close, close, close, tmpTime, tmpVolume);
}
}
else
{
RemoveLastBar(bars);
double tmpOpen = Math.Min(Math.Max(switchPrice, close), anchorPrice);
if (SessionIterator.IsNewSession(tmpTime, true))
{
SessionIterator.GetNextSession(tmpTime, true);
}
AddBar(bars, tmpOpen, close, close, close, tmpTime, tmpVolume);
}
}
else
if (endOfBar)
{
bool adding = false;
if (bars.Instrument.MasterInstrument.Compare(bars.GetClose(bars.Count - 1), anchorPrice) < 0)
{
anchorPrice = bars.GetClose(bars.Count - 1);
switchPrice = bars.GetOpen(bars.Count - 1);
tmpVolume = volume;
adding = true;
}
else
if (bars.Instrument.MasterInstrument.Compare(breakMax, bars.GetClose(bars.Count - 1)) < 0)
{
anchorPrice = bars.GetClose(bars.Count - 1);
switchPrice = bars.GetOpen(bars.Count - 1);
tmpVolume = volume;
upTrend = true;
adding = true;
}
if (adding)
{
double tmpOpen = upTrend ? Math.Min(Math.Max(switchPrice, close), anchorPrice) : Math.Max(Math.Min(switchPrice, close), anchorPrice);
AddBar(bars, tmpOpen, close, close, close, tmpTime, volume);
}
else
{
RemoveLastBar(bars);
double tmpOpen = Math.Max(Math.Min(switchPrice, close), anchorPrice);
if (SessionIterator.IsNewSession(tmpTime, true))
{
SessionIterator.GetNextSession(tmpTime, true);
}
AddBar(bars, tmpOpen, close, close, close, tmpTime, tmpVolume);
}
}
else
{
RemoveLastBar(bars);
double tmpOpen = Math.Max(Math.Min(switchPrice, close), anchorPrice);
if (SessionIterator.IsNewSession(tmpTime, true))
{
SessionIterator.GetNextSession(tmpTime, true);
}
AddBar(bars, tmpOpen, close, close, close, tmpTime, tmpVolume);
}
}
if (endOfBar)
{
tmpTime = Core.Globals.MinDate;
}
tmpCount = bars.Count;
}
protected override void OnDataPoint(Bars bars, double open, double high, double low, double close, DateTime time, long volume, bool isBar, double bid, double ask)
{
if (SessionIterator == null)
{
SessionIterator = new SessionIterator(bars);
}
offset = bars.BarsPeriod.Value * bars.Instrument.MasterInstrument.TickSize;
bool isNewSession = SessionIterator.IsNewSession(time, isBar);
if (isNewSession)
{
SessionIterator.GetNextSession(time, isBar);
}
if (bars.Count == 0 || bars.IsResetOnNewTradingDay && isNewSession)
{
if (bars.Count > 0)
{
// Close out last bar in session and set open == close
double lastBarClose = bars.GetClose(bars.Count - 1);
DateTime lastBarTime = bars.GetTime(bars.Count - 1);
long lastBarVolume = bars.GetVolume(bars.Count - 1);
RemoveLastBar(bars);
AddBar(bars, lastBarClose, lastBarClose, lastBarClose, lastBarClose, lastBarTime, lastBarVolume);
}
renkoHigh = close + offset;
renkoLow = close - offset;
isNewSession = SessionIterator.IsNewSession(time, isBar);
if (isNewSession)
{
SessionIterator.GetNextSession(time, isBar);
}
AddBar(bars, close, close, close, close, time, volume);
bars.LastPrice = close;
return;
}
double barOpen = bars.GetOpen(bars.Count - 1);
double barHigh = bars.GetHigh(bars.Count - 1);
double barLow = bars.GetLow(bars.Count - 1);
long barVolume = bars.GetVolume(bars.Count - 1);
DateTime barTime = bars.GetTime(bars.Count - 1);
if (renkoHigh.ApproxCompare(0.0) == 0 || renkoLow.ApproxCompare(0.0) == 0)
{
if (bars.Count == 1)
{
renkoHigh = barOpen + offset;
renkoLow = barOpen - offset;
}
else if (bars.GetClose(bars.Count - 2) > bars.GetOpen(bars.Count - 2))
{
renkoHigh = bars.GetClose(bars.Count - 2) + offset;
renkoLow = bars.GetClose(bars.Count - 2) - offset * 2;
}
else
{
renkoHigh = bars.GetClose(bars.Count - 2) + offset * 2;
renkoLow = bars.GetClose(bars.Count - 2) - offset;
}
}
if (close.ApproxCompare(renkoHigh) >= 0)
{
if (barOpen.ApproxCompare(renkoHigh - offset) != 0 ||
barHigh.ApproxCompare(Math.Max(renkoHigh - offset, renkoHigh)) != 0 ||
barLow.ApproxCompare(Math.Min(renkoHigh - offset, renkoHigh)) != 0)
{
RemoveLastBar(bars);
AddBar(bars, renkoHigh - offset, Math.Max(renkoHigh - offset, renkoHigh), Math.Min(renkoHigh - offset, renkoHigh), renkoHigh, barTime, barVolume);
}
renkoLow = renkoHigh - 2.0 * offset;
renkoHigh = renkoHigh + offset;
isNewSession = SessionIterator.IsNewSession(time, isBar);
if (isNewSession)
{
SessionIterator.GetNextSession(time, isBar);
}
while (close.ApproxCompare(renkoHigh) >= 0) // Add empty bars to fill gap if price jumps
{
AddBar(bars, renkoHigh - offset, Math.Max(renkoHigh - offset, renkoHigh), Math.Min(renkoHigh - offset, renkoHigh), renkoHigh, time, 0);
renkoLow = renkoHigh - 2.0 * offset;
renkoHigh = renkoHigh + offset;
}
// Add final partial bar
AddBar(bars, renkoHigh - offset, Math.Max(renkoHigh - offset, close), Math.Min(renkoHigh - offset, close), close, time, volume);
}
else
if (close.ApproxCompare(renkoLow) <= 0)
{
if (barOpen.ApproxCompare(renkoLow + offset) != 0 ||
barHigh.ApproxCompare(Math.Max(renkoLow + offset, renkoLow)) != 0 ||
barLow.ApproxCompare(Math.Min(renkoLow + offset, renkoLow)) != 0)
{
RemoveLastBar(bars);
AddBar(bars, renkoLow + offset, Math.Max(renkoLow + offset, renkoLow), Math.Min(renkoLow + offset, renkoLow), renkoLow, barTime, barVolume);
}
renkoHigh = renkoLow + 2.0 * offset;
renkoLow = renkoLow - offset;
isNewSession = SessionIterator.IsNewSession(time, isBar);
if (isNewSession)
{
SessionIterator.GetNextSession(time, isBar);
}
while (close.ApproxCompare(renkoLow) <= 0) // Add empty bars to fill gap if price jumps
{
AddBar(bars, renkoLow + offset, Math.Max(renkoLow + offset, renkoLow), Math.Min(renkoLow + offset, renkoLow), renkoLow, time, 0);
renkoHigh = renkoLow + 2.0 * offset;
renkoLow = renkoLow - offset;
}
// Add final partial bar
AddBar(bars, renkoLow + offset, Math.Max(renkoLow + offset, close), Math.Min(renkoLow + offset, close), close, time, volume);
}
else
{
UpdateBar(bars, close, close, close, time, volume);
}
bars.LastPrice = close;
}
/// <summary>
/// Called when the indicator is plotted.
/// </summary>
public override void Plot(Graphics graphics, Rectangle bounds, double min, double max)
{
int lastBar = Math.Min(this.LastBarIndexPainted, Bars.Count - 1);
int barsPainted = ChartControl.BarsPainted;
int firstBar = this.FirstBarIndexPainted;
// Find highest and lowest price points
double highPrice = 0;
double lowPrice = double.MaxValue;
for (int idx = firstBar; idx <= lastBar && idx >= 0; idx++)
{
highPrice = Math.Max(highPrice, Bars.GetHigh(idx));
lowPrice = Math.Min(lowPrice, Bars.GetLow(idx));
}
int volumeBarCount = this.BarCount;
double priceRange = highPrice - lowPrice;
double priceBoxSize = priceRange / volumeBarCount;
double volumeMax = 0;
// Pass 1: Fill all VolumeInfo structures with appropriate data
for (int i = 0; i < volumeBarCount; i++)
{
double priceUpper = lowPrice + priceBoxSize * (i + 1);
double priceLower = lowPrice + priceBoxSize * i;
double priceVolumeUp = 0;
double priceVolumeDown = 0;
for (int idx = firstBar; idx <= lastBar; idx++)
{
double checkPrice;
switch (PriceType)
{
case PriceType.Open: checkPrice = Bars.GetOpen(idx); break;
case PriceType.Close: checkPrice = Bars.GetClose(idx); break;
case PriceType.High: checkPrice = Bars.GetHigh(idx); break;
case PriceType.Low: checkPrice = Bars.GetLow(idx); break;
case PriceType.Median: checkPrice = (Bars.GetHigh(idx) + Bars.GetLow(idx)) / 2; break;
case PriceType.Typical: checkPrice = (Bars.GetHigh(idx) + Bars.GetLow(idx) + Bars.GetClose(idx)) / 3; break;
case PriceType.Weighted: checkPrice = (Bars.GetHigh(idx) + Bars.GetLow(idx) + 2 * Bars.GetClose(idx)) / 4; break;
default: checkPrice = Bars.GetClose(idx); break;
}
if (checkPrice >= priceLower && checkPrice < priceUpper)
{
if (Bars.GetOpen(idx) < Bars.GetClose(idx))
{
priceVolumeUp += Bars.GetVolume(idx);
}
else
{
priceVolumeDown += Bars.GetVolume(idx);
}
}
}
volumeInfo[i].up = priceVolumeUp;
volumeInfo[i].down = priceVolumeDown;
volumeInfo[i].total = (double)priceVolumeUp + (double)priceVolumeDown;
volumeMax = Math.Max(volumeMax, volumeInfo[i].total);
}
// Pass 2: Paint the volume bars
for (int i = 0; i < Math.Min(volumeBarCount, lastBar - firstBar + 1); i++)
{
double priceUpper = lowPrice + priceBoxSize * (i + 1);
double priceLower = lowPrice + priceBoxSize * i;
int yUpper = GetYPos(priceUpper, bounds, min, max) + barSpacing;
int yLower = GetYPos(priceLower, bounds, min, max);
int barWidthUp = (int)((bounds.Width / 2) * (volumeInfo[i].up / volumeMax));
int barWidthDown = (int)((bounds.Width / 2) * (volumeInfo[i].down / volumeMax));
if (barWidthDown == int.MinValue || barWidthUp == int.MinValue) // overflow?
