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sdev, psdev, alphavantage

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Miha Kralj
2022-11-06 17:20:57 -08:00
parent 32615af18b
commit 28025fbdd3
28 changed files with 1860 additions and 2545 deletions
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Source/Feeds/Alphavantage_Feed.cs
+1 -3
View File
@@ -13,8 +13,6 @@ Alphavantage - Free API to collect quotes for stock, Forex and crypto. It requir
</summary> */
/* TODO: refactor into three feeds: FX, Crypto, Stock */
public class Alphavantage_Feed : TBars
{
public enum Interval { Month, Week, Day, Hour, Min30, Min15, Min5, Min1}
@@ -115,7 +113,7 @@ public class Alphavantage_Feed : TBars
{
Interval.Month => "_MONTHLY",
Interval.Week => "_WEEKLY",
Interval.Day => "_DAILY_ADJUSTED",
Interval.Day => "_DAILY",
Interval.Hour => "_INTRADAY&interval=60min",
Interval.Min30 => "_INTRADAY&interval=30min",
Interval.Min15 => "_INTRADAY&interval=15min",
Source/Feeds/RND_Feed.cs
+27 -27
View File
@@ -1,28 +1,28 @@
namespace QuanTAlib;
using System;
/* <summary>
Random Bars generator - used for testing, validation and fun
Returns 'bars' number of candles that follow common market movement.
volatility defines how 'jumpy' is the series of
startvalue defines beginning closing price that then guides the rest of series
</summary> */
public class RND_Feed : TBars
{
public RND_Feed(int bars, double volatility = 0.05, double startvalue = 100.0)
{
Random rnd = new();
double c = startvalue;
for (int i = 0; i < bars; i++)
{
double o = Math.Round(c + c * (volatility * 0.1 * rnd.NextDouble() - 0.005), 2);
double h = Math.Round(o + c * volatility * rnd.NextDouble(), 2);
double l = Math.Round(o - c * volatility * rnd.NextDouble(), 2);
c = Math.Round(l + (h - l) * rnd.NextDouble(), 2);
double v = Math.Round(1000 * rnd.NextDouble(), 2);
this.Add(DateTime.Today.AddDays(i - bars), o, h, l, c, v);
}
}
namespace QuanTAlib;
using System;
/* <summary>
Random Bars generator - used for testing, validation and fun
Returns 'bars' number of candles that follow common market movement.
volatility defines how 'jumpy' is the series of
startvalue defines beginning closing price that then guides the rest of series
</summary> */
public class RND_Feed : TBars
{
public RND_Feed(int bars, double volatility = 0.05, double startvalue = 100.0)
{
Random rnd = new();
double c = startvalue;
for (int i = 0; i < bars; i++)
{
double o = Math.Round(c + c * (volatility * 0.1 * rnd.NextDouble() - 0.005), 2);
double h = Math.Round(o + c * volatility * rnd.NextDouble(), 2);
double l = Math.Round(o - c * volatility * rnd.NextDouble(), 2);
c = Math.Round(l + (h - l) * rnd.NextDouble(), 2);
double v = Math.Round(1000 * rnd.NextDouble(), 2);
this.Add(DateTime.Today.AddDays(i - bars), o, h, l, c, v);
}
}
}