示例#1
0
        /// <summary>
        /// calculate bear/bull min/max
        /// </summary>
        void RangeInit()
        {
            // calulate bear/bull min/max if tickSize is set
            if (tickSize > 0)
            {
                tickBearContValue = EmMath.MultiplyTwoDoubles((double)configBearContValue, tickSize);
                tickBearInitValue = EmMath.MultiplyTwoDoubles((double)configBearInitValue, tickSize);
                tickBearRangeMax  = EmMath.MultiplyTwoDoubles((double)configBearRangeMax, tickSize);
                tickBearRangeMin  = EmMath.MultiplyTwoDoubles((double)configBearRangeMin, tickSize);
                tickBullContValue = EmMath.MultiplyTwoDoubles((double)configBullContValue, tickSize);
                tickBullInitValue = EmMath.MultiplyTwoDoubles((double)configBullInitValue, tickSize);
                tickBullRangeMax  = EmMath.MultiplyTwoDoubles((double)configBullRangeMax, tickSize);
                tickBullRangeMin  = EmMath.MultiplyTwoDoubles((double)configBullRangeMin, tickSize);
            }

            // swap bear min/max if entered incorrectly
            if (tickBearRangeMin > tickBearRangeMax || tickBullRangeMin > tickBullRangeMax)
            {
                double tmpBear = tickBearRangeMax;
                tickBearRangeMax = tickBearRangeMin;
                tickBearRangeMin = tmpBear;
            }

            // swap bull min/max if entered incorrectly
            if (tickBullRangeMin > tickBullRangeMax)
            {
                double tmpBull = tickBullRangeMax;
                tickBullRangeMax = tickBullRangeMin;
                tickBullRangeMin = tmpBull;
            }
        }
示例#2
0
文件: EmWave.cs 项目: coroin/embars
        /// <summary>
        /// Called on each bar update event (incoming tick)
        /// </summary>
        protected override void OnBarUpdate()
        {
            /// ensure bar has EmProps
            if (props is IEmProps)
            {
                /// get EmProps for the specified bar, matching on OHLCVT
                EmProps barProps = props.GetEmProps(Open[0], High[0], Low[0], Close[0], (long)Volume[0], Time[0]) as EmProps;

                /// ensure EmProps exist for given bar (note: some historical data may not be available)
                if (barProps == null)
                {
                    return;
                }

                /// update plots
                Surge.Set(barProps.Surge);
                Tide.Set(barProps.Tide);
                ErrorCount.Set(barProps.ErrorCount);
                ErrorVolume.Set(barProps.ErrorVolume);

                /// update average
                TideAvg.Set(EmMath.EMA((double)barProps.Tide, CurrentBar, smooth, CurrentBar == 0 ? Tide[0] : TideAvg[1]));
            }
            else
            {
                /// generate log message one time
                if (!invalid)
                {
                    Log(String.Format("{0} does not implement interface IEmProps", Bars.BarsType.ToString()), LogLevel.Warning);
                    invalid = true;
                }
            }
        }
示例#3
0
        /// <summary>
        /// set thisOpen, thisCloseUp, thisCloseDown
        /// </summary>
        /// <param name="bars">bars array</param>
        /// <param name="thisPrice">current value of thisClose</param>
        /// <param name="tickPrice">real price used for next open for gap bars</param>
        void AdjustOpenClose(Bars bars, double thisPrice, double tickPrice)
        {
            // local variables
            double tmpRange = 0;

            // update class fields
            thisOpen = (OpenOption == EmOpens.NoGap) ? thisPrice : tickPrice;

            if (thisBias == -1)
            {
                // counter-trend - use bull-init for thisCloseUp
                switch (configBullInitType)
                {
                case 1:
                    tmpRange = tickBullRangeMax;
                    break;

                case -1:
                    tmpRange = tickBullRangeMin;
                    break;

                case 0:
                default:
                    tmpRange = EmMath.RangeValidate(AddTwoDoubles(bars, tickRange, tickBullInitValue), tickBullRangeMax, tickBullRangeMin);
                    break;
                }
                thisCloseUp = AddTwoDoubles(bars, thisOpen, tmpRange);

                // with-trend - use bear-cont for thisCloseDown
                tickRange     = EmMath.RangeValidate(AddTwoDoubles(bars, tickRange, tickBearContValue), tickBearRangeMax, tickBearRangeMin);
                thisCloseDown = AddTwoDoubles(bars, thisOpen, -tickRange);
            }
            else
            {
                // counter-trend - use bear-init for thisCloseUp
                switch (configBearInitType)
                {
                case 1:
                    tmpRange = tickBearRangeMax;
                    break;

                case -1:
                    tmpRange = tickBearRangeMin;
                    break;

                case 0:
                default:
                    tmpRange = EmMath.RangeValidate(AddTwoDoubles(bars, tickRange, tickBearInitValue), tickBearRangeMax, tickBearRangeMin);
                    break;
                }
                thisCloseDown = AddTwoDoubles(bars, thisOpen, -tmpRange);