{
continue;
}
int barWidth = barWidthUp + barWidthDown;
graphics.FillRectangle(barBrushUp, new Rectangle(
bounds.X, yUpper,
barWidthUp, Math.Abs(yUpper - yLower)));
graphics.FillRectangle(barBrushDown, new Rectangle(
bounds.X + barWidthUp, yUpper,
barWidthDown, Math.Abs(yUpper - yLower)));
if (drawLines == true)
{
// Lower line
graphics.DrawLine(linePen,
bounds.X, yLower,
bounds.X + bounds.Width, yLower);
// Upper line (only at the very top)
if (i == volumeBarCount - 1)
{
graphics.DrawLine(linePen,
bounds.X, yUpper,
bounds.X + bounds.Width, yUpper);
}
}
}
}
protected override void OnBarUpdate()
{
// Get time of first bar on chart
if (isFirstChartBar)
{
isFirstChartBar = false;
chartStartTime = Time[0];
}
// Not Enough History to calc rel vol
if (Time[0].Date.AddDays(LookBackDays * -1) < chartStartTime.Date)
{
return;
}
// Only gather vol history on first tick
// of bar since history does not change for
// a given bar
if (IsFirstTickOfBar)
{
int skipDays = 0;
totalHistPeriodVol = 0;
histPeriodVol = new List <double>(LookBackDays);
// Loop until all same timeperiod lookback days
// are found or lookback exceeds history
while (histPeriodVol.Count < LookBackDays)
{
// Bar target time
DateTime tt = Time[0].AddDays((histPeriodVol.Count + 1 + skipDays) * -1);
// Bail if target day is before first chart, not enough history
if (tt.Date < Time[CurrentBar].Date)
{
return;
}
// No weekends
if ((tt.DayOfWeek == DayOfWeek.Saturday) || (tt.DayOfWeek == DayOfWeek.Sunday))
{
skipDays++;
continue;
}
// Skip over early close days and Holidays
if (TradingHours.PartialHolidays.ContainsKey(tt.Date) ||
TradingHours.Holidays.ContainsKey(tt.Date))
{
skipDays++;
continue;
}
// Get Prev day's same time bar
int relPrevBar = ChartBars.GetBarIdxByTime(ChartControl, tt);
// If the returned bar is not the expected date, a bar with the
// timetarget is not on the chart. Dont know why GetBarIdxByTime
// does not return something more normal(like a -1) for a GetBarIdxXXX()
// miss. Instead it just returns the incorrect bar.
// At this point a missing bar is unexpected
if (tt != Bars.GetTime(relPrevBar))
{
throw new Exception("Missing data error - Target Time: " + tt + " Found Time: " + Bars.GetTime(relPrevBar));
}
totalHistPeriodVol += Bars.GetVolume(relPrevBar);
histPeriodVol.Add(Bars.GetVolume(relPrevBar));
}
histPeriodVolStd = this.getStandardDeviation(histPeriodVol);
avgHistPeriodVol = totalHistPeriodVol / LookBackDays;
}
// Get historical average at time volume from last x days
Values[3][0] = avgHistPeriodVol;
// Difference between avg period vol and current bars vol
double rel_vol_diff = Volume[0] - avgHistPeriodVol;
// Std Hi-Low Hash marks
Values[1][0] = Math.Max(0.0, avgHistPeriodVol - histPeriodVolStd);
Values[2][0] = avgHistPeriodVol + histPeriodVolStd;
// Raw period volume bars, color code based on
// volume above, below or within 1 std band
Values[0][0] = Volume[0];
if (ShowVolumeBars)
{
// Greater than one std
if (Volume[0] > Values[2][0])
{
PlotBrushes[0][0] = VolAboveStdBrush;
}
// Within one std
else if (Values[0][0] > Values[1][0])
{
PlotBrushes[0][0] = VolWithinStdBrush;
}
// Less than 1 std
else
{
PlotBrushes[0][0] = VolBelowStdBrush;
}
}
else
{
PlotBrushes[0][0] = Brushes.Transparent;
}
}
public override void OnRender(ChartControl chartControl, ChartScale chartScale, ChartBars chartBars)
{
Bars bars = chartBars.Bars;
Vector2 point0 = new Vector2();
Vector2 point1 = new Vector2();
RectangleF rect = new RectangleF();
float maxHalfWidth = (GetBarPaintWidth(BarWidthUI) - 1) / 2;
float maxMeanAvgVol = 0;
for (int idx = chartBars.FromIndex; idx < chartBars.ToIndex; idx++)
{
float meanAvg = (bars.GetVolume(idx) + bars.GetVolume(idx + 1)) / 2;
if (meanAvg > maxMeanAvgVol)
{
maxMeanAvgVol = meanAvg;
}
}
for (int idx = chartBars.FromIndex; idx <= chartBars.ToIndex; idx++)
{
Brush overriddenBarBrush = chartControl.GetBarOverrideBrush(chartBars, idx);
Brush overriddenOutlineBrush = chartControl.GetCandleOutlineOverrideBrush(chartBars, idx);
double closeValue = bars.GetClose(idx);
int close = chartScale.GetYByValue(closeValue);
int high = chartScale.GetYByValue(bars.GetHigh(idx));
int low = chartScale.GetYByValue(bars.GetLow(idx));
float barWidth = 1 + (2 * (float)Math.Round(bars.GetVolume(idx) / maxMeanAvgVol * maxHalfWidth));
double openValue = bars.GetOpen(idx);
int open = chartScale.GetYByValue(openValue);
int x = chartControl.GetXByBarIndex(chartBars, idx);
if (Math.Abs(open - close) < 0.0000001)
{
// Line
point0.X = x - barWidth * 0.5f;
point0.Y = close;
point1.X = x + barWidth * 0.5f;
point1.Y = close;
Brush b = overriddenOutlineBrush ?? Stroke.BrushDX;
if (!(b is SolidColorBrush))
{
TransformBrush(overriddenOutlineBrush ?? Stroke.BrushDX, new RectangleF(point0.X, point0.Y - Stroke.Width, barWidth, Stroke.Width));
}
RenderTarget.DrawLine(point0, point1, b, Stroke.Width, Stroke.StrokeStyle);
}
else
{
// Candle
rect.X = x - barWidth * 0.5f + 0.5f;
rect.Y = Math.Min(close, open);
rect.Width = barWidth - 1;
rect.Height = Math.Max(open, close) - Math.Min(close, open);
Brush brush = overriddenBarBrush ?? (closeValue >= openValue ? UpBrushDX : DownBrushDX);
if (!(brush is SolidColorBrush))
{
TransformBrush(brush, rect);
}
RenderTarget.FillRectangle(rect, brush);
brush = overriddenOutlineBrush ?? Stroke.BrushDX;
if (!(brush is SolidColorBrush))
{
TransformBrush(brush, rect);
}
RenderTarget.DrawRectangle(rect, overriddenOutlineBrush ?? Stroke.BrushDX, Stroke.Width, Stroke.StrokeStyle);
}
Brush br = overriddenOutlineBrush ?? Stroke2.BrushDX;
// High wick
if (high < Math.Min(open, close))
{
point0.X = x;
point0.Y = high;
point1.X = x;
point1.Y = Math.Min(open, close);
if (!(br is SolidColorBrush))
{
TransformBrush(br, new RectangleF(point0.X - Stroke2.Width, point0.Y, Stroke2.Width, point1.Y - point0.Y));
}
RenderTarget.DrawLine(point0, point1, br, Stroke2.Width, Stroke2.StrokeStyle);
}
// Low wick
if (low > Math.Max(open, close))
{
point0.X = x;
point0.Y = low;
point1.X = x;
point1.Y = Math.Max(open, close);
if (!(br is SolidColorBrush))
{
TransformBrush(br, new RectangleF(point1.X - Stroke2.Width, point1.Y, Stroke2.Width, point0.Y - point1.Y));
}
RenderTarget.DrawLine(point0, point1, br, Stroke2.Width, Stroke2.StrokeStyle);
}
}
}
public override void Add(Bars bars, double open, double high, double low, double close, DateTime time, long volume, bool isRealtime)
{
#region Reset cache
if (bars.Count == 0 && tmpTime != Cbi.Globals.MinDate) // reset caching when live request trimmed existing bars
{
tmpTime = Cbi.Globals.MinDate;
}
bool endOfBar = true;
if (tmpTime == Cbi.Globals.MinDate)
{
tmpTime = time;
tmpDayCount = 1;
tmpTickCount = 1;
}
else if (bars.Count < tmpCount && bars.Count == 0) // reset cache when bars are trimmed
{
tmpTime = Cbi.Globals.MinDate;
tmpVolume = 0;
tmpDayCount = 0;
tmpTickCount = 0;
}
else if (bars.Count < tmpCount && bars.Count > 0) // reset cache when bars are trimmed
{
tmpTime = bars.GetTime(bars.Count - 1);
tmpVolume = bars.GetVolume(bars.Count - 1);
tmpTickCount = bars.TickCount;
tmpDayCount = bars.DayCount;
}
#endregion
#region Switch Periods
switch (bars.Period.BasePeriodType)
{
#region tick
case PeriodType.Tick:
{
if (bars.IsNewSession(time, isRealtime))
{
newSession = true;
tmpTime = time;
tmpTickCount = 1;
if (bars.Count == 0)
{
break;
}
endOfBar = false;
}
else
{
if (bars.Period.BasePeriodValue > 1 && tmpTickCount < bars.Period.BasePeriodValue)
{
tmpTime = time;
tmpVolume += volume;
tmpTickCount++;
bars.LastPrice = close;
endOfBar = false;
}
else
{
tmpTime = time; // there can't be a situation when new ticks go into old bar, this would mean peeking into future. Fixed in NT7B14 20100416 CH
}
}
break;
}
#endregion
#region Volume
case PeriodType.Volume:
{
if (bars.IsNewSession(time, isRealtime))
{
newSession = true;
}
else if (bars.Count == 0 && volume > 0)
{
break;
}
else
{
tmpVolume += volume;
if (tmpVolume < bars.Period.BasePeriodValue)
{
bars.LastPrice = close;
endOfBar = false;
}
else if (tmpVolume == 0)
{
endOfBar = false;
}
}
tmpTime = time; // there can't be a situation when new ticks go into old bar, this would mean peeking into future. Fixed in NT7B14 20100416 CH
break;
}
#endregion
#region Second
case PeriodType.Second:
{
if (bars.IsNewSession(time, isRealtime))
{
tmpTime = TimeToBarTimeSecond(bars, time, new DateTime(bars.Session.NextBeginTime.Year, bars.Session.NextBeginTime.Month, bars.Session.NextBeginTime.Day, bars.Session.NextBeginTime.Hour, bars.Session.NextBeginTime.Minute, 0), bars.Period.BasePeriodValue);
if (bars.Count == 0)
{
break;
}
endOfBar = false;
newSession = true;
}
else
{
if (time <= tmpTime)
{
tmpVolume += volume;
bars.LastPrice = close;
endOfBar = false;
}
else
{
tmpTime = TimeToBarTimeSecond(bars, time, bars.Session.NextBeginTime, bars.Period.BasePeriodValue);
}
}
break;
}
#endregion
#region Day
case PeriodType.Day:
{
if (bars.Count == 0 || (bars.Count > 0 && (bars.TimeLastBar.Month < time.Month || bars.TimeLastBar.Year < time.Year)))
{
tmpTime = time.Date;
bars.LastPrice = close;
newSession = true;
}
else
{
tmpTime = time.Date;
tmpVolume += volume;
bars.LastPrice = close;
tmpDayCount++;
if (tmpDayCount < bars.Period.BasePeriodValue || (bars.Count > 0 && bars.TimeLastBar.Date == time.Date))
{
endOfBar = false;
}
}
break;
}
#endregion
#region Minute
case PeriodType.Minute:
{
if (bars.Count == 0 || bars.IsNewSession(time, isRealtime))
{
tmpTime = TimeToBarTimeMinute(bars, time, bars.Session.NextBeginTime, bars.Period.BasePeriodValue, isRealtime);
newSession = true;
tmpVolume = 0;
}
else
{
if (isRealtime && time < bars.TimeLastBar || !isRealtime && time <= bars.TimeLastBar)
{
tmpTime = bars.TimeLastBar;
endOfBar = false;
}
else
{
tmpTime = TimeToBarTimeMinute(bars, time, bars.Session.NextBeginTime, bars.Period.BasePeriodValue, isRealtime);
}
tmpVolume += volume;
}
break;
}
#endregion
#region Week
case PeriodType.Week:
{
if (tmpTime == Cbi.Globals.MinDate)
{
tmpTime = TimeToBarTimeWeek(time.Date, tmpTime.Date, bars.Period.BasePeriodValue);
if (bars.Count == 0)
{
break;
}
endOfBar = false;
}
else
{
if (time.Date <= tmpTime.Date)
{
tmpVolume += volume;
bars.LastPrice = close;
endOfBar = false;
}
}
break;
}
#endregion
#region Month
case PeriodType.Month:
{
if (tmpTime == Cbi.Globals.MinDate)
{
tmpTime = TimeToBarTimeMonth(time, bars.Period.BasePeriodValue);
if (bars.Count == 0)
{
break;
}
endOfBar = false;
}
else
{
if ((time.Month <= tmpTime.Month && time.Year == tmpTime.Year) || time.Year < tmpTime.Year)
{
tmpVolume += volume;
bars.LastPrice = close;
endOfBar = false;
}
}
break;
}
#endregion
#region Year
case PeriodType.Year:
{
if (tmpTime == Cbi.Globals.MinDate)
{
tmpTime = TimeToBarTimeYear(time, bars.Period.Value);
if (bars.Count == 0)
{
break;
}
endOfBar = false;
}
else
{
if (time.Year <= tmpTime.Year)
{
tmpVolume += volume;
bars.LastPrice = close;
endOfBar = false;
}
}
break;
}
#endregion
#region Default
default:
break;
#endregion
}
#endregion
#region Add bars
if (bars.Count == 0 || (newSession && IsIntraday)) // Very first bar setup.
