private OperationResult<List<Indicator>> CalculateAdx(List<DateTime> dates,
List<double> highs,
List<double> lows,
List<double> closes,
BaseIndicatorParameters settings)
{
var list = new List<Indicator>();
var parameters = (AdxParameters)settings;
var optInTimePeriod = parameters.Period;
var calculation = _taLibProvider.CalculateAdx(highs, lows, closes, optInTimePeriod);
if (calculation.Success)
{
var result = (IndicatorTripleSeries)calculation.Data;
var datetime = dates.GetRange(result.OutBegIdx, result.OutNBElement);
var outReal1 = result.OutReal1.ToList().GetRange(0, result.OutNBElement);
var outReal2 = result.OutReal2.ToList().GetRange(0, result.OutNBElement);
var outReal3 = result.OutReal3.ToList().GetRange(0, result.OutNBElement);
list.Add(new Indicator("ADX", "line", datetime, outReal1));
list.Add(new Indicator("DI+", "line", datetime, outReal2));
list.Add(new Indicator("DI-", "line", datetime, outReal3));
return new OperationResult<List<Indicator>>(list);
}
else
{
return new OperationResult<List<Indicator>>(false, calculation.ErrorMessage);
}
}
private OperationResult<List<Indicator>> CalculateMacd(List<DateTime> dates, List<double> closes, BaseIndicatorParameters settings)
{
var list = new List<Indicator>();
var parameters = (MacdParameters)settings;
var optInFastPeriod = parameters.FastPeriod;
var optInSlowPeriod = parameters.SlowPeriod;
var optInSignalPeriod = parameters.SignalPeriod;
var calculation = _taLibProvider.CalculateMacd(closes, optInFastPeriod, optInSlowPeriod, optInSignalPeriod);
if (calculation.Success)
{
var result = (IndicatorTripleSeries)calculation.Data;
var datetime = dates.GetRange(result.OutBegIdx, result.OutNBElement);
var outReal1 = result.OutReal1.ToList().GetRange(0, result.OutNBElement);
var outReal2 = result.OutReal2.ToList().GetRange(0, result.OutNBElement);
var outReal3 = result.OutReal3.ToList().GetRange(0, result.OutNBElement);
list.Add(new Indicator("MACD", "line", datetime, outReal1));
list.Add(new Indicator("MACD Histogram", "column", datetime, outReal2));
list.Add(new Indicator("MACD Signal", "line", datetime, outReal3));
return new OperationResult<List<Indicator>>(list);
}
else
{
return new OperationResult<List<Indicator>>(false, calculation.ErrorMessage);
}
}
public OperationResult<List<Indicator>> CalculateIndicator(IEnumerable<IMarketData> data, BaseIndicatorParameters parameters)
{
var list = new List<IOhlc>();
try
{
list.AddRange(data.Cast<IOhlc>());
}
catch (Exception ex)
{
throw new IndicatorException("Cannot calculate indicator for current datasource", ex);
}
try
{
switch (parameters.Type)
{
case IndicatorType.BBANDS:
return CalculateBbands(list.Select(x => x.Datetime).ToList(), list.Select(x => x.Close).ToList(), parameters);
case IndicatorType.RSI:
return CalculateRsi(list.Select(x => x.Datetime).ToList(), list.Select(x => x.Close).ToList(), parameters);
case IndicatorType.SMA:
return CalculateSma(list.Select(x => x.Datetime).ToList(), list.Select(x => x.Close).ToList(), parameters);
case IndicatorType.EMA:
return CalculateEma(list.Select(x => x.Datetime).ToList(), list.Select(x => x.Close).ToList(), parameters);
case IndicatorType.WMA:
return CalculateWma(list.Select(x => x.Datetime).ToList(), list.Select(x => x.Close).ToList(), parameters);
case IndicatorType.STOCH:
return CalculateStoch(list.Select(x => x.Datetime).ToList(),
list.Select(x => x.High).ToList(),
list.Select(x => x.Low).ToList(),
list.Select(x => x.Close).ToList(),
parameters);
case IndicatorType.AROON:
return CalculateAroon(list.Select(x => x.Datetime).ToList(),
list.Select(x => x.High).ToList(),
list.Select(x => x.Low).ToList(),
parameters);
case IndicatorType.AROONOSC:
return CalculateAroonOsc(list.Select(x => x.Datetime).ToList(),
list.Select(x => x.High).ToList(),