                // with-trend - use bull-cont for thisCloseUp
                tickRange   = EmMath.RangeValidate(AddTwoDoubles(bars, tickRange, tickBullContValue), tickBullRangeMax, tickBullRangeMin);
                thisCloseUp = AddTwoDoubles(bars, thisOpen, tickRange);
            }
        }
示例#4
0
文件: EmPower.cs 项目: coroin/embars
        /// <summary>
        /// Called on each bar update event (incoming tick)
        /// </summary>
        protected override void OnBarUpdate()
        {
            if ((High[0] - Low[0]) == 0)
            { emBop.Set(0); }
            else
            { emBop.Set((Close[0] - Open[0]) / (High[0] - Low[0])); }

            EmBop1.Set(EmMath.SMA(ref emBop, CurrentBar, Smooth1, CurrentBar == 0 ? emBop[0] : EmBop1[1]));
            EmBop2.Set(EmMath.SMA(ref emBop, CurrentBar, Smooth2, CurrentBar == 0 ? emBop[0] : EmBop2[1]));

            if (EmBop1[0] > EmBop2[0])
            { DrawRegion("EmBoP_" + CurrentBar.ToString(), 1, 0, EmBop1, EmBop2, Color.Transparent, BullColor, BullOpacity); }
            else if (EmBop2[0] > EmBop1[0])
            { DrawRegion("EmBoP_" + CurrentBar.ToString(), 1, 0, EmBop2, EmBop1, Color.Transparent, BearColor, BearOpacity); }
        }
示例#5
0
        /// <summary>
        /// set form values from xml
        /// </summary>
        void FormApplyXml(ConfigXml22 xml)
        {
            // flag isLoading
            isLoading = true;

            // set form values from config
            bearContValue.Value = (decimal)EmMath.RangeValidate(xml.BearContValue, 100, -100);
            bearInitValue.Value = (decimal)EmMath.RangeValidate(xml.BearInitValue, 100, -100);
            bearRangeMax.Value  = Math.Max(1, (int)xml.BearRangeMax);
            bearRangeMin.Value  = Math.Max(1, (int)xml.BearRangeMin);
            switch (xml.BearInitType)
            {
            case 1:

                // range max
                bearInitMax.Checked = true;
                bearInitMin.Checked = bearInitPrev.Checked = false;
                break;

            case -1:

                // range min
                bearInitMin.Checked = true;
                bearInitMax.Checked = bearInitPrev.Checked = false;
                break;

            case 0:
            default:

                // prev range
                bearInitPrev.Checked = true;
                bearInitMin.Checked  = bearInitMax.Checked = false;
                break;
            }
            bullContValue.Value = (decimal)EmMath.RangeValidate(xml.BullContValue, 100, -100);
            bullInitValue.Value = (decimal)EmMath.RangeValidate(xml.BullInitValue, 100, -100);
            bullRangeMax.Value  = Math.Max(1, (int)xml.BullRangeMax);
            bullRangeMin.Value  = Math.Max(1, (int)xml.BullRangeMin);
            switch (xml.BullInitType)
            {
            case 1:

                // range max
                bullInitMax.Checked = true;
                bullInitMin.Checked = bullInitPrev.Checked = false;
                break;

            case -1:

                // range min
                bullInitMin.Checked = true;
                bullInitMax.Checked = bullInitPrev.Checked = false;
                break;

            case 0:
            default:

                // prev range
                bullInitPrev.Checked = true;
                bullInitMin.Checked  = bullInitMax.Checked = false;
                break;
            }
            cboCloseOption.SelectedItem = (EmCloses)cboCloseOption.FindString(xml.CloseOption);
            cboOpenOption.SelectedItem  = (EmOpens)cboOpenOption.FindString(xml.OpenOption);

            // reset isLoading
            isLoading = false;
        }
示例#6
0
        /// <summary>
        /// Called on each incoming tick
        /// </summary>
        void OnTick(Bars bars, double open, double high, double low, double close, DateTime time, long volume, bool isRealtime)
        {
            // ensure xml config loaded
            ConfigCheck();