{
#region First bar
AddBar(bars, open, close, close, close, tmpTime, volume, isRealtime);
upTrend = (open < close);
newSessionIdx = bars.Count - 1;
newSession = false;
firstBarOfSession = true;
anchorPrice = close;
switchPrice = open;
tmpHigh = close;
tmpLow = close;
#endregion
}
else if (firstBarOfSession && endOfBar == false)
{
#region Start of subsiquent bars
double prevOpen = bars.GetOpen(bars.Count - 1);
bars.RemoveLastBar(isRealtime);
AddBar(bars, prevOpen, close, close, close, tmpTime, tmpVolume, isRealtime);
upTrend = (prevOpen < close);
anchorPrice = close;
#endregion
}
else
{
int breakCount = bars.Period.Value;
Bar bar = (Bar)bars.Get(bars.Count - 1);
double breakMax = double.MinValue;
double breakMin = double.MaxValue;
if (firstBarOfSession)
{
AddBar(bars, anchorPrice, close, close, close, tmpTime, volume, isRealtime);
firstBarOfSession = false;
tmpVolume = volume;
tmpTime = Cbi.Globals.MinDate;
return;
}
if (bars.Count - newSessionIdx - 1 < breakCount)
{
breakCount = bars.Count - (newSessionIdx + 1);
}
for (int k = 1; k <= breakCount; k++)
{
Bar tmp = (Bar)bars.Get(bars.Count - k - 1);
breakMax = Math.Max(breakMax, tmp.Open);
breakMax = Math.Max(breakMax, tmp.Close);
breakMin = Math.Min(breakMin, tmp.Open);
breakMin = Math.Min(breakMin, tmp.Close);
}
bars.LastPrice = close;
if (upTrend)
{
#region Up trend
if (endOfBar)
{
bool adding = false;
if (bars.Instrument.MasterInstrument.Compare(bar.Close, anchorPrice) > 0)
{
anchorPrice = bar.Close;
switchPrice = bar.Open;
tmpVolume = volume;
adding = true;
tmpHigh = bar.Close;
tmpLow = bar.Close;
}
else if (bars.Instrument.MasterInstrument.Compare(breakMin, bar.Close) > 0)
{
anchorPrice = bar.Close;
switchPrice = bar.Open;
tmpVolume = volume;
upTrend = false;
adding = true;
tmpHigh = bar.Close;
tmpLow = bar.Close;
}
if (adding)
{
double tmpOpen = upTrend ? Math.Min(Math.Max(switchPrice, close), anchorPrice) : Math.Max(Math.Min(switchPrice, close), anchorPrice);
tmpHigh = Math.Max(tmpHigh, close);
tmpLow = Math.Min(tmpLow, close);
AddBar(bars, tmpOpen, tmpHigh, tmpLow, close, tmpTime, volume, isRealtime);
}
else
{
bars.RemoveLastBar(isRealtime);
double tmpOpen = Math.Min(Math.Max(switchPrice, close), anchorPrice);
tmpHigh = Math.Max(tmpHigh, close);
tmpLow = Math.Min(tmpLow, close);
AddBar(bars, tmpOpen, tmpHigh, tmpLow, close, tmpTime, tmpVolume, isRealtime);
}
}
else
{
bars.RemoveLastBar(isRealtime);
double tmpOpen = Math.Min(Math.Max(switchPrice, close), anchorPrice);
tmpHigh = Math.Max(tmpHigh, close);
tmpLow = Math.Min(tmpLow, close);
AddBar(bars, tmpOpen, tmpHigh, tmpLow, close, tmpTime, tmpVolume, isRealtime);
}
#endregion
}
else
{
#region Down trend
if (endOfBar)
{
bool adding = false;
if (bars.Instrument.MasterInstrument.Compare(bar.Close, anchorPrice) < 0)
{
anchorPrice = bar.Close;
switchPrice = bar.Open;
tmpVolume = volume;
adding = true;
tmpHigh = bar.Close;
tmpLow = bar.Close;
}
else if (bars.Instrument.MasterInstrument.Compare(breakMax, bar.Close) < 0)
{
anchorPrice = bar.Close;
switchPrice = bar.Open;
tmpVolume = volume;
upTrend = true;
adding = true;
tmpHigh = bar.Close;
tmpLow = bar.Close;
}
if (adding)
{
double tmpOpen = upTrend ? Math.Min(Math.Max(switchPrice, close), anchorPrice) : Math.Max(Math.Min(switchPrice, close), anchorPrice);
tmpHigh = Math.Max(tmpHigh, close);
tmpLow = Math.Min(tmpLow, close);
AddBar(bars, tmpOpen, tmpHigh, tmpLow, close, tmpTime, volume, isRealtime);
}
else
{
bars.RemoveLastBar(isRealtime);
double tmpOpen = Math.Max(Math.Min(switchPrice, close), anchorPrice);
tmpHigh = Math.Max(tmpHigh, close);
tmpLow = Math.Min(tmpLow, close);
AddBar(bars, tmpOpen, tmpHigh, tmpLow, close, tmpTime, tmpVolume, isRealtime);
}
}
else
{
bars.RemoveLastBar(isRealtime);
double tmpOpen = Math.Max(Math.Min(switchPrice, close), anchorPrice);
tmpHigh = Math.Max(tmpHigh, close);
tmpLow = Math.Min(tmpLow, close);
AddBar(bars, tmpOpen, tmpHigh, tmpLow, close, tmpTime, tmpVolume, isRealtime);
}
#endregion
}
}
#endregion
if (endOfBar)
{
tmpTime = Cbi.Globals.MinDate;
}
tmpCount = bars.Count;
}
/// <summary>
///
/// </summary>
/// <param name="bars"></param>
/// <param name="open"></param>
/// <param name="high"></param>
/// <param name="low"></param>
/// <param name="close"></param>
/// <param name="time"></param>
/// <param name="volume"></param>
/// <param name="isRealtime"></param>
public override void Add(Bars bars, double open, double high, double low, double close, DateTime time, long volume, bool isRealtime)
{
if (bars.Count == 0 && tmpTime != Cbi.Globals.MinDate) // reset caching when live request trimmed existing bars
tmpTime = Cbi.Globals.MinDate;
bool endOfBar = true;
if (tmpTime == Cbi.Globals.MinDate)
{
tmpTime = time;
tmpDayCount = 1;
tmpTickCount = 1;
}
else if (bars.Count < tmpCount && bars.Count == 0) // reset cache when bars are trimmed
{
tmpTime = Cbi.Globals.MinDate;
tmpVolume = 0;
tmpDayCount = 0;
tmpTickCount = 0;
}
else if (bars.Count < tmpCount && bars.Count > 0) // reset cache when bars are trimmed
{
tmpTime = bars.GetTime(bars.Count - 1);
tmpVolume = bars.GetVolume(bars.Count - 1);
tmpTickCount = bars.TickCount;
tmpDayCount = bars.DayCount;
}
switch (bars.Period.BasePeriodType)
{
case PeriodType.Day:
{
if (bars.Count == 0 || (bars.Count > 0 && (bars.TimeLastBar.Month < time.Month || bars.TimeLastBar.Year < time.Year)))
{
tmpTime = time.Date;
bars.LastPrice = close;
newSession = true;
}
else
{
tmpTime = time.Date;
tmpVolume += volume;
bars.LastPrice = close;
tmpDayCount++;
if (tmpDayCount < bars.Period.BasePeriodValue || (bars.Count > 0 && bars.TimeLastBar.Date == time.Date))
endOfBar = false;
}
break;
}
case PeriodType.Minute:
{
if (bars.Count == 0 || bars.IsNewSession(time, isRealtime))
{
tmpTime = TimeToBarTimeMinute(bars, time, bars.Session.NextBeginTime, bars.Period.BasePeriodValue, isRealtime);
newSession = true;
tmpVolume = 0;
}
else
{
if (isRealtime && time < bars.TimeLastBar || !isRealtime && time <= bars.TimeLastBar)
{
tmpTime = bars.TimeLastBar;
endOfBar = false;
}
else
tmpTime = TimeToBarTimeMinute(bars, time, bars.Session.NextBeginTime, bars.Period.BasePeriodValue, isRealtime);
tmpVolume += volume;
}
break;
}
case PeriodType.Month:
{
if (tmpTime == Cbi.Globals.MinDate)
{
tmpTime = TimeToBarTimeMonth(time, bars.Period.BasePeriodValue);
if (bars.Count == 0)
break;
endOfBar = false;
}
else if ((time.Month <= tmpTime.Month && time.Year == tmpTime.Year) || time.Year < tmpTime.Year)
{
tmpVolume += volume;
bars.LastPrice = close;
endOfBar = false;
}
break;
}
case PeriodType.Second:
{
if (bars.IsNewSession(time, isRealtime))
{
tmpTime = TimeToBarTimeSecond(bars, time, new DateTime(bars.Session.NextBeginTime.Year, bars.Session.NextBeginTime.Month, bars.Session.NextBeginTime.Day, bars.Session.NextBeginTime.Hour, bars.Session.NextBeginTime.Minute, 0), bars.Period.BasePeriodValue);
if (bars.Count == 0)
break;
endOfBar = false;
newSession = true;
}
else if (time <= tmpTime)
{
tmpVolume += volume;
bars.LastPrice = close;
endOfBar = false;
}
else
tmpTime = TimeToBarTimeSecond(bars, time, bars.Session.NextBeginTime, bars.Period.BasePeriodValue);
break;
}
case PeriodType.Tick:
{
if (bars.IsNewSession(time, isRealtime))
{
newSession = true;
tmpTime = time;
tmpTickCount = 1;
if (bars.Count == 0)
break;
endOfBar = false;
}
else if (bars.Period.BasePeriodValue > 1 && tmpTickCount < bars.Period.BasePeriodValue)
{
tmpTime = time;
tmpVolume += volume;
tmpTickCount++;
bars.LastPrice = close;
endOfBar = false;
}
else
tmpTime = time; // there can't be a situation when new ticks go into old bar, this would mean peeking into future. Fixed in NT7B14 20100416 CH
break;
}
case PeriodType.Volume:
{
if (bars.IsNewSession(time, isRealtime))
newSession = true;
else if (bars.Count == 0 && volume > 0)
break;
else
{
tmpVolume += volume;
if (tmpVolume < bars.Period.BasePeriodValue)
{
bars.LastPrice = close;
endOfBar = false;
}
else if (tmpVolume == 0)
endOfBar = false;
}
