protected override void Initialize()
{
_usdxIndex = new Index
{
Name = "USDX",
Multiplier = 50.14348112,
Constituents = new List<Constituent>
{
//wieght is negative when USD is not the base currency (EURUSD and GBPUSD)
new Constituent("EURUSD", -0.576),
new Constituent("USDJPY", 0.136),
new Constituent("GBPUSD", -0.119),
new Constituent("USDCAD", 0.091),
new Constituent("USDSEK", 0.042),
new Constituent("USDCHF", 0.036)
}
};
_eurxIndex = new Index
{
Name = "EURX",
Multiplier = 34.38805726,
Constituents = new List<Constituent>
{
new Constituent("EURUSD", 0.3155),
new Constituent("EURJPY", 0.1891),
new Constituent("EURGBP", 0.3056),
new Constituent("EURSEK", 0.0785),
new Constituent("EURCHF", 0.1113)
}
};
}
private double CalculateIndex(Index index, DateTime date)
{
//index is calculated as a weighted geometric mean of its constituents' close prices
double result = index.Multiplier;
foreach (var weight in index.Constituents)
{
var series = MarketData.GetSeries(weight.Symbol, TimeFrame);
if (series == null)
{
return double.NaN;
}
double close = GetCloseByDate(date, series);
result *= Math.Pow(close, weight.Weight);
}
return result;
}