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Compatibility with TALIB

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This commit is contained in:
Miha Kralj
2022-11-22 18:32:58 -08:00
parent ae168ee345
commit 38d0c08b4e
9 changed files with 644 additions and 119 deletions
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Source/Feeds/GBM_Feed.cs
+10 -8
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@@ -22,10 +22,12 @@ public class GBM_Feed : TBars
{
private double seed;
readonly double drift, volatility;
public GBM_Feed(int Bars = 252, double Volatility = 1.0, double Drift = 0.05, double Seed = 100.0) {
readonly int precision;
public GBM_Feed(int Bars = 252, double Volatility = 1.0, double Drift = 0.05, double Seed = 100.0, int Precision = 2) {
this.seed = Seed;
volatility = Volatility*0.01;
drift = Drift*0.01;
precision = Precision;
for (int i = 0; i <Bars; i++) {
DateTime Timestamp = DateTime.Today.AddDays(i - Bars);
this.Add(Timestamp);
@@ -33,28 +35,28 @@ public class GBM_Feed : TBars
}
public void Add(DateTime timestamp, bool update = false) {
double Open = GBM_value(seed, volatility*volatility, drift);
double Close = GBM_value(Open, volatility, drift);
double Open = GBM_value(seed, volatility*volatility, drift, precision);
double Close = GBM_value(Open, volatility, drift, precision);
double OCMax = Math.Max(Open,Close);
double High = (GBM_value(seed, volatility*0.5, 0));
double High = (GBM_value(seed, volatility*0.5, 0, precision));
High = (High<OCMax)? (2 * OCMax) - High : High;
double OCMin = Math.Min(Open,Close);
double Low = (GBM_value(seed, volatility*0.5, 0));
double Low = (GBM_value(seed, volatility*0.5, 0, precision));
Low = (Low>OCMin)? (2 * OCMin) - Low : Low;
double Volume = GBM_value(seed*10, volatility*2, Drift:0);
double Volume = GBM_value(seed*10, volatility*2, Drift:0, precision: 1);
base.Add((timestamp, Open, High, Low, Close, Volume), update);
seed = Close;
}
private static double GBM_value (double Seed, double Volatility, double Drift) {
private static double GBM_value(double Seed, double Volatility, double Drift, int precision) {
Random rnd = new();
double U1 = 1.0-rnd.NextDouble();
double U2 = 1.0-rnd.NextDouble();
double Z = Math.Sqrt(-2.0 * Math.Log(U1)) * Math.Sin(2.0 * Math.PI * U2);
return Seed * Math.Exp( Drift - (Volatility*Volatility*0.5) + (Volatility * Z));
return Math.Round(Seed * Math.Exp( Drift - (Volatility*Volatility*0.5) + (Volatility * Z)), digits: precision);
}
}