public void Add_WhenFifteenCandlesAdded_ReturnRightAverageTrueRange()
{
var adx = new Adx(14);
adx.Add(new Candle(273, 274m, 272m, 272.75m,DateTime.UtcNow));
adx.Add(new Candle(272.75m, 273.25m, 270.25m, 270.75m,DateTime.UtcNow));
adx.Add(new Candle(270.75m, 272m, 269.75m, 270m,DateTime.UtcNow));
adx.Add(new Candle(270m, 270.75m, 268m, 269.25m,DateTime.UtcNow));
adx.Add(new Candle(269.25m, 270m, 269m, 269.75m,DateTime.UtcNow));
adx.Add(new Candle(269.75m, 270.5m, 268m, 270m,DateTime.UtcNow));
adx.Add(new Candle(266.5m, 268.5m, 266.5m, 266.5m,DateTime.UtcNow));
adx.Add(new Candle(263m, 265.5m, 263m, 263.25m,DateTime.UtcNow));
adx.Add(new Candle(263m, 262.5m, 259m, 260.25m,DateTime.UtcNow));
adx.Add(new Candle(260m, 263.5m, 260m, 263m,DateTime.UtcNow));
adx.Add(new Candle(263m, 269.5m, 263m, 266.5m,DateTime.UtcNow));
adx.Add(new Candle(265m, 267.25m, 265m, 267m,DateTime.UtcNow));
adx.Add(new Candle(265.5m, 267.5m, 265.5m, 265.75m,DateTime.UtcNow));
adx.Add(new Candle(266m, 269.75m, 266m, 268.5m,DateTime.UtcNow));
adx.Add(new Candle(263.25m, 268.25m, 263.25m, 264.25m,DateTime.UtcNow));
adx.TrueRangesAccum.Last().Should().BeApproximately(43.32m, 0.01m);
adx.UpDmAccum.Last().Should().BeApproximately(8.82m, 0.01m);
adx.DownDmAccum.Last().Should().BeApproximately(15.75m, 0.01m);
adx.UpDiAccum.Last().Should().BeApproximately(.2036m, 0.01m);
adx.DownDiAccum.Last().Should().BeApproximately(0.3635m, 0.01m);
adx.Dxs.Last().Should().BeApproximately(0.28m, 0.01m);
}
public void Add_WhenFirstCandleAdded_TrueRangeListIsEmpty()
{
var adx = new Adx(14);
var candle001 = new Candle(273, 274m, 272m, 272.75m, DateTime.UtcNow);
adx.Add(candle001);
adx.TrueRanges.Should().BeEmpty();
}
public void Add_WhenSixCandlesAdded_ReturnRightValues()
{
var adx = new Adx(14);
adx.Add(new Candle(273, 274m, 272m, 272.75m,DateTime.UtcNow));
adx.Add(new Candle(272.75m, 273.25m, 270.25m, 270.75m,DateTime.UtcNow));
adx.Add(new Candle(270.75m, 272m, 269.75m, 270m,DateTime.UtcNow));
adx.Add(new Candle(270m, 270.75m, 268m, 269.25m,DateTime.UtcNow));
adx.Add(new Candle(269.25m, 270m, 269m, 269.75m,DateTime.UtcNow));
adx.Add(new Candle(269.75m, 270.5m, 268m, 270m,DateTime.UtcNow));
adx.TrueRanges.Last().Should().Be(2.5m);
adx.UpDms.Last().Should().Be(0);
adx.DownDms.Last().Should().Be(1m);
}
public void Add_WhenSeventeenCandlesAdded_ReturnRightDx()
{
var adx = new Adx(14);
adx.Add(new Candle(273, 274m, 272m, 272.75m,DateTime.UtcNow));
adx.Add(new Candle(272.75m, 273.25m, 270.25m, 270.75m,DateTime.UtcNow));
adx.Add(new Candle(270.75m, 272m, 269.75m, 270m,DateTime.UtcNow));
adx.Add(new Candle(270m, 270.75m, 268m, 269.25m,DateTime.UtcNow));
adx.Add(new Candle(269.25m, 270m, 269m, 269.75m,DateTime.UtcNow));
adx.Add(new Candle(269.75m, 270.5m, 268m, 270m,DateTime.UtcNow));
adx.Add(new Candle(266.5m, 268.5m, 266.5m, 266.5m,DateTime.UtcNow));
adx.Add(new Candle(263m, 265.5m, 263m, 263.25m,DateTime.UtcNow));
adx.Add(new Candle(263m, 262.5m, 259m, 260.25m,DateTime.UtcNow));
adx.Add(new Candle(260m, 263.5m, 260m, 263m,DateTime.UtcNow));
adx.Add(new Candle(263m, 269.5m, 263m, 266.5m,DateTime.UtcNow));
adx.Add(new Candle(265m, 267.25m, 265m, 267m,DateTime.UtcNow));
adx.Add(new Candle(265.5m, 267.5m, 265.5m, 265.75m,DateTime.UtcNow));
adx.Add(new Candle(266m, 269.75m, 266m, 268.5m,DateTime.UtcNow));
adx.Add(new Candle(263.25m, 268.25m, 263.25m, 264.25m,DateTime.UtcNow));
adx.Add(new Candle(263.25m, 264m, 261.5m, 264m,DateTime.UtcNow));
adx.Add(new Candle(267m, 268m, 266.25m, 266.5m,DateTime.UtcNow));
adx.Dxs.Last().Should().BeApproximately(0.13m, 0.01m);
}
public void Add_WhenTwentyNineCandlesAdded_ReturnRightAdx()
{
var adx = new Adx(14);
adx.Add(new Candle(273, 274m, 272m, 272.75m,DateTime.UtcNow));
adx.Add(new Candle(272.75m, 273.25m, 270.25m, 270.75m,DateTime.UtcNow));
adx.Add(new Candle(270.75m, 272m, 269.75m, 270m,DateTime.UtcNow));
