mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-23 21:18:04 +00:00
version bump to 0.1.14
This commit is contained in:
Miha Kralj
@@ -29,7 +29,7 @@
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<PlatformTarget>anycpu</PlatformTarget>
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<PlatformTarget>anycpu</PlatformTarget>
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</PropertyGroup>
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</PropertyGroup>
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<ItemGroup>
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<ItemGroup>
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<Compile Include="..\Source\**\*.cs" Exclude="..\Source\obj\**;..\Source\Basics\*_Feed.cs">
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<Compile Include="..\Source\**\*.cs" Exclude="..\Source\obj\**;..\Source\Feeds\**">
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<Link>QuanTAlib\%(RecursiveDir)%(Filename)%(Extension)</Link>
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<Link>QuanTAlib\%(RecursiveDir)%(Filename)%(Extension)</Link>
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</Compile>
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</Compile>
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</ItemGroup>
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</ItemGroup>
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@@ -1,112 +1,124 @@
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namespace QuanTAlib;
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namespace QuanTAlib;
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using System;
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using System;
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using System.Text.Json;
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using System.Text.Json;
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/* <summary>
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/* <summary>
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Alphavantage - Free API to collect quotes for stock, Forex and crypto. It requires a (free) API key
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Alphavantage - Free API to collect quotes for stock, Forex and crypto. It requires a (free) API key
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Get API key at https://www.alphavantage.co/support/#api-key
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Get API key at https://www.alphavantage.co/support/#api-key
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Parameters:
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Parameters:
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Symbol: stock ("AAPL"), crypto ("BTC") or forex pair (divided by dash: "USD-EUR")
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Symbol: stock ("AAPL"), crypto ("BTC") or forex pair (divided by dash: "USD-EUR")
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Extended: if true, return 2,000 rows. if false, return 100 rows
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Extended: if true, return 2,000 rows. if false, return 100 rows
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Interval: enum with options of Month, Week, Day, Hour, Min30, Min15, Min5, Min1
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Interval: enum with options of Month, Week, Day, Hour, Min30, Min15, Min5, Min1
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APIkey: unique Alphavantage API key
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APIkey: unique Alphavantage API key
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</summary> */
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</summary> */
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public class Alphavantage_Feed : TBars
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public class Alphavantage_Feed : TBars
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{
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{
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//public enum Interval { Month, Week, Day, Hour, Min30, Min15, Min5, Min1}
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public enum Interval { Month, Week, Day, Hour, Min30, Min15, Min5, Min1}
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public Alphavantage_Feed(string Symbol = "IBM", bool Extended = false, Interval Interval = Interval.Day, string APIkey = "demo")
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public Alphavantage_Feed(string Symbol = "IBM", bool Extended = false, Interval Interval = Interval.Day, string APIkey = "demo")
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{
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{
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string outputsize = "compact";
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string outputsize = "compact";
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if (Extended) { outputsize = "full"; }
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if (Extended) { outputsize = "full"; }
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System.Net.Http.HttpClient client = new();
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System.Net.Http.HttpClient client = new();
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JsonElement json = new();
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JsonElement json = new();
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var tokens = Symbol.Split("-");
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var tokens = Symbol.Split("-");
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if (tokens.Length > 1)
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if (tokens.Count() > 1)
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{
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{
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string req = "https://www.alphavantage.co/query?function=FX" + GetInterval(Interval) + "&from_symbol=" + tokens[0] + "&to_symbol=" + tokens[1] + "&outputsize=" + outputsize + "&apikey=" + APIkey;
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string req = "https://www.alphavantage.co/query?function=FX" + GetInterval(Interval) + "&from_symbol=" + tokens[0] + "&to_symbol=" + tokens[1] + "&outputsize=" + outputsize + "&apikey=" + APIkey;
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var msg = client.GetStringAsync(req).Result;
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var msg = client.GetStringAsync(req).Result;
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var jres = JsonSerializer.Deserialize<JsonDocument>(msg).RootElement;
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var jres = JsonSerializer.Deserialize<JsonDocument>(msg).RootElement;
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switch (Interval)
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switch (Interval)
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{
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{
