private void RWTUpdateCounts(double close)
{
if ((close != prices[0]) && (close != prices[1]))
{
if (close < prices[0])
{
curdat.addLevel(-1);
prices[0] = close;
lastMoveUp = false;
}
else if (close > prices[1])
{
curdat.addLevel(1);
prices[1] = close;
lastMoveUp = true;
}
else if (lastMoveUp)
{
prices[0] = close;
}
else
{
prices[1] = 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(Data.Bars bars, double open, double high, double low, double close, DateTime time, long volume, bool isRealtime)
{
if ((curdat == null) || (time < curdat.dt))
{
extdat.Clear();
extdat.TrimExcess();
curdat = null;
tickSize = bars.Instrument.MasterInstrument.TickSize;
}
if (bars.Count == 0 || bars.IsNewSession(time, isRealtime))
{
AddBar(bars, open, high, low, close, time, volume, isRealtime);
lastBarTime = time;
RWTAddExtDat(time, close, volume);
}
else
{
Data.Bar bar = (Bar)bars.Get(bars.Count - 1);
//double tickSize = bars.Instrument.MasterInstrument.TickSize;
double rangeValue = Math.Floor(10000000.0 * (double)bars.Period.Value * tickSize) / 10000000.0;
if (curdat == null)
{
RWTAddExtDat(time, close, 0);
}
curdat.dt = time;
if ((bars.Instrument.MasterInstrument.Compare(close, bar.Low + rangeValue) > 0) &&
(lastBarUP || ((time.Ticks - lastBarTime.Ticks) > 10000000L)))
{
bool isFirstNewBar = true;
double newClose = bar.Low + rangeValue; // every bar closes either with high or low
UpdateBar(bars, bar.Open, newClose, bar.Low, newClose, time, 0, isRealtime);
curdat.addLevel(1);
// if still gap, fill with phantom bars
double newBarOpen = newClose + tickSize;
while (bars.Instrument.MasterInstrument.Compare(close, newClose) > 0)
{
newClose = Math.Min(close, newBarOpen + rangeValue);
AddBar(bars, newBarOpen, newClose, newBarOpen, newClose, time, isFirstNewBar ? volume : 1, isRealtime);
RWTAddExtDat(time, newClose, (isFirstNewBar?volume:0));
newBarOpen = newClose + tickSize;
isFirstNewBar = false;
}
prices[1] = newClose;
lastMoveUp = true;
lastBarUP = true;
lastBarTime = time;
}
else if ((bars.Instrument.MasterInstrument.Compare(bar.High - rangeValue, close) > 0) &&
((!lastBarUP) || ((time.Ticks - lastBarTime.Ticks) > 10000000L)))
{
bool isFirstNewBar = true;
double newClose = bar.High - rangeValue; // every bar closes either with high or low
UpdateBar(bars, bar.Open, bar.High, newClose, newClose, time, 0, isRealtime);
curdat.addLevel(-1);
// if still gap, fill with phantom bars
double newBarOpen = newClose - tickSize;
while (bars.Instrument.MasterInstrument.Compare(newClose, close) > 0)
{
newClose = Math.Max(close, newBarOpen - rangeValue);
AddBar(bars, newBarOpen, newBarOpen, newClose, newClose, time, isFirstNewBar ? volume : 1, isRealtime);
RWTAddExtDat(time, newClose, (isFirstNewBar?volume:0));
newBarOpen = newClose - tickSize;
isFirstNewBar = false;
}
prices[0] = newClose;
lastMoveUp = false;
lastBarUP = false;
lastBarTime = time;
}
else
{
UpdateBar(bars, open, (close > bar.High ? close : bar.High), (close < bar.Low ? close : bar.Low), close, time, volume, isRealtime);
RWTUpdateCounts(close);
RWTUpdateCurdat(close, volume);
}
}
bars.LastPrice = close;
// update the extended data...
prevClose = 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(Data.Bars bars, double open, double high, double low, double close, DateTime time, long volume, bool isRealtime)
{
if ((curdat == null) || (time < curdat.dt))
{
extdat.Clear();
extdat.TrimExcess();
curdat = null;
tickSize = bars.Instrument.MasterInstrument.TickSize;
if (bars.Period.Value > 100)
{
tlb = true;
period = bars.Period.Value - 100;
}
else
{
tlb = false;
period = bars.Period.Value;
}
}
if (bars.Count == 0 || bars.IsNewSession(time, isRealtime))
{
AddBar(bars, open, high, low, close, time, volume, isRealtime);
lastBarTime = time;
RWTAddExtDat(time, close, volume);
}
else
{
Data.Bar bar = (Bar)bars.Get(bars.Count - 1);
double rangeValue = Math.Floor(10000000.0 * period * tickSize) / 10000000.0;
if (curdat == null)
{
RWTAddExtDat(time, close, 0);
}
curdat.dt = time;
double reverseRange = rangeValue * (tlb?3.0:1.0);
if ((bars.Instrument.MasterInstrument.Compare(close, bar.Open + (lastBarUP?rangeValue:reverseRange)) > 0) &&
(lastBarUP || ((time.Ticks - lastBarTime.Ticks) > 10000000L)))
{
bool isFirstNewBar = true;
double newBarOpen = bar.Open + (lastBarUP?rangeValue:reverseRange);
double newClose = Math.Min(close, newBarOpen + rangeValue);
UpdateBar(bars, bar.Open, newBarOpen, bar.Low, newBarOpen, time, 0, isRealtime);
curdat.addLevel(1);
do
{
AddBar(bars, newBarOpen, newClose, newBarOpen, newClose, time, isFirstNewBar ? volume : 0, isRealtime);
RWTAddExtDat(time, newClose, (isFirstNewBar ? volume : 0));
if (bars.Instrument.MasterInstrument.Compare(close, newClose) == 0)
{
break;
}
newBarOpen = newClose;
newClose = Math.Min(close, newBarOpen + rangeValue);
isFirstNewBar = false;
}while (true);
prices[1] = newClose;
lastMoveUp = true;
lastBarUP = true;
lastBarTime = time;
}
else
if ((bars.Instrument.MasterInstrument.Compare(bar.Open - (lastBarUP?reverseRange:rangeValue), close) > 0) &&
((!lastBarUP) || ((time.Ticks - lastBarTime.Ticks) > 10000000L)))
{
bool isFirstNewBar = true;
double newBarOpen = bar.Open - (lastBarUP?reverseRange:rangeValue);
double newClose = Math.Max(close, newBarOpen - rangeValue);
UpdateBar(bars, bar.Open, bar.High, newBarOpen, newBarOpen, time, 0, isRealtime);
curdat.addLevel(-1);
do
{
AddBar(bars, newBarOpen, newBarOpen, newClose, newClose, time, isFirstNewBar ? volume : 0, isRealtime);
RWTAddExtDat(time, newClose, (isFirstNewBar ? volume : 0));
if (bars.Instrument.MasterInstrument.Compare(close, newClose) == 0)
{
break;
}
newBarOpen = newClose;
newClose = Math.Max(close, newBarOpen - rangeValue);
isFirstNewBar = false;
}while (true);
prices[0] = newClose;
lastMoveUp = false;
lastBarUP = false;
lastBarTime = time;
}
else
{
UpdateBar(bars, bar.Open, Math.Max(bar.High, close), Math.Min(bar.Low, close), close, time, volume, isRealtime);
RWTUpdateCounts(close);
RWTUpdateCurdat(close, volume);
}
}
bars.LastPrice = close;
// update the extended data...
prevClose = close;
}