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https://github.com/mihakralj/QuanTAlib.git
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refactor structs to records, add new classes for financial calculations, implement EMA and SMA with circular buffer. Generate random financial data using GBM model. Also, test the SMA calculation with sample data.
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Miha Kralj
@@ -6,92 +6,99 @@ using TradingPlatform.BusinessLayer;
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using TradingPlatform.BusinessLayer.Chart;
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namespace QuanTAlib;
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public class JMA_chart : Indicator {
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#region Parameters
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public class JMA_chart : Indicator
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{
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#region Parameters
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[InputParameter("Data source", 0, variants: new object[]
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{ "Open", 0, "High", 1, "Low", 2, "Close", 3, "HL2", 4, "OC2", 5,
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"OHL3", 6, "HLC3", 7, "OHLC4", 8, "Weighted (HLCC4)", 9 })]
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private int DataSource = 3;
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[InputParameter("Data source", 0, variants: new object[]
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{ "Open", 0, "High", 1, "Low", 2, "Close", 3, "HL2", 4, "OC2", 5,
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"OHL3", 6, "HLC3", 7, "OHLC4", 8, "Weighted (HLCC4)", 9 })]
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private int DataSource = 3;
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[InputParameter("Smoothing period", 1, 1, 999, 1, 1)]
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private int Period = 9;
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[InputParameter("Smoothing period", 1, 1, 999, 1, 1)]
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private int Period = 9;
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[InputParameter("Volatility short", 2, 3, 50, 1, 1)]
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private int Vshort = 10;
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[InputParameter("Volatility short", 2, 3, 50, 1, 1)]
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private int Vshort = 10;
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[InputParameter("Volatility long", 3, 20, 500, 1, 1)]
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private int Vlong = 65;
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[InputParameter("Volatility long", 3, 20, 500, 1, 1)]
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private int Vlong = 65;
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[InputParameter("Phase", 4, -100, 100, 1, 2)]
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private double Jphase;
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[InputParameter("Phase", 4, -100, 100, 1, 2)]
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private double Jphase;
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#endregion Parameters
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#endregion Parameters
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///////
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private JMA_Series indicator;
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///////
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///////
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private JMA_Series indicator;
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///////
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protected TBars bars;
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protected IChartWindow mainWindow;
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protected Graphics graphics;
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protected int firstOnScreenBarIndex, lastOnScreenBarIndex;
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protected HistoricalData History;
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protected int HistPeriod;
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public JMA_chart() {
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Name = "JMA - Jurik Moving Avg";
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Description = "Jurik Moving Average description";
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AddLineSeries(lineName: "JMA", lineColor: Color.Yellow, lineWidth: 3,lineStyle: LineStyle.Solid);
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SeparateWindow = false;
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HistPeriod = Period;
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}
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protected TBars bars;
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protected IChartWindow mainWindow;
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protected Graphics graphics;
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protected int firstOnScreenBarIndex, lastOnScreenBarIndex;
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protected HistoricalData History;
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protected int HistPeriod;
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public JMA_chart()
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{
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Name = "JMA - Jurik Moving Avg";
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Description = "Jurik Moving Average description";
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AddLineSeries(lineName: "JMA", lineColor: Color.Yellow, lineWidth: 3, lineStyle: LineStyle.Solid);
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SeparateWindow = false;
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HistPeriod = Period;
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}
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protected override void OnInit() {
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base.OnInit();
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bars = new();
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var dur1 = this.HistoricalData.FromTime;
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var dur = this.HistoricalData.Period.Duration.TotalSeconds * (HistPeriod * 4); //seconds of two periods
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protected override void OnInit()
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{
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base.OnInit();
