protected override void OnCalculate(bool fullRecalculation, DataBarUpdateType?updateType)
{
if (fullRecalculation)
{
double[] values1 = DataProvider.GetValuesAsDouble(_dataSource, 0, DataProvider.BarCount);
Results.AddSetValues("Volume", 0, values1.Length, true, values1);
}
else
{
// How many steps to overlap for safety.
int overlap = Math.Max(0, Math.Min(5, Results.SetLength - 1));
if (Results.SetLength > DataProvider.BarCount)
{// This happens sometimes and causes exception.
Results.ClipTo(DataProvider.BarCount);
return;
}
int startIndex = Math.Max(0, Results.SetLength - overlap);
int count = DataProvider.BarCount - startIndex;
double[] values1 = DataProvider.GetValuesAsDouble(_dataSource, startIndex, count);
Results.AddSetValues("Volume", startIndex, count, true, values1);
}
}
/// <summary>
///
/// </summary>
protected void PerformCalculation(object[] parametersArray, int beginIdxPosition, int actualStartingIndex)
{
// This is how the normal call looks like:
// TicTacTec.TA.Library.Core.Adx((int)parameters[0], (int)parameters[1], (double[])parameters[2],
// (double[])parameters[3], (double[])parameters[4], (int)parameters[5],
// out outBeginIdx, out outNBElemenet, (double[])parameters[8]);
TicTacTec.TA.Library.Core.RetCode code = (TicTacTec.TA.Library.Core.RetCode)
_methodInfo.Invoke(null, parametersArray);
int outBeginIdx = (int)parametersArray[beginIdxPosition];
int outNBElement = (int)parametersArray[beginIdxPosition + 1];
lock (this)
{
for (int i = 0; outNBElement > 0 && i < _outputArraysParameters.Count; i++)
{
int index = beginIdxPosition + 2 + i;
if (parametersArray[index].GetType() == typeof(double[]))
{// Double output.
Results.AddSetValues(_outputArraysParameters[i].Name, actualStartingIndex + outBeginIdx, outNBElement, true, (double[])parametersArray[index]);
}
else if (parametersArray[index].GetType() == typeof(int[]))
{// Int output.
Results.AddSetValues(_outputArraysParameters[i].Name, actualStartingIndex + outBeginIdx, outNBElement, true, GeneralHelper.IntsToDoubles((int[])parametersArray[index]));
}
}
}
}
protected override void OnCalculate(bool fullRecalculation, DataBarUpdateType?updateType)
{
double[] values1, values2;
int startingIndex = 0;
int indecesCount = DataProvider.BarCount - 1;
if (UseOpenClose)
{
values1 = DataProvider.GetValuesAsDouble(DataBar.DataValueEnum.Open, startingIndex, indecesCount);
values2 = DataProvider.GetValuesAsDouble(DataBar.DataValueEnum.Close, startingIndex, indecesCount);
}
else
{
values1 = DataProvider.GetValuesAsDouble(DataBar.DataValueEnum.High, startingIndex, indecesCount);
values2 = DataProvider.GetValuesAsDouble(DataBar.DataValueEnum.Low, startingIndex, indecesCount);
}
System.Diagnostics.Debug.Assert(values1.Length == values2.Length);
if (indecesCount == 0)
{
Results.AddSetValues("ZigZag", startingIndex, indecesCount, true, new double[] { });
return;
}
// This is simple indicator, it can directly write to the signals array.
double[] signals = new double[indecesCount];
signals[0] = (double)ZigZagStates.PeakHigh;
int lastPeakIndex = 0;
ZigZagStates lastPeakState = ZigZagStates.PeakHigh;
// Perform actual calculation.
for (int i = 0; i < values1.Length; i++)
{
double requiredDifferenceValue = (SignificancePercentage / 100) * values1[i];
double high = Math.Max(values1[i], values2[i]);
double low = Math.Min(values1[i], values2[i]);
double lastPeakValue = 0;
if (lastPeakState == ZigZagStates.PeakHigh)
{
lastPeakValue = Math.Max(values1[lastPeakIndex], values2[lastPeakIndex]);
}
else if (lastPeakState == ZigZagStates.PeakLow)
{
lastPeakValue = Math.Min(values1[lastPeakIndex], values2[lastPeakIndex]);
}
bool newLow = (lastPeakState == ZigZagStates.PeakHigh && (lastPeakValue - low >= requiredDifferenceValue)) || (lastPeakState == ZigZagStates.PeakLow && low < lastPeakValue);
bool newHigh = (lastPeakState == ZigZagStates.PeakLow && (high - lastPeakValue >= requiredDifferenceValue)) || (lastPeakState == ZigZagStates.PeakHigh && high > lastPeakValue);
//System.Diagnostics.Debug.Assert(newLow == false || newHigh == false);
if (newLow && newHigh)
{// Favor the extension of existing peak in this case.
if (lastPeakState == ZigZagStates.PeakHigh)
{
newLow = false;
}
else
{
newHigh = false;
}
}
if (newHigh)
{
if (lastPeakState == ZigZagStates.PeakHigh)
{// Update the high.
signals[lastPeakIndex] = (double)ZigZagStates.Default;
}
else if (lastPeakState == ZigZagStates.PeakLow)
{// New high found.
lastPeakState = ZigZagStates.PeakHigh;
}
else
{
System.Diagnostics.Debug.Fail("Unexpected case.");
}
lastPeakIndex = i;
signals[i] = (double)ZigZagStates.PeakHigh;
}
else if (newLow)
{
if (lastPeakState == ZigZagStates.PeakLow)
{// Update the low.
signals[lastPeakIndex] = (double)ZigZagStates.Default;
}
else if (lastPeakState == ZigZagStates.PeakHigh)
{// New low found.
lastPeakState = ZigZagStates.PeakLow;
}
lastPeakIndex = i;
signals[lastPeakIndex] = (double)ZigZagStates.PeakLow;
}
}
// Finish with a signal.
if (signals[signals.Length - 1] == (double)ZigZagStates.Default)
{
if (lastPeakState == ZigZagStates.PeakHigh)
{
signals[signals.Length - 1] = (double)ZigZagStates.PeakLow;
}
else
{
signals[signals.Length - 1] = (double)ZigZagStates.PeakHigh;
}
}
// Finally create the results, that shows a line moving between the peak values - like a proper ZigZag indicator.
lastPeakIndex = 0;
lastPeakState = ZigZagStates.PeakHigh;
double[] results = new double[indecesCount];
for (int i = 1; i < signals.Length; i++)
{
if (signals[i] != (double)ZigZagStates.Default)
{
double lastPeakValue, currentPeakValue;
if (lastPeakState == ZigZagStates.PeakHigh)
{
lastPeakValue = Math.Max(values1[lastPeakIndex], values2[lastPeakIndex]);
currentPeakValue = Math.Min(values1[i], values2[i]);
}
else
{
lastPeakValue = Math.Min(values1[lastPeakIndex], values2[lastPeakIndex]);
currentPeakValue = Math.Max(values1[i], values2[i]);
}
double[] midValues = MathHelper.CreateConnectionValues(lastPeakValue, currentPeakValue, i - lastPeakIndex);
midValues.CopyTo(results, lastPeakIndex);
lastPeakIndex = i;
lastPeakState = (ZigZagStates)signals[i];
}
}
Results.AddSetValues("ZigZag", startingIndex, indecesCount - 1, true, results);
// Only after we add the operationResult set, the signals become available.
Signals.Signals = signals;
}