private IEnumerable <TimedValue <DateTime, double> > FillMissingDates(IPriceSeries series)
{
yield return(series.First());
var expectedPoint = series.First();
foreach (var point in series.Skip(1))
{
while (true)
{
expectedPoint = new TimedValue <DateTime, double>(expectedPoint.Time.AddDays(1), expectedPoint.Value);
if (expectedPoint.Time == point.Time)
{
break;
}
if (expectedPoint.Time.DayOfWeek == DayOfWeek.Saturday ||
expectedPoint.Time.DayOfWeek == DayOfWeek.Sunday)
{
// no trading at weekends usually
continue;
}
// missing price at this date - take over the last one we have
yield return(expectedPoint);
}
expectedPoint = point;
yield return(point);
}
}
public ISignalSeries Generate( IPriceSeries referencePrices, IPriceSeries indicatorPoints )
{
var signals = new List<TimedSignal>();
var prevPrice = referencePrices.First();
TimedValue<DateTime, double> prevIndicatorPoint = null;
foreach ( var price in referencePrices.Skip( 1 ) )
{
var indicatorPoint = indicatorPoints.TryGet( price.Time );
if ( indicatorPoint == null )
{
signals.Add( new TimedSignal( price.Time, Signal.None ) );
continue;
}
if ( prevIndicatorPoint == null )
{
prevIndicatorPoint = indicatorPoint;
continue;
}
if ( prevPrice.Value < prevIndicatorPoint.Value && price.Value > indicatorPoint.Value )
{
signals.Add( new TimedSignal( indicatorPoint.Time, new BuySignal() ) );
}
else if ( prevPrice.Value > prevIndicatorPoint.Value && price.Value < indicatorPoint.Value )
{
signals.Add( new TimedSignal( indicatorPoint.Time, new SellSignal() ) );
}
prevPrice = price;
}
return new SignalSeries( referencePrices, indicatorPoints.Identifier, signals );
}
public ISignalSeries Generate(IPriceSeries referencePrices, IPriceSeries indicatorPoints)
{
var signals = new List <TimedSignal>();
var prevPrice = referencePrices.First();
TimedValue <DateTime, double> prevIndicatorPoint = null;
foreach (var price in referencePrices.Skip(1))
{
var indicatorPoint = indicatorPoints.TryGet(price.Time);
if (indicatorPoint == null)
{
signals.Add(new TimedSignal(price.Time, Signal.None));
continue;
}
if (prevIndicatorPoint == null)
{
prevIndicatorPoint = indicatorPoint;
continue;
}
if (prevPrice.Value < prevIndicatorPoint.Value && price.Value > indicatorPoint.Value)
{
signals.Add(new TimedSignal(indicatorPoint.Time, new BuySignal()));
}
else if (prevPrice.Value > prevIndicatorPoint.Value && price.Value < indicatorPoint.Value)
{
signals.Add(new TimedSignal(indicatorPoint.Time, new SellSignal()));
}
prevPrice = price;
}
return(new SignalSeries(referencePrices, indicatorPoints.Identifier, signals));
}
public ISignalSeries Generate(IPriceSeries referencePrices, IPriceSeries indicatorPoints)
{
var signals = new List <TimedSignal>();
var signalDaysInterval = ClosedInterval.FromOffsetLength(MinDaysAfterCutForSignal, KeepSignalForMaxDays);
var prevPrice = referencePrices.First();
TimedValue <DateTime, double> prevIndicatorPoint = null;
TimedSignal activeSignal = null;
foreach (var price in referencePrices.Skip(1))
{
var indicatorPoint = indicatorPoints.TryGet(price.Time);
if (indicatorPoint == null)
{
signals.Add(new TimedSignal(price.Time, Signal.None));
continue;
}
if (prevIndicatorPoint == null)
{
prevIndicatorPoint = indicatorPoint;
continue;
}
if (prevPrice.Value < prevIndicatorPoint.Value && price.Value > indicatorPoint.Value)
{
var signal = new TimedSignal(indicatorPoint.Time, new BuySignal());
if (signalDaysInterval.IsEmpty)
{
signals.Add(signal);
}
else
{
activeSignal = signal;
}
}
else if (prevPrice.Value > prevIndicatorPoint.Value && price.Value < indicatorPoint.Value)
{
var signal = new TimedSignal(indicatorPoint.Time, new SellSignal());
if (signalDaysInterval.IsEmpty)
{
signals.Add(signal);
}
else
{
activeSignal = signal;
}
}
if (activeSignal != null)
{
// we have a cut signal -> handle it
int daysSinceCut = (int)Math.Round((price.Time - activeSignal.Time).TotalDays);
// if we are in defined range -> add the signal
if (signalDaysInterval.Includes(daysSinceCut))
{
signals.Add(new TimedSignal(indicatorPoint.Time, activeSignal.Value));
}
if (daysSinceCut > signalDaysInterval.Max)
{
// left the interval -> reset the signal
activeSignal = null;
}
}
prevPrice = price;
prevIndicatorPoint = indicatorPoint;
}
return(new SignalSeries(referencePrices, indicatorPoints.Identifier, signals));
}
public ISignalSeries Generate( IPriceSeries referencePrices, IPriceSeries indicatorPoints )
{
var signals = new List<TimedSignal>();
var signalDaysInterval = ClosedInterval.FromOffsetLength( MinDaysAfterCutForSignal, KeepSignalForMaxDays );
var prevPrice = referencePrices.First();
TimedValue<DateTime,double> prevIndicatorPoint = null;
TimedSignal activeSignal = null;
foreach ( var price in referencePrices.Skip( 1 ) )
{
var indicatorPoint = indicatorPoints.TryGet( price.Time );
if ( indicatorPoint == null )
{
signals.Add( new TimedSignal( price.Time, Signal.None ) );
continue;
}
if ( prevIndicatorPoint == null )
{
prevIndicatorPoint = indicatorPoint;
continue;
}
if ( prevPrice.Value < prevIndicatorPoint.Value && price.Value > indicatorPoint.Value )
{
var signal = new TimedSignal( indicatorPoint.Time, new BuySignal() );
if ( signalDaysInterval.IsEmpty )
{
signals.Add( signal );
}
else
{
activeSignal = signal;
}
}
else if ( prevPrice.Value > prevIndicatorPoint.Value && price.Value < indicatorPoint.Value )
{
var signal = new TimedSignal( indicatorPoint.Time, new SellSignal() );
if ( signalDaysInterval.IsEmpty )
{
signals.Add( signal );
}
else
{
activeSignal = signal;
}
}
if ( activeSignal != null )
{
// we have a cut signal -> handle it
int daysSinceCut = (int)Math.Round( ( price.Time - activeSignal.Time ).TotalDays );
// if we are in defined range -> add the signal
if ( signalDaysInterval.Includes( daysSinceCut ) )
{
signals.Add( new TimedSignal( indicatorPoint.Time, activeSignal.Value ) );
}
if ( daysSinceCut > signalDaysInterval.Max )
{
// left the interval -> reset the signal
activeSignal = null;
}
}
prevPrice = price;
prevIndicatorPoint = indicatorPoint;
}
return new SignalSeries( referencePrices, indicatorPoints.Identifier, signals );
}