tmpTime = time; // there can't be a situation when new ticks go into old bar, this would mean peeking into future. Fixed in NT7B14 20100416 CH
break;
}
case PeriodType.Week:
{
if (tmpTime == Cbi.Globals.MinDate)
{
tmpTime = TimeToBarTimeWeek(time.Date, tmpTime.Date, bars.Period.BasePeriodValue);
if (bars.Count == 0)
break;
endOfBar = false;
}
else if (time.Date <= tmpTime.Date)
{
tmpVolume += volume;
bars.LastPrice = close;
endOfBar = false;
}
break;
}
case PeriodType.Year:
{
if (tmpTime == Cbi.Globals.MinDate)
{
tmpTime = TimeToBarTimeYear(time, bars.Period.Value);
if (bars.Count == 0)
break;
endOfBar = false;
}
else if (time.Year <= tmpTime.Year)
{
tmpVolume += volume;
bars.LastPrice = close;
endOfBar = false;
}
break;
}
default:
break;
}
if (bars.Count == 0 || (newSession && IsIntraday))
{
AddBar(bars, open, close, close, close, tmpTime, volume, isRealtime);
upTrend = (open < close);
newSessionIdx = bars.Count - 1;
newSession = false;
firstBarOfSession = true;
anchorPrice = close;
switchPrice = open;
}
else if (firstBarOfSession && endOfBar == false)
{
double prevOpen = bars.GetOpen(bars.Count - 1);
bars.RemoveLastBar(isRealtime);
AddBar(bars, prevOpen, close, close, close, tmpTime, tmpVolume, isRealtime);
upTrend = (prevOpen < close);
anchorPrice = close;
}
else
{
int breakCount = bars.Period.Value;
Bar bar = (Bar)bars.Get(bars.Count - 1);
double breakMax = double.MinValue;
double breakMin = double.MaxValue;
if (firstBarOfSession)
{
AddBar(bars, anchorPrice, close, close, close, tmpTime, volume, isRealtime);
firstBarOfSession = false;
tmpVolume = volume;
tmpTime = Cbi.Globals.MinDate;
return;
}
if (bars.Count - newSessionIdx - 1 < breakCount)
breakCount = bars.Count - (newSessionIdx + 1);
for (int k = 1; k <= breakCount; k++)
{
Bar tmp = (Bar)bars.Get(bars.Count - k - 1);
breakMax = Math.Max(breakMax, tmp.Open);
breakMax = Math.Max(breakMax, tmp.Close);
breakMin = Math.Min(breakMin, tmp.Open);
breakMin = Math.Min(breakMin, tmp.Close);
}
bars.LastPrice = close;
if (upTrend)
if (endOfBar)
{
bool adding = false;
if (bars.Instrument.MasterInstrument.Compare(bar.Close, anchorPrice) > 0)
{
anchorPrice = bar.Close;
switchPrice = bar.Open;
tmpVolume = volume;
adding = true;
}
else
if (bars.Instrument.MasterInstrument.Compare(breakMin, bar.Close) > 0)
{
anchorPrice = bar.Close;
switchPrice = bar.Open;
tmpVolume = volume;
upTrend = false;
adding = true;
}
if (adding)
{
double tmpOpen = upTrend ? Math.Min(Math.Max(switchPrice, close), anchorPrice) : Math.Max(Math.Min(switchPrice, close), anchorPrice);
AddBar(bars, tmpOpen, close, close, close, tmpTime, volume, isRealtime);
}
else
{
bars.RemoveLastBar(isRealtime);
double tmpOpen = Math.Min(Math.Max(switchPrice, close), anchorPrice);
AddBar(bars, tmpOpen, close, close, close, tmpTime, tmpVolume, isRealtime);
}
}
else
{
bars.RemoveLastBar(isRealtime);
double tmpOpen = Math.Min(Math.Max(switchPrice, close), anchorPrice);
AddBar(bars, tmpOpen, close, close, close, tmpTime, tmpVolume, isRealtime);
}
else
if (endOfBar)
{
bool adding = false;
if (bars.Instrument.MasterInstrument.Compare(bar.Close, anchorPrice) < 0)
{
anchorPrice = bar.Close;
switchPrice = bar.Open;
tmpVolume = volume;
adding = true;
}
else
if (bars.Instrument.MasterInstrument.Compare(breakMax, bar.Close) < 0)
{
anchorPrice = bar.Close;
switchPrice = bar.Open;
tmpVolume = volume;
upTrend = true;
adding = true;
}
if (adding)
{
double tmpOpen = upTrend ? Math.Min(Math.Max(switchPrice, close), anchorPrice) : Math.Max(Math.Min(switchPrice, close), anchorPrice);
AddBar(bars, tmpOpen, close, close, close, tmpTime, volume, isRealtime);
}
else
{
bars.RemoveLastBar(isRealtime);
double tmpOpen = Math.Max(Math.Min(switchPrice, close), anchorPrice);
AddBar(bars, tmpOpen, close, close, close, tmpTime, tmpVolume, isRealtime);
}
}
else
{
bars.RemoveLastBar(isRealtime);
double tmpOpen = Math.Max(Math.Min(switchPrice, close), anchorPrice);
AddBar(bars, tmpOpen, close, close, close, tmpTime, tmpVolume, isRealtime);
}
}
if (endOfBar)
tmpTime = Cbi.Globals.MinDate;
tmpCount = bars.Count;
}
protected override void OnDataPoint(Bars bars, double open, double high, double low, double close, DateTime time, long volume, bool isBar, double bid, double ask)
{
if (SessionIterator == null)
{
SessionIterator = new SessionIterator(bars);
}
bool isNewSession = SessionIterator.IsNewSession(time, isBar);
if (isNewSession)
{
SessionIterator.GetNextSession(time, isBar);
}
#region Building Bars from Base Period
if (bars.Count != tmpCount) // Reset cache when bars are trimmed
{
if (bars.Count == 0)
{
tmpTime = Core.Globals.MinDate;
tmpVolume = 0;
tmpDayCount = 0;
tmpTickCount = 0;
}
else
{
tmpTime = bars.GetTime(bars.Count - 1);
tmpVolume = bars.GetVolume(bars.Count - 1);
tmpTickCount = bars.TickCount;
tmpDayCount = bars.DayCount;
bars.LastPrice = anchorPrice = bars.GetClose(bars.Count - 1);
}
}
switch (BarsPeriod.BaseBarsPeriodType)
{
case BarsPeriodType.Day:
tmpTime = time.Date;
if (!isBar)
{
tmpDayCount++;
if (tmpTime < time.Date)
{
tmpTime = time.Date; // Make sure timestamps are ascending
}
}
if (isBar && prevTimeD != tmpTime)
{
tmpDayCount++;
}
if (isBar && bars.Count > 0 && tmpTime == bars.LastBarTime.Date ||
!isBar && bars.Count > 0 && tmpTime <= bars.LastBarTime.Date ||
tmpDayCount < BarsPeriod.BaseBarsPeriodValue)
{
endOfBar = false;
}
else
{
prevTime = prevTimeD == Core.Globals.MinDate ? tmpTime : prevTimeD;
prevTimeD = tmpTime;
endOfBar = true;
}
break;
case BarsPeriodType.Minute:
if (tmpTime == Core.Globals.MinDate)
{
prevTime = tmpTime = TimeToBarTimeMinute(bars, time, isBar);
}
if (isBar && time <= tmpTime || !isBar && time < tmpTime)
{
endOfBar = false;
}
else
{
prevTime = tmpTime;
tmpTime = TimeToBarTimeMinute(bars, time, isBar);
endOfBar = true;
}
break;
case BarsPeriodType.Volume:
if (tmpTime == Core.Globals.MinDate)
{
tmpVolume = volume;
endOfBar = tmpVolume >= BarsPeriod.BaseBarsPeriodValue;
prevTime = tmpTime = time;
if (endOfBar)
{
tmpVolume = 0;
}
break;
}
tmpVolume += volume;
endOfBar = tmpVolume >= BarsPeriod.BaseBarsPeriodValue;
if (endOfBar)
{
prevTime = tmpTime;
tmpVolume = 0;
tmpTime = time;
}
break;
case BarsPeriodType.Month:
if (tmpTime == Core.Globals.MinDate)
{
prevTime = tmpTime = TimeToBarTimeMonth(time, BarsPeriod.BaseBarsPeriodValue);
}
if (time.Month <= tmpTime.Month && time.Year == tmpTime.Year || time.Year < tmpTime.Year)
{
endOfBar = false;
}
else
{
prevTime = tmpTime;
endOfBar = true;
tmpTime = TimeToBarTimeMonth(time, BarsPeriod.BaseBarsPeriodValue);
}
break;
case BarsPeriodType.Second:
if (tmpTime == Core.Globals.MinDate)
{
prevTime = tmpTime = TimeToBarTimeSecond(bars, time, isBar);
}
if (time <= tmpTime)
{
endOfBar = false;
}
else
{
prevTime = tmpTime;
tmpTime = TimeToBarTimeSecond(bars, time, isBar);
endOfBar = true;
}
break;
case BarsPeriodType.Tick:
if (tmpTime == Core.Globals.MinDate || BarsPeriod.BaseBarsPeriodValue == 1)
{
prevTime = tmpTime;
if (prevTime == Core.Globals.MinDate)
{
prevTime = time;
}
tmpTime = time;
endOfBar = BarsPeriod.BaseBarsPeriodValue == 1;
break;
}
if (tmpTickCount < BarsPeriod.BaseBarsPeriodValue)
{
tmpTime = time;
endOfBar = false;
tmpTickCount++;
}
else
{
prevTime = tmpTime;
tmpTime = time;
endOfBar = true;
tmpTickCount = 1;
}
break;
case BarsPeriodType.Week:
if (tmpTime == Core.Globals.MinDate)
{
prevTime = tmpTime = TimeToBarTimeWeek(time.Date, tmpTime.Date, BarsPeriod.BaseBarsPeriodValue);
}
if (time.Date <= tmpTime.Date)
{
endOfBar = false;
}
else
{
prevTime = tmpTime;
endOfBar = true;
tmpTime = TimeToBarTimeWeek(time.Date, tmpTime.Date, BarsPeriod.BaseBarsPeriodValue);
}
break;
case BarsPeriodType.Year:
if (tmpTime == Core.Globals.MinDate)
{
prevTime = tmpTime = TimeToBarTimeYear(time, BarsPeriod.BaseBarsPeriodValue);
}
if (time.Year <= tmpTime.Year)
{
endOfBar = false;
}
else
{
prevTime = tmpTime;
endOfBar = true;
tmpTime = TimeToBarTimeYear(time, BarsPeriod.BaseBarsPeriodValue);
}
break;
}
#endregion
#region P&F logic
double tickSize = bars.Instrument.MasterInstrument.TickSize;