adx.Add(new Candle(270m, 270.75m, 268m, 269.25m,DateTime.UtcNow));
adx.Add(new Candle(269.25m, 270m, 269m, 269.75m,DateTime.UtcNow));
adx.Add(new Candle(269.75m, 270.5m, 268m, 270m,DateTime.UtcNow));
adx.Add(new Candle(266.5m, 268.5m, 266.5m, 266.5m,DateTime.UtcNow));
adx.Add(new Candle(263m, 265.5m, 263m, 263.25m,DateTime.UtcNow));
adx.Add(new Candle(263m, 262.5m, 259m, 260.25m,DateTime.UtcNow));
adx.Add(new Candle(260m, 263.5m, 260m, 263m,DateTime.UtcNow));
adx.Add(new Candle(263m, 269.5m, 263m, 266.5m,DateTime.UtcNow));
adx.Add(new Candle(265m, 267.25m, 265m, 267m,DateTime.UtcNow));
adx.Add(new Candle(265.5m, 267.5m, 265.5m, 265.75m,DateTime.UtcNow));
adx.Add(new Candle(266m, 269.75m, 266m, 268.5m,DateTime.UtcNow));
adx.Add(new Candle(263.25m, 268.25m, 263.25m, 264.25m,DateTime.UtcNow));
adx.Add(new Candle(263.25m, 264m, 261.5m, 264m,DateTime.UtcNow));
adx.Add(new Candle(267m, 268m, 266.25m, 266.5m,DateTime.UtcNow));
adx.Add(new Candle(265m, 266m, 264.25m, 265.25m,DateTime.UtcNow));
adx.Add(new Candle(270m, 274m, 267m, 273m,DateTime.UtcNow));
adx.Add(new Candle(277m, 277.5m, 273.5m, 276.75m,DateTime.UtcNow));
adx.Add(new Candle(275m, 277m, 272.5m, 273m,DateTime.UtcNow));
adx.Add(new Candle(271m, 272m, 269.5m, 270.25m,DateTime.UtcNow));
adx.Add(new Candle(265m, 267.75m, 264m, 266.75m,DateTime.UtcNow));
adx.Add(new Candle(265m, 269.25m, 263m, 263m,DateTime.UtcNow));
adx.Add(new Candle(265m, 266m, 263.5m, 265.5m,DateTime.UtcNow));
adx.Add(new Candle(264m, 265m, 262m, 262.25m,DateTime.UtcNow));
adx.Add(new Candle(262m, 264.75m, 261.5m, 262.75m,DateTime.UtcNow));
adx.Add(new Candle(260m, 261m, 255.5m, 255.5m,DateTime.UtcNow));
adx.Add(new Candle(255m, 257.5m, 253m, 253m,DateTime.UtcNow));
adx.Values.Last().Should().BeApproximately(0.16m, 0.01m);
}
public Cobra(Adx adx,
Ema fastEmaHigh,
Ema fastEmaLow,
Sma slowSmaHigh,
Sma slowSmaLow,
IDateProvider dateProvider,
string instrument,
int periodInMinutes,
ITradingAdapter tradingAdapter,
IRateProvider rateProvider,
int accountId,
bool isbacktesting = false,
IEnumerable<Candle> initialCandles = null)
{
if (adx == null)
{
throw new ArgumentNullException(nameof(adx));
}
if (fastEmaHigh == null)
{
throw new ArgumentNullException(nameof(fastEmaHigh));
}
if (fastEmaLow == null)
{
throw new ArgumentNullException(nameof(fastEmaLow));
}
if (slowSmaHigh == null)
{
throw new ArgumentNullException(nameof(slowSmaHigh));
}
if (slowSmaLow == null)
{
throw new ArgumentNullException(nameof(slowSmaLow));
}
if (dateProvider == null)
{
throw new ArgumentNullException(nameof(dateProvider));
}
if (tradingAdapter == null)
{
throw new ArgumentNullException(nameof(tradingAdapter));
}
if (string.IsNullOrWhiteSpace(instrument))
{
throw new ArgumentNullException(nameof(instrument));
}
this.adx = adx;
this.fastEmaHigh = fastEmaHigh;
this.fastEmaLow = fastEmaLow;
this.slowSmaHigh = slowSmaHigh;
this.slowSmaLow = slowSmaLow;
this.dateProvider = dateProvider;
this.Instrument = instrument;
this.tradingAdapter = tradingAdapter;
this.rateProvider = rateProvider;
this.AccountId = accountId;
this.isbacktesting = isbacktesting;
this.PeriodInMinutes = periodInMinutes;
this.candles = new List<Candle>();
if (!(initialCandles?.Any()).GetValueOrDefault(false) && rateProvider != null)
{
var _initialCandles = rateProvider.GetLastCandles(instrument, periodInMinutes, MinNbOfCandles).ToList();
try
{
this.AddCandles(initialCandles);
}
catch (Exception ex)
{
Trace.TraceError(ex.ToString());
}
}
else if ((initialCandles?.Any()).GetValueOrDefault(false))
{
this.AddCandles(initialCandles);
}
else if (rateProvider == null)
{
throw new ArgumentNullException(nameof(rateProvider));
}
this.Id = Guid.NewGuid().ToString();
candleBuilder = new CandleBuilder(TimeSpan.FromMinutes(periodInMinutes));
candleBuilder.NewCandleCreated += (o, e) => {
try
{
this.AddCandle(e.NewCandle);
}
catch(Exception ex)
{
validations.AddErrorMessage(ex.Message);
}
};
}