list.Select(x => x.Low).ToList(),
parameters);
case IndicatorType.ADX:
return CalculateAdx(list.Select(x => x.Datetime).ToList(),
list.Select(x => x.High).ToList(),
list.Select(x => x.Low).ToList(),
list.Select(x => x.Close).ToList(),
parameters);
case IndicatorType.MACD:
return CalculateMacd(list.Select(x => x.Datetime).ToList(),
list.Select(x => x.Close).ToList(),
parameters);
default:
throw new IndicatorException("This indicator type is not supported");
}
}
catch (IndicatorException ex)
{
return new OperationResult<List<Indicator>>(false, ex.Message);
}
catch (TALibException ex)
{
return new OperationResult<List<Indicator>>(false, ex.Message);
}
}
private OperationResult<List<Indicator>> CalculateWma(List<DateTime> dates, List<double> closes, BaseIndicatorParameters settings)
{
var list = new List<Indicator>();
var parameters = (WmaParameters)settings;
var optInTimePeriod = parameters.Period;
var calculation = _taLibProvider.CalculateWma(closes, optInTimePeriod);
if (calculation.Success)
{
var result = (IndicatorSingleSeries)calculation.Data;
var datetime = dates.GetRange(result.OutBegIdx, result.OutNBElement).Select(x => x.Date).ToList();
var outReal1 = result.OutReal1.ToList().GetRange(0, result.OutNBElement);
list.Add(new Indicator("WMA", "line", datetime, outReal1));
return new OperationResult<List<Indicator>>(list);
}
else
{
return new OperationResult<List<Indicator>>(false, calculation.ErrorMessage);
}
}
private OperationResult<List<Indicator>> CalculateStoch(List<DateTime> dates,
List<double> highs,
List<double> lows,
List<double> closes,
BaseIndicatorParameters settings)
{
var list = new List<Indicator>();
var parameters = (StochParameters)settings;
var optInFastKPeriod = parameters.FastKPeriod;
var optInSlowKPeriod = parameters.SlowKPeriod;
var optInSlowDPeriod = parameters.SlowDPeriod;
var calculation = _taLibProvider.CalculateStoch(highs,
lows,
closes,
optInFastKPeriod,
optInSlowKPeriod,
Core.MAType.Sma,
optInSlowDPeriod,
Core.MAType.Sma);
if (calculation.Success)
{
var result = (IndicatorDoubleSeries)calculation.Data;
var datetime = dates.GetRange(result.OutBegIdx, result.OutNBElement);
var outReal1 = result.OutReal1.ToList().GetRange(0, result.OutNBElement);
var outReal2 = result.OutReal2.ToList().GetRange(0, result.OutNBElement);
list.Add(new Indicator("Stoch %K", "line", datetime, outReal1));
list.Add(new Indicator("Stoch %D", "line", datetime, outReal2));
return new OperationResult<List<Indicator>>(list);
}
else
{
return new OperationResult<List<Indicator>>(false, calculation.ErrorMessage);
}
}
private OperationResult<List<Indicator>> CalculateBbands(List<DateTime> dates, List<double> closes, BaseIndicatorParameters settings)
{
var list = new List<Indicator>();
var parameters = (BBandsParameters)settings;
var optInTimePeriod = parameters.Period;
var optInNbDevUp = parameters.DeviationUp;
var optInNbDevDn = parameters.DeviationDn;
var calculation = _taLibProvider.CalculateBbands(closes, optInTimePeriod, optInNbDevUp, optInNbDevDn, Core.MAType.Sma);
if (calculation.Success)
{
var result = (IndicatorTripleSeries)calculation.Data;
var datetime = dates.GetRange(result.OutBegIdx, result.OutNBElement);
var outReal1 = result.OutReal1.ToList().GetRange(0, result.OutNBElement);
var outReal2 = result.OutReal2.ToList().GetRange(0, result.OutNBElement);
var outReal3 = result.OutReal3.ToList().GetRange(0, result.OutNBElement);
list.Add(new Indicator("Upper Band", "line", datetime, outReal1));
list.Add(new Indicator("Middle Band", "line", datetime, outReal2));
list.Add(new Indicator("Lower Band", "line", datetime, outReal3));
return new OperationResult<List<Indicator>>(list);
}
else
{
return new OperationResult<List<Indicator>>(false, calculation.ErrorMessage);
}
}