boxSize = Math.Floor(10000000.0 * BarsPeriod.Value * tickSize) / 10000000.0;
reversalSize = BarsPeriod.Value2 * boxSize;
if (bars.Count == 0 || IsIntraday && bars.IsResetOnNewTradingDay && isNewSession)
{
if (bars.Count > 0)
{
double lastHigh = bars.GetHigh(bars.Count - 1);
double lastLow = bars.GetLow(bars.Count - 1);
double lastClose = bars.GetClose(bars.Count - 1);
DateTime lastTime = bars.GetTime(bars.Count - 1);
bars.LastPrice = anchorPrice = lastClose;
if (bars.Count == tmpCount)
{
CalculatePfBar(bars, lastHigh, lastLow, lastClose, prevTime == Core.Globals.MinDate ? time : prevTime, lastTime);
}
}
AddBar(bars, close, close, close, close, tmpTime, volume);
anchorPrice = close;
trend = Trend.Undetermined;
prevTime = tmpTime;
volumeCount = 0;
bars.LastPrice = close;
tmpCount = bars.Count;
tmpHigh = high;
tmpLow = low;
return;
}
double c = bars.GetClose(bars.Count - 1);
double h = bars.GetHigh(bars.Count - 1);
double l = bars.GetLow(bars.Count - 1);
DateTime t = bars.GetTime(bars.Count - 1);
if (endOfBar)
{
CalculatePfBar(bars, h, l, c, prevTime, t);
volumeCount = volume;
tmpHigh = high;
tmpLow = low;
}
else
{
tmpHigh = high > tmpHigh ? high : tmpHigh;
tmpLow = low < tmpLow ? low : tmpLow;
volumeCount += volume;
}
bars.LastPrice = close;
tmpCount = bars.Count;
#endregion
}
public override double GetPercentComplete(Bars bars, DateTime now)
{
return(bars.Count == 0 ? 0 : (double)bars.GetVolume(bars.Count - 1) / bars.BarsPeriod.Value);
}
protected override void OnDataPoint(Bars bars, double open, double high, double low, double close, DateTime time, long volume, bool isBar, double bid, double ask)
{
double lastBarClose = bars.GetClose(bars.Count - 1); // Trae el último precio de cierre
if (SessionIterator == null)
{
SessionIterator = new SessionIterator(bars);
}
offset = bars.BarsPeriod.Value * bars.Instrument.MasterInstrument.TickSize; // Periocidad * tick (Tamaño de la caja)
bool isNewSession = SessionIterator.IsNewSession(time, isBar);
if (isNewSession)
{
SessionIterator.GetNextSession(time, isBar);
}
// Si es una gráfica nueva o una sesión nueva y está en un nuevo día
if (bars.Count == 0 || bars.IsResetOnNewTradingDay && isNewSession)
{
// una sesión nueva y está en un nuevo día
if (bars.Count > 0)
{
// Close out last bar in session and set open == close
DateTime lastBarTime = bars.GetTime(bars.Count - 1); // Trae la última fecha del precio de cierre
long lastBarVolume = bars.GetVolume(bars.Count - 1); // Trae el último volumen de precio de cierre
RemoveLastBar(bars); // Elimina la última barra
AddBar(bars, lastBarClose, lastBarClose, lastBarClose, lastBarClose, lastBarTime, lastBarVolume); // Crea una nueva barra con la información obtenida
}
renkoHigh = close + offset; // Suma el valor de cierre y tamaño de la caja
renkoLow = close - offset; // Diferencia del valor de cierre y el tamaño de la caja
// ¿Hay un nuevo precio negociado?
isNewSession = SessionIterator.IsNewSession(time, isBar);
if (isNewSession)
{
SessionIterator.GetNextSession(time, isBar); // Entonces traiga el último precio
}
// Pinte el último precio negociado
AddBar(bars, close, close, close, close, time, volume);
bars.LastPrice = close;
return;
}
double barOpen = bars.GetOpen(bars.Count - 1); // Obtiene el valor de apertura de la última barra
double barHigh = bars.GetHigh(bars.Count - 1); // Obtiene el valor más alto negociado de la última barra
double barLow = bars.GetLow(bars.Count - 1); // Obtiene el valor más bajo negociado de la última barra
long barVolume = bars.GetVolume(bars.Count - 1); // Obtiene el volumen de la última barra
DateTime barTime = bars.GetTime(bars.Count - 1); // Obtiene la fecha de la última barra
// renkoHigh == 0 || renkoLow == 0
// ApproxCompare: Compares two double or float values for equality or being greater than / less than the compared to value.
if (renkoHigh.ApproxCompare(0.0) == 0 || renkoLow.ApproxCompare(0.0) == 0)
{
if (bars.Count == 1)
{
renkoHigh = barOpen + offset; // suma = valor de apertura de la última barra + el tamaño de la caja
renkoLow = barOpen - offset; // diferencia = valor de apertura de la última barra - el tamaño de la caja
}
// Penultimo valor de cierre es mayor al penultimo valor de apertura?
else if (bars.GetClose(bars.Count - 2) > bars.GetOpen(bars.Count - 2))
{
renkoHigh = bars.GetClose(bars.Count - 2) + offset; // Suma tamaño de la caja + el penultimo valor de cierre
renkoLow = bars.GetClose(bars.Count - 2) - offset * 2; // Resta el doble del tamaño de la caja - el penultimo valor de cierre
}
else
{
renkoHigh = bars.GetClose(bars.Count - 2) + offset * 2; // Suma el doble tamaño de la caja + el penultimo valor de cierre
renkoLow = bars.GetClose(bars.Count - 2) - offset; // Resta el tamaño de la caja - el penultimo valor de cierre
}
}
bool isRail2Rail = false;
// Hay cambio de tendencia hacia bajista?
if (close <= (renkoHigh))
{
// Elimina la barra de Update
RemoveLastBar(bars);
// Agrega la nueva barra con los nuevos valores
renkoLow = renkoHigh - 2.0 * offset; // RenkoHigh - el doble del tamaño de la caja
renkoHigh = renkoHigh + offset; // Renkohigh + el tamaño de la caja
// Agrega barra alcista
//AddBar(bars, _renkoLow - offset, Math.Max(_renkoLow - offset, _renkoLow), Math.Min(_renkoLow - offset, _renkoLow), _renkoLow, barTime, barVolume);
//AddBar(bars, _renkoHigh + offset, Math.Max(_renkoHigh + offset, _renkoHigh), Math.Min(_renkoHigh + offset, _renkoHigh), _renkoHigh, barTime, barVolume);
//AddBar(Bars bars, double open, double high, double low, double close, DateTime time, long volume)
//Barra de una gráfica bajista
AddBar(bars, renkoLow + offset, Math.Max(renkoLow + offset, renkoLow), Math.Min(renkoLow + offset, renkoLow), renkoLow, barTime, barVolume);
isRail2Rail = true;
}
//bool isRail2Rail = false;
// Hay cambio de tendencia hacia alcista?
if (close >= (renkoLow))
{
// Elimina la barra la barra de Update
RemoveLastBar(bars);
// Agrega la nueva barra con los nuevos valores
// Original
//AddBar(bars, renkoLow + offset, Math.Max(renkoLow + offset, renkoLow), Math.Min(renkoLow + offset, renkoLow), renkoLow, barTime, barVolume);
// Bajista
renkoHigh = renkoLow + 2.0 * offset; // RenkoLow - el doble del tamaño de la caja
renkoLow = renkoLow - offset; // RenkoLow - el tamaño de la caja
//AddBar(bars, _renkoHigh + offset, Math.Max(_renkoHigh + offset, _renkoHigh), Math.Min(_renkoHigh + offset, _renkoHigh), _renkoHigh, barTime, barVolume);
//AddBar(bars, _renkoLow - offset, Math.Max(_renkoLow - offset, _renkoLow), Math.Min(_renkoLow - offset, _renkoLow), _renkoLow, barTime, barVolume);
//Barra de gráfica alcista
AddBar(bars, renkoHigh - offset, Math.Max(renkoHigh - offset, renkoHigh), Math.Min(renkoHigh - offset, renkoHigh), renkoHigh, barTime, barVolume);
isRail2Rail = true;
}
// el precio de cierre es mayor renkohigh?
// [DETECTA COMPORTAMIENTO ALCISTA]
if (close.ApproxCompare(renkoHigh) >= 0)
{
/* if (trend != 0 && trend != 1) {
* // Elimina la barra de Update
* RemoveLastBar(bars);
*
* // Agrega la nueva barra con los nuevos valores
* var _renkoLow = renkoHigh - 1.0 * offset; // RenkoHigh - el doble del tamaño de la caja
* var _renkoHigh = renkoHigh + offset; // Renkohigh + el tamaño de la caja
* // Agrega barra alcista
* AddBar(bars, _renkoLow - offset, Math.Max(_renkoLow - offset, _renkoLow), Math.Min(_renkoLow - offset, _renkoLow), _renkoLow, barTime, barVolume);
*
* isRail2Rail = true;
* } */
// (1) Obtiene el valor mayor entre renkoHigh y, renkoHigh - tamaño de la caja
// (2) Si el valor de x es igual a y entonces retorna 0
// Si el valor de x es mayor a y entonces retorna 1
// Si el valor de x es menor a y entonces retorna -1
if (barOpen.ApproxCompare(renkoHigh - offset) != 0 || // valor de apertura de la (última barra - el tamño de la caja) es mayor o menor a barOpen?
barHigh.ApproxCompare(Math.Max(renkoHigh - offset, renkoHigh)) != 0 || // Es barHigh mayor o menor a (1)?
barLow.ApproxCompare(Math.Min(renkoHigh - offset, renkoHigh)) != 0) // Es barLow mayor o menor a (1)?