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bars = new();
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var dur1 = this.HistoricalData.FromTime;
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var dur = this.HistoricalData.Period.Duration.TotalSeconds * (HistPeriod * 4); //seconds of two periods
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this.History = this.Symbol.GetHistory(period: this.HistoricalData.Period, fromTime: HistoricalData.FromTime);
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this.History = this.Symbol.GetHistory(period: this.HistoricalData.Period, fromTime: HistoricalData.FromTime);
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for (int i = this.History.Count - 1; i >= 0; i--) {
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for (int i = this.History.Count - 1; i >= 0; i--)
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{
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var rec = this.History[i, SeekOriginHistory.Begin];
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var rec = this.History[i, SeekOriginHistory.Begin];
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bars.Add(rec.TimeLeft, rec[PriceType.Open],
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rec[PriceType.High], rec[PriceType.Low],
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rec[PriceType.Close], rec[PriceType.Volume]);
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}
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bars.Add(rec.TimeLeft, rec[PriceType.Open],
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rec[PriceType.High], rec[PriceType.Low],
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rec[PriceType.Close], rec[PriceType.Volume]);
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}
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indicator = new(source: bars.Select(DataSource), period: Period, phase: Jphase, vshort: Vshort, vlong: Vlong, useNaN: true);
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indicator.Keep = Math.Max(Period, 100);
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}
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indicator = new(source: bars.Select(DataSource), period: Period, phase: Jphase, vshort: Vshort, vlong: Vlong, useNaN: true);
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indicator.Keep = Math.Max(Period, 100);
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}
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protected override void OnUpdate(UpdateArgs args) {
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base.OnUpdate(args);
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bars.Add(Time(), GetPrice(PriceType.Open),
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GetPrice(PriceType.High),
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GetPrice(PriceType.Low),
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GetPrice(PriceType.Close),
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GetPrice(PriceType.Volume),
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update: !(args.Reason == UpdateReason.NewBar || args.Reason == UpdateReason.HistoricalBar));
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this.SetValue(indicator[^1].v, lineIndex: 0);
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}
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public override void OnPaintChart(PaintChartEventArgs args) {
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base.OnPaintChart(args);
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if (this.CurrentChart == null) {
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return;
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}
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protected override void OnUpdate(UpdateArgs args)
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{
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base.OnUpdate(args);
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bars.Add(Time(), GetPrice(PriceType.Open),
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GetPrice(PriceType.High),
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GetPrice(PriceType.Low),
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GetPrice(PriceType.Close),
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GetPrice(PriceType.Volume),
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update: !(args.Reason == UpdateReason.NewBar || args.Reason == UpdateReason.HistoricalBar));
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graphics = args.Graphics;
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mainWindow = this.CurrentChart.MainWindow;
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this.SetValue(indicator[^1].v, lineIndex: 0);
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}
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public override void OnPaintChart(PaintChartEventArgs args)
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{
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base.OnPaintChart(args);
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if (this.CurrentChart == null)
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{
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return;
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}
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DateTime leftTime = mainWindow.CoordinatesConverter.GetTime(mainWindow.ClientRectangle.Left);
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DateTime rightTime = mainWindow.CoordinatesConverter.GetTime(mainWindow.ClientRectangle.Right);
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firstOnScreenBarIndex = (int)mainWindow.CoordinatesConverter.GetBarIndex(leftTime);
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lastOnScreenBarIndex = (int)Math.Ceiling(mainWindow.CoordinatesConverter.GetBarIndex(rightTime));
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}
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graphics = args.Graphics;
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mainWindow = this.CurrentChart.MainWindow;
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DateTime leftTime = mainWindow.CoordinatesConverter.GetTime(mainWindow.ClientRectangle.Left);
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DateTime rightTime = mainWindow.CoordinatesConverter.GetTime(mainWindow.ClientRectangle.Right);
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firstOnScreenBarIndex = (int)mainWindow.CoordinatesConverter.GetBarIndex(leftTime);
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lastOnScreenBarIndex = (int)Math.Ceiling(mainWindow.CoordinatesConverter.GetBarIndex(rightTime));
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}
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}
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