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case Interval.Month: jres.TryGetProperty("Time Series FX (Monthly)", out json); break;
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case Interval.Month: jres.TryGetProperty("Time Series FX (Monthly)", out json); break;
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case Interval.Week: jres.TryGetProperty("Time Series FX (Weekly)", out json); break;
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case Interval.Week: jres.TryGetProperty("Time Series FX (Weekly)", out json); break;
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case Interval.Day: jres.TryGetProperty("Time Series FX (Daily)", out json); break;
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case Interval.Day: jres.TryGetProperty("Time Series FX (Daily)", out json); break;
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case Interval.Hour: jres.TryGetProperty("Time Series FX (60min)", out json); break;
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case Interval.Hour: jres.TryGetProperty("Time Series FX (60min)", out json); break;
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case Interval.Min30: jres.TryGetProperty("Time Series FX (30min)", out json); break;
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case Interval.Min30: jres.TryGetProperty("Time Series FX (30min)", out json); break;
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case Interval.Min15: jres.TryGetProperty("Time Series FX (15min)", out json); break;
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case Interval.Min15: jres.TryGetProperty("Time Series FX (15min)", out json); break;
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case Interval.Min5: jres.TryGetProperty("Time Series FX (5min)", out json); break;
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case Interval.Min5: jres.TryGetProperty("Time Series FX (5min)", out json); break;
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case Interval.Min1: jres.TryGetProperty("Time Series FX (1min)", out json); break;
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case Interval.Min1: jres.TryGetProperty("Time Series FX (1min)", out json); break;
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}
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}
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}
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}
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if (json.ValueKind == JsonValueKind.Undefined)
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if (json.ValueKind == JsonValueKind.Undefined)
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{
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{
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string req = "https://www.alphavantage.co/query?function=TIME_SERIES" + GetInterval(Interval) + "&symbol=" + Symbol + "&outputsize=" + outputsize + "&apikey=" + APIkey;
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string req = "https://www.alphavantage.co/query?function=TIME_SERIES" + GetInterval(Interval) + "&symbol=" + Symbol + "&outputsize=" + outputsize + "&apikey=" + APIkey;
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var msg = client.GetStringAsync(req).Result;
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var msg = client.GetStringAsync(req).Result;
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var jres = JsonSerializer.Deserialize<JsonDocument>(msg).RootElement;
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var jres = JsonSerializer.Deserialize<JsonDocument>(msg).RootElement;
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switch (Interval)
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switch (Interval)
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{
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{
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case Interval.Month: jres.TryGetProperty("Monthly Time Series", out json); break;
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case Interval.Month: jres.TryGetProperty("Monthly Time Series", out json); break;
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case Interval.Week: jres.TryGetProperty("Weekly Time Series", out json); break;
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case Interval.Week: jres.TryGetProperty("Weekly Time Series", out json); break;
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case Interval.Day: jres.TryGetProperty("Time Series (Daily)", out json); break;
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case Interval.Day: jres.TryGetProperty("Time Series (Daily)", out json); break;
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case Interval.Hour: jres.TryGetProperty("Time Series (60min)", out json); break;
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case Interval.Hour: jres.TryGetProperty("Time Series (60min)", out json); break;
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case Interval.Min30: jres.TryGetProperty("Time Series (30min)", out json); break;
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case Interval.Min30: jres.TryGetProperty("Time Series (30min)", out json); break;
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case Interval.Min15: jres.TryGetProperty("Time Series (15min)", out json); break;
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case Interval.Min15: jres.TryGetProperty("Time Series (15min)", out json); break;
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case Interval.Min5: jres.TryGetProperty("Time Series (5min)", out json); break;
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case Interval.Min5: jres.TryGetProperty("Time Series (5min)", out json); break;
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case Interval.Min1: jres.TryGetProperty("Time Series (1min)", out json); break;
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case Interval.Min1: jres.TryGetProperty("Time Series (1min)", out json); break;
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}
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}
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}
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}
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if (json.ValueKind == JsonValueKind.Undefined)
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if (json.ValueKind == JsonValueKind.Undefined)
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{
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{
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string req;
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string req;
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if ((int)Interval < 3) { req = "https://www.alphavantage.co/query?function=DIGITAL_CURRENCY" + GetInterval(Interval) + "&symbol=" + Symbol + "&market=USD&&outputsize=" + outputsize + "&apikey=" + APIkey; }
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if ((int)Interval < 3) { req = "https://www.alphavantage.co/query?function=DIGITAL_CURRENCY" + GetInterval(Interval) + "&symbol=" + Symbol + "&market=USD&&outputsize=" + outputsize + "&apikey=" + APIkey; }