{
// No hubo cambio de tendencia
if (!isRail2Rail)
{
// Elimina la última barra de Update
RemoveLastBar(bars);
}
// Agrega una barra nueva con los nuevos valores
// Alcista
AddBar(bars, renkoHigh - offset, Math.Max(renkoHigh - offset, renkoHigh), Math.Min(renkoHigh - offset, renkoHigh), renkoHigh, barTime, barVolume);
}
renkoLow = renkoHigh - 2.0 * offset; // RenkoHigh - el doble del tamaño de la caja
renkoHigh = renkoHigh + offset; // Renkohigh + el tamaño de la caja
// ¿Hay un nuevo valor negociado?
isNewSession = SessionIterator.IsNewSession(time, isBar);
if (isNewSession)
{
SessionIterator.GetNextSession(time, isBar); // Obtiene el último valor negociado
}
// Agrega barras vacías para llenar el gap si el precio salta
while (close.ApproxCompare(renkoHigh) >= 0)
{
AddBar(bars, renkoHigh - offset, Math.Max(renkoHigh - offset, renkoHigh), Math.Min(renkoHigh - offset, renkoHigh), renkoHigh, time, 0);
renkoLow = renkoHigh - 2.0 * offset;
renkoHigh = renkoHigh + offset;
}
// Agrega la barra final parcial
AddBar(bars, renkoHigh - offset, Math.Max(renkoHigh - offset, close), Math.Min(renkoHigh - offset, close), close, time, volume);
trend = 1;
}
// el precio de cierre es menor o igual a renkohigh?
// El precio de cierre es menor o igual al renkolow
// [DETECTA COMPORTAMIENTO BAJISTA]
else if (close.ApproxCompare(renkoLow) <= 0)
{
/* if (trend != 0 && trend != -1) {
* // Elimina la barra la barra de Update
* RemoveLastBar(bars);
* // Agrega la nueva barra con los nuevos valores
* // Original
* //AddBar(bars, renkoLow + offset, Math.Max(renkoLow + offset, renkoLow), Math.Min(renkoLow + offset, renkoLow), renkoLow, barTime, barVolume);
* // Bajista
* var _renkoHigh = renkoLow + 1.0 * offset; // RenkoLow - el doble del tamaño de la caja
* var _renkoLow = renkoLow - offset; // RenkoLow - el tamaño de la caja
* AddBar(bars, _renkoHigh + offset, Math.Max(_renkoHigh + offset, _renkoHigh), Math.Min(_renkoHigh + offset, _renkoHigh), _renkoHigh, barTime, barVolume);
* isRail2Rail = true;
* } */
// (1) Obtiene el valor mayor entre renkoLow y, renkoLow + tamaño de la caja
// (2) Si el valor de x es igual a y entonces retorna 0
// Si el valor de x es mayor a y entonces retorna 1
// Si el valor de x es menor a y entonces retorna -1
if (barOpen.ApproxCompare(renkoLow + offset) != 0 || // Valor de apertura de (renkolow + el tamaño de la caja) es mayor o menor a barOpen?
barHigh.ApproxCompare(Math.Max(renkoLow + offset, renkoLow)) != 0 || // Es barHigh mayor o menor a (1)?
barLow.ApproxCompare(Math.Min(renkoLow + offset, renkoLow)) != 0) // Es barlow mayor o menor a (1)?
{
// TODO: Validar si la condición cambia, si si, entonces no elimine la última barra
if (!isRail2Rail)
{
// Elimine la barra de Update
RemoveLastBar(bars);
}
// Agrega la nueva barra con los nuevos valores
// AddBar(Bars bars, double open, double high, double low, double close, DateTime time, long volume)
//Bajista
AddBar(bars, renkoLow + offset, Math.Max(renkoLow + offset, renkoLow), Math.Min(renkoLow + offset, renkoLow), renkoLow, barTime, barVolume);
}
renkoHigh = renkoLow + 2.0 * offset; // RenkoLow - el doble del tamaño de la caja
renkoLow = renkoLow - offset; // RenkoLow - el tamaño de la caja
// ¿Hay un nuevo valor negociado?
isNewSession = SessionIterator.IsNewSession(time, isBar);
if (isNewSession)
{
SessionIterator.GetNextSession(time, isBar); // Obtiene el último valor negociado
}
// Agrega barras vacías para llenar el gap si el precio salta
while (close.ApproxCompare(renkoLow) <= 0)
{
AddBar(bars, renkoLow + offset, Math.Max(renkoLow + offset, renkoLow), Math.Min(renkoLow + offset, renkoLow), renkoLow, time, 0);
renkoHigh = renkoLow + 2.0 * offset;
renkoLow = renkoLow - offset;
}
// Agrega la barra final parcial
AddBar(bars, renkoLow + offset, Math.Max(renkoLow + offset, close), Math.Min(renkoLow + offset, close), close, time, volume);
trend = -1;
}
// El precio de cierre mayor al renkolow
else
{
// Actualiza la barra
UpdateBar(bars, close, close, close, time, volume);
}
// El último precio el valor de cierre
bars.LastPrice = close;
}
/// <summary>
/// </summary>
/// <param name="bars"></param>
/// <param name="open"></param>
/// <param name="high"></param>
/// <param name="low"></param>
/// <param name="close"></param>
/// <param name="time"></param>
/// <param name="volume"></param>
/// <param name="isRealtime"></param>
public override void Add(Bars bars, double open, double high, double low, double close, DateTime time, long volume, bool isRealtime)
{
#region Building Bars from Base Period
if (bars.Count != tmpCount) // reset cache when bars are trimmed
{
if (bars.Count == 0)
{
tmpTime = Cbi.Globals.MinDate;
tmpVolume = 0;
tmpDayCount = 0;
tmpTickCount = 0;
}
else
{
tmpTime = bars.GetTime(bars.Count - 1);
tmpVolume = bars.GetVolume(bars.Count - 1);
tmpTickCount = bars.TickCount;
tmpDayCount = bars.DayCount;
bars.LastPrice = anchorPrice = bars.GetClose(bars.Count - 1);
}
}
switch (bars.Period.BasePeriodType)
{
case PeriodType.Day:
if (bars.Count == 0)
{
if (isRealtime && bars.Session.SessionsOfDay.Length > 0)
{
DateTime barTime;
bars.Session.GetSessionDate(time, false, out barTime, out cacheSessionEnd);
AddBar(bars, 0 - open, 0 - low, 0 - high, 0 - close, barTime, volume, true);
}
else
{
AddBar(bars, 0 - open, 0 - low, 0 - high, 0 - close, time.Date, volume, isRealtime);
}
}
else
{
DateTime barTime;
if (!isRealtime)
{
barTime = time.Date;
}
else if (time >= cacheSessionEnd /* on realtime include60 is always false */)
{
bars.Session.GetSessionDate(time, false, out barTime, out cacheSessionEnd);
if (barTime < bars.TimeLastBar.Date)
{
barTime = bars.TimeLastBar.Date; // make sure timestamps are ascending
}
}
else
{
barTime = bars.TimeLastBar.Date; // make sure timestamps are ascending
}
if (bars.DayCount < bars.Period.Value ||
(!isRealtime && bars.Count > 0 && barTime == bars.TimeLastBar.Date) ||
(isRealtime && bars.Count > 0 && barTime <= bars.TimeLastBar.Date))
{
UpdateBar(bars, 0 - open, 0 - low, 0 - high, 0 - close, barTime, volume, isRealtime);
}
else
{
AddBar(bars, 0 - open, 0 - low, 0 - high, 0 - close, barTime, volume, isRealtime);
}
}
break;
case PeriodType.Minute:
if (bars.Count == 0)
{
AddBar(bars, 0 - open, 0 - low, 0 - high, 0 - close, TimeToBarTimeMinute(bars, time, bars.Session.NextBeginTime, bars.Period.Value, isRealtime), volume, isRealtime);
}
else
{
if (isRealtime && time < bars.TimeLastBar)
{
UpdateBar(bars, 0 - open, 0 - low, 0 - high, 0 - close, bars.TimeLastBar, volume, true);
}
else if (!isRealtime && time <= bars.TimeLastBar)
{
UpdateBar(bars, 0 - open, 0 - low, 0 - high, 0 - close, bars.TimeLastBar, volume, false);
}
else
{
time = TimeToBarTimeMinute(bars, time, bars.Session.NextBeginTime, bars.Period.Value, isRealtime);
AddBar(bars, 0 - open, 0 - low, 0 - high, 0 - close, time, volume, isRealtime);
}
}
break;
case PeriodType.Volume:
if (bars.Count == 0)
{
while (volume > bars.Period.Value)
{
AddBar(bars, 0 - open, 0 - low, 0 - high, 0 - close, time, bars.Period.Value, isRealtime);
volume -= bars.Period.Value;
}
if (volume > 0)
{
AddBar(bars, 0 - open, 0 - low, 0 - high, 0 - close, time, volume, isRealtime);
}
}
else
{
long volumeTmp = 0;
if (!bars.IsNewSession(time, isRealtime))
{
volumeTmp = Math.Min(bars.Period.Value - bars.GetVolume(bars.Count - 1), volume);
if (volumeTmp > 0)
{
UpdateBar(bars, 0 - open, 0 - low, 0 - high, 0 - close, time, volumeTmp, isRealtime);
}
}
volumeTmp = volume - volumeTmp;
while (volumeTmp > 0)
{
AddBar(bars, 0 - open, 0 - low, 0 - high, 0 - close, time, Math.Min(volumeTmp, bars.Period.Value), isRealtime);
volumeTmp -= bars.Period.Value;
}
}
break;
case PeriodType.Month:
if (bars.Count == 0)
{
AddBar(bars, 0 - open, 0 - low, 0 - high, 0 - close, TimeToBarTimeMonth(time, bars.Period.Value), volume, isRealtime);
}
else
{
if ((time.Month <= bars.TimeLastBar.Month && time.Year == bars.TimeLastBar.Year) || time.Year < bars.TimeLastBar.Year)
{
UpdateBar(bars, 0 - open, 0 - low, 0 - high, 0 - close, bars.TimeLastBar, volume, isRealtime);
}
else
{
AddBar(bars, 0 - open, 0 - low, 0 - high, 0 - close, TimeToBarTimeMonth(time, bars.Period.Value), volume, isRealtime);
}
}
break;
case PeriodType.Second:
if (bars.Count == 0)
{
AddBar(bars, 0 - open, 0 - low, 0 - high, 0 - close, TimeToBarTimeSecond(bars, time, new DateTime(bars.Session.NextBeginTime.Year, bars.Session.NextBeginTime.Month, bars.Session.NextBeginTime.Day, bars.Session.NextBeginTime.Hour, bars.Session.NextBeginTime.Minute, 0), bars.Period.Value), volume, isRealtime);