            // create initial bar on first tick and handle NT7 session-break issue (note: removing IsNewSession() creates invalid bars; remove if preferred)
            if ((bars.Count == 0) || bars.IsNewSession(time, isRealtime))
            {
                // set class fields
                tickSize = bars.Instrument.MasterInstrument.TickSize;

                // calculate bear/bull min/max
                RangeInit();

                // update class fields
                AdjustOpenClose(bars, close, close);
                prevClose = close;

                // add first bar
                AddBar(bars, thisOpen, thisOpen, thisOpen, thisOpen, time, volume, isRealtime);

                // add EmProps
                AddEmProps(thisOpen, volume, thisCloseDown, thisCloseUp, time);
            }

            // continue all subsequent ticks/bars
            else
            {
                // local variables
                Bar bar              = (Bar)bars.Get(bars.Count - 1);
                int compareCloseUp   = bars.Instrument.MasterInstrument.Compare(close, thisCloseUp);
                int compareCloseDown = bars.Instrument.MasterInstrument.Compare(close, thisCloseDown);

                // range exceeded; create new bar(s)
                if (((compareCloseUp > 0 || compareCloseDown < 0) && CloseOption == EmCloses.TickThru) || ((compareCloseUp >= 0 || compareCloseDown <= 0) && CloseOption == EmCloses.OnTouch))
                {
                    // local variables
                    bool   newBar    = true;
                    double thisClose = (compareCloseUp > 0) ? Math.Min(close, thisCloseUp) : (compareCloseDown < 0) ? Math.Max(close, thisCloseDown) : close;

                    // close current bar; volume included for on-touch only
                    // see this post for more info on volume calculation: http://www.ninjatrader.com/support/forum/showthread.php?p=302208#post302208
                    UpdateBar(bars, bar.Open, ((compareCloseUp > 0) ? thisClose : bar.High), ((compareCloseDown < 0) ? thisClose : bar.Low), thisClose, time, ((CloseOption == EmCloses.OnTouch) ? volume : 0), isRealtime);
                    barProps.Finalize(thisClose, prevClose, ((CloseOption == EmCloses.OnTouch) ? volume : 0), time, ((close > bar.Open) ? 1 : (close < bar.Open) ? -1 : 0));

                    // add next bar and loop phantom bars, if needed
                    do
                    {
                        // update class fields
                        thisBias  = (close > bar.Open) ? 1 : (close < bar.Open) ? -1 : 0;
                        tickRange = EmMath.RangeValidate(Math.Abs(AddTwoDoubles(bars, bar.Open, -thisClose)), (thisBias == -1) ? tickBearRangeMax : tickBullRangeMax, (thisBias == -1) ? tickBearRangeMin : tickBullRangeMin);
                        AdjustOpenClose(bars, thisClose, close);
                        thisClose = (compareCloseUp > 0) ? Math.Min(close, thisCloseUp) : (compareCloseDown < 0) ? Math.Max(close, thisCloseDown) : close;

                        // add new bar; include volume once (except for on-touch), then create phantom bars
                        // see this post for more info on volume calculation: http://www.ninjatrader.com/support/forum/showthread.php?p=302208#post302208
                        AddBar(bars, thisOpen, ((compareCloseUp > 0) ? thisClose : thisOpen), ((compareCloseDown < 0) ? thisClose : thisOpen), thisClose, time, ((CloseOption == EmCloses.TickThru && newBar) ? volume : 0), isRealtime);

                        // add EmProps
                        AddEmProps(thisOpen, ((compareCloseUp > 0) ? thisClose : thisOpen), ((compareCloseDown < 0) ? thisClose : thisOpen), thisClose, ((CloseOption == EmCloses.TickThru && newBar) ? volume : 0), time, thisBias, thisCloseDown, thisCloseUp);

                        // update class fields
                        newBar           = false;
                        compareCloseUp   = bars.Instrument.MasterInstrument.Compare(close, thisCloseUp);
                        compareCloseDown = bars.Instrument.MasterInstrument.Compare(close, thisCloseDown);
                    }while (((compareCloseUp > 0 || compareCloseDown < 0) && CloseOption == EmCloses.TickThru) || ((compareCloseUp >= 0 || compareCloseDown <= 0) && CloseOption == EmCloses.OnTouch));
                }

                // range not exceeded; continue current bar
                else
                {
                    // update current bar
                    UpdateBar(bars, bar.Open, ((close > bar.High) ? close : bar.High), ((close < bar.Low) ? close : bar.Low), close, time, volume, isRealtime);

                    // update EmProps
                    barProps.Update(close, prevClose, volume, time);
                }
            }

            // update prevClose and last price
            bars.LastPrice = prevClose = close;
        }