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else { req = "https://www.alphavantage.co/query?function=CRYPTO" + GetInterval(Interval) + "&symbol=" + Symbol + "&market=USD&&outputsize=" + outputsize + "&apikey=" + APIkey; }
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else { req = "https://www.alphavantage.co/query?function=CRYPTO" + GetInterval(Interval) + "&symbol=" + Symbol + "&market=USD&&outputsize=" + outputsize + "&apikey=" + APIkey; }
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var msg = client.GetStringAsync(req).Result;
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var msg = client.GetStringAsync(req).Result;
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var jres = JsonSerializer.Deserialize<JsonDocument>(msg).RootElement;
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var jres = JsonSerializer.Deserialize<JsonDocument>(msg).RootElement;
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switch (Interval)
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switch (Interval)
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{
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{
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case Interval.Month: jres.TryGetProperty("Time Series (Digital Currency Monthly)", out json); break;
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case Interval.Month: jres.TryGetProperty("Time Series (Digital Currency Monthly)", out json); break;
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case Interval.Week: jres.TryGetProperty("Time Series (Digital Currency Weekly)", out json); break;
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case Interval.Week: jres.TryGetProperty("Time Series (Digital Currency Weekly)", out json); break;
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case Interval.Day: jres.TryGetProperty("Time Series (Digital Currency Daily)", out json); break;
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case Interval.Day: jres.TryGetProperty("Time Series (Digital Currency Daily)", out json); break;
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case Interval.Hour: jres.TryGetProperty("Time Series Crypto (60min)", out json); break;
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case Interval.Hour: jres.TryGetProperty("Time Series Crypto (60min)", out json); break;
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case Interval.Min30: jres.TryGetProperty("Time Series Crypto (30min)", out json); break;
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case Interval.Min30: jres.TryGetProperty("Time Series Crypto (30min)", out json); break;
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case Interval.Min15: jres.TryGetProperty("Time Series Crypto (15min)", out json); break;
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case Interval.Min15: jres.TryGetProperty("Time Series Crypto (15min)", out json); break;
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case Interval.Min5: jres.TryGetProperty("Time Series Crypto (5min)", out json); break;
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case Interval.Min5: jres.TryGetProperty("Time Series Crypto (5min)", out json); break;
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case Interval.Min1: jres.TryGetProperty("Time Series Crypto (1min)", out json); break;
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case Interval.Min1: jres.TryGetProperty("Time Series Crypto (1min)", out json); break;
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}
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}
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}
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}
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if (json.ValueKind != JsonValueKind.Undefined)
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if (json.ValueKind != JsonValueKind.Undefined)
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{
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{
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foreach (var val in json.EnumerateObject()) { base.Add(GetOHLC(val)); }
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foreach (var val in json.EnumerateObject()) { base.Add(GetOHLC(val)); }
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}
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}
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}
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}
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private static (DateTime t, double o, double h, double l, double c, double v) GetOHLC(JsonProperty json)
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private (DateTime t, double o, double h, double l, double c, double v) GetOHLC(JsonProperty json)
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{
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{
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double o, h, l, c, v;
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double o, h, l, c, v;
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o = h = l = c = v = 0;
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o = h = l = c = v = 0;
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DateTime date = Convert.ToDateTime(json.Name);
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DateTime date = Convert.ToDateTime(json.Name);
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foreach (var val in json.Value.EnumerateObject())
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foreach (var val in json.Value.EnumerateObject())
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{
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{
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switch (val.Name)
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switch (val.Name)
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{
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{
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case "1. open": o = Convert.ToDouble(val.Value.ToString()); break;
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case "1. open": o = Convert.ToDouble(val.Value.ToString()); break;
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case "1b. open (USD)": o = Convert.ToDouble(val.Value.ToString()); break;
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case "1b. open (USD)": o = Convert.ToDouble(val.Value.ToString()); break;
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case "2. high": h = Convert.ToDouble(val.Value.ToString()); break;
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case "2. high": h = Convert.ToDouble(val.Value.ToString()); break;
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case "2b. high (USD)": h = Convert.ToDouble(val.Value.ToString()); break;
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case "2b. high (USD)": h = Convert.ToDouble(val.Value.ToString()); break;