}
else
{
if ((bars.Period.Value > 1 && time < bars.TimeLastBar) ||
(bars.Period.Value == 1 && time <= bars.TimeLastBar))
{
UpdateBar(bars, 0 - open, 0 - low, 0 - high, 0 - close, bars.TimeLastBar, volume, isRealtime);
}
else
{
time = TimeToBarTimeSecond(bars, time, bars.Session.NextBeginTime, bars.Period.Value);
AddBar(bars, 0 - open, 0 - low, 0 - high, 0 - close, time, volume, isRealtime);
}
}
break;
case PeriodType.Tick:
if (bars.Count == 0)
{
AddBar(bars, 0 - open, 0 - low, 0 - high, 0 - close, time, volume, isRealtime);
}
else
{
if (bars.Count > 0 && !bars.IsNewSession(time, isRealtime) && bars.Period.Value > 1 && bars.TickCount < bars.Period.Value)
{
UpdateBar(bars, 0 - open, 0 - low, 0 - high, 0 - close, time, volume, isRealtime);
}
else
{
AddBar(bars, 0 - open, 0 - low, 0 - high, 0 - close, time, volume, isRealtime);
}
}
break;
case PeriodType.Week:
if (bars.Count == 0)
{
AddBar(bars, 0 - open, 0 - low, 0 - high, 0 - close, TimeToBarTimeWeek(time, time.AddDays((6 - (((int)time.DayOfWeek + 1) % 7)) + ((bars.Period.Value - 1) * 7)), bars.Period.Value), volume, isRealtime);
}
else if (time.Date <= bars.TimeLastBar.Date)
{
UpdateBar(bars, 0 - open, 0 - low, 0 - high, 0 - close, bars.TimeLastBar, volume, isRealtime);
}
else
{
AddBar(bars, 0 - open, 0 - low, 0 - high, 0 - close, TimeToBarTimeWeek(time.Date, bars.TimeLastBar.Date, bars.Period.Value), volume, isRealtime);
}
break;
case PeriodType.Year:
if (bars.Count == 0)
{
AddBar(bars, 0 - open, 0 - low, 0 - high, 0 - close, TimeToBarTimeYear(time, bars.Period.Value), volume, isRealtime);
}
else
{
if (time.Year <= bars.TimeLastBar.Year)
{
UpdateBar(bars, 0 - open, 0 - low, 0 - high, 0 - close, bars.TimeLastBar, volume, isRealtime);
}
else
{
AddBar(bars, 0 - open, 0 - low, 0 - high, 0 - close, TimeToBarTimeYear(time.Date, bars.Period.Value), volume, isRealtime);
}
}
break;
default:
break;
}
#endregion
}
protected override void OnDataPoint(Bars bars, double open, double high, double low, double close, DateTime time, long volume, bool isBar, double bid, double ask)
{
if (SessionIterator == null)
{
SessionIterator = new SessionIterator(bars);
}
#region Building Bars from Base Period
if (bars.Count != tmpCount) // Reset cache when bars are trimmed
{
if (bars.Count == 0)
{
tmpTime = Core.Globals.MinDate;
tmpVolume = 0;
tmpDayCount = 0;
tmpTickCount = 0;
}
else
{
tmpTime = bars.GetTime(bars.Count - 1);
tmpVolume = bars.GetVolume(bars.Count - 1);
tmpTickCount = bars.TickCount;
tmpDayCount = bars.DayCount;
bars.LastPrice = bars.GetClose(bars.Count - 1);
anchorPrice = bars.LastPrice;
}
}
bool isNewSession = SessionIterator.IsNewSession(time, isBar);
bool isCalculateTradingDayDone = false;
switch (bars.BarsPeriod.BaseBarsPeriodType)
{
case BarsPeriodType.Day:
tmpTime = time.Date; // Will be modified for realtime only
if (!isBar && time >= cacheSessionEnd /* on realtime includesEndTimeStamp is always false */)
{
if (isNewSession)
{
SessionIterator.GetNextSession(time, isBar);
isCalculateTradingDayDone = true;
}
cacheSessionEnd = SessionIterator.ActualSessionEnd;
if (tmpTime < time.Date)
{
tmpTime = time.Date; // Make sure timestamps are ascending
}
}
if (prevTime != tmpTime)
{
tmpDayCount++;
}
if (tmpDayCount < bars.BarsPeriod.BaseBarsPeriodValue ||
isBar && bars.Count > 0 && tmpTime == bars.LastBarTime.Date ||
!isBar && bars.Count > 0 && tmpTime <= bars.LastBarTime.Date)
{
endOfBar = false;
}
else
{
prevTime = tmpTime;
endOfBar = true;
}
break;
case BarsPeriodType.Minute:
if (tmpTime == Core.Globals.MinDate)
{
prevTime = tmpTime = TimeToBarTimeMinute(bars, time, isBar);
}
if (isBar && time <= tmpTime || !isBar && time < tmpTime)
{
endOfBar = false;
}
else
{
prevTime = tmpTime;
tmpTime = TimeToBarTimeMinute(bars, time, isBar);
endOfBar = true;
}
break;
case BarsPeriodType.Volume:
if (tmpTime == Core.Globals.MinDate)
{
tmpVolume = volume;
endOfBar = tmpVolume >= bars.BarsPeriod.BaseBarsPeriodValue;
prevTime = tmpTime = time;
if (endOfBar)
{
tmpVolume = 0;
}
break;
}
tmpVolume += volume;
endOfBar = tmpVolume >= bars.BarsPeriod.BaseBarsPeriodValue;
if (endOfBar)
{
prevTime = tmpTime;
tmpVolume = 0;
}
tmpTime = time;
break;
case BarsPeriodType.Tick:
if (tmpTime == Core.Globals.MinDate || bars.BarsPeriod.BaseBarsPeriodValue == 1)
{
prevTime = tmpTime == Core.Globals.MinDate ? time : tmpTime;
tmpTime = time;
tmpTickCount = bars.BarsPeriod.BaseBarsPeriodValue == 1 ? 0 : 1;
endOfBar = bars.BarsPeriod.BaseBarsPeriodValue == 1;
break;
}
if (tmpTickCount < bars.BarsPeriod.BaseBarsPeriodValue)
{
tmpTime = time;
endOfBar = false;
tmpTickCount++;
}
else
{
prevTime = tmpTime;
tmpTime = time;
endOfBar = true;
tmpTickCount = 1;
}
break;
case BarsPeriodType.Month:
if (tmpTime == Core.Globals.MinDate)
{
prevTime = tmpTime = TimeToBarTimeMonth(time, bars.BarsPeriod.BaseBarsPeriodValue);
}
if (time.Month <= tmpTime.Month && time.Year == tmpTime.Year || time.Year < tmpTime.Year)
{
endOfBar = false;
}
else
{
prevTime = tmpTime;
endOfBar = true;
tmpTime = TimeToBarTimeMonth(time, bars.BarsPeriod.BaseBarsPeriodValue);
}
break;
case BarsPeriodType.Second:
if (tmpTime == Core.Globals.MinDate)
{
prevTime = tmpTime = TimeToBarTimeSecond(bars, time, isBar);
}
if (bars.BarsPeriod.BaseBarsPeriodValue > 1 && time < tmpTime || bars.BarsPeriod.BaseBarsPeriodValue == 1 && time <= tmpTime)
{
endOfBar = false;
}
else
{
prevTime = tmpTime;
tmpTime = TimeToBarTimeSecond(bars, time, isBar);
endOfBar = true;
}
break;
case BarsPeriodType.Week:
if (tmpTime == Core.Globals.MinDate)
{
prevTime = tmpTime = TimeToBarTimeWeek(time.Date, tmpTime.Date, bars.BarsPeriod.BaseBarsPeriodValue);
}
if (time.Date <= tmpTime.Date)
{
endOfBar = false;
}
else
{
prevTime = tmpTime;
endOfBar = true;
tmpTime = TimeToBarTimeWeek(time.Date, tmpTime.Date, bars.BarsPeriod.BaseBarsPeriodValue);
}
break;
case BarsPeriodType.Year:
if (tmpTime == Core.Globals.MinDate)
{
prevTime = tmpTime = TimeToBarTimeYear(time, bars.BarsPeriod.Value);
}
if (time.Year <= tmpTime.Year)
{
endOfBar = false;
}
else
{
prevTime = tmpTime;
endOfBar = true;
tmpTime = TimeToBarTimeYear(time, bars.BarsPeriod.Value);
}
break;
}
#endregion
#region Kagi Logic
reversalPoint = bars.BarsPeriod.ReversalType == ReversalType.Tick ? bars.BarsPeriod.Value * bars.Instrument.MasterInstrument.TickSize : bars.BarsPeriod.Value / 100.0 * anchorPrice;
if (bars.Count == 0 || IsIntraday && (bars.BarsPeriod.BaseBarsPeriodType != BarsPeriodType.Second && bars.IsResetOnNewTradingDay && isNewSession ||
bars.BarsPeriod.BaseBarsPeriodType == BarsPeriodType.Second && bars.IsResetOnNewTradingDay && isNewSession))
{
if (isNewSession && !isCalculateTradingDayDone)
{
SessionIterator.GetNextSession(tmpTime, isBar);
}
if (bars.Count > 0)
{
double lastOpen = bars.GetOpen(bars.Count - 1);
double lastHigh = bars.GetHigh(bars.Count - 1);
double lastLow = bars.GetLow(bars.Count - 1);
double lastClose = bars.GetClose(bars.Count - 1);
if (bars.Count == tmpCount)
{
CalculateKagiBar(bars, lastOpen, lastHigh, lastLow, lastClose, prevTime, volume);
}
}
AddBar(bars, close, close, close, close, tmpTime, volume);
anchorPrice = close;
trend = Trend.Undetermined;
prevTime = tmpTime;
volumeCount = 0;
bars.LastPrice = close;
tmpCount = bars.Count;
return;
}
double c = bars.GetClose(bars.Count - 1);
double o = bars.GetOpen(bars.Count - 1);
double h = bars.GetHigh(bars.Count - 1);
double l = bars.GetLow(bars.Count - 1);
if (endOfBar)
{
CalculateKagiBar(bars, o, h, l, c, prevTime, volume);
}
else
{
volumeCount += volume;
}
bars.LastPrice = close;
tmpCount = bars.Count;
#endregion
}
protected override void OnRender(ChartControl chartControl, ChartScale chartScale)
{
if (IsInHitTest)
{
return;
}
int lastBar = ChartBars.ToIndex;
int firstBar = ChartBars.FromIndex;
double highPrice = 0;
double lowPrice = double.MaxValue;
SharpDX.Direct2D1.Brush brushDown = BarDownBrush.ToDxBrush(RenderTarget);
SharpDX.Direct2D1.Brush lineBrush = LineBrush.ToDxBrush(RenderTarget);
SharpDX.Direct2D1.Brush brushUp = BarUpBrush.ToDxBrush(RenderTarget);
brushDown.Opacity = (float)(Opacity / 100.0);
brushUp.Opacity = (float)(Opacity / 100.0);
for (int idx = firstBar; idx <= lastBar && idx >= 0; idx++)
{
highPrice = Math.Max(highPrice, Bars.GetHigh(idx));
lowPrice = Math.Min(lowPrice, Bars.GetLow(idx));
}
int volumeBarCount = BarCount;
double priceRange = highPrice - lowPrice;
double priceBoxSize = priceRange / volumeBarCount;
