/// <summary>
/// Calculate VWAP for a timeseries
/// </summary>
/// <param name="outputColumn"></param>
/// <param name="volumeColumn"></param>
public static TimeSeries Calculate(TimeSeries timeSeries, int length, int calcColumn, int outputColumn, int volumeColumn)
{
_length = length;
_timeSeries = timeSeries;
for (int i = 0; i < timeSeries.Count; i++)
{
((object[])timeSeries[i])[outputColumn] = Value(i, calcColumn, volumeColumn);
}
return timeSeries;
}
private void btnVWAP_Click(object sender, System.EventArgs e)
{
if (this.txtPath.Text == "")
{
MessageBox.Show("Path not specified.");
return;
}
Fabrefactum.TimeSeries tSeries = new Fabrefactum.TimeSeries();
using (CSVReader csv = new CSVReader(@txtPath.Text))
{
string[] fields;
while ((fields = csv.GetCSVLine()) != null)
{
object[] fieldArray = new object[fields.Length];
fieldArray[0] = DateTime.Parse(fields[0] + " " + fields[1]);
for (int i = 2; i < fields.Length; i++)
{
fieldArray[i-1] = Convert.ToDouble(fields[i]);
}
if (fieldArray.Length > 1)
{
tSeries.Add(DateTime.Parse(fieldArray[0].ToString()),fieldArray);
}
}
}
// Calculate VWAP
int length = 10;
if (this.txtLength.Text != "")
{
length = Convert.ToInt32(txtLength.Text);
}
Fabrefactum.VWAP.Calculate(tSeries,length,4,6,5);
axStockChartX1.ClearValues("EUR.Close");
axStockChartX1.ClearValues("EUR.VWAP");
axStockChartX1.ClearValues("EUR.Volume");
// Add our points
for (int i = 0; i < tSeries.Count; i++)
{
object[] series = (object[])tSeries[i];
if ((double)series[6] != double.NaN)
{
DateTime date = tSeries.GetDateTime(i);
double jDate = axStockChartX1.ToJulianDate(date.Year,date.Month,date.Day,date.Hour,date.Minute,date.Second);
axStockChartX1.AppendValue("EUR.Close",jDate,(double)series[4]);
axStockChartX1.AppendValue("EUR.VWAP",jDate,(double)series[6]);
axStockChartX1.AppendValue("EUR.Volume",jDate,(double)series[5]);
}
}
axStockChartX1.CtlUpdate();
}
public TimeSeriesEnumerator(TimeSeries Array)
{
fArray = Array;
fIndex = -1;
}
/// <summary>
/// Clones a TimeSeries
/// </summary>
/// <param name="Index1"></param>
/// <param name="Index2"></param>
/// <returns></returns>
public virtual TimeSeries Clone(int Index1, int Index2)
{
TimeSeries timeSeries = new TimeSeries(fName,fTitle);
if (Count == 0)
{
return timeSeries;
}
for (int i = Index1; i <= Index2; i++)
{
timeSeries.Add(GetDateTime(i), this[i]);
}
return timeSeries;
}