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case "3. low": l = Convert.ToDouble(val.Value.ToString()); break;
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case "3. low": l = Convert.ToDouble(val.Value.ToString()); break;
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case "3b. low (USD)": l = Convert.ToDouble(val.Value.ToString()); break;
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case "3b. low (USD)": l = Convert.ToDouble(val.Value.ToString()); break;
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case "4. close": c = Convert.ToDouble(val.Value.ToString()); break;
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case "4. close": c = Convert.ToDouble(val.Value.ToString()); break;
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case "4b. close (USD)": c = Convert.ToDouble(val.Value.ToString()); break;
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case "4b. close (USD)": c = Convert.ToDouble(val.Value.ToString()); break;
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case "5. adjusted close": c = Convert.ToDouble(val.Value.ToString()); break;
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case "5. adjusted close": c = Convert.ToDouble(val.Value.ToString()); break;
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case "5. volume": v = Convert.ToDouble(val.Value.ToString()); break;
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case "5. volume": v = Convert.ToDouble(val.Value.ToString()); break;
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case "6. volume": v = Convert.ToDouble(val.Value.ToString()); break;
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case "6. volume": v = Convert.ToDouble(val.Value.ToString()); break;
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}
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}
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}
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}
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return (date, o, h, l, c, v);
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return (date, o, h, l, c, v);
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}
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}
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private static string GetInterval(Interval interval = Interval.Day) => interval switch
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{
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Interval.Month => "_MONTHLY",
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Interval.Week => "_WEEKLY",
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Interval.Day => "_DAILY",
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Interval.Hour => "_INTRADAY&interval=60min",
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Interval.Min30 => "_INTRADAY&interval=30min",
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Interval.Min15 => "_INTRADAY&interval=15min",
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Interval.Min5 => "_INTRADAY&interval=5min",
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Interval.Min1 => "_INTRADAY&interval=1min",
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_ => "_DAILY"
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};
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}
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}
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@@ -1,60 +1,60 @@
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namespace QuanTAlib;
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namespace QuanTAlib;
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using System;
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using System;
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/* <summary>
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/* <summary>
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GBM - Geometric Brownian Motion is a random simulator of market movement, returning List<Quote>
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GBM - Geometric Brownian Motion is a random simulator of market movement, returning List<Quote>
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GBM can be used for testing indicators, validation and Monte Carlo simulations of strategies.
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GBM can be used for testing indicators, validation and Monte Carlo simulations of strategies.
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Sample usage:
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Sample usage:
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GBM-Random data = new(); // generates 1 year (252) list of bars
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GBM-Random data = new(); // generates 1 year (252) list of bars
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GBM-Random data = new(Bars: 1000); // generates 1,000 bars
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GBM-Random data = new(Bars: 1000); // generates 1,000 bars
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GBM-Random data = new(Bars: 252, Volatility: 0.05, Drift: 0.0005, Seed: 100.0)
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GBM-Random data = new(Bars: 252, Volatility: 0.05, Drift: 0.0005, Seed: 100.0)
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Parameters
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Parameters
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Bars: number of bars (quotes) requested
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Bars: number of bars (quotes) requested
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Volatility: how dymamic/volatile the series should be; default is 1
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Volatility: how dymamic/volatile the series should be; default is 1
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Drift: incremental drift due to annual interest rate; default is 5%
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Drift: incremental drift due to annual interest rate; default is 5%
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Seed: starting value of the random series; should not be 0
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Seed: starting value of the random series; should not be 0
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</summary> */
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</summary> */
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public class GBM_Feed : TBars
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public class GBM_Feed : TBars
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{
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{
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double seed;
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double seed;
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readonly double drift, volatility;
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readonly double drift, volatility;
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public GBM_Feed(int Bars = 252, double Volatility = 1.0, double Drift = 0.05, double Seed = 100.0) {