double volumeMax = 0;
// Pass 1: Fill all VolumeInfo structures with appropriate data
for (int i = 0; i < volumeBarCount; i++)
{
double priceUpper = lowPrice + priceBoxSize * (i + 1);
double priceLower = lowPrice + priceBoxSize * i;
double priceVolumeUp = 0;
double priceVolumeDown = 0;
for (int idx = firstBar; idx <= lastBar; idx++)
{
double checkPrice;
PriceSeries series = (Inputs[0] as PriceSeries);
switch (series.PriceType)
{
case PriceType.Open: checkPrice = Bars.GetOpen(idx); break;
case PriceType.Close: checkPrice = Bars.GetClose(idx); break;
case PriceType.High: checkPrice = Bars.GetHigh(idx); break;
case PriceType.Low: checkPrice = Bars.GetLow(idx); break;
case PriceType.Median: checkPrice = (Bars.GetHigh(idx) + Bars.GetLow(idx)) / 2; break;
case PriceType.Typical: checkPrice = (Bars.GetHigh(idx) + Bars.GetLow(idx) + Bars.GetClose(idx)) / 3; break;
case PriceType.Weighted: checkPrice = (Bars.GetHigh(idx) + Bars.GetLow(idx) + 2 * Bars.GetClose(idx)) / 4; break;
default: checkPrice = Bars.GetClose(idx); break;
}
if (checkPrice >= priceLower && checkPrice < priceUpper)
{
if (Bars.GetOpen(idx) < Bars.GetClose(idx))
{
priceVolumeUp += Bars.GetVolume(idx);
}
else
{
priceVolumeDown += Bars.GetVolume(idx);
}
}
}
volumeInfo[i].up = priceVolumeUp;
volumeInfo[i].down = priceVolumeDown;
volumeInfo[i].total = priceVolumeUp + priceVolumeDown;
volumeMax = Math.Max(volumeMax, volumeInfo[i].total);
}
// Pass 2: Paint the volume bars
for (int i = 0; i < Math.Min(volumeBarCount, lastBar - firstBar + 1); i++)
{
double priceUpper = lowPrice + priceBoxSize * (i + 1);
double priceLower = lowPrice + priceBoxSize * i;
int yUpper = Convert.ToInt32(chartScale.GetYByValue(priceUpper)) + BarSpacing;
int yLower = Convert.ToInt32(chartScale.GetYByValue(priceLower));
int barWidthUp = (int)((chartScale.Height / 2) * (volumeInfo[i].up / volumeMax));
int barWidthDown = (int)((chartScale.Height / 2) * (volumeInfo[i].down / volumeMax));
SharpDX.RectangleF rect = new SharpDX.RectangleF(ChartPanel.X, yUpper, barWidthUp, Math.Abs(yUpper - yLower));
RenderTarget.FillRectangle(rect, brushUp);
RenderTarget.DrawRectangle(rect, brushUp);
SharpDX.RectangleF rect2 = new SharpDX.RectangleF(ChartPanel.X + barWidthUp, yUpper, barWidthDown, Math.Abs(yUpper - yLower));
RenderTarget.DrawRectangle(rect2, brushDown);
RenderTarget.FillRectangle(rect2, brushDown);
if (DrawLines)
{
RenderTarget.DrawLine(new SharpDX.Vector2(ChartPanel.X, yLower), new SharpDX.Vector2(ChartPanel.X + ChartPanel.W, yLower), lineBrush);
if (i == volumeBarCount - 1)
{
RenderTarget.DrawLine(new SharpDX.Vector2(ChartPanel.X, yUpper), new SharpDX.Vector2(ChartPanel.X + ChartPanel.W, yUpper), lineBrush);
}
}
}
lineBrush.Dispose();
brushDown.Dispose();
brushUp.Dispose();
}
/// <summary>
/// </summary>
/// <param name="bars"></param>
/// <param name="open"></param>
/// <param name="high"></param>
/// <param name="low"></param>
/// <param name="close"></param>
/// <param name="time"></param>
/// <param name="volume"></param>
/// <param name="isRealtime"></param>
public override void Add(Bars bars, double open, double high, double low, double close, DateTime time, long volume, bool isRealtime)
{
#region Building Bars from Base Period
if (bars.Count != tmpCount) // reset cache when bars are trimmed
if (bars.Count == 0)
{
tmpTime = Cbi.Globals.MinDate;
tmpVolume = 0;
tmpDayCount = 0;
tmpTickCount = 0;
}
else
{
tmpTime = bars.GetTime(bars.Count - 1);
tmpVolume = bars.GetVolume(bars.Count - 1);
tmpTickCount = bars.TickCount;
tmpDayCount = bars.DayCount;
bars.LastPrice = anchorPrice = bars.GetClose(bars.Count - 1);
}
switch (bars.Period.BasePeriodType)
{
case PeriodType.Day:
tmpTime = time.Date;
if (isRealtime && time >= cacheSessionEnd)
{
tmpDayCount++;
bars.Session.GetSessionDate(time, false, out tmpTime, out cacheSessionEnd);
if (tmpTime < time.Date) tmpTime = time.Date; // make sure timestamps are ascending
}
if (!isRealtime && prevTimeD != tmpTime) tmpDayCount++;
if ((!isRealtime && bars.Count > 0 && tmpTime == bars.TimeLastBar.Date)
|| (isRealtime && bars.Count > 0 && tmpTime <= bars.TimeLastBar.Date)
|| tmpDayCount < bars.Period.BasePeriodValue)
endOfBar = false;
else
{
prevTime = prevTimeD == Cbi.Globals.MinDate ? tmpTime : prevTimeD;
prevTimeD = tmpTime;
endOfBar = true;
}
break;
case PeriodType.Minute:
if (tmpTime == Cbi.Globals.MinDate)
prevTime = tmpTime = TimeToBarTimeMinute(bars, time, bars.Session.NextBeginTime, bars.Period.BasePeriodValue, isRealtime);
if (!isRealtime && time <= tmpTime || isRealtime && time < tmpTime)
endOfBar = false;
else
{
prevTime = tmpTime;
tmpTime = TimeToBarTimeMinute(bars, time, bars.Session.NextBeginTime, bars.Period.BasePeriodValue, isRealtime);
endOfBar = true;
}
break;
case PeriodType.Volume:
if (tmpTime == Cbi.Globals.MinDate)
{
tmpVolume = volume;
endOfBar = tmpVolume >= bars.Period.BasePeriodValue;
prevTime = tmpTime = time;
if (endOfBar)
tmpVolume = 0;
break;
}
tmpVolume += volume;
endOfBar = tmpVolume >= bars.Period.BasePeriodValue;
if (endOfBar)
{
prevTime = tmpTime;
tmpVolume = 0;
tmpTime = time;
}
break;
case PeriodType.Month:
if (tmpTime == Cbi.Globals.MinDate)
prevTime = tmpTime = TimeToBarTimeMonth(time, bars.Period.BasePeriodValue);
if (time.Month <= tmpTime.Month && time.Year == tmpTime.Year || time.Year < tmpTime.Year)
endOfBar = false;
else
{
prevTime = tmpTime;
endOfBar = true;
tmpTime = TimeToBarTimeMonth(time, bars.Period.BasePeriodValue);
}
break;
case PeriodType.Second:
if (tmpTime == Cbi.Globals.MinDate)
{
prevTime = tmpTime = TimeToBarTimeSecond(bars, time,
new DateTime(bars.Session.NextBeginTime.Year,
bars.Session.NextBeginTime.Month,
bars.Session.NextBeginTime.Day,
bars.Session.NextBeginTime.Hour,
bars.Session.NextBeginTime.Minute, 0),
bars.Period.BasePeriodValue);
}
if (time <= tmpTime)
endOfBar = false;
else
{
prevTime = tmpTime;
tmpTime = TimeToBarTimeSecond(bars, time, bars.Session.NextBeginTime, bars.Period.BasePeriodValue);
endOfBar = true;
}
break;
case PeriodType.Tick:
if (tmpTime == Cbi.Globals.MinDate || bars.Period.BasePeriodValue == 1)
{
prevTime = tmpTime = time;
tmpTickCount = bars.Period.BasePeriodValue == 1 ? 0 : 1;
endOfBar = bars.Period.BasePeriodValue == 1;
break;
}
if (tmpTickCount < bars.Period.BasePeriodValue)
{
tmpTime = time;
endOfBar = false;
tmpTickCount++;
}
else
{
prevTime = tmpTime;
tmpTime = time;
endOfBar = true;
tmpTickCount = 1;
}
break;
case PeriodType.Week:
if (tmpTime == Cbi.Globals.MinDate)
prevTime = tmpTime = TimeToBarTimeWeek(time.Date, tmpTime.Date, bars.Period.BasePeriodValue);
if (time.Date <= tmpTime.Date)
endOfBar = false;
else
{
prevTime = tmpTime;
endOfBar = true;
tmpTime = TimeToBarTimeWeek(time.Date, tmpTime.Date, bars.Period.BasePeriodValue);
}
break;
case PeriodType.Year:
if (tmpTime == Cbi.Globals.MinDate)
prevTime = tmpTime = TimeToBarTimeYear(time, bars.Period.Value);
if (time.Year <= tmpTime.Year)
endOfBar = false;
else
{
prevTime = tmpTime;
endOfBar = true;
tmpTime = TimeToBarTimeYear(time, bars.Period.Value);
}
break;
default:
break;
}
#endregion
#region P&F logic
double tickSize = bars.Instrument.MasterInstrument.TickSize;
boxSize = Math.Floor(10000000.0 * bars.Period.Value * tickSize) / 10000000.0;
reversalSize = bars.Period.Value2 * boxSize;
if (bars.Count == 0 || (IsIntraday && bars.IsNewSession(time, isRealtime)))
{
if (bars.Count > 0)
{
double lastOpen = bars.GetOpen(bars.Count - 1);
double lastHigh = bars.GetHigh(bars.Count - 1);
double lastLow = bars.GetLow(bars.Count - 1);
double lastClose = bars.GetClose(bars.Count - 1);
DateTime lastTime = bars.GetTime(bars.Count - 1);
bars.LastPrice = anchorPrice = lastClose;
if (bars.Count == tmpCount)
CalculatePfBar(bars, lastOpen, lastHigh, lastLow, lastClose, prevTime, lastTime, isRealtime);
}
AddBar(bars, close, close, close, close, tmpTime, volume, isRealtime);
anchorPrice = close;
trend = Trend.Undetermined;
prevTime = tmpTime;
volumeCount = 0;
bars.LastPrice = close;
tmpCount = bars.Count;
tmpHigh = high;
tmpLow = low;
return;
}
Bar bar = (Bar)bars.Get(bars.Count - 1);
double c = bar.Close;
double o = bar.Open;
double h = bar.High;
double l = bar.Low;
DateTime t = bar.Time;
if (endOfBar)
{
CalculatePfBar(bars, o, h, l, c, prevTime, t, isRealtime);
volumeCount = volume;
tmpHigh = high;
tmpLow = low;
}
else
{
tmpHigh = (high > tmpHigh ? high : tmpHigh);
tmpLow = (low < tmpLow ? low : tmpLow);
volumeCount += volume;
}
bars.LastPrice = close;
tmpCount = bars.Count;
#endregion
}