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public GBM_Feed(int Bars = 252, double Volatility = 1.0, double Drift = 0.05, double Seed = 100.0) {
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seed = Seed;
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seed = Seed;
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volatility = Volatility*0.01;
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volatility = Volatility*0.01;
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drift = Drift*0.01;
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drift = Drift*0.01;
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for (int i = 0; i <Bars; i++) {
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for (int i = 0; i <Bars; i++) {
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DateTime Timestamp = DateTime.Today.AddDays(i - Bars);
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DateTime Timestamp = DateTime.Today.AddDays(i - Bars);
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this.Add(Timestamp);
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this.Add(Timestamp);
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}
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}
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}
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}
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public void Add(DateTime timestamp, bool update = false) {
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public void Add(DateTime timestamp, bool update = false) {
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double Open = GBM_value(seed, volatility*volatility, drift);
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double Open = GBM_value(seed, volatility*volatility, drift);
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double Close = GBM_value(Open, volatility, drift);
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double Close = GBM_value(Open, volatility, drift);
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double OCMax = Math.Max(Open,Close);
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double OCMax = Math.Max(Open,Close);
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double High = (GBM_value(seed, volatility*0.5, 0));
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double High = (GBM_value(seed, volatility*0.5, 0));
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High = (High<OCMax)? 2*OCMax-High : High;
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High = (High<OCMax)? 2*OCMax-High : High;
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||||||
|
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double OCMin = Math.Min(Open,Close);
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double OCMin = Math.Min(Open,Close);
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double Low = (GBM_value(seed, volatility*0.5, 0));
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double Low = (GBM_value(seed, volatility*0.5, 0));
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Low = (Low>OCMin)? 2*OCMin-Low : Low;
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Low = (Low>OCMin)? 2*OCMin-Low : Low;
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|
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double Volume = GBM_value(seed*10, volatility*2, Drift:0);
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double Volume = GBM_value(seed*10, volatility*2, Drift:0);
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||||||
|
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base.Add((timestamp, Open, High, Low, Close, Volume), update);
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base.Add((timestamp, Open, High, Low, Close, Volume), update);
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seed = Close;
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seed = Close;
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}
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}
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||||||
|
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||||||
private double GBM_value (double Seed, double Volatility, double Drift) {
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private static double GBM_value (double Seed, double Volatility, double Drift) {
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Random rnd = new((int)(DateTime.UtcNow.Ticks));
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Random rnd = new((int)(DateTime.UtcNow.Ticks));
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double U1 = 1.0-rnd.NextDouble();
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double U1 = 1.0-rnd.NextDouble();
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||||||
double U2 = 1.0-rnd.NextDouble();
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double U2 = 1.0-rnd.NextDouble();
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||||||
double Z = Math.Sqrt(-2.0 * Math.Log(U1)) * Math.Sin(2.0 * Math.PI * U2);
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double Z = Math.Sqrt(-2.0 * Math.Log(U1)) * Math.Sin(2.0 * Math.PI * U2);
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return Seed * Math.Exp( Drift - (Volatility*Volatility*0.5) + Volatility * Z);
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return Seed * Math.Exp( Drift - (Volatility*Volatility*0.5) + Volatility * Z);
|
||||||
}
|
}
|
||||||
}
|
}
|
||||||
@@ -1,7 +1,7 @@
|
|||||||
<Project Sdk="Microsoft.NET.Sdk">
|
<Project Sdk="Microsoft.NET.Sdk">
|
||||||
<PropertyGroup>
|
<PropertyGroup>
|
||||||
<Version>0.1.13</Version>
|
<Version>0.1.14</Version>
|
||||||
<releaseNotes>Added MACD, RSI, CCI, ALMA, LINREG</releaseNotes>
|
<releaseNotes></releaseNotes>
|
||||||
<Title>QuanTAlib</Title>
|
<Title>QuanTAlib</Title>
|
||||||
<Product>Library of Technical Indicators for .NET</Product>
|
<Product>Library of Technical Indicators for .NET</Product>
|
||||||
<Description>Quantitative Technical Analysis library for both real-time (streaming) and historical data analysis</Description>
|
<Description>Quantitative Technical Analysis library for both real-time (streaming) and historical data analysis</Description>
|
||||||
@@ -11,7 +11,7 @@
|
|||||||
<Authors>Miha Kralj</Authors>
|
<Authors>Miha Kralj</Authors>
|
||||||
<Copyright>Miha Kralj</Copyright>
|
<Copyright>Miha Kralj</Copyright>
|
||||||
<PackageReadmeFile>readme.md</PackageReadmeFile>
|
<PackageReadmeFile>readme.md</PackageReadmeFile>
|
||||||
<TargetFrameworks>net7.0;net6.0;netcoreapp3.1;netstandard2.1</TargetFrameworks>
|
<TargetFrameworks>net7.0;net6.0</TargetFrameworks>
|
||||||
<ImplicitUsings>disable</ImplicitUsings>
|
<ImplicitUsings>disable</ImplicitUsings>
|
||||||
<LangVersion>preview</LangVersion>
|
<LangVersion>preview</LangVersion>
|
||||||
<Nullable>disable</Nullable>
|
<Nullable>disable</Nullable>
|
||||||
|
|||||||
@@ -0,0 +1 @@
|
|||||||
|
|
||||||
|
|||||||
Reference in New Issue
Block a user