diff --git a/.github/agents/beast.agent.md b/.github/agents/beast.agent.md index 947ea58d..1973df1e 100644 --- a/.github/agents/beast.agent.md +++ b/.github/agents/beast.agent.md @@ -227,3 +227,193 @@ All temporary files, generated scripts, and intermediate artifacts must be store --- **Remember:** You are autonomous. Use all tools at your disposal. Query qdrant FIRST, store results LAST. Validate everything. Ship nothing unoptimized. + +## Writing Style Guide: Technical Architecture with Kind Persuasion + +### Core Mission +Write for technical architects who need to evaluate TA library architecture. Convince through clarity, evidence, and gentle humor—not by dismissing alternatives. Be uncompromising about technical correctness while remaining kind about how constraints shaped decisions. + +### Audience Profile +Primary reader: technical architects evaluating TA solutions. + +- Understands systems architecture and performance trade-offs +- Makes decisions based on evidence, not marketing claims +- Respects technical depth and practical implementation +- Appreciates candor without condescension + +### Persuasive Framework + +#### Vision Through Architecture +Present architecture as a reasoned choice, not superiority theater. + +- Avoid: "Most TA libraries use guess-work disguised as math" +- Prefer: "TA libraries face a fundamental choice: accept approximations for simplicity, or enforce mathematical rigor at every step. We chose rigor." + +#### Evidence as Primary Argument +Benchmarks and implementation details carry the argument. + +- Strong: "SIMD vectorization delivers 8x throughput on AVX2 hardware" +- Weak: "Incredibly powerful optimizations provide amazing performance" + +#### Respect the Reader’s Intelligence +Acknowledge trade-offs directly. + +Example: +"O(1) streaming comes at a cost—we maintain more state per indicator. The memory overhead is 40-60 bytes per instance, acceptable for real-time analysis but worth considering for historical batch processing of millions of symbols." + +### Voice: Bryson-Executive Hybrid + +- Bryson warmth: light humor that includes the reader +- Executive credibility: precise language backed by measurable claims +- Technical depth: specifics without showing off +- Architectural clarity: complex ideas explained cleanly + +### Sentence Architecture +Use deliberate rhythm: short declarative → medium elaboration → short conclusion. + +Example: +"Indicators fail during initialization. The first 14 bars of an RSI lack sufficient data to calculate correctly. We handle this by marking validity explicitly rather than pretending the numbers mean something." + +### Language Principles + +#### Precision Without Pretension +Use: +- Exact numbers ("3.2ms latency") +- Specific comparisons ("40% faster than TA-Lib") +- Concrete contexts ("processing ES futures tick data") +- Measured verbs ("reduces", "improves") + +Avoid: +- Corporate vagueness ("solution," "platform," "ecosystem") +- Empty intensifiers ("very," "extremely," "incredibly") +- Superlatives without proof ("best-in-class") +- Hedging chains ("may potentially perhaps") + +#### Forbidden Corporate-Speak +Never use: +- transformative +- foster / fostering +- tapestry (unless discussing textiles) +- "is all about" / "this is about" +- "think of X as" / "it’s like" (except rare genuine clarification) +- "not only X but also X" + +#### Technical Honesty +State limits and initialization costs clearly. + +Example: +"The Jurik Moving Average requires solving nonlinear equations iteratively. We precompute coefficient tables for common parameters, achieving O(1) per-bar performance after a one-time initialization cost of ~50ms. For custom parameters, expect 2-3ms initialization." + +### Architectural Argumentation + +#### Presenting Decisions +Use this structure consistently: +Decision → Rationale → Evidence → Implication + +Example: +"We implement every indicator as a streaming algorithm maintaining O(1) computational complexity per new data point. Real-time analysis requires predictable latency regardless of lookback period. Testing with 14-period RSI versus 200-period RSI shows identical 0.4μs processing time per bar on current hardware. Capacity scales linearly with symbol count rather than collapsing under cumulative lookback periods." + +#### Comparing Approaches +Compare architectural approaches, not competitors. + +- Avoid: "Other libraries use lazy approximations" +- Prefer: "Traditional batch-calculation approaches optimize for historical analysis but introduce variable latency in streaming contexts. We chose streaming-first architecture, accepting higher memory overhead for predictable real-time performance." + +#### Addressing Trade-offs +Name the cost and why it is justified. + +Example: +"SIMD vectorization requires careful attention to data alignment and padding. We handle this automatically, but it adds code complexity that scalar implementations avoid. The 8x performance gain justifies this complexity for production systems processing thousands of indicators simultaneously." + +### Evidence Hierarchy +Order every claim as: + +1. Architectural principle (why) +2. Implementation detail (how) +3. Measurable outcome (proof) +4. Practical implication (so what) + +### Humor Rules (The Bryson Touch) + +Use humor for: +- complexity acknowledgment +- historical context +- universal engineering truths + +Do not use humor for: +- correctness +- security +- performance claims +- risk and trade-off disclosure + +### Structural Guidelines + +#### Opening +Start with the architectural problem, not the product. + +Example: +"Real-time technical analysis faces a timing problem. Calculate too slowly and you miss opportunities. Calculate incorrectly and you take bad trades. Traditional approaches optimize for one or the other. We needed both." + +#### Middle +Build evidence in this order: +- challenge +- alternatives and limitations +- chosen architecture +- measurable validation +- practical implications + +#### Closing +End with verifiable next actions. + +Example: +"The code is on GitHub. Run the benchmarks. Check test coverage. Compare initialization behavior against TA-Lib using sparse data. The architecture speaks for itself." + +### Formatting for Technical Architects + +- Use lists only for distinct enumerations (principles, metrics, compatibility matrices, coverage families) +- Keep prose for architectural reasoning +- Include code examples freely; architects trust code over adjectives +- Present performance claims with environment, sample size, baseline, and significance when applicable + +### Guards Against AI Writing Patterns + +#### Absolutely Forbidden Phrases +- delve into +- it's important to note that +- in today’s fast-paced world/landscape +- at the end of the day +- leverage (except mechanical context) +- robust / holistic / synergy +- however, it's worth noting that +- sentence starts with: indeed, notably, significantly + +#### Structural Patterns to Avoid +- formulaic lists of exactly 3 or 5 items by default +- "on one hand / on the other hand" +- dictionary-definition openings +- perfectly balanced pros/cons symmetry +- "as we embark on this journey" +- "imagine a world where" + +#### Human-Writing Checks +Prefer: +- concrete product names (NinjaTrader, QuantConnect, Quantower) +- specific contexts (ES futures, sparse data feeds) +- irregular sentence rhythm +- occasional natural asides +- direct and testable opinions + +### Verification Filters (Per Section) + +- Proof test: every claim is backed by specifics +- Respect test: expert architect would accept the rigor +- Honesty test: limitations are clearly stated +- Actionable test: reader can verify independently +- Human test: sentence sounds naturally authored + +### Final Principles + +- Be uncompromising about standards, kind about people +- Let architecture persuade; avoid aggressive marketing tone +- Measure twice, claim once +- Write like explaining to a technical colleague evaluating your logic critically diff --git a/coverlet.runsettings b/coverlet.runsettings deleted file mode 100644 index 54e7d92f..00000000 --- a/coverlet.runsettings +++ /dev/null @@ -1,18 +0,0 @@ - - - - - - - opencover - MissingAll - false - false - false - true - Obsolete,GeneratedCodeAttribute,CompilerGeneratedAttribute - - - - - diff --git a/temp_decompile/Skender.Stock.Indicators.decompiled.cs b/temp_decompile/Skender.Stock.Indicators.decompiled.cs deleted file mode 100644 index 4911381e..00000000 --- a/temp_decompile/Skender.Stock.Indicators.decompiled.cs +++ /dev/null @@ -1,10479 +0,0 @@ -using System; -using System.Collections.Generic; -using System.Collections.ObjectModel; -using System.Diagnostics; -using System.Diagnostics.CodeAnalysis; -using System.Globalization; -using System.Linq; -using System.Reflection; -using System.Resources; -using System.Runtime.CompilerServices; -using System.Runtime.Versioning; - -[assembly: CompilationRelaxations(8)] -[assembly: RuntimeCompatibility(WrapNonExceptionThrows = true)] -[assembly: Debuggable(DebuggableAttribute.DebuggingModes.IgnoreSymbolStoreSequencePoints)] -[assembly: CLSCompliant(true)] -[assembly: InternalsVisibleTo("Tests.Indicators")] -[assembly: InternalsVisibleTo("Tests.Performance")] -[assembly: TargetFramework(".NETCoreApp,Version=v10.0", FrameworkDisplayName = ".NET 10.0")] -[assembly: AssemblyCompany("Dave Skender")] -[assembly: AssemblyConfiguration("Release")] -[assembly: AssemblyCopyright("@2020 Dave Skender")] -[assembly: AssemblyDescription("Stock Indicators for .NET. Transform financial market price quotes into technical analysis indicators such as MACD, Stochastic RSI, Average True Range, Parabolic SAR, etc. Nothing more.")] -[assembly: AssemblyFileVersion("2.7.0.0")] -[assembly: AssemblyInformationalVersion("2.7.0-43+Branch.main.Sha.e4c40d7cc048936a44d34291729c7772537f65da.e4c40d7cc048936a44d34291729c7772537f65da")] -[assembly: AssemblyProduct("Stock Indicators for .NET")] -[assembly: AssemblyTitle("Skender.Stock.Indicators")] -[assembly: AssemblyMetadata("RepositoryUrl", "https://github.com/DaveSkender/Stock.Indicators")] -[assembly: NeutralResourcesLanguage("en-US")] -[assembly: AssemblyVersion("2.7.0.0")] -[module: RefSafetyRules(11)] -namespace Skender.Stock.Indicators; - -public static class Indicator -{ - private static readonly CultureInfo invCulture = CultureInfo.InvariantCulture; - - private static readonly Calendar invCalendar = invCulture.Calendar; - - private static readonly CalendarWeekRule invCalendarWeekRule = invCulture.DateTimeFormat.CalendarWeekRule; - - private static readonly DayOfWeek invFirstDayOfWeek = invCulture.DateTimeFormat.FirstDayOfWeek; - - /// - /// Accumulation/Distribution Line (ADL) is a rolling accumulation of Chaikin Money Flow Volume. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Optional. Number of periods in the moving average of ADL.Time series of ADL values.Invalid parameter value provided. - public static IEnumerable GetAdl(this IEnumerable quotes, int? smaPeriods = null) where TQuote : IQuote - { - return quotes.ToQuoteD().CalcAdl(smaPeriods); - } - - internal static List CalcAdl(this List qdList, int? smaPeriods) - { - ValidateAdl(smaPeriods); - List list = new List(qdList.Count); - double num = 0.0; - checked - { - for (int i = 0; i < qdList.Count; i++) - { - QuoteD quoteD = qdList[i]; - double num2 = ((quoteD.High == quoteD.Low) ? 0.0 : ((quoteD.Close - quoteD.Low - (quoteD.High - quoteD.Close)) / (quoteD.High - quoteD.Low))); - double num3 = num2 * quoteD.Volume; - double num4 = num3 + num; - AdlResult adlResult = new AdlResult(quoteD.Date) - { - MoneyFlowMultiplier = num2, - MoneyFlowVolume = num3, - Adl = num4 - }; - list.Add(adlResult); - num = num4; - if (smaPeriods.HasValue && i + 1 >= smaPeriods) - { - double? num5 = 0.0; - for (int j = i + 1 - smaPeriods.Value; j <= i; j++) - { - num5 += list[j].Adl; - } - adlResult.AdlSma = num5 / (double?)smaPeriods; - } - } - return list; - } - } - - private static void ValidateAdl(int? smaPeriods) - { - if (smaPeriods.HasValue && smaPeriods.GetValueOrDefault() <= 0) - { - throw new ArgumentOutOfRangeException("smaPeriods", smaPeriods, "SMA periods must be greater than 0 for ADL."); - } - } - - /// - /// Directional Movement Index (DMI) and Average Directional Movement Index (ADX) is a measure of price directional movement. - /// It includes upward and downward indicators, and is often used to measure strength of trend. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods in the lookback window.Time series of ADX and Plus/Minus Directional values.Invalid parameter value provided. - public static IEnumerable GetAdx(this IEnumerable quotes, int lookbackPeriods = 14) where TQuote : IQuote - { - return quotes.ToQuoteD().CalcAdx(lookbackPeriods); - } - - internal static List CalcAdx(this List qdList, int lookbackPeriods) - { - ValidateAdx(lookbackPeriods); - int count = qdList.Count; - List list = new List(count); - double num = 0.0; - double num2 = 0.0; - double num3 = 0.0; - double num4 = 0.0; - double num5 = 0.0; - double num6 = 0.0; - double num7 = 0.0; - double num8 = 0.0; - double num9 = 0.0; - double num10 = 0.0; - double num11 = 0.0; - checked - { - for (int i = 0; i < count; i++) - { - QuoteD quoteD = qdList[i]; - AdxResult adxResult = new AdxResult(quoteD.Date); - list.Add(adxResult); - if (i == 0) - { - num = quoteD.High; - num2 = quoteD.Low; - num3 = quoteD.Close; - continue; - } - double val = Math.Abs(quoteD.High - num3); - double val2 = Math.Abs(quoteD.Low - num3); - double num12 = quoteD.High - num; - double num13 = num2 - quoteD.Low; - double num14 = Math.Max(quoteD.High - quoteD.Low, Math.Max(val, val2)); - double num15 = ((num12 > num13) ? Math.Max(num12, 0.0) : 0.0); - double num16 = ((num13 > num12) ? Math.Max(num13, 0.0) : 0.0); - num = quoteD.High; - num2 = quoteD.Low; - num3 = quoteD.Close; - if (i <= lookbackPeriods) - { - num8 += num14; - num9 += num15; - num10 += num16; - } - if (i < lookbackPeriods) - { - continue; - } - double num17; - double num18; - double num19; - if (i == lookbackPeriods) - { - num17 = num8; - num18 = num9; - num19 = num10; - } - else - { - num17 = num4 - num4 / (double)lookbackPeriods + num14; - num18 = num5 - num5 / (double)lookbackPeriods + num15; - num19 = num6 - num6 / (double)lookbackPeriods + num16; - } - num4 = num17; - num5 = num18; - num6 = num19; - if (num17 != 0.0) - { - double num20 = 100.0 * num18 / num17; - double num21 = 100.0 * num19 / num17; - adxResult.Pdi = num20; - adxResult.Mdi = num21; - double num22 = ((num20 == num21) ? 0.0 : ((num20 + num21 != 0.0) ? (100.0 * Math.Abs(num20 - num21) / (num20 + num21)) : double.NaN)); - if (i > 2 * lookbackPeriods - 1) - { - double num23 = (num7 * (double)(lookbackPeriods - 1) + num22) / (double)lookbackPeriods; - adxResult.Adx = num23.NaN2Null(); - adxResult.Adxr = (num23 + list[i + 1 - lookbackPeriods].Adx).NaN2Null() / 2.0; - num7 = num23; - } - else if (i == 2 * lookbackPeriods - 1) - { - num11 += num22; - double num23 = num11 / (double)lookbackPeriods; - adxResult.Adx = num23.NaN2Null(); - num7 = num23; - } - else - { - num11 += num22; - } - } - } - return list; - } - } - - private static void ValidateAdx(int lookbackPeriods) - { - if (lookbackPeriods <= 1) - { - throw new ArgumentOutOfRangeException("lookbackPeriods", lookbackPeriods, "Lookback periods must be greater than 1 for ADX."); - } - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - int num = results.ToList().FindIndex((AdxResult x) => x.Pdi.HasValue); - return results.Remove(checked(2 * num + 100)); - } - - /// - /// Williams Alligator is an indicator that transposes multiple moving averages, - /// showing chart patterns that creator Bill Williams compared to an alligator's - /// feeding habits when describing market movement. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Lookback periods for the Jaw line.Offset periods for the Jaw line.Lookback periods for the Teeth line.Offset periods for the Teeth line.Lookback periods for the Lips line.Offset periods for the Lips line.Time series of Alligator values.Invalid parameter value provided. - public static IEnumerable GetAlligator(this IEnumerable quotes, int jawPeriods = 13, int jawOffset = 8, int teethPeriods = 8, int teethOffset = 5, int lipsPeriods = 5, int lipsOffset = 3) where TQuote : IQuote - { - return quotes.ToTuple(CandlePart.HL2).CalcAlligator(jawPeriods, jawOffset, teethPeriods, teethOffset, lipsPeriods, lipsOffset); - } - - public static IEnumerable GetAlligator(this IEnumerable results, int jawPeriods = 13, int jawOffset = 8, int teethPeriods = 8, int teethOffset = 5, int lipsPeriods = 5, int lipsOffset = 3) - { - return results.ToTuple().CalcAlligator(jawPeriods, jawOffset, teethPeriods, teethOffset, lipsPeriods, lipsOffset).SyncIndex(results, SyncType.Prepend); - } - - public static IEnumerable GetAlligator(this IEnumerable<(DateTime, double)> priceTuples, int jawPeriods = 13, int jawOffset = 8, int teethPeriods = 8, int teethOffset = 5, int lipsPeriods = 5, int lipsOffset = 3) - { - return priceTuples.ToSortedList().CalcAlligator(jawPeriods, jawOffset, teethPeriods, teethOffset, lipsPeriods, lipsOffset); - } - - internal static List CalcAlligator(this List<(DateTime Date, double Value)> tpList, int jawPeriods, int jawOffset, int teethPeriods, int teethOffset, int lipsPeriods, int lipsOffset) - { - ValidateAlligator(jawPeriods, jawOffset, teethPeriods, teethOffset, lipsPeriods, lipsOffset); - int count = tpList.Count; - double[] array = new double[count]; - List list = tpList.Select(((DateTime Date, double Value) x) => new AlligatorResult(x.Date)).ToList(); - checked - { - for (int num = 0; num < count; num++) - { - double item = tpList[num].Value; - array[num] = item; - if (num + jawOffset < count) - { - AlligatorResult alligatorResult = list[num + jawOffset]; - if (num + 1 == jawPeriods) - { - double num2 = 0.0; - for (int num3 = num + 1 - jawPeriods; num3 <= num; num3++) - { - num2 += array[num3]; - } - alligatorResult.Jaw = num2 / (double)jawPeriods; - } - else if (num + 1 > jawPeriods) - { - alligatorResult.Jaw = (list[num + jawOffset - 1].Jaw * (double)(jawPeriods - 1) + array[num]) / (double)jawPeriods; - } - alligatorResult.Jaw = alligatorResult.Jaw.NaN2Null(); - } - if (num + teethOffset < count) - { - AlligatorResult alligatorResult2 = list[num + teethOffset]; - if (num + 1 == teethPeriods) - { - double num4 = 0.0; - for (int num5 = num + 1 - teethPeriods; num5 <= num; num5++) - { - num4 += array[num5]; - } - alligatorResult2.Teeth = num4 / (double)teethPeriods; - } - else if (num + 1 > teethPeriods) - { - alligatorResult2.Teeth = (list[num + teethOffset - 1].Teeth * (double)(teethPeriods - 1) + array[num]) / (double)teethPeriods; - } - alligatorResult2.Teeth = alligatorResult2.Teeth.NaN2Null(); - } - if (num + lipsOffset >= count) - { - continue; - } - AlligatorResult alligatorResult3 = list[num + lipsOffset]; - if (num + 1 == lipsPeriods) - { - double num6 = 0.0; - for (int num7 = num + 1 - lipsPeriods; num7 <= num; num7++) - { - num6 += array[num7]; - } - alligatorResult3.Lips = num6 / (double)lipsPeriods; - } - else if (num + 1 > lipsPeriods) - { - alligatorResult3.Lips = (list[num + lipsOffset - 1].Lips * (double)(lipsPeriods - 1) + array[num]) / (double)lipsPeriods; - } - alligatorResult3.Lips = alligatorResult3.Lips.NaN2Null(); - } - return list; - } - } - - private static void ValidateAlligator(int jawPeriods, int jawOffset, int teethPeriods, int teethOffset, int lipsPeriods, int lipsOffset) - { - if (jawPeriods <= teethPeriods) - { - throw new ArgumentOutOfRangeException("jawPeriods", jawPeriods, "Jaw lookback periods must be greater than Teeth lookback periods for Alligator."); - } - if (teethPeriods <= lipsPeriods) - { - throw new ArgumentOutOfRangeException("teethPeriods", teethPeriods, "Teeth lookback periods must be greater than Lips lookback periods for Alligator."); - } - if (lipsPeriods <= 0) - { - throw new ArgumentOutOfRangeException("lipsPeriods", lipsPeriods, "Lips lookback periods must be greater than 0 for Alligator."); - } - if (jawOffset <= 0) - { - throw new ArgumentOutOfRangeException("jawOffset", jawOffset, "Jaw offset periods must be greater than 0 for Alligator."); - } - if (teethOffset <= 0) - { - throw new ArgumentOutOfRangeException("teethOffset", teethOffset, "Jaw offset periods must be greater than 0 for Alligator."); - } - if (lipsOffset <= 0) - { - throw new ArgumentOutOfRangeException("lipsOffset", lipsOffset, "Jaw offset periods must be greater than 0 for Alligator."); - } - checked - { - if (jawPeriods + jawOffset <= teethPeriods + teethOffset) - { - throw new ArgumentOutOfRangeException("jawPeriods", jawPeriods, "Jaw lookback + offset are too small for Alligator."); - } - if (teethPeriods + teethOffset <= lipsPeriods + lipsOffset) - { - throw new ArgumentOutOfRangeException("teethPeriods", teethPeriods, "Teeth lookback + offset are too small for Alligator."); - } - } - } - - /// Removes non-essential records containing null values with unique consideration for - /// this indicator. See - /// documentation for more information. - /// Indicator results to evaluate.Time series of - /// indicator results, condensed. - public static IEnumerable Condense(this IEnumerable results) - { - List list = results.ToList(); - list.RemoveAll((AlligatorResult x) => !x.Jaw.HasValue && !x.Teeth.HasValue && !x.Lips.HasValue); - return list.ToSortedList(); - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - int removePeriods = checked(results.ToList().FindIndex((AlligatorResult x) => x.Jaw.HasValue) + 251); - return results.Remove(removePeriods); - } - - /// - /// Arnaud Legoux Moving Average (ALMA) is a Gaussian distribution - /// weighted moving average of price over a lookback window. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods in the lookback window.Adjusts smoothness versus responsiveness.Defines the width of the Gaussian normal distribution.Time series of ALMA values.Invalid parameter value provided. - public static IEnumerable GetAlma(this IEnumerable quotes, int lookbackPeriods = 9, double offset = 0.85, double sigma = 6.0) where TQuote : IQuote - { - return quotes.ToTuple(CandlePart.Close).CalcAlma(lookbackPeriods, offset, sigma); - } - - public static IEnumerable GetAlma(this IEnumerable results, int lookbackPeriods = 9, double offset = 0.85, double sigma = 6.0) - { - return results.ToTuple().CalcAlma(lookbackPeriods, offset, sigma).SyncIndex(results, SyncType.Prepend); - } - - public static IEnumerable GetAlma(this IEnumerable<(DateTime, double)> priceTuples, int lookbackPeriods = 9, double offset = 0.85, double sigma = 6.0) - { - return priceTuples.ToSortedList().CalcAlma(lookbackPeriods, offset, sigma); - } - - internal static List CalcAlma(this List<(DateTime, double)> tpList, int lookbackPeriods, double offset, double sigma) - { - ValidateAlma(lookbackPeriods, offset, sigma); - List list = new List(tpList.Count); - checked - { - double num = offset * (double)(lookbackPeriods - 1); - double num2 = (double)lookbackPeriods / sigma; - double[] array = new double[lookbackPeriods]; - double num3 = 0.0; - for (int i = 0; i < lookbackPeriods; i++) - { - num3 += (array[i] = Math.Exp((0.0 - ((double)i - num) * ((double)i - num)) / (2.0 * num2 * num2))); - } - for (int j = 0; j < tpList.Count; j++) - { - AlmaResult almaResult = new AlmaResult(tpList[j].Item1); - list.Add(almaResult); - if (j + 1 >= lookbackPeriods) - { - double? num4 = 0.0; - int num5 = 0; - for (int k = j + 1 - lookbackPeriods; k <= j; k++) - { - double item = tpList[k].Item2; - num4 += array[num5] * item; - num5++; - } - almaResult.Alma = (num4 / num3).NaN2Null(); - } - } - return list; - } - } - - private static void ValidateAlma(int lookbackPeriods, double offset, double sigma) - { - if (lookbackPeriods <= 1) - { - throw new ArgumentOutOfRangeException("lookbackPeriods", lookbackPeriods, "Lookback periods must be greater than 1 for ALMA."); - } - if ((offset < 0.0 || offset > 1.0) ? true : false) - { - throw new ArgumentOutOfRangeException("offset", offset, "Offset must be between 0 and 1 for ALMA."); - } - if (sigma <= 0.0) - { - throw new ArgumentOutOfRangeException("sigma", sigma, "Sigma must be greater than 0 for ALMA."); - } - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - int removePeriods = results.ToList().FindIndex((AlmaResult x) => x.Alma.HasValue); - return results.Remove(removePeriods); - } - - /// - /// Aroon is a simple oscillator view of how long the new high or low price occured over a lookback window. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods in the lookback window.Time series of Aroon Up/Down and Oscillator values.Invalid parameter value provided. - public static IEnumerable GetAroon(this IEnumerable quotes, int lookbackPeriods = 25) where TQuote : IQuote - { - return quotes.ToQuoteD().CalcAroon(lookbackPeriods); - } - - internal static List CalcAroon(this List qdList, int lookbackPeriods) - { - ValidateAroon(lookbackPeriods); - List list = new List(qdList.Count); - checked - { - for (int i = 0; i < qdList.Count; i++) - { - AroonResult aroonResult = new AroonResult(qdList[i].Date); - list.Add(aroonResult); - if (i + 1 <= lookbackPeriods) - { - continue; - } - double? num = 0.0; - double? num2 = double.MaxValue; - int num3 = 0; - int num4 = 0; - for (int j = i + 1 - lookbackPeriods - 1; j <= i; j++) - { - QuoteD quoteD = qdList[j]; - if (quoteD.High > num) - { - num = quoteD.High; - num3 = j + 1; - } - if (quoteD.Low < num2) - { - num2 = quoteD.Low; - num4 = j + 1; - } - } - aroonResult.AroonUp = 100.0 * (double)(lookbackPeriods - (i + 1 - num3)) / (double)lookbackPeriods; - aroonResult.AroonDown = 100.0 * (double)(lookbackPeriods - (i + 1 - num4)) / (double)lookbackPeriods; - aroonResult.Oscillator = aroonResult.AroonUp - aroonResult.AroonDown; - } - return list; - } - } - - private static void ValidateAroon(int lookbackPeriods) - { - if (lookbackPeriods <= 0) - { - throw new ArgumentOutOfRangeException("lookbackPeriods", lookbackPeriods, "Lookback periods must be greater than 0 for Aroon."); - } - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - int removePeriods = results.ToList().FindIndex((AroonResult x) => x.Oscillator.HasValue); - return results.Remove(removePeriods); - } - - /// - /// Average True Range (ATR) is a measure of volatility that captures gaps and limits between periods. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods in the lookback window.Time series of ATR values.Invalid parameter value provided. - public static IEnumerable GetAtr(this IEnumerable quotes, int lookbackPeriods = 14) where TQuote : IQuote - { - return quotes.ToQuoteD().CalcAtr(lookbackPeriods); - } - - internal static List CalcAtr(this List qdList, int lookbackPeriods) - { - ValidateAtr(lookbackPeriods); - List list = new List(qdList.Count); - double num = double.NaN; - double num2 = double.NaN; - double num3 = 0.0; - checked - { - for (int i = 0; i < qdList.Count; i++) - { - QuoteD quoteD = qdList[i]; - AtrResult atrResult = new AtrResult(quoteD.Date); - list.Add(atrResult); - if (i > 0) - { - double val = Math.Abs(quoteD.High - num2); - double val2 = Math.Abs(quoteD.Low - num2); - double num4 = Math.Max(quoteD.High - quoteD.Low, Math.Max(val, val2)); - atrResult.Tr = num4; - if (i > lookbackPeriods) - { - double num5 = (num * (double)(lookbackPeriods - 1) + num4) / (double)lookbackPeriods; - atrResult.Atr = num5; - atrResult.Atrp = ((quoteD.Close == 0.0) ? ((double?)null) : new double?(num5 / quoteD.Close * 100.0)); - num = num5; - } - else if (i == lookbackPeriods) - { - num3 += num4; - double num6 = num3 / (double)lookbackPeriods; - atrResult.Atr = num6; - atrResult.Atrp = ((quoteD.Close == 0.0) ? ((double?)null) : new double?(num6 / quoteD.Close * 100.0)); - num = num6; - } - else - { - num3 += num4; - } - num2 = quoteD.Close; - } - else - { - num2 = quoteD.Close; - } - } - return list; - } - } - - private static void ValidateAtr(int lookbackPeriods) - { - if (lookbackPeriods <= 1) - { - throw new ArgumentOutOfRangeException("lookbackPeriods", lookbackPeriods, "Lookback periods must be greater than 1 for Average True Range."); - } - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - int removePeriods = results.ToList().FindIndex((AtrResult x) => x.Atr.HasValue); - return results.Remove(removePeriods); - } - - /// - /// ATR Trailing Stop attempts to determine the primary trend of prices by using - /// Average True Range (ATR) band thresholds. It can indicate a buy/sell signal or a - /// trailing stop when the trend changes. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods for ATR.Multiplier sets the ATR band width.Sets basis for stop offsets (Close or High/Low).Time series of ATR Trailing Stop values.Invalid parameter value provided. - public static IEnumerable GetAtrStop(this IEnumerable quotes, int lookbackPeriods = 21, double multiplier = 3.0, EndType endType = EndType.Close) where TQuote : IQuote - { - return quotes.ToQuoteD().CalcAtrStop(lookbackPeriods, multiplier, endType); - } - - internal static List CalcAtrStop(this List qdList, int lookbackPeriods, double multiplier, EndType endType) - { - ValidateAtrStop(lookbackPeriods, multiplier); - List list = new List(qdList.Count); - List list2 = qdList.CalcAtr(lookbackPeriods); - bool flag = true; - double? num = null; - double? num2 = null; - checked - { - for (int i = 0; i < qdList.Count; i++) - { - QuoteD quoteD = qdList[i]; - AtrStopResult atrStopResult = new AtrStopResult(quoteD.Date); - list.Add(atrStopResult); - if (i >= lookbackPeriods) - { - double? atr = list2[i].Atr; - QuoteD quoteD2 = qdList[i - 1]; - double? num3; - double? num4; - if (endType == EndType.Close) - { - num3 = quoteD.Close + multiplier * atr; - num4 = quoteD.Close - multiplier * atr; - } - else - { - num3 = quoteD.High + multiplier * atr; - num4 = quoteD.Low - multiplier * atr; - } - if (i == lookbackPeriods) - { - flag = quoteD.Close >= quoteD2.Close; - num = num3; - num2 = num4; - } - if (num3 < num || quoteD2.Close > num) - { - num = num3; - } - if (num4 > num2 || quoteD2.Close < num2) - { - num2 = num4; - } - if (quoteD.Close <= (flag ? num2 : num)) - { - atrStopResult.AtrStop = (decimal?)num; - atrStopResult.BuyStop = (decimal?)num; - flag = false; - } - else - { - atrStopResult.AtrStop = (decimal?)num2; - atrStopResult.SellStop = (decimal?)num2; - flag = true; - } - } - } - return list; - } - } - - private static void ValidateAtrStop(int lookbackPeriods, double multiplier) - { - if (lookbackPeriods <= 1) - { - throw new ArgumentOutOfRangeException("lookbackPeriods", lookbackPeriods, "Lookback periods must be greater than 1 for ATR Trailing Stop."); - } - if (multiplier <= 0.0) - { - throw new ArgumentOutOfRangeException("multiplier", multiplier, "Multiplier must be greater than 0 for ATR Trailing Stop."); - } - } - - /// Removes non-essential records containing null values with unique consideration for - /// this indicator. See - /// documentation for more information. - /// Indicator results to evaluate.Time series of - /// indicator results, condensed. - public static IEnumerable Condense(this IEnumerable results) - { - List list = results.ToList(); - list.RemoveAll((AtrStopResult x) => !x.AtrStop.HasValue); - return list.ToSortedList(); - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - int removePeriods = results.ToList().FindIndex((AtrStopResult x) => x.AtrStop.HasValue); - return results.Remove(removePeriods); - } - - /// - /// Awesome Oscillator (aka Super AO) is a measure of the gap between a fast and slow period modified moving average. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods in the Fast moving average.Number of periods in the Slow moving average.Time series of Awesome Oscillator values.Invalid parameter value provided. - public static IEnumerable GetAwesome(this IEnumerable quotes, int fastPeriods = 5, int slowPeriods = 34) where TQuote : IQuote - { - return quotes.ToTuple(CandlePart.HL2).CalcAwesome(fastPeriods, slowPeriods); - } - - public static IEnumerable GetAwesome(this IEnumerable results, int fastPeriods = 5, int slowPeriods = 34) - { - return results.ToTuple().CalcAwesome(fastPeriods, slowPeriods).SyncIndex(results, SyncType.Prepend); - } - - public static IEnumerable GetAwesome(this IEnumerable<(DateTime, double)> priceTuples, int fastPeriods = 5, int slowPeriods = 34) - { - return priceTuples.ToSortedList().CalcAwesome(fastPeriods, slowPeriods); - } - - internal static List CalcAwesome(this List<(DateTime, double)> tpList, int fastPeriods, int slowPeriods) - { - ValidateAwesome(fastPeriods, slowPeriods); - int count = tpList.Count; - List list = new List(count); - double[] array = new double[count]; - checked - { - for (int i = 0; i < count; i++) - { - var (date, num) = tpList[i]; - array[i] = num; - AwesomeResult awesomeResult = new AwesomeResult(date); - list.Add(awesomeResult); - if (i + 1 < slowPeriods) - { - continue; - } - double num2 = 0.0; - double num3 = 0.0; - for (int j = i + 1 - slowPeriods; j <= i; j++) - { - num2 += array[j]; - if (j >= i + 1 - fastPeriods) - { - num3 += array[j]; - } - } - awesomeResult.Oscillator = (num3 / (double)fastPeriods - num2 / (double)slowPeriods).NaN2Null(); - awesomeResult.Normalized = ((array[i] == 0.0) ? ((double?)null) : (100.0 * awesomeResult.Oscillator / array[i])); - } - return list; - } - } - - private static void ValidateAwesome(int fastPeriods, int slowPeriods) - { - if (fastPeriods <= 0) - { - throw new ArgumentOutOfRangeException("slowPeriods", slowPeriods, "Fast periods must be greater than 0 for Awesome Oscillator."); - } - if (slowPeriods <= fastPeriods) - { - throw new ArgumentOutOfRangeException("slowPeriods", slowPeriods, "Slow periods must be larger than Fast Periods for Awesome Oscillator."); - } - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - int removePeriods = results.ToList().FindIndex((AwesomeResult x) => x.Oscillator.HasValue); - return results.Remove(removePeriods); - } - - /// - /// A simple quote transform. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.The OHLCV element or simply calculated value type.Time series of Basic Quote values.Invalid candle part provided. - public static IEnumerable GetBaseQuote(this IEnumerable quotes, CandlePart candlePart = CandlePart.Close) where TQuote : IQuote - { - return from q in quotes - select q.ToBasicData(candlePart) into x - orderby x.Date - select x; - } - - /// - /// Beta shows how strongly one stock responds to systemic volatility of the entire market. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes for Evaluation.Historical price quotes for Market.Number of periods in the lookback window.Type of Beta to calculate.Time series of Beta values.Invalid parameter value provided.Invalid quotes provided. - public static IEnumerable GetBeta(this IEnumerable quotesEval, IEnumerable quotesMarket, int lookbackPeriods, BetaType type = BetaType.Standard) where TQuote : IQuote - { - List<(DateTime, double)> tpListEval = quotesEval.ToTuple(CandlePart.Close); - List<(DateTime, double)> tpListMrkt = quotesMarket.ToTuple(CandlePart.Close); - return CalcBeta(tpListEval, tpListMrkt, lookbackPeriods, type); - } - - public static IEnumerable GetBeta(this IEnumerable evalResults, IEnumerable mrktResults, int lookbackPeriods, BetaType type = BetaType.Standard) - { - List<(DateTime Date, double Value)> tpListEval = evalResults.ToTuple(); - List<(DateTime, double)> tpListMrkt = mrktResults.ToTuple(); - return CalcBeta(tpListEval, tpListMrkt, lookbackPeriods, type).SyncIndex(evalResults, SyncType.Prepend); - } - - public static IEnumerable GetBeta(this IEnumerable<(DateTime, double)> evalTuple, IEnumerable<(DateTime, double)> mrktTuple, int lookbackPeriods, BetaType type = BetaType.Standard) - { - List<(DateTime, double)> tpListEval = evalTuple.ToSortedList(); - List<(DateTime, double)> tpListMrkt = mrktTuple.ToSortedList(); - return CalcBeta(tpListEval, tpListMrkt, lookbackPeriods, type); - } - - internal static List CalcBeta(List<(DateTime, double)> tpListEval, List<(DateTime, double)> tpListMrkt, int lookbackPeriods, BetaType type = BetaType.Standard) - { - ValidateBeta(tpListEval, tpListMrkt, lookbackPeriods); - int count = tpListEval.Count; - List list = new List(count); - bool flag = ((type == BetaType.Standard || type == BetaType.All) ? true : false); - bool flag2 = flag; - flag = ((type == BetaType.Up || type == BetaType.All) ? true : false); - bool flag3 = flag; - flag = (uint)(type - 2) <= 1u; - bool flag4 = flag; - double[] array = new double[count]; - double[] array2 = new double[count]; - double num = 0.0; - double num2 = 0.0; - checked - { - for (int i = 0; i < count; i++) - { - var (dateTime, num3) = tpListEval[i]; - var (dateTime2, num4) = tpListMrkt[i]; - if (dateTime != dateTime2) - { - throw new InvalidQuotesException("tpListEval", dateTime, "Date sequence does not match. Beta requires matching dates in provided quotes."); - } - array[i] = ((num != 0.0) ? (num3 / num - 1.0) : 0.0); - array2[i] = ((num2 != 0.0) ? (num4 / num2 - 1.0) : 0.0); - num = num3; - num2 = num4; - } - for (int j = 0; j < count; j++) - { - BetaResult betaResult = new BetaResult(tpListEval[j].Item1) - { - ReturnsEval = array[j], - ReturnsMrkt = array2[j] - }; - list.Add(betaResult); - if (j >= lookbackPeriods) - { - if (flag2) - { - betaResult.CalcBetaWindow(j, lookbackPeriods, array2, array, BetaType.Standard); - } - if (flag4) - { - betaResult.CalcBetaWindow(j, lookbackPeriods, array2, array, BetaType.Down); - } - if (flag3) - { - betaResult.CalcBetaWindow(j, lookbackPeriods, array2, array, BetaType.Up); - } - if (type == BetaType.All && betaResult.BetaUp.HasValue && betaResult.BetaDown.HasValue) - { - betaResult.Ratio = ((betaResult.BetaDown == 0.0) ? ((double?)null) : (betaResult.BetaUp / betaResult.BetaDown)); - betaResult.Convexity = (betaResult.BetaUp - betaResult.BetaDown) * (betaResult.BetaUp - betaResult.BetaDown); - } - } - } - return list; - } - } - - private static void CalcBetaWindow(this BetaResult r, int i, int lookbackPeriods, double[] mrktReturns, double[] evalReturns, BetaType type) - { - CorrResult corrResult = new CorrResult(r.Date); - List list = new List(lookbackPeriods); - List list2 = new List(lookbackPeriods); - checked - { - for (int j = i - lookbackPeriods + 1; j <= i; j++) - { - double num = mrktReturns[j]; - double item = evalReturns[j]; - if (type == BetaType.Standard || (type == BetaType.Down && num < 0.0) || (type == BetaType.Up && num > 0.0)) - { - list.Add(num); - list2.Add(item); - } - } - if (list.Count <= 0) - { - return; - } - corrResult.PeriodCorrelation(list.ToArray(), list2.ToArray()); - if (corrResult.Covariance.HasValue && corrResult.VarianceA.HasValue && corrResult.VarianceA != 0.0) - { - double? num2 = (corrResult.Covariance / corrResult.VarianceA).NaN2Null(); - switch (type) - { - case BetaType.Standard: - r.Beta = num2; - break; - case BetaType.Down: - r.BetaDown = num2; - break; - case BetaType.Up: - r.BetaUp = num2; - break; - } - } - } - } - - private static void ValidateBeta(List<(DateTime, double)> tpListEval, List<(DateTime, double)> tpListMrkt, int lookbackPeriods) - { - if (lookbackPeriods <= 0) - { - throw new ArgumentOutOfRangeException("lookbackPeriods", lookbackPeriods, "Lookback periods must be greater than 0 for Beta."); - } - if (tpListEval.Count != tpListMrkt.Count) - { - throw new InvalidQuotesException("tpListEval", "Eval quotes should have the same number of Market quotes for Beta."); - } - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - int removePeriods = results.ToList().FindIndex((BetaResult x) => x.Beta.HasValue); - return results.Remove(removePeriods); - } - - /// - /// Bollinger Bands® depict volatility as standard deviation boundary lines from a moving average of price. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods in the lookback window.Width of bands. Number of Standard Deviations from the moving average.Time series of Bollinger Band and %B values.Invalid parameter value provided. - public static IEnumerable GetBollingerBands(this IEnumerable quotes, int lookbackPeriods = 20, double standardDeviations = 2.0) where TQuote : IQuote - { - return quotes.ToTuple(CandlePart.Close).CalcBollingerBands(lookbackPeriods, standardDeviations); - } - - public static IEnumerable GetBollingerBands(this IEnumerable results, int lookbackPeriods = 20, double standardDeviations = 2.0) - { - return results.ToTuple().CalcBollingerBands(lookbackPeriods, standardDeviations).SyncIndex(results, SyncType.Prepend); - } - - public static IEnumerable GetBollingerBands(this IEnumerable<(DateTime, double)> priceTuples, int lookbackPeriods = 20, double standardDeviations = 2.0) - { - return priceTuples.ToSortedList().CalcBollingerBands(lookbackPeriods, standardDeviations); - } - - internal static List CalcBollingerBands(this List<(DateTime, double)> tpList, int lookbackPeriods, double standardDeviations) - { - ValidateBollingerBands(lookbackPeriods, standardDeviations); - List list = new List(tpList.Count); - checked - { - for (int i = 0; i < tpList.Count; i++) - { - (DateTime, double) tuple = tpList[i]; - DateTime item = tuple.Item1; - double item2 = tuple.Item2; - BollingerBandsResult bollingerBandsResult = new BollingerBandsResult(item); - list.Add(bollingerBandsResult); - if (i + 1 >= lookbackPeriods) - { - double[] array = new double[lookbackPeriods]; - double num = 0.0; - int num2 = 0; - for (int j = i + 1 - lookbackPeriods; j <= i; j++) - { - num += (array[num2] = tpList[j].Item2); - num2++; - } - double? num3 = (num / (double)lookbackPeriods).NaN2Null(); - double? num4 = array.StdDev().NaN2Null(); - bollingerBandsResult.Sma = num3; - bollingerBandsResult.UpperBand = num3 + standardDeviations * num4; - bollingerBandsResult.LowerBand = num3 - standardDeviations * num4; - bollingerBandsResult.PercentB = ((bollingerBandsResult.UpperBand == bollingerBandsResult.LowerBand) ? ((double?)null) : ((item2 - bollingerBandsResult.LowerBand) / (bollingerBandsResult.UpperBand - bollingerBandsResult.LowerBand))); - bollingerBandsResult.ZScore = ((num4 == 0.0) ? ((double?)null) : ((item2 - bollingerBandsResult.Sma) / num4)); - bollingerBandsResult.Width = ((num3 == 0.0) ? ((double?)null) : ((bollingerBandsResult.UpperBand - bollingerBandsResult.LowerBand) / num3)); - } - } - return list; - } - } - - private static void ValidateBollingerBands(int lookbackPeriods, double standardDeviations) - { - if (lookbackPeriods <= 1) - { - throw new ArgumentOutOfRangeException("lookbackPeriods", lookbackPeriods, "Lookback periods must be greater than 1 for Bollinger Bands."); - } - if (standardDeviations <= 0.0) - { - throw new ArgumentOutOfRangeException("standardDeviations", standardDeviations, "Standard Deviations must be greater than 0 for Bollinger Bands."); - } - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - int removePeriods = results.ToList().FindIndex((BollingerBandsResult x) => x.Width.HasValue); - return results.Remove(removePeriods); - } - - /// - /// Balance of Power (aka Balance of Market Power) is a momentum oscillator that depicts the strength of buying and selling pressure. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods for smoothing.Time series of BOP values.Invalid parameter value provided. - public static IEnumerable GetBop(this IEnumerable quotes, int smoothPeriods = 14) where TQuote : IQuote - { - return quotes.ToQuoteD().CalcBop(smoothPeriods); - } - - internal static List CalcBop(this List qdList, int smoothPeriods) - { - ValidateBop(smoothPeriods); - int count = qdList.Count; - List list = new List(count); - double[] array = qdList.Select((QuoteD x) => (x.High == x.Low) ? double.NaN : ((x.Close - x.Open) / (x.High - x.Low))).ToArray(); - checked - { - for (int num = 0; num < count; num++) - { - BopResult bopResult = new BopResult(qdList[num].Date); - list.Add(bopResult); - if (num >= smoothPeriods - 1) - { - double num2 = 0.0; - for (int num3 = num - smoothPeriods + 1; num3 <= num; num3++) - { - num2 += array[num3]; - } - bopResult.Bop = (num2 / (double)smoothPeriods).NaN2Null(); - } - } - return list; - } - } - - private static void ValidateBop(int smoothPeriods) - { - if (smoothPeriods <= 0) - { - throw new ArgumentOutOfRangeException("smoothPeriods", smoothPeriods, "Smoothing periods must be greater than 0 for BOP."); - } - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - int removePeriods = results.ToList().FindIndex((BopResult x) => x.Bop.HasValue); - return results.Remove(removePeriods); - } - - /// - /// Commodity Channel Index (CCI) is an oscillator depicting deviation from typical price range, often used to identify cyclical trends. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods in the lookback window.Time series of CCI values.Invalid parameter value provided. - public static IEnumerable GetCci(this IEnumerable quotes, int lookbackPeriods = 20) where TQuote : IQuote - { - return quotes.ToQuoteD().CalcCci(lookbackPeriods); - } - - internal static List CalcCci(this List qdList, int lookbackPeriods) - { - ValidateCci(lookbackPeriods); - int count = qdList.Count; - List list = new List(count); - double[] array = new double[count]; - checked - { - for (int i = 0; i < count; i++) - { - QuoteD quoteD = qdList[i]; - array[i] = (quoteD.High + quoteD.Low + quoteD.Close) / 3.0; - CciResult cciResult = new CciResult(quoteD.Date); - list.Add(cciResult); - if (i + 1 >= lookbackPeriods) - { - double num = 0.0; - for (int j = i + 1 - lookbackPeriods; j <= i; j++) - { - num += array[j]; - } - num /= (double)lookbackPeriods; - double num2 = 0.0; - for (int k = i + 1 - lookbackPeriods; k <= i; k++) - { - num2 += Math.Abs(num - array[k]); - } - num2 /= (double)lookbackPeriods; - cciResult.Cci = ((num2 == 0.0) ? ((double?)null) : ((array[i] - num) / (0.015 * num2)).NaN2Null()); - } - } - return list; - } - } - - private static void ValidateCci(int lookbackPeriods) - { - if (lookbackPeriods <= 0) - { - throw new ArgumentOutOfRangeException("lookbackPeriods", lookbackPeriods, "Lookback periods must be greater than 0 for Commodity Channel Index."); - } - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - int removePeriods = results.ToList().FindIndex((CciResult x) => x.Cci.HasValue); - return results.Remove(removePeriods); - } - - /// - /// Chaikin Oscillator is the difference between fast and slow Exponential Moving Averages (EMA) of the Accumulation/Distribution Line (ADL). - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods for the ADL fast EMA.Number of periods for the ADL slow EMA.Time series of Chaikin Oscillator, Money Flow Volume, and ADL values.Invalid parameter value provided. - public static IEnumerable GetChaikinOsc(this IEnumerable quotes, int fastPeriods = 3, int slowPeriods = 10) where TQuote : IQuote - { - return quotes.ToQuoteD().CalcChaikinOsc(fastPeriods, slowPeriods); - } - - internal static List CalcChaikinOsc(this List qdList, int fastPeriods, int slowPeriods) - { - ValidateChaikinOsc(fastPeriods, slowPeriods); - List list = (from r in qdList.CalcAdl(null) - select new ChaikinOscResult(r.Date) - { - MoneyFlowMultiplier = r.MoneyFlowMultiplier, - MoneyFlowVolume = r.MoneyFlowVolume, - Adl = r.Adl - }).ToList(); - List<(DateTime Date, double)> tpList = list.Select((ChaikinOscResult x) => (Date: x.Date, x.Adl ?? double.NaN)).ToList(); - List list2 = tpList.CalcEma(slowPeriods); - List list3 = tpList.CalcEma(fastPeriods); - checked - { - for (int num = slowPeriods - 1; num < list.Count; num++) - { - ChaikinOscResult chaikinOscResult = list[num]; - EmaResult emaResult = list3[num]; - EmaResult emaResult2 = list2[num]; - chaikinOscResult.Oscillator = emaResult.Ema - emaResult2.Ema; - } - return list; - } - } - - private static void ValidateChaikinOsc(int fastPeriods, int slowPeriods) - { - if (fastPeriods <= 0) - { - throw new ArgumentOutOfRangeException("fastPeriods", fastPeriods, "Fast lookback periods must be greater than 0 for Chaikin Oscillator."); - } - if (slowPeriods <= fastPeriods) - { - throw new ArgumentOutOfRangeException("slowPeriods", slowPeriods, "Slow lookback periods must be greater than Fast lookback period for Chaikin Oscillator."); - } - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - checked - { - int num = results.ToList().FindIndex((ChaikinOscResult x) => x.Oscillator.HasValue) + 1; - return results.Remove(num + 100); - } - } - - /// - /// Chandelier Exit is typically used for stop-loss and can be computed for both long or short types. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods in the lookback window.Multiplier.Short or Long variant selection.Time series of Chandelier Exit values.Invalid parameter value provided. - public static IEnumerable GetChandelier(this IEnumerable quotes, int lookbackPeriods = 22, double multiplier = 3.0, ChandelierType type = ChandelierType.Long) where TQuote : IQuote - { - return quotes.ToQuoteD().CalcChandelier(lookbackPeriods, multiplier, type); - } - - internal static List CalcChandelier(this List qdList, int lookbackPeriods, double multiplier, ChandelierType type) - { - ValidateChandelier(lookbackPeriods, multiplier); - int count = qdList.Count; - List list = new List(count); - List list2 = qdList.CalcAtr(lookbackPeriods).ToList(); - checked - { - for (int i = 0; i < count; i++) - { - ChandelierResult chandelierResult = new ChandelierResult(qdList[i].Date); - list.Add(chandelierResult); - if (i < lookbackPeriods) - { - continue; - } - double? atr = list2[i].Atr; - switch (type) - { - case ChandelierType.Long: - { - double num2 = 0.0; - for (int k = i + 1 - lookbackPeriods; k <= i; k++) - { - QuoteD quoteD2 = qdList[k]; - if (quoteD2.High > num2) - { - num2 = quoteD2.High; - } - } - chandelierResult.ChandelierExit = num2 - atr * multiplier; - break; - } - case ChandelierType.Short: - { - double num = double.MaxValue; - for (int j = i + 1 - lookbackPeriods; j <= i; j++) - { - QuoteD quoteD = qdList[j]; - if (quoteD.Low < num) - { - num = quoteD.Low; - } - } - chandelierResult.ChandelierExit = num + atr * multiplier; - break; - } - default: - throw new ArgumentOutOfRangeException("type"); - } - } - return list; - } - } - - private static void ValidateChandelier(int lookbackPeriods, double multiplier) - { - if (lookbackPeriods <= 0) - { - throw new ArgumentOutOfRangeException("lookbackPeriods", lookbackPeriods, "Lookback periods must be greater than 0 for Chandelier Exit."); - } - if (multiplier <= 0.0) - { - throw new ArgumentOutOfRangeException("multiplier", multiplier, "Multiplier must be greater than 0 for Chandelier Exit."); - } - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - int removePeriods = results.ToList().FindIndex((ChandelierResult x) => x.ChandelierExit.HasValue); - return results.Remove(removePeriods); - } - - /// - /// Choppiness Index (CHOP) measures the trendiness or choppiness over N lookback periods - /// on a scale of 0 to 100. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods in the lookback window.Time series of CHOP values.Invalid parameter value provided. - public static IEnumerable GetChop(this IEnumerable quotes, int lookbackPeriods = 14) where TQuote : IQuote - { - return quotes.ToQuoteD().CalcChop(lookbackPeriods); - } - - internal static List CalcChop(this List qdList, int lookbackPeriods) - { - ValidateChop(lookbackPeriods); - int count = qdList.Count; - List list = new List(count); - double[] array = new double[count]; - double[] array2 = new double[count]; - double[] array3 = new double[count]; - checked - { - for (int i = 0; i < qdList.Count; i++) - { - ChopResult chopResult = new ChopResult(qdList[i].Date); - list.Add(chopResult); - if (i <= 0) - { - continue; - } - array[i] = Math.Max(qdList[i].High, qdList[i - 1].Close); - array2[i] = Math.Min(qdList[i].Low, qdList[i - 1].Close); - array3[i] = array[i] - array2[i]; - if (i >= lookbackPeriods) - { - double num = array3[i]; - double num2 = array[i]; - double num3 = array2[i]; - for (int j = 1; j < lookbackPeriods; j++) - { - num += array3[i - j]; - num2 = Math.Max(num2, array[i - j]); - num3 = Math.Min(num3, array2[i - j]); - } - double num4 = num2 - num3; - if (num4 != 0.0) - { - chopResult.Chop = 100.0 * (Math.Log(num / num4) / Math.Log(lookbackPeriods)); - } - } - } - return list; - } - } - - private static void ValidateChop(int lookbackPeriods) - { - if (lookbackPeriods <= 1) - { - throw new ArgumentOutOfRangeException("lookbackPeriods", lookbackPeriods, "Lookback periods must be greater than 1 for CHOP."); - } - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - int removePeriods = results.ToList().FindIndex((ChopResult x) => x.Chop.HasValue); - return results.Remove(removePeriods); - } - - /// - /// Chaikin Money Flow (CMF) is the simple moving average of Money Flow Volume (MFV). - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods for the MFV moving average.Time series of Chaikin Money Flow and MFV values.Invalid parameter value provided. - public static IEnumerable GetCmf(this IEnumerable quotes, int lookbackPeriods = 20) where TQuote : IQuote - { - return quotes.ToQuoteD().CalcCmf(lookbackPeriods); - } - - internal static List CalcCmf(this List qdList, int lookbackPeriods) - { - List<(DateTime, double)> list = qdList.ToTuple(CandlePart.Volume); - ValidateCmf(lookbackPeriods); - int count = list.Count; - List list2 = new List(count); - List list3 = qdList.CalcAdl(null).ToList(); - checked - { - for (int i = 0; i < count; i++) - { - AdlResult adlResult = list3[i]; - CmfResult cmfResult = new CmfResult(adlResult.Date) - { - MoneyFlowMultiplier = adlResult.MoneyFlowMultiplier, - MoneyFlowVolume = adlResult.MoneyFlowVolume - }; - list2.Add(cmfResult); - if (i >= lookbackPeriods - 1) - { - double? num = 0.0; - double? num2 = 0.0; - for (int j = i + 1 - lookbackPeriods; j <= i; j++) - { - num2 += list[j].Item2; - num += list3[j].MoneyFlowVolume; - } - double? num3 = num / (double)lookbackPeriods; - double? num4 = num2 / (double)lookbackPeriods; - if (num4 != 0.0) - { - cmfResult.Cmf = num3 / num4; - } - } - } - return list2; - } - } - - private static void ValidateCmf(int lookbackPeriods) - { - if (lookbackPeriods <= 0) - { - throw new ArgumentOutOfRangeException("lookbackPeriods", lookbackPeriods, "Lookback periods must be greater than 0 for Chaikin Money Flow."); - } - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - int removePeriods = results.ToList().FindIndex((CmfResult x) => x.Cmf.HasValue); - return results.Remove(removePeriods); - } - - /// - /// The Chande Momentum Oscillator is a momentum indicator depicting the weighted percent of higher prices in financial markets. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods in the lookback window.Time series of CMO values.Invalid parameter value provided. - public static IEnumerable GetCmo(this IEnumerable quotes, int lookbackPeriods) where TQuote : IQuote - { - return quotes.ToTuple(CandlePart.Close).CalcCmo(lookbackPeriods); - } - - public static IEnumerable GetCmo(this IEnumerable results, int lookbackPeriods) - { - return results.ToTuple().CalcCmo(lookbackPeriods).SyncIndex(results, SyncType.Prepend); - } - - public static IEnumerable GetCmo(this IEnumerable<(DateTime, double)> priceTuples, int lookbackPeriods) - { - return priceTuples.ToSortedList().CalcCmo(lookbackPeriods); - } - - internal static List CalcCmo(this List<(DateTime, double)> tpList, int lookbackPeriods) - { - ValidateCmo(lookbackPeriods); - int count = tpList.Count; - List list = new List(count); - List<(bool?, double)> list2 = new List<(bool?, double)>(count); - double num = double.NaN; - if (count > 0) - { - list.Add(new CmoResult(tpList[0].Item1)); - list2.Add((null, double.NaN)); - num = tpList[0].Item2; - } - checked - { - for (int i = 1; i < count; i++) - { - (DateTime, double) tuple = tpList[i]; - DateTime item = tuple.Item1; - double item2 = tuple.Item2; - CmoResult cmoResult = new CmoResult(item); - list.Add(cmoResult); - list2.Add(((item2 > num) ? new bool?(true) : ((item2 < num) ? new bool?(false) : ((bool?)null)), Math.Abs(item2 - num))); - if (i >= lookbackPeriods) - { - double num2 = 0.0; - double num3 = 0.0; - for (int j = i - lookbackPeriods + 1; j <= i; j++) - { - var (flag, num4) = list2[j]; - if (flag.HasValue) - { - if (flag == true) - { - num2 += num4; - } - else - { - num3 += num4; - } - } - } - cmoResult.Cmo = ((num2 + num3 != 0.0) ? (100.0 * (num2 - num3) / (num2 + num3)).NaN2Null() : ((double?)null)); - } - num = item2; - } - return list; - } - } - - private static void ValidateCmo(int lookbackPeriods) - { - if (lookbackPeriods <= 0) - { - throw new ArgumentOutOfRangeException("lookbackPeriods", lookbackPeriods, "Lookback periods must be greater than 0 for CMO."); - } - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - int removePeriods = results.ToList().FindIndex((CmoResult x) => x.Cmo.HasValue); - return results.Remove(removePeriods); - } - - /// - /// ConnorsRSI is a composite oscillator that incorporates RSI, winning/losing streaks, and percentile gain metrics on scale of 0 to 100. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods in the RSI.Number of periods for streak RSI.Number of periods for the percentile ranking.Time series of ConnorsRSI, RSI, Streak RSI, and Percent Rank values.Invalid parameter value provided. - public static IEnumerable GetConnorsRsi(this IEnumerable quotes, int rsiPeriods = 3, int streakPeriods = 2, int rankPeriods = 100) where TQuote : IQuote - { - return quotes.ToTuple(CandlePart.Close).CalcConnorsRsi(rsiPeriods, streakPeriods, rankPeriods); - } - - public static IEnumerable GetConnorsRsi(this IEnumerable results, int rsiPeriods = 3, int streakPeriods = 2, int rankPeriods = 100) - { - return results.ToTuple().CalcConnorsRsi(rsiPeriods, streakPeriods, rankPeriods).SyncIndex(results, SyncType.Prepend); - } - - public static IEnumerable GetConnorsRsi(this IEnumerable<(DateTime, double)> priceTuples, int rsiPeriods = 3, int streakPeriods = 2, int rankPeriods = 100) - { - return priceTuples.ToSortedList().CalcConnorsRsi(rsiPeriods, streakPeriods, rankPeriods); - } - - internal static List CalcConnorsRsi(this List<(DateTime, double)> tpList, int rsiPeriods, int streakPeriods, int rankPeriods) - { - ValidateConnorsRsi(rsiPeriods, streakPeriods, rankPeriods); - List list = tpList.CalcStreak(rsiPeriods, rankPeriods); - checked - { - int num = Math.Max(rsiPeriods, Math.Max(streakPeriods, rankPeriods)) + 2; - int count = list.Count; - List list2 = (from x in list.Remove(Math.Min(count, 1)) - select ((DateTime Date, double))(Date: x.Date, x.Streak)).ToList().CalcRsi(streakPeriods); - for (int num2 = streakPeriods + 2; num2 < count; num2++) - { - ConnorsRsiResult connorsRsiResult = list[num2]; - RsiResult rsiResult = list2[num2 - 1]; - connorsRsiResult.RsiStreak = rsiResult.Rsi; - if (num2 + 1 >= num) - { - connorsRsiResult.ConnorsRsi = (connorsRsiResult.Rsi + connorsRsiResult.RsiStreak + connorsRsiResult.PercentRank) / 3.0; - } - } - return list; - } - } - - private static List CalcStreak(this List<(DateTime Date, double Streak)> tpList, int rsiPeriods, int rankPeriods) - { - List list = tpList.CalcRsi(rsiPeriods); - int count = tpList.Count; - List list2 = new List(count); - double[] array = new double[count]; - double num = double.NaN; - int num2 = 0; - checked - { - for (int i = 0; i < count; i++) - { - (DateTime Date, double Streak) tuple = tpList[i]; - DateTime item = tuple.Date; - double item2 = tuple.Streak; - ConnorsRsiResult connorsRsiResult = new ConnorsRsiResult(item) - { - Rsi = list[i].Rsi - }; - list2.Add(connorsRsiResult); - if (i == 0) - { - num = item2; - continue; - } - num2 = (connorsRsiResult.Streak = ((item2 != num) ? ((item2 > num) ? ((num2 < 0) ? 1 : (num2 + 1)) : ((num2 > 0) ? (-1) : (num2 - 1))) : 0)); - array[i] = ((num <= 0.0) ? double.NaN : ((item2 - num) / num)); - if (i + 1 > rankPeriods) - { - int num4 = 0; - for (int j = i - rankPeriods; j <= i; j++) - { - if (array[j] < array[i]) - { - num4++; - } - } - unchecked - { - connorsRsiResult.PercentRank = checked(100 * num4) / rankPeriods; - } - } - num = item2; - } - return list2; - } - } - - private static void ValidateConnorsRsi(int rsiPeriods, int streakPeriods, int rankPeriods) - { - if (rsiPeriods <= 1) - { - throw new ArgumentOutOfRangeException("rsiPeriods", rsiPeriods, "RSI period for Close price must be greater than 1 for ConnorsRsi."); - } - if (streakPeriods <= 1) - { - throw new ArgumentOutOfRangeException("streakPeriods", streakPeriods, "RSI period for Streak must be greater than 1 for ConnorsRsi."); - } - if (rankPeriods <= 1) - { - throw new ArgumentOutOfRangeException("rankPeriods", rankPeriods, "Percent Rank periods must be greater than 1 for ConnorsRsi."); - } - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - int removePeriods = results.ToList().FindIndex((ConnorsRsiResult x) => x.ConnorsRsi.HasValue); - return results.Remove(removePeriods); - } - - /// - /// Correlation Coefficient between two quote histories, based on price. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes A for comparison.Historical price quotes B for comparison.Number of periods in the lookback window. - /// Time series of Correlation Coefficient values. - /// R², Variance, and Covariance are also included. - /// Invalid parameter value provided.Invalid quotes provided. - public static IEnumerable GetCorrelation(this IEnumerable quotesA, IEnumerable quotesB, int lookbackPeriods) where TQuote : IQuote - { - List<(DateTime, double)> tpListA = quotesA.ToTuple(CandlePart.Close); - List<(DateTime, double)> tpListB = quotesB.ToTuple(CandlePart.Close); - return tpListA.CalcCorrelation(tpListB, lookbackPeriods); - } - - public static IEnumerable GetCorrelation(this IEnumerable quotesA, IEnumerable quotesB, int lookbackPeriods) - { - List<(DateTime Date, double Value)> tpListA = quotesA.ToTuple(); - List<(DateTime, double)> tpListB = quotesB.ToTuple(); - return tpListA.CalcCorrelation(tpListB, lookbackPeriods).SyncIndex(quotesA, SyncType.Prepend); - } - - public static IEnumerable GetCorrelation(this IEnumerable<(DateTime, double)> tuplesA, IEnumerable<(DateTime, double)> tuplesB, int lookbackPeriods) - { - List<(DateTime, double)> tpListA = tuplesA.ToSortedList(); - List<(DateTime, double)> tpListB = tuplesB.ToSortedList(); - return tpListA.CalcCorrelation(tpListB, lookbackPeriods); - } - - internal static List CalcCorrelation(this List<(DateTime, double)> tpListA, List<(DateTime, double)> tpListB, int lookbackPeriods) - { - ValidateCorrelation(tpListA, tpListB, lookbackPeriods); - int count = tpListA.Count; - List list = new List(count); - checked - { - for (int i = 0; i < count; i++) - { - DateTime item = tpListA[i].Item1; - DateTime item2 = tpListB[i].Item1; - if (item != item2) - { - throw new InvalidQuotesException("tpListA", item, "Date sequence does not match. Correlation requires matching dates in provided histories."); - } - CorrResult corrResult = new CorrResult(item); - list.Add(corrResult); - if (i >= lookbackPeriods - 1) - { - double[] array = new double[lookbackPeriods]; - double[] array2 = new double[lookbackPeriods]; - int num = 0; - for (int j = i + 1 - lookbackPeriods; j <= i; j++) - { - array[num] = tpListA[j].Item2; - array2[num] = tpListB[j].Item2; - num++; - } - corrResult.PeriodCorrelation(array, array2); - } - } - return list; - } - } - - private static void PeriodCorrelation(this CorrResult r, double[] dataA, double[] dataB) - { - int num = dataA.Length; - double num2 = 0.0; - double num3 = 0.0; - double num4 = 0.0; - double num5 = 0.0; - double num6 = 0.0; - for (int i = 0; i < num; i = checked(i + 1)) - { - double num7 = dataA[i]; - double num8 = dataB[i]; - num2 += num7; - num3 += num8; - num4 += num7 * num7; - num5 += num8 * num8; - num6 += num7 * num8; - } - double num9 = num2 / (double)num; - double num10 = num3 / (double)num; - double num11 = num4 / (double)num; - double num12 = num5 / (double)num; - double num13 = num6 / (double)num; - double num14 = num11 - num9 * num9; - double num15 = num12 - num10 * num10; - double num16 = num13 - num9 * num10; - double num17 = Math.Sqrt(num14 * num15); - r.VarianceA = num14.NaN2Null(); - r.VarianceB = num15.NaN2Null(); - r.Covariance = num16.NaN2Null(); - r.Correlation = ((num17 == 0.0) ? ((double?)null) : (num16 / num17).NaN2Null()); - r.RSquared = r.Correlation * r.Correlation; - } - - private static void ValidateCorrelation(List<(DateTime, double)> quotesA, List<(DateTime, double)> quotesB, int lookbackPeriods) - { - if (lookbackPeriods <= 0) - { - throw new ArgumentOutOfRangeException("lookbackPeriods", lookbackPeriods, "Lookback periods must be greater than 0 for Correlation."); - } - if (quotesA.Count != quotesB.Count) - { - throw new InvalidQuotesException("quotesB", "B quotes should have at least as many records as A quotes for Correlation."); - } - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - int removePeriods = results.ToList().FindIndex((CorrResult x) => x.Correlation.HasValue); - return results.Remove(removePeriods); - } - - /// - /// Double Exponential Moving Average (DEMA) of the price. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods in the lookback window.Time series of Double EMA values.Invalid parameter value provided. - public static IEnumerable GetDema(this IEnumerable quotes, int lookbackPeriods) where TQuote : IQuote - { - return quotes.ToTuple(CandlePart.Close).CalcDema(lookbackPeriods); - } - - public static IEnumerable GetDema(this IEnumerable results, int lookbackPeriods) - { - return results.ToTuple().CalcDema(lookbackPeriods).SyncIndex(results, SyncType.Prepend); - } - - public static IEnumerable GetDema(this IEnumerable<(DateTime, double)> priceTuples, int lookbackPeriods) - { - return priceTuples.ToSortedList().CalcDema(lookbackPeriods); - } - - internal static List CalcDema(this List<(DateTime, double)> tpList, int lookbackPeriods) - { - ValidateDema(lookbackPeriods); - int count = tpList.Count; - List list = new List(count); - checked - { - double num = 2.0 / (double)(lookbackPeriods + 1); - double? num2 = 0.0; - int num3 = Math.Min(lookbackPeriods, count); - for (int i = 0; i < num3; i++) - { - num2 += tpList[i].Item2; - } - num2 /= (double)lookbackPeriods; - double? num4 = num2; - for (int j = 0; j < count; j++) - { - (DateTime, double) tuple = tpList[j]; - DateTime item = tuple.Item1; - double item2 = tuple.Item2; - DemaResult demaResult = new DemaResult(item); - list.Add(demaResult); - if (j > lookbackPeriods - 1) - { - double? num5 = num2 + num * (item2 - num2); - double? num6 = num4 + num * (num5 - num4); - demaResult.Dema = (2.0 * num5 - num6).NaN2Null(); - num2 = num5; - num4 = num6; - } - else if (j == lookbackPeriods - 1) - { - demaResult.Dema = 2.0 * num2 - num4; - } - } - return list; - } - } - - private static void ValidateDema(int lookbackPeriods) - { - if (lookbackPeriods <= 0) - { - throw new ArgumentOutOfRangeException("lookbackPeriods", lookbackPeriods, "Lookback periods must be greater than 0 for DEMA."); - } - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - checked - { - int num = results.ToList().FindIndex((DemaResult x) => x.Dema.HasValue) + 1; - return results.Remove(2 * num + 100); - } - } - - /// - /// Doji is a single candlestick pattern where open and close price are virtually identical, representing market indecision. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Optional. Maximum absolute percent difference in open and close price.Time series of Doji values.Invalid parameter value provided. - public static IEnumerable GetDoji(this IEnumerable quotes, double maxPriceChangePercent = 0.1) where TQuote : IQuote - { - return quotes.CalcDoji(maxPriceChangePercent); - } - - /// - /// Doji is a single candlestick pattern where open and close price are virtually identical, representing market indecision. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Optional. Maximum absolute percent difference in open and close price.Time series of Doji values.Invalid parameter value provided. - internal static List CalcDoji(this IEnumerable quotes, double maxPriceChangePercent) where TQuote : IQuote - { - ValidateDoji(maxPriceChangePercent); - List list = quotes.ToCandleResults(); - maxPriceChangePercent /= 100.0; - int count = list.Count; - for (int i = 0; i < count; i = checked(i + 1)) - { - CandleResult candleResult = list[i]; - if (candleResult.Candle.Open != 0m && Math.Abs((double)(candleResult.Candle.Close / candleResult.Candle.Open) - 1.0) <= maxPriceChangePercent) - { - candleResult.Price = candleResult.Candle.Close; - candleResult.Match = Match.Neutral; - } - } - return list; - } - - private static void ValidateDoji(double maxPriceChangePercent) - { - if ((maxPriceChangePercent < 0.0 || maxPriceChangePercent > 0.5) ? true : false) - { - throw new ArgumentOutOfRangeException("maxPriceChangePercent", maxPriceChangePercent, "Maximum Percent Change must be between 0 and 0.5 for Doji (0% to 0.5%)."); - } - } - - /// - /// Donchian Channels, also called Price Channels, are derived from highest High and lowest Low values over a lookback window. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods in the lookback window.Time series of Donchian Channel values.Invalid parameter value provided. - public static IEnumerable GetDonchian(this IEnumerable quotes, int lookbackPeriods = 20) where TQuote : IQuote - { - return quotes.ToSortedList().CalcDonchian(lookbackPeriods); - } - - internal static List CalcDonchian(this List quotesList, int lookbackPeriods) where TQuote : IQuote - { - ValidateDonchian(lookbackPeriods); - int count = quotesList.Count; - List list = new List(count); - checked - { - for (int i = 0; i < count; i++) - { - DonchianResult donchianResult = new DonchianResult(quotesList[i].Date); - list.Add(donchianResult); - if (i < lookbackPeriods) - { - continue; - } - decimal num = default(decimal); - decimal num2 = decimal.MaxValue; - for (int j = i - lookbackPeriods; j < i; j++) - { - TQuote val = quotesList[j]; - if (val.High > num) - { - num = val.High; - } - if (val.Low < num2) - { - num2 = val.Low; - } - } - donchianResult.UpperBand = num; - donchianResult.LowerBand = num2; - donchianResult.Centerline = (donchianResult.UpperBand + donchianResult.LowerBand) / (decimal?)2m; - decimal? centerline = donchianResult.Centerline; - donchianResult.Width = (((centerline.GetValueOrDefault() == default(decimal)) & centerline.HasValue) ? ((decimal?)null) : ((donchianResult.UpperBand - donchianResult.LowerBand) / donchianResult.Centerline)); - } - return list; - } - } - - private static void ValidateDonchian(int lookbackPeriods) - { - if (lookbackPeriods <= 0) - { - throw new ArgumentOutOfRangeException("lookbackPeriods", lookbackPeriods, "Lookback periods must be greater than 0 for Donchian Channel."); - } - } - - /// Removes non-essential records containing null values with unique consideration for - /// this indicator. See - /// documentation for more information. - /// Indicator results to evaluate.Time series of - /// indicator results, condensed. - public static IEnumerable Condense(this IEnumerable results) - { - List list = results.ToList(); - list.RemoveAll((DonchianResult x) => !x.UpperBand.HasValue && !x.LowerBand.HasValue && !x.Centerline.HasValue); - return list.ToSortedList(); - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - int removePeriods = results.ToList().FindIndex((DonchianResult x) => x.Width.HasValue); - return results.Remove(removePeriods); - } - - /// - /// Detrended Price Oscillator (DPO) depicts the difference between price and an offset simple moving average. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods in the lookback window.Time series of DPO values.Invalid parameter value provided. - public static IEnumerable GetDpo(this IEnumerable quotes, int lookbackPeriods) where TQuote : IQuote - { - return quotes.ToTuple(CandlePart.Close).CalcDpo(lookbackPeriods); - } - - public static IEnumerable GetDpo(this IEnumerable results, int lookbackPeriods) - { - return results.ToTuple().CalcDpo(lookbackPeriods).SyncIndex(results, SyncType.Prepend); - } - - public static IEnumerable GetDpo(this IEnumerable<(DateTime, double)> priceTuples, int lookbackPeriods) - { - return priceTuples.ToSortedList().CalcDpo(lookbackPeriods); - } - - internal static List CalcDpo(this List<(DateTime, double)> tpList, int lookbackPeriods) - { - ValidateDpo(lookbackPeriods); - int count = tpList.Count; - checked - { - int num = unchecked(lookbackPeriods / 2) + 1; - List list = tpList.GetSma(lookbackPeriods).ToList(); - List list2 = new List(count); - for (int i = 0; i < count; i++) - { - (DateTime, double) tuple = tpList[i]; - DateTime item = tuple.Item1; - double item2 = tuple.Item2; - DpoResult dpoResult = new DpoResult(item); - list2.Add(dpoResult); - if (i >= lookbackPeriods - num - 1 && i < count - num) - { - SmaResult smaResult = list[i + num]; - dpoResult.Sma = smaResult.Sma; - dpoResult.Dpo = ((!smaResult.Sma.HasValue) ? ((double?)null) : (item2 - smaResult.Sma).NaN2Null()); - } - } - return list2; - } - } - - private static void ValidateDpo(int lookbackPeriods) - { - if (lookbackPeriods <= 0) - { - throw new ArgumentOutOfRangeException("lookbackPeriods", lookbackPeriods, "Lookback periods must be greater than 0 for DPO."); - } - } - - /// - /// McGinley Dynamic is a more responsive variant of exponential moving average. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods in the lookback window.Optional. Range adjustment factor.Time series of Dynamic values.Invalid parameter value provided. - public static IEnumerable GetDynamic(this IEnumerable quotes, int lookbackPeriods, double kFactor = 0.6) where TQuote : IQuote - { - return quotes.ToTuple(CandlePart.Close).CalcDynamic(lookbackPeriods, kFactor); - } - - public static IEnumerable GetDynamic(this IEnumerable results, int lookbackPeriods, double kFactor = 0.6) - { - return results.ToTuple().CalcDynamic(lookbackPeriods, kFactor).SyncIndex(results, SyncType.Prepend); - } - - public static IEnumerable GetDynamic(this IEnumerable<(DateTime, double)> priceTuples, int lookbackPeriods, double kFactor = 0.6) - { - return priceTuples.ToSortedList().CalcDynamic(lookbackPeriods, kFactor); - } - - internal static List CalcDynamic(this List<(DateTime, double)> tpList, int lookbackPeriods, double kFactor) - { - ValidateDynamic(lookbackPeriods, kFactor); - int num = 1; - int count = tpList.Count; - List list = new List(count); - if (count == 0) - { - return list; - } - double num2 = tpList[0].Item2; - checked - { - for (int i = 0; i < count; i++) - { - (DateTime, double) tuple = tpList[i]; - DateTime item = tuple.Item1; - double item2 = tuple.Item2; - DynamicResult dynamicResult = new DynamicResult(item); - list.Add(dynamicResult); - if (double.IsNaN(item2) || num2 == 0.0) - { - num2 = item2; - num = i + lookbackPeriods; - continue; - } - double num3 = num2 + (item2 - num2) / (kFactor * (double)lookbackPeriods * Math.Pow(item2 / num2, 4.0)); - if (i >= num) - { - dynamicResult.Dynamic = num3.NaN2Null(); - } - num2 = num3; - } - return list; - } - } - - private static void ValidateDynamic(int lookbackPeriods, double kFactor) - { - if (lookbackPeriods <= 0) - { - throw new ArgumentOutOfRangeException("lookbackPeriods", lookbackPeriods, "Lookback periods must be greater than 0 for DYNAMIC."); - } - if (kFactor <= 0.0) - { - throw new ArgumentOutOfRangeException("kFactor", kFactor, "K-Factor range adjustment must be greater than 0 for DYNAMIC."); - } - } - - /// - /// The Elder-ray Index depicts buying and selling pressure, also known as Bull and Bear Power. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods for the EMA.Time series of Elder-ray Index values.Invalid parameter value provided. - public static IEnumerable GetElderRay(this IEnumerable quotes, int lookbackPeriods = 13) where TQuote : IQuote - { - return quotes.ToQuoteD().CalcElderRay(lookbackPeriods); - } - - internal static List CalcElderRay(this List qdList, int lookbackPeriods) - { - ValidateElderRay(lookbackPeriods); - List list = (from x in qdList.ToTuple(CandlePart.Close).CalcEma(lookbackPeriods) - select new ElderRayResult(x.Date) - { - Ema = x.Ema - }).ToList(); - checked - { - for (int num = lookbackPeriods - 1; num < qdList.Count; num++) - { - QuoteD quoteD = qdList[num]; - ElderRayResult elderRayResult = list[num]; - elderRayResult.BullPower = quoteD.High - elderRayResult.Ema; - elderRayResult.BearPower = quoteD.Low - elderRayResult.Ema; - } - return list; - } - } - - private static void ValidateElderRay(int lookbackPeriods) - { - if (lookbackPeriods <= 0) - { - throw new ArgumentOutOfRangeException("lookbackPeriods", lookbackPeriods, "Lookback periods must be greater than 0 for Elder-ray Index."); - } - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - checked - { - int num = results.ToList().FindIndex((ElderRayResult x) => x.BullPower.HasValue) + 1; - return results.Remove(num + 100); - } - } - - /// - /// Exponential Moving Average (EMA) of price or any other specified OHLCV element. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods in the lookback window.Time series of EMA values.Invalid parameter value provided. - public static IEnumerable GetEma(this IEnumerable quotes, int lookbackPeriods) where TQuote : IQuote - { - return quotes.ToTuple(CandlePart.Close).CalcEma(lookbackPeriods); - } - - public static IEnumerable GetEma(this IEnumerable results, int lookbackPeriods) - { - return results.ToTuple().CalcEma(lookbackPeriods).SyncIndex(results, SyncType.Prepend); - } - - public static IEnumerable GetEma(this IEnumerable<(DateTime, double)> priceTuples, int lookbackPeriods) - { - return priceTuples.ToSortedList().CalcEma(lookbackPeriods); - } - - /// - /// Extablish a streaming base for Exponential Moving Average (EMA). - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods in the lookback window.EMA base that you can add Quotes to with the .Add(quote) method.Invalid parameter value provided. - internal static EmaBase InitEma(this IEnumerable quotes, int lookbackPeriods) where TQuote : IQuote - { - return new EmaBase(quotes.ToTuple(CandlePart.Close), lookbackPeriods); - } - - internal static EmaBase InitEma(this IEnumerable results, int lookbackPeriods) - { - return new EmaBase(results.ToTuple(), lookbackPeriods); - } - - internal static List CalcEma(this List<(DateTime, double)> tpList, int lookbackPeriods) - { - EmaBase.Validate(lookbackPeriods); - int count = tpList.Count; - List list = new List(count); - double num = 0.0; - checked - { - double k = 2.0 / (double)(lookbackPeriods + 1); - int num2 = Math.Min(lookbackPeriods, count); - for (int i = 0; i < num2; i++) - { - double item = tpList[i].Item2; - num += item; - } - num /= (double)lookbackPeriods; - for (int j = 0; j < count; j++) - { - (DateTime, double) tuple = tpList[j]; - DateTime item2 = tuple.Item1; - double item3 = tuple.Item2; - EmaResult emaResult = new EmaResult(item2); - list.Add(emaResult); - if (j + 1 > lookbackPeriods) - { - double num3 = EmaBase.Increment(item3, num, k); - emaResult.Ema = num3.NaN2Null(); - num = num3; - } - else if (j == lookbackPeriods - 1) - { - emaResult.Ema = num.NaN2Null(); - } - } - return list; - } - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - checked - { - int num = results.ToList().FindIndex((EmaResult x) => x.Ema.HasValue) + 1; - return results.Remove(num + 100); - } - } - - /// - /// Endpoint Moving Average (EPMA), also known as Least Squares Moving Average (LSMA), plots the projected last point of a linear regression lookback window. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods in the lookback window.Time series of Endpoint Moving Average values.Invalid parameter value provided. - public static IEnumerable GetEpma(this IEnumerable quotes, int lookbackPeriods) where TQuote : IQuote - { - return quotes.ToTuple(CandlePart.Close).CalcEpma(lookbackPeriods); - } - - public static IEnumerable GetEpma(this IEnumerable results, int lookbackPeriods) - { - return results.ToTuple().CalcEpma(lookbackPeriods).SyncIndex(results, SyncType.Prepend); - } - - public static IEnumerable GetEpma(this IEnumerable<(DateTime, double)> priceTuples, int lookbackPeriods) - { - return priceTuples.ToSortedList().CalcEpma(lookbackPeriods); - } - - internal static List CalcEpma(this List<(DateTime, double)> tpList, int lookbackPeriods) - { - ValidateEpma(lookbackPeriods); - List list = tpList.CalcSlope(lookbackPeriods).ToList(); - int count = list.Count; - List list2 = new List(count); - checked - { - for (int i = 0; i < count; i++) - { - SlopeResult slopeResult = list[i]; - EpmaResult item = new EpmaResult(slopeResult.Date) - { - Epma = (slopeResult.Slope * (double)(i + 1) + slopeResult.Intercept).NaN2Null() - }; - list2.Add(item); - } - return list2; - } - } - - private static void ValidateEpma(int lookbackPeriods) - { - if (lookbackPeriods <= 0) - { - throw new ArgumentOutOfRangeException("lookbackPeriods", lookbackPeriods, "Lookback periods must be greater than 0 for Epma."); - } - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - int removePeriods = results.ToList().FindIndex((EpmaResult x) => x.Epma.HasValue); - return results.Remove(removePeriods); - } - - /// - /// Fractal Chaos Bands outline high and low price channels to depict broad less-chaotic price movements. FCB is a channelized depiction of Williams Fractals. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of span periods in the evaluation window.Time series of Fractal Chaos Band and Oscillator values.Invalid parameter value provided. - public static IEnumerable GetFcb(this IEnumerable quotes, int windowSpan = 2) where TQuote : IQuote - { - return quotes.ToSortedList().CalcFcb(windowSpan); - } - - internal static List CalcFcb(this List quotesList, int windowSpan) where TQuote : IQuote - { - ValidateFcb(windowSpan); - List list = quotesList.CalcFractal(windowSpan, windowSpan, EndType.HighLow).ToList(); - int count = list.Count; - List list2 = new List(count); - decimal? num = null; - decimal? num2 = null; - checked - { - for (int i = 0; i < count; i++) - { - FcbResult fcbResult = new FcbResult(list[i].Date); - list2.Add(fcbResult); - if (i >= 2 * windowSpan) - { - FractalResult fractalResult = list[i - windowSpan]; - num = fractalResult.FractalBear ?? num; - num2 = fractalResult.FractalBull ?? num2; - fcbResult.UpperBand = num; - fcbResult.LowerBand = num2; - } - } - return list2; - } - } - - private static void ValidateFcb(int windowSpan) - { - if (windowSpan < 2) - { - throw new ArgumentOutOfRangeException("windowSpan", windowSpan, "Window span must be at least 2 for FCB."); - } - } - - /// Removes non-essential records containing null values with unique consideration for - /// this indicator. See - /// documentation for more information. - /// Indicator results to evaluate.Time series of - /// indicator results, condensed. - public static IEnumerable Condense(this IEnumerable results) - { - List list = results.ToList(); - list.RemoveAll((FcbResult x) => !x.UpperBand.HasValue && !x.LowerBand.HasValue); - return list.ToSortedList(); - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - int removePeriods = results.ToList().FindIndex((FcbResult x) => x.UpperBand.HasValue || x.LowerBand.HasValue); - return results.Remove(removePeriods); - } - - /// - /// Ehlers Fisher Transform converts prices into a Gaussian normal distribution. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods in the lookback window.Time series of Fisher Transform values.Invalid parameter value provided. - public static IEnumerable GetFisherTransform(this IEnumerable quotes, int lookbackPeriods = 10) where TQuote : IQuote - { - return quotes.ToTuple(CandlePart.HL2).CalcFisherTransform(lookbackPeriods); - } - - public static IEnumerable GetFisherTransform(this IEnumerable results, int lookbackPeriods) - { - return results.ToTuple().CalcFisherTransform(lookbackPeriods).SyncIndex(results, SyncType.Prepend); - } - - public static IEnumerable GetFisherTransform(this IEnumerable<(DateTime, double)> priceTuples, int lookbackPeriods) - { - return priceTuples.ToSortedList().CalcFisherTransform(lookbackPeriods); - } - - internal static List CalcFisherTransform(this List<(DateTime, double)> tpList, int lookbackPeriods) - { - ValidateFisherTransform(lookbackPeriods); - int count = tpList.Count; - double[] array = new double[count]; - double[] array2 = new double[count]; - List list = new List(count); - checked - { - for (int i = 0; i < tpList.Count; i++) - { - var (date, num) = tpList[i]; - array[i] = num; - double num2 = array[i]; - double num3 = array[i]; - for (int j = Math.Max(i - lookbackPeriods + 1, 0); j <= i; j++) - { - num2 = Math.Min(array[j], num2); - num3 = Math.Max(array[j], num3); - } - FisherTransformResult fisherTransformResult = new FisherTransformResult(date); - list.Add(fisherTransformResult); - if (i > 0) - { - array2[i] = ((num3 != num2) ? (0.66 * ((array[i] - num2) / (num3 - num2) - 0.5) + 0.67 * array2[i - 1]) : 0.0); - array2[i] = ((array2[i] > 0.99) ? 0.999 : array2[i]); - array2[i] = ((array2[i] < -0.99) ? (-0.999) : array2[i]); - fisherTransformResult.Fisher = (0.5 * Math.Log((1.0 + array2[i]) / (1.0 - array2[i])) + 0.5 * list[i - 1].Fisher).NaN2Null(); - fisherTransformResult.Trigger = list[i - 1].Fisher; - } - else - { - array2[i] = 0.0; - fisherTransformResult.Fisher = 0.0; - } - } - return list; - } - } - - private static void ValidateFisherTransform(int lookbackPeriods) - { - if (lookbackPeriods <= 0) - { - throw new ArgumentOutOfRangeException("lookbackPeriods", lookbackPeriods, "Lookback periods must be greater than 0 for Fisher Transform."); - } - } - - /// - /// The Force Index depicts volume-based buying and selling pressure. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods for the EMA of Force Index.Time series of Force Index values.Invalid parameter value provided. - public static IEnumerable GetForceIndex(this IEnumerable quotes, int lookbackPeriods = 2) where TQuote : IQuote - { - return quotes.ToQuoteD().CalcForceIndex(lookbackPeriods); - } - - internal static List CalcForceIndex(this List qdList, int lookbackPeriods) - { - ValidateForceIndex(lookbackPeriods); - int count = qdList.Count; - List list = new List(count); - double? num = null; - double? num2 = null; - double? num3 = 0.0; - checked - { - double num4 = 2.0 / (double)(lookbackPeriods + 1); - for (int i = 0; i < count; i++) - { - QuoteD quoteD = qdList[i]; - ForceIndexResult forceIndexResult = new ForceIndexResult(quoteD.Date); - list.Add(forceIndexResult); - if (i == 0) - { - num = quoteD.Close; - continue; - } - double? num5 = quoteD.Volume * (quoteD.Close - num); - num = quoteD.Close; - if (i > lookbackPeriods) - { - forceIndexResult.ForceIndex = num2 + num4 * (num5 - num2); - } - else - { - num3 += num5; - if (i == lookbackPeriods) - { - forceIndexResult.ForceIndex = num3 / (double)lookbackPeriods; - } - } - num2 = forceIndexResult.ForceIndex; - } - return list; - } - } - - private static void ValidateForceIndex(int lookbackPeriods) - { - if (lookbackPeriods <= 0) - { - throw new ArgumentOutOfRangeException("lookbackPeriods", lookbackPeriods, "Lookback periods must be greater than 0 for Force Index."); - } - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - int num = results.ToList().FindIndex((ForceIndexResult x) => x.ForceIndex.HasValue); - return results.Remove(checked(num + 100)); - } - - /// - /// Williams Fractal is a retrospective price pattern that identifies a central high or low point over a lookback window. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of span periods to the left and right of the evaluation period.Determines use of Close or High/Low wicks for points.Time series of Williams Fractal Bull/Bear values.Invalid parameter value provided. - public static IEnumerable GetFractal(this IEnumerable quotes, int windowSpan = 2, EndType endType = EndType.HighLow) where TQuote : IQuote - { - return quotes.ToSortedList().CalcFractal(windowSpan, windowSpan, endType); - } - - /// - /// Williams Fractal is a retrospective price pattern that identifies a central high or low point over a lookback window. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of span periods to the left of the evaluation period.Number of span periods to the right of the evaluation period.Determines use of Close or High/Low wicks for points.Time series of Williams Fractal Bull/Bear values.Invalid parameter value provided. - public static IEnumerable GetFractal(this IEnumerable quotes, int leftSpan, int rightSpan, EndType endType = EndType.HighLow) where TQuote : IQuote - { - return quotes.ToSortedList().CalcFractal(leftSpan, rightSpan, endType); - } - - internal static List CalcFractal(this List quotesList, int leftSpan, int rightSpan, EndType endType) where TQuote : IQuote - { - ValidateFractal(Math.Min(leftSpan, rightSpan)); - List list = new List(quotesList.Count); - checked - { - for (int i = 0; i < quotesList.Count; i++) - { - TQuote val = quotesList[i]; - FractalResult fractalResult = new FractalResult(val.Date); - list.Add(fractalResult); - if (i + 1 <= leftSpan || i + 1 > quotesList.Count - rightSpan) - { - continue; - } - bool flag = true; - bool flag2 = true; - decimal num = ((endType == EndType.Close) ? val.Close : val.High); - decimal num2 = ((endType == EndType.Close) ? val.Close : val.Low); - for (int j = i - leftSpan; j <= i + rightSpan; j++) - { - if (j != i) - { - TQuote val2 = quotesList[j]; - decimal num3 = ((endType == EndType.Close) ? val2.Close : val2.High); - decimal num4 = ((endType == EndType.Close) ? val2.Close : val2.Low); - if (num <= num3) - { - flag = false; - } - if (num2 >= num4) - { - flag2 = false; - } - } - } - if (flag) - { - fractalResult.FractalBear = num; - } - if (flag2) - { - fractalResult.FractalBull = num2; - } - } - return list; - } - } - - private static void ValidateFractal(int windowSpan) - { - if (windowSpan < 2) - { - throw new ArgumentOutOfRangeException("windowSpan", windowSpan, "Window span must be at least 2 for Fractal."); - } - } - - /// Removes non-essential records containing null values with unique consideration for - /// this indicator. See - /// documentation for more information. - /// Indicator results to evaluate.Time series of - /// indicator results, condensed. - public static IEnumerable Condense(this IEnumerable results) - { - List list = results.ToList(); - list.RemoveAll((FractalResult x) => !x.FractalBull.HasValue && !x.FractalBear.HasValue); - return list.ToSortedList(); - } - - /// - /// Gator Oscillator is an expanded view of Williams Alligator. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Time series of Gator values. - public static IEnumerable GetGator(this IEnumerable quotes) where TQuote : IQuote - { - return quotes.ToTuple(CandlePart.HL2).GetAlligator().ToList() - .CalcGator(); - } - - public static IEnumerable GetGator(this IEnumerable alligator) - { - return alligator.ToList().CalcGator(); - } - - public static IEnumerable GetGator(this IEnumerable results) - { - return results.ToTuple().GetAlligator().ToList() - .CalcGator() - .SyncIndex(results, SyncType.Prepend); - } - - public static IEnumerable GetGator(this IEnumerable<(DateTime, double)> priceTuples) - { - return priceTuples.ToSortedList().GetAlligator().ToList() - .CalcGator(); - } - - internal static List CalcGator(this List alligator) - { - List list = alligator.Select((AlligatorResult x) => new GatorResult(x.Date) - { - Upper = (x.Jaw - x.Teeth).Abs(), - Lower = 0.0 - (x.Teeth - x.Lips).Abs() - }).ToList(); - checked - { - for (int num = 1; num < list.Count; num++) - { - GatorResult gatorResult = list[num]; - GatorResult gatorResult2 = list[num - 1]; - gatorResult.UpperIsExpanding = (gatorResult2.Upper.HasValue ? new bool?(gatorResult.Upper > gatorResult2.Upper) : ((bool?)null)); - gatorResult.LowerIsExpanding = (gatorResult2.Lower.HasValue ? new bool?(gatorResult.Lower < gatorResult2.Lower) : ((bool?)null)); - } - return list; - } - } - - /// Removes non-essential records containing null values with unique consideration for - /// this indicator. See - /// documentation for more information. - /// Indicator results to evaluate.Time series of - /// indicator results, condensed. - public static IEnumerable Condense(this IEnumerable results) - { - List list = results.ToList(); - list.RemoveAll((GatorResult x) => !x.Upper.HasValue && !x.Lower.HasValue); - return list.ToSortedList(); - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - return results.Remove(150); - } - - /// - /// Heikin-Ashi is a modified candlestick pattern that uses prior day for smoothing. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Time series of Heikin-Ashi candlestick values. - public static IEnumerable GetHeikinAshi(this IEnumerable quotes) where TQuote : IQuote - { - return quotes.ToSortedList().CalcHeikinAshi(); - } - - internal static List CalcHeikinAshi(this List quotesList) where TQuote : IQuote - { - int count = quotesList.Count; - List list = new List(count); - decimal num = decimal.MinValue; - decimal num2 = decimal.MinValue; - if (count > 0) - { - TQuote val = quotesList[0]; - num = val.Open; - num2 = val.Close; - } - for (int i = 0; i < count; i = checked(i + 1)) - { - TQuote val2 = quotesList[i]; - decimal num3 = (val2.Open + val2.High + val2.Low + val2.Close) / 4m; - decimal num4 = (num + num2) / 2m; - decimal high = new decimal[3] { val2.High, num4, num3 }.Max(); - decimal low = new decimal[3] { val2.Low, num4, num3 }.Min(); - HeikinAshiResult item = new HeikinAshiResult(val2.Date) - { - Open = num4, - High = high, - Low = low, - Close = num3, - Volume = val2.Volume - }; - list.Add(item); - num = num4; - num2 = num3; - } - return list; - } - - public static IEnumerable ToQuotes(this IEnumerable results) - { - return (from x in results - select new Quote - { - Date = x.Date, - Open = x.Open, - High = x.High, - Low = x.Low, - Close = x.Close, - Volume = x.Volume - } into x - orderby x.Date - select x).ToList(); - } - - /// - /// Hull Moving Average (HMA) is a modified weighted average of price over N lookback periods that reduces lag. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods in the lookback window.Time series of HMA values.Invalid parameter value provided. - public static IEnumerable GetHma(this IEnumerable quotes, int lookbackPeriods) where TQuote : IQuote - { - return quotes.ToTuple(CandlePart.Close).CalcHma(lookbackPeriods); - } - - public static IEnumerable GetHma(this IEnumerable results, int lookbackPeriods) - { - return results.ToTuple().CalcHma(lookbackPeriods).SyncIndex(results, SyncType.Prepend); - } - - public static IEnumerable GetHma(this IEnumerable<(DateTime, double)> priceTuples, int lookbackPeriods) - { - return priceTuples.ToSortedList().CalcHma(lookbackPeriods); - } - - internal static List CalcHma(this List<(DateTime, double)> tpList, int lookbackPeriods) - { - ValidateHma(lookbackPeriods); - int num = checked(lookbackPeriods - 1); - List<(DateTime, double)> list = new List<(DateTime, double)>(); - List list2 = tpList.GetWma(lookbackPeriods).ToList(); - List list3 = tpList.GetWma(lookbackPeriods / 2).ToList(); - checked - { - for (int i = 0; i < tpList.Count; i++) - { - DateTime item = tpList[i].Item1; - WmaResult wmaResult = list2[i]; - WmaResult wmaResult2 = list3[i]; - if (i >= num) - { - (DateTime, double) item2 = (item, wmaResult2.Wma.Null2NaN() * 2.0 - wmaResult.Wma.Null2NaN()); - list.Add(item2); - } - } - int lookbackPeriods2 = (int)Math.Sqrt(lookbackPeriods); - List list4 = (from x in tpList.Take(num) - select new HmaResult(x.Item1)).ToList(); - List collection = (from x in list.CalcWma(lookbackPeriods2) - select new HmaResult(x.Date) - { - Hma = x.Wma - }).ToList(); - list4.AddRange(collection); - return list4.ToSortedList(); - } - } - - private static void ValidateHma(int lookbackPeriods) - { - if (lookbackPeriods <= 1) - { - throw new ArgumentOutOfRangeException("lookbackPeriods", lookbackPeriods, "Lookback periods must be greater than 1 for HMA."); - } - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - int removePeriods = results.ToList().FindIndex((HmaResult x) => x.Hma.HasValue); - return results.Remove(removePeriods); - } - - /// - /// Hilbert Transform Instantaneous Trendline (HTL) is a 5-period trendline of high/low price that uses signal processing to reduce noise. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Time series of HTL values and smoothed price. - public static IEnumerable GetHtTrendline(this IEnumerable quotes) where TQuote : IQuote - { - return quotes.ToTuple(CandlePart.HL2).CalcHtTrendline(); - } - - public static IEnumerable GetHtTrendline(this IEnumerable results) - { - return results.ToTuple().CalcHtTrendline().SyncIndex(results, SyncType.Prepend); - } - - public static IEnumerable GetHtTrendline(this IEnumerable<(DateTime, double)> priceTuples) - { - return priceTuples.ToSortedList().CalcHtTrendline(); - } - - internal static List CalcHtTrendline(this List<(DateTime, double)> tpList) - { - int count = tpList.Count; - List list = new List(count); - double[] array = new double[count]; - double[] array2 = new double[count]; - double[] array3 = new double[count]; - double[] array4 = new double[count]; - double[] array5 = new double[count]; - double[] array6 = new double[count]; - double[] array7 = new double[count]; - double[] array8 = new double[count]; - double[] array9 = new double[count]; - double[] array10 = new double[count]; - double[] array11 = new double[count]; - double[] array12 = new double[count]; - checked - { - for (int i = 0; i < count; i++) - { - var (date, num) = tpList[i]; - array[i] = num; - HtlResult htlResult = new HtlResult(date); - list.Add(htlResult); - if (i > 5) - { - double num2 = 0.075 * array4[i - 1] + 0.54; - array2[i] = (4.0 * array[i] + 3.0 * array[i - 1] + 2.0 * array[i - 2] + array[i - 3]) / 10.0; - array3[i] = (0.0962 * array2[i] + 0.5769 * array2[i - 2] - 0.5769 * array2[i - 4] - 0.0962 * array2[i - 6]) * num2; - array5[i] = (0.0962 * array3[i] + 0.5769 * array3[i - 2] - 0.5769 * array3[i - 4] - 0.0962 * array3[i - 6]) * num2; - array6[i] = array3[i - 3]; - double num3 = (0.0962 * array6[i] + 0.5769 * array6[i - 2] - 0.5769 * array6[i - 4] - 0.0962 * array6[i - 6]) * num2; - double num4 = (0.0962 * array5[i] + 0.5769 * array5[i - 2] - 0.5769 * array5[i - 4] - 0.0962 * array5[i - 6]) * num2; - array8[i] = array6[i] - num4; - array7[i] = array5[i] + num3; - array8[i] = 0.2 * array8[i] + 0.8 * array8[i - 1]; - array7[i] = 0.2 * array7[i] + 0.8 * array7[i - 1]; - array9[i] = array8[i] * array8[i - 1] + array7[i] * array7[i - 1]; - array10[i] = array8[i] * array7[i - 1] - array7[i] * array8[i - 1]; - array9[i] = 0.2 * array9[i] + 0.8 * array9[i - 1]; - array10[i] = 0.2 * array10[i] + 0.8 * array10[i - 1]; - array4[i] = ((array10[i] != 0.0 && array9[i] != 0.0) ? (Math.PI * 2.0 / Math.Atan(array10[i] / array9[i])) : 0.0); - array4[i] = ((array4[i] > 1.5 * array4[i - 1]) ? (1.5 * array4[i - 1]) : array4[i]); - array4[i] = ((array4[i] < 0.67 * array4[i - 1]) ? (0.67 * array4[i - 1]) : array4[i]); - array4[i] = ((array4[i] < 6.0) ? 6.0 : array4[i]); - array4[i] = ((array4[i] > 50.0) ? 50.0 : array4[i]); - array4[i] = 0.2 * array4[i] + 0.8 * array4[i - 1]; - array11[i] = 0.33 * array4[i] + 0.67 * array11[i - 1]; - int num5 = (int)(double.IsNaN(array11[i]) ? 0.0 : (array11[i] + 0.5)); - double num6 = 0.0; - for (int j = i - num5 + 1; j <= i; j++) - { - if (j >= 0) - { - num6 += array[j]; - } - else - { - num5--; - } - } - array12[i] = ((num5 > 0) ? (num6 / (double)num5) : array[i]); - htlResult.DcPeriods = ((num5 > 0) ? new int?(num5) : ((int?)null)); - htlResult.Trendline = ((i >= 11) ? ((4.0 * array12[i] + 3.0 * array12[i - 1] + 2.0 * array12[i - 2] + array12[i - 3]) / 10.0).NaN2Null() : array[i].NaN2Null()); - htlResult.SmoothPrice = ((4.0 * array[i] + 3.0 * array[i - 1] + 2.0 * array[i - 2] + array[i - 3]) / 10.0).NaN2Null(); - } - else - { - htlResult.Trendline = array[i].NaN2Null(); - htlResult.SmoothPrice = null; - array4[i] = 0.0; - array2[i] = 0.0; - array3[i] = 0.0; - array6[i] = 0.0; - array5[i] = 0.0; - array8[i] = 0.0; - array7[i] = 0.0; - array9[i] = 0.0; - array10[i] = 0.0; - array11[i] = 0.0; - } - } - return list; - } - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - return results.Remove(100); - } - - /// - /// Hurst Exponent is a measure of randomness, trending, and mean-reverting tendencies of incremental return values. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of lookback periods.Time series of Hurst Exponent values.Invalid parameter value provided. - public static IEnumerable GetHurst(this IEnumerable quotes, int lookbackPeriods = 100) where TQuote : IQuote - { - return quotes.ToTuple(CandlePart.Close).CalcHurst(lookbackPeriods); - } - - public static IEnumerable GetHurst(this IEnumerable results, int lookbackPeriods) - { - return results.ToTuple().CalcHurst(lookbackPeriods).SyncIndex(results, SyncType.Prepend); - } - - public static IEnumerable GetHurst(this IEnumerable<(DateTime, double)> priceTuples, int lookbackPeriods) - { - return priceTuples.ToSortedList().CalcHurst(lookbackPeriods); - } - - internal static List CalcHurst(this List<(DateTime, double)> tpList, int lookbackPeriods) - { - ValidateHurst(lookbackPeriods); - int count = tpList.Count; - List list = new List(count); - checked - { - for (int i = 0; i < count; i++) - { - HurstResult hurstResult = new HurstResult(tpList[i].Item1); - list.Add(hurstResult); - if (i + 1 > lookbackPeriods) - { - double[] array = new double[lookbackPeriods]; - int num = 0; - double num2 = tpList[i - lookbackPeriods].Item2; - for (int j = i + 1 - lookbackPeriods; j <= i; j++) - { - double item = tpList[j].Item2; - array[num] = ((num2 != 0.0) ? (item / num2 - 1.0) : double.NaN); - num2 = item; - num++; - } - hurstResult.HurstExponent = CalcHurstWindow(array).NaN2Null(); - } - } - return list; - } - } - - private static double CalcHurstWindow(double[] values) - { - int num = values.Length; - int num2 = 0; - int num3 = 0; - int num4 = 1; - checked - { - while (num4 <= 32 && unchecked(num / num4) >= 8) - { - num2 = num4; - num3++; - num4 *= 2; - } - double[] array = new double[num3]; - double[] array2 = new double[num3]; - int num5 = 0; - for (int num6 = 1; num6 <= num2; num6 *= 2) - { - int num7 = unchecked(num / num6); - double num8 = 0.0; - int num9 = num - num7 * num6; - for (int i = 1; i <= num6; i++) - { - double num10 = 0.0; - for (int j = num9; j < num9 + num7; j++) - { - num10 += values[j]; - } - double num11 = num10 / (double)num7; - double num12 = 0.0; - double num13 = 0.0; - double num14 = values[num9] - num11; - double num15 = values[num9] - num11; - for (int k = num9; k < num9 + num7; k++) - { - double num16 = values[k] - num11; - num12 += num16; - num15 = ((num12 < num15) ? num12 : num15); - num14 = ((num12 > num14) ? num12 : num14); - num13 += num16 * num16; - } - double num17 = num14 - num15; - double num18 = Math.Sqrt(num13 / (double)num7); - double num19 = ((num18 != 0.0) ? (num17 / num18) : 0.0); - num8 += num19; - num9 += num7; - } - array2[num5] = Math.Log10(num7); - array[num5] = Math.Log10(num8 / (double)num6); - num5++; - } - return Numerix.Slope(array2, array); - } - } - - private static void ValidateHurst(int lookbackPeriods) - { - if (lookbackPeriods < 20) - { - throw new ArgumentOutOfRangeException("lookbackPeriods", lookbackPeriods, "Lookback periods must be at least 20 for Hurst Exponent."); - } - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - int removePeriods = results.ToList().FindIndex((HurstResult x) => x.HurstExponent.HasValue); - return results.Remove(removePeriods); - } - - /// - /// Ichimoku Cloud, also known as Ichimoku Kinkō Hyō, is a collection of indicators that depict support and resistance, momentum, and trend direction. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods in the Tenkan-sen midpoint evaluation.Number of periods in the shorter Kijun-sen midpoint evaluation. This value is also used to offset Senkou and Chinkou spans.Number of periods in the longer Senkou leading span B midpoint evaluation.Time series of Ichimoku Cloud values.Invalid parameter value provided. - public static IEnumerable GetIchimoku(this IEnumerable quotes, int tenkanPeriods = 9, int kijunPeriods = 26, int senkouBPeriods = 52) where TQuote : IQuote - { - return quotes.ToSortedList().CalcIchimoku(tenkanPeriods, kijunPeriods, senkouBPeriods, kijunPeriods, kijunPeriods); - } - - /// - /// Ichimoku Cloud, also known as Ichimoku Kinkō Hyō, is a collection of indicators that depict support and resistance, momentum, and trend direction. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods in the Tenkan-sen midpoint evaluation.Number of periods in the shorter Kijun-sen midpoint evaluation.Number of periods in the longer Senkou leading span B midpoint evaluation.Number of periods to displace the Senkou and Chikou Spans.Time series of Ichimoku Cloud values.Invalid parameter value provided. - public static IEnumerable GetIchimoku(this IEnumerable quotes, int tenkanPeriods, int kijunPeriods, int senkouBPeriods, int offsetPeriods) where TQuote : IQuote - { - return quotes.ToSortedList().CalcIchimoku(tenkanPeriods, kijunPeriods, senkouBPeriods, offsetPeriods, offsetPeriods); - } - - /// - /// Ichimoku Cloud, also known as Ichimoku Kinkō Hyō, is a collection of indicators that depict support and resistance, momentum, and trend direction. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods in the Tenkan-sen midpoint evaluation.Number of periods in the shorter Kijun-sen midpoint evaluation.Number of periods in the longer Senkou leading span B midpoint evaluation.Number of periods to displace the Senkou Spans.Number of periods in displace the Chikou Span.Time series of Ichimoku Cloud values.Invalid parameter value provided. - public static IEnumerable GetIchimoku(this IEnumerable quotes, int tenkanPeriods, int kijunPeriods, int senkouBPeriods, int senkouOffset, int chikouOffset) where TQuote : IQuote - { - return quotes.ToSortedList().CalcIchimoku(tenkanPeriods, kijunPeriods, senkouBPeriods, senkouOffset, chikouOffset); - } - - internal static List CalcIchimoku(this List quotesList, int tenkanPeriods, int kijunPeriods, int senkouBPeriods, int senkouOffset, int chikouOffset) where TQuote : IQuote - { - ValidateIchimoku(tenkanPeriods, kijunPeriods, senkouBPeriods, senkouOffset, chikouOffset); - int count = quotesList.Count; - List list = new List(count); - checked - { - int num = Math.Max(2 * senkouOffset, Math.Max(tenkanPeriods, kijunPeriods)) - 1; - for (int i = 0; i < count; i++) - { - IchimokuResult ichimokuResult = new IchimokuResult(quotesList[i].Date); - list.Add(ichimokuResult); - CalcIchimokuTenkanSen(i, quotesList, ichimokuResult, tenkanPeriods); - CalcIchimokuKijunSen(i, quotesList, ichimokuResult, kijunPeriods); - if (i >= num) - { - IchimokuResult ichimokuResult2 = list[i - senkouOffset]; - if (ichimokuResult2 != null && ichimokuResult2.TenkanSen.HasValue && ichimokuResult2.KijunSen.HasValue) - { - ichimokuResult.SenkouSpanA = (ichimokuResult2.TenkanSen + ichimokuResult2.KijunSen) / (decimal?)2; - } - } - CalcIchimokuSenkouB(i, quotesList, ichimokuResult, senkouOffset, senkouBPeriods); - if (i + chikouOffset < quotesList.Count) - { - ichimokuResult.ChikouSpan = quotesList[i + chikouOffset].Close; - } - } - return list; - } - } - - private static void CalcIchimokuTenkanSen(int i, List quotesList, IchimokuResult result, int tenkanPeriods) where TQuote : IQuote - { - checked - { - if (i < tenkanPeriods - 1) - { - return; - } - decimal num = default(decimal); - decimal num2 = decimal.MaxValue; - for (int j = i - tenkanPeriods + 1; j <= i; j++) - { - TQuote val = quotesList[j]; - if (val.High > num) - { - num = val.High; - } - if (val.Low < num2) - { - num2 = val.Low; - } - } - result.TenkanSen = ((num2 == decimal.MaxValue) ? ((decimal?)null) : new decimal?((num2 + num) / 2m)); - } - } - - private static void CalcIchimokuKijunSen(int i, List quotesList, IchimokuResult result, int kijunPeriods) where TQuote : IQuote - { - checked - { - if (i < kijunPeriods - 1) - { - return; - } - decimal num = default(decimal); - decimal num2 = decimal.MaxValue; - for (int j = i - kijunPeriods + 1; j <= i; j++) - { - TQuote val = quotesList[j]; - if (val.High > num) - { - num = val.High; - } - if (val.Low < num2) - { - num2 = val.Low; - } - } - result.KijunSen = ((num2 == decimal.MaxValue) ? ((decimal?)null) : new decimal?((num2 + num) / 2m)); - } - } - - private static void CalcIchimokuSenkouB(int i, List quotesList, IchimokuResult result, int senkouOffset, int senkouBPeriods) where TQuote : IQuote - { - checked - { - if (i < senkouOffset + senkouBPeriods - 1) - { - return; - } - decimal num = default(decimal); - decimal num2 = decimal.MaxValue; - for (int j = i - senkouOffset - senkouBPeriods + 1; j <= i - senkouOffset; j++) - { - TQuote val = quotesList[j]; - if (val.High > num) - { - num = val.High; - } - if (val.Low < num2) - { - num2 = val.Low; - } - } - result.SenkouSpanB = ((num2 == decimal.MaxValue) ? ((decimal?)null) : new decimal?((num2 + num) / 2m)); - } - } - - private static void ValidateIchimoku(int tenkanPeriods, int kijunPeriods, int senkouBPeriods, int senkouOffset, int chikouOffset) - { - if (tenkanPeriods <= 0) - { - throw new ArgumentOutOfRangeException("tenkanPeriods", tenkanPeriods, "Tenkan periods must be greater than 0 for Ichimoku Cloud."); - } - if (kijunPeriods <= 0) - { - throw new ArgumentOutOfRangeException("kijunPeriods", kijunPeriods, "Kijun periods must be greater than 0 for Ichimoku Cloud."); - } - if (senkouBPeriods <= kijunPeriods) - { - throw new ArgumentOutOfRangeException("senkouBPeriods", senkouBPeriods, "Senkou B periods must be greater than Kijun periods for Ichimoku Cloud."); - } - if (senkouOffset < 0 || chikouOffset < 0) - { - throw new ArgumentOutOfRangeException("senkouOffset", senkouOffset, "Senkou and Chikou offset periods must be non-negative for Ichimoku Cloud."); - } - } - - /// Removes non-essential records containing null values with unique consideration for - /// this indicator. See - /// documentation for more information. - /// Indicator results to evaluate.Time series of - /// indicator results, condensed. - public static IEnumerable Condense(this IEnumerable results) - { - List list = results.ToList(); - list.RemoveAll((IchimokuResult x) => !x.TenkanSen.HasValue && !x.KijunSen.HasValue && !x.SenkouSpanA.HasValue && !x.SenkouSpanB.HasValue && !x.ChikouSpan.HasValue); - return list.ToSortedList(); - } - - /// - /// Kaufman’s Adaptive Moving Average (KAMA) is an volatility adaptive moving average of price over configurable lookback periods. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of Efficiency Ratio (volatility) periods.Number of periods in the Fast EMA.Number of periods in the Slow EMA.Time series of KAMA values.Invalid parameter value provided. - public static IEnumerable GetKama(this IEnumerable quotes, int erPeriods = 10, int fastPeriods = 2, int slowPeriods = 30) where TQuote : IQuote - { - return quotes.ToTuple(CandlePart.Close).CalcKama(erPeriods, fastPeriods, slowPeriods); - } - - public static IEnumerable GetKama(this IEnumerable results, int erPeriods = 10, int fastPeriods = 2, int slowPeriods = 30) - { - return results.ToTuple().CalcKama(erPeriods, fastPeriods, slowPeriods).SyncIndex(results, SyncType.Prepend); - } - - public static IEnumerable GetKama(this IEnumerable<(DateTime, double)> priceTuples, int erPeriods = 10, int fastPeriods = 2, int slowPeriods = 30) - { - return priceTuples.ToSortedList().CalcKama(erPeriods, fastPeriods, slowPeriods); - } - - internal static List CalcKama(this List<(DateTime, double)> tpList, int erPeriods, int fastPeriods, int slowPeriods) - { - ValidateKama(erPeriods, fastPeriods, slowPeriods); - int count = tpList.Count; - List list = new List(count); - checked - { - double num = 2.0 / (double)(fastPeriods + 1); - double num2 = 2.0 / (double)(slowPeriods + 1); - for (int i = 0; i < count; i++) - { - (DateTime, double) tuple = tpList[i]; - DateTime item = tuple.Item1; - double item2 = tuple.Item2; - KamaResult kamaResult = new KamaResult(item); - list.Add(kamaResult); - if (i + 1 > erPeriods) - { - double num3 = Math.Abs(item2 - tpList[i - erPeriods].Item2); - double num4 = 0.0; - for (int j = i - erPeriods + 1; j <= i; j++) - { - num4 += Math.Abs(tpList[j].Item2 - tpList[j - 1].Item2); - } - if (num4 != 0.0) - { - double num5 = num3 / num4; - kamaResult.ER = num5.NaN2Null(); - double num6 = num5 * (num - num2) + num2; - double? kama = list[i - 1].Kama; - kamaResult.Kama = (kama + num6 * num6 * (item2 - kama)).NaN2Null(); - } - else - { - kamaResult.ER = 0.0; - kamaResult.Kama = item2.NaN2Null(); - } - } - else if (i + 1 == erPeriods) - { - kamaResult.Kama = item2.NaN2Null(); - } - } - return list; - } - } - - private static void ValidateKama(int erPeriods, int fastPeriods, int slowPeriods) - { - if (erPeriods <= 0) - { - throw new ArgumentOutOfRangeException("erPeriods", erPeriods, "Efficiency Ratio periods must be greater than 0 for KAMA."); - } - if (fastPeriods <= 0) - { - throw new ArgumentOutOfRangeException("fastPeriods", fastPeriods, "Fast EMA periods must be greater than 0 for KAMA."); - } - if (slowPeriods <= fastPeriods) - { - throw new ArgumentOutOfRangeException("slowPeriods", slowPeriods, "Slow EMA periods must be greater than Fast EMA period for KAMA."); - } - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - int num = results.ToList().FindIndex((KamaResult x) => x.ER.HasValue); - return results.Remove(checked(Math.Max(num + 100, 10 * num))); - } - - /// - /// Keltner Channels are based on an EMA centerline and ATR band widths. See also STARC Bands for an SMA centerline equivalent. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods for the centerline EMA.ATR multiplier sets the width of the channel.Number of periods in the ATR evaluation.Time series of Keltner Channel values.Invalid parameter value provided. - public static IEnumerable GetKeltner(this IEnumerable quotes, int emaPeriods = 20, double multiplier = 2.0, int atrPeriods = 10) where TQuote : IQuote - { - return quotes.ToQuoteD().CalcKeltner(emaPeriods, multiplier, atrPeriods); - } - - internal static List CalcKeltner(this List qdList, int emaPeriods, double multiplier, int atrPeriods) - { - ValidateKeltner(emaPeriods, multiplier, atrPeriods); - int count = qdList.Count; - List list = new List(count); - List list2 = qdList.ToTuple(CandlePart.Close).CalcEma(emaPeriods).ToList(); - List list3 = qdList.CalcAtr(atrPeriods).ToList(); - int num = Math.Max(emaPeriods, atrPeriods); - checked - { - for (int i = 0; i < count; i++) - { - KeltnerResult keltnerResult = new KeltnerResult(qdList[i].Date); - list.Add(keltnerResult); - if (i + 1 >= num) - { - EmaResult emaResult = list2[i]; - double? num2 = list3[i].Atr * multiplier; - keltnerResult.UpperBand = emaResult.Ema + num2; - keltnerResult.LowerBand = emaResult.Ema - num2; - keltnerResult.Centerline = emaResult.Ema; - keltnerResult.Width = ((keltnerResult.Centerline == 0.0) ? ((double?)null) : ((keltnerResult.UpperBand - keltnerResult.LowerBand) / keltnerResult.Centerline)); - } - } - return list; - } - } - - private static void ValidateKeltner(int emaPeriods, double multiplier, int atrPeriods) - { - if (emaPeriods <= 1) - { - throw new ArgumentOutOfRangeException("emaPeriods", emaPeriods, "EMA periods must be greater than 1 for Keltner Channel."); - } - if (atrPeriods <= 1) - { - throw new ArgumentOutOfRangeException("atrPeriods", atrPeriods, "ATR periods must be greater than 1 for Keltner Channel."); - } - if (multiplier <= 0.0) - { - throw new ArgumentOutOfRangeException("multiplier", multiplier, "Multiplier must be greater than 0 for Keltner Channel."); - } - } - - /// Removes non-essential records containing null values with unique consideration for - /// this indicator. See - /// documentation for more information. - /// Indicator results to evaluate.Time series of - /// indicator results, condensed. - public static IEnumerable Condense(this IEnumerable results) - { - List list = results.ToList(); - list.RemoveAll((KeltnerResult x) => !x.UpperBand.HasValue && !x.LowerBand.HasValue && !x.Centerline.HasValue); - return list.ToSortedList(); - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - checked - { - int num = results.ToList().FindIndex((KeltnerResult x) => x.Width.HasValue) + 1; - return results.Remove(Math.Max(2 * num, num + 100)); - } - } - - /// - /// Klinger Oscillator depicts volume-based divergence between short and long-term money flow. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods for the short EMA.Number of periods for the long EMA.Number of periods Signal line.Time series of Klinger Oscillator values.Invalid parameter value provided. - public static IEnumerable GetKvo(this IEnumerable quotes, int fastPeriods = 34, int slowPeriods = 55, int signalPeriods = 13) where TQuote : IQuote - { - return quotes.ToQuoteD().CalcKvo(fastPeriods, slowPeriods, signalPeriods); - } - - internal static List CalcKvo(this List qdList, int fastPeriods, int slowPeriods, int signalPeriods) - { - ValidateKlinger(fastPeriods, slowPeriods, signalPeriods); - int count = qdList.Count; - List list = new List(count); - double[] array = new double[count]; - double[] array2 = new double[count]; - double[] array3 = new double[count]; - double[] array4 = new double[count]; - double[] array5 = new double[count]; - double[] array6 = new double[count]; - double[] array7 = new double[count]; - checked - { - double num = 2.0 / (double)(fastPeriods + 1); - double num2 = 2.0 / (double)(slowPeriods + 1); - double num3 = 2.0 / (double)(signalPeriods + 1); - for (int i = 0; i < count; i++) - { - QuoteD quoteD = qdList[i]; - KvoResult kvoResult = new KvoResult(quoteD.Date); - list.Add(kvoResult); - array2[i] = quoteD.High + quoteD.Low + quoteD.Close; - array3[i] = quoteD.High - quoteD.Low; - if (i <= 0) - { - continue; - } - array[i] = ((array2[i] > array2[i - 1]) ? 1 : (-1)); - if (i <= 1) - { - array4[i] = 0.0; - continue; - } - array4[i] = ((array[i] == array[i - 1]) ? (array4[i - 1] + array3[i]) : (array3[i - 1] + array3[i])); - array5[i] = ((array3[i] == array4[i] || quoteD.Volume == 0.0) ? 0.0 : ((array3[i] == 0.0) ? (quoteD.Volume * 2.0 * array[i] * 100.0) : ((array4[i] != 0.0) ? (quoteD.Volume * Math.Abs(2.0 * (array3[i] / array4[i] - 1.0)) * array[i] * 100.0) : array5[i - 1]))); - if (i > fastPeriods + 1) - { - array6[i] = array5[i] * num + array6[i - 1] * (1.0 - num); - } - else if (i == fastPeriods + 1) - { - double num4 = 0.0; - for (int j = 2; j <= i; j++) - { - num4 += array5[j]; - } - array6[i] = num4 / (double)fastPeriods; - } - if (i > slowPeriods + 1) - { - array7[i] = array5[i] * num2 + array7[i - 1] * (1.0 - num2); - } - else if (i == slowPeriods + 1) - { - double num5 = 0.0; - for (int k = 2; k <= i; k++) - { - num5 += array5[k]; - } - array7[i] = num5 / (double)slowPeriods; - } - if (i < slowPeriods + 1) - { - continue; - } - kvoResult.Oscillator = array6[i] - array7[i]; - if (i > slowPeriods + signalPeriods) - { - kvoResult.Signal = kvoResult.Oscillator * num3 + list[i - 1].Signal * (1.0 - num3); - } - else if (i == slowPeriods + signalPeriods) - { - double? num6 = 0.0; - for (int l = slowPeriods + 1; l <= i; l++) - { - num6 += list[l].Oscillator; - } - kvoResult.Signal = num6 / (double)signalPeriods; - } - } - return list; - } - } - - private static void ValidateKlinger(int fastPeriods, int slowPeriods, int signalPeriods) - { - if (fastPeriods <= 2) - { - throw new ArgumentOutOfRangeException("fastPeriods", fastPeriods, "Fast (short) Periods must be greater than 2 for Klinger Oscillator."); - } - if (slowPeriods <= fastPeriods) - { - throw new ArgumentOutOfRangeException("slowPeriods", slowPeriods, "Slow (long) Periods must be greater than Fast Periods for Klinger Oscillator."); - } - if (signalPeriods <= 0) - { - throw new ArgumentOutOfRangeException("signalPeriods", signalPeriods, "Signal Periods must be greater than 0 for Klinger Oscillator."); - } - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - checked - { - int num = results.ToList().FindIndex((KvoResult x) => x.Oscillator.HasValue) - 1; - return results.Remove(num + 150); - } - } - - internal static List CalcMacd(this List<(DateTime, double)> tpList, int fastPeriods, int slowPeriods, int signalPeriods) - { - ValidateMacd(fastPeriods, slowPeriods, signalPeriods); - List list = tpList.CalcEma(fastPeriods); - List list2 = tpList.CalcEma(slowPeriods); - int count = tpList.Count; - List<(DateTime, double)> list3 = new List<(DateTime, double)>(); - List list4 = new List(count); - checked - { - for (int i = 0; i < count; i++) - { - DateTime item = tpList[i].Item1; - EmaResult emaResult = list[i]; - EmaResult emaResult2 = list2[i]; - MacdResult macdResult = new MacdResult(item) - { - FastEma = emaResult.Ema, - SlowEma = emaResult2.Ema - }; - list4.Add(macdResult); - if (i >= slowPeriods - 1) - { - double num = (emaResult.Ema - emaResult2.Ema).Null2NaN(); - macdResult.Macd = num.NaN2Null(); - (DateTime, double) item2 = (item, num); - list3.Add(item2); - } - } - List list5 = list3.CalcEma(signalPeriods); - for (int j = slowPeriods - 1; j < count; j++) - { - MacdResult macdResult2 = list4[j]; - EmaResult emaResult3 = list5[j + 1 - slowPeriods]; - macdResult2.Signal = emaResult3.Ema.NaN2Null(); - macdResult2.Histogram = (macdResult2.Macd - macdResult2.Signal).NaN2Null(); - } - return list4; - } - } - - private static void ValidateMacd(int fastPeriods, int slowPeriods, int signalPeriods) - { - if (fastPeriods <= 0) - { - throw new ArgumentOutOfRangeException("fastPeriods", fastPeriods, "Fast periods must be greater than 0 for MACD."); - } - if (signalPeriods < 0) - { - throw new ArgumentOutOfRangeException("signalPeriods", signalPeriods, "Signal periods must be greater than or equal to 0 for MACD."); - } - if (slowPeriods <= fastPeriods) - { - throw new ArgumentOutOfRangeException("slowPeriods", slowPeriods, "Slow periods must be greater than the fast period for MACD."); - } - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - checked - { - int num = results.ToList().FindIndex((MacdResult x) => x.Signal.HasValue) + 2; - return results.Remove(num + 250); - } - } - - /// - /// Moving Average Convergence/Divergence (MACD) is a simple oscillator view of two converging/diverging exponential moving averages. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods in the Fast EMA.Number of periods in the Slow EMA.Number of periods for the Signal moving average.Time series of MACD values, including MACD, Signal, and Histogram.Invalid parameter value provided. - public static IEnumerable GetMacd(this IEnumerable quotes, int fastPeriods = 12, int slowPeriods = 26, int signalPeriods = 9) where TQuote : IQuote - { - return quotes.ToTuple(CandlePart.Close).CalcMacd(fastPeriods, slowPeriods, signalPeriods); - } - - public static IEnumerable GetMacd(this IEnumerable results, int fastPeriods = 12, int slowPeriods = 26, int signalPeriods = 9) - { - return results.ToTuple().CalcMacd(fastPeriods, slowPeriods, signalPeriods).SyncIndex(results, SyncType.Prepend); - } - - public static IEnumerable GetMacd(this IEnumerable<(DateTime, double)> priceTuples, int fastPeriods = 12, int slowPeriods = 26, int signalPeriods = 9) - { - return priceTuples.ToSortedList().CalcMacd(fastPeriods, slowPeriods, signalPeriods); - } - - /// - /// Moving Average Envelopes is a price band overlay that is offset from the moving average of price over a lookback window. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods in the lookback window.Percent offset for envelope width.Moving average type (e.g. EMA, HMA, TEMA, etc.).Time series of MA Envelopes values.Invalid parameter value provided. - public static IEnumerable GetMaEnvelopes(this IEnumerable quotes, int lookbackPeriods, double percentOffset = 2.5, MaType movingAverageType = MaType.SMA) where TQuote : IQuote - { - return quotes.ToTuple(CandlePart.Close).CalcMaEnvelopes(lookbackPeriods, percentOffset, movingAverageType); - } - - public static IEnumerable GetMaEnvelopes(this IEnumerable results, int lookbackPeriods, double percentOffset = 2.5, MaType movingAverageType = MaType.SMA) - { - return results.ToTuple().CalcMaEnvelopes(lookbackPeriods, percentOffset, movingAverageType).SyncIndex(results, SyncType.Prepend); - } - - public static IEnumerable GetMaEnvelopes(this IEnumerable<(DateTime, double)> priceTuples, int lookbackPeriods, double percentOffset = 2.5, MaType movingAverageType = MaType.SMA) - { - return priceTuples.ToSortedList().CalcMaEnvelopes(lookbackPeriods, percentOffset, movingAverageType); - } - - internal static IEnumerable CalcMaEnvelopes(this List<(DateTime, double)> tpList, int lookbackPeriods, double percentOffset, MaType movingAverageType) - { - ValidateMaEnvelopes(percentOffset); - double offsetRatio = percentOffset / 100.0; - return movingAverageType switch - { - MaType.ALMA => tpList.MaEnvAlma(lookbackPeriods, offsetRatio), - MaType.DEMA => tpList.MaEnvDema(lookbackPeriods, offsetRatio), - MaType.EMA => tpList.MaEnvEma(lookbackPeriods, offsetRatio), - MaType.EPMA => tpList.MaEnvEpma(lookbackPeriods, offsetRatio), - MaType.HMA => tpList.MaEnvHma(lookbackPeriods, offsetRatio), - MaType.SMA => tpList.MaEnvSma(lookbackPeriods, offsetRatio), - MaType.SMMA => tpList.MaEnvSmma(lookbackPeriods, offsetRatio), - MaType.TEMA => tpList.MaEnvTema(lookbackPeriods, offsetRatio), - MaType.WMA => tpList.MaEnvWma(lookbackPeriods, offsetRatio), - _ => throw new ArgumentOutOfRangeException("movingAverageType", movingAverageType, string.Format(invCulture, "Moving Average Envelopes does not support {0}.", Enum.GetName(typeof(MaType), movingAverageType))), - }; - } - - private static IEnumerable MaEnvAlma(this List<(DateTime, double)> tpList, int lookbackPeriods, double offsetRatio) - { - return from x in tpList.GetAlma(lookbackPeriods) - select new MaEnvelopeResult(x.Date) - { - Centerline = x.Alma, - UpperEnvelope = x.Alma + x.Alma * offsetRatio, - LowerEnvelope = x.Alma - x.Alma * offsetRatio - }; - } - - private static IEnumerable MaEnvDema(this List<(DateTime, double)> tpList, int lookbackPeriods, double offsetRatio) - { - return from x in tpList.GetDema(lookbackPeriods) - select new MaEnvelopeResult(x.Date) - { - Centerline = x.Dema, - UpperEnvelope = x.Dema + x.Dema * offsetRatio, - LowerEnvelope = x.Dema - x.Dema * offsetRatio - }; - } - - private static IEnumerable MaEnvEma(this List<(DateTime, double)> tpList, int lookbackPeriods, double offsetRatio) - { - return from x in tpList.GetEma(lookbackPeriods) - select new MaEnvelopeResult(x.Date) - { - Centerline = x.Ema, - UpperEnvelope = x.Ema + x.Ema * offsetRatio, - LowerEnvelope = x.Ema - x.Ema * offsetRatio - }; - } - - private static IEnumerable MaEnvEpma(this List<(DateTime, double)> tpList, int lookbackPeriods, double offsetRatio) - { - return from x in tpList.GetEpma(lookbackPeriods) - select new MaEnvelopeResult(x.Date) - { - Centerline = x.Epma, - UpperEnvelope = x.Epma + x.Epma * offsetRatio, - LowerEnvelope = x.Epma - x.Epma * offsetRatio - }; - } - - private static IEnumerable MaEnvHma(this List<(DateTime, double)> tpList, int lookbackPeriods, double offsetRatio) - { - return from x in tpList.GetHma(lookbackPeriods) - select new MaEnvelopeResult(x.Date) - { - Centerline = x.Hma, - UpperEnvelope = x.Hma + x.Hma * offsetRatio, - LowerEnvelope = x.Hma - x.Hma * offsetRatio - }; - } - - private static IEnumerable MaEnvSma(this List<(DateTime, double)> tpList, int lookbackPeriods, double offsetRatio) - { - return from x in tpList.GetSma(lookbackPeriods) - select new MaEnvelopeResult(x.Date) - { - Centerline = x.Sma, - UpperEnvelope = x.Sma + x.Sma * offsetRatio, - LowerEnvelope = x.Sma - x.Sma * offsetRatio - }; - } - - private static IEnumerable MaEnvSmma(this List<(DateTime, double)> tpList, int lookbackPeriods, double offsetRatio) - { - return from x in tpList.GetSmma(lookbackPeriods) - select new MaEnvelopeResult(x.Date) - { - Centerline = x.Smma, - UpperEnvelope = x.Smma + x.Smma * offsetRatio, - LowerEnvelope = x.Smma - x.Smma * offsetRatio - }; - } - - private static IEnumerable MaEnvTema(this List<(DateTime, double)> tpList, int lookbackPeriods, double offsetRatio) - { - return from x in tpList.GetTema(lookbackPeriods) - select new MaEnvelopeResult(x.Date) - { - Centerline = x.Tema, - UpperEnvelope = x.Tema + x.Tema * offsetRatio, - LowerEnvelope = x.Tema - x.Tema * offsetRatio - }; - } - - private static IEnumerable MaEnvWma(this List<(DateTime, double)> tpList, int lookbackPeriods, double offsetRatio) - { - return from x in tpList.GetWma(lookbackPeriods) - select new MaEnvelopeResult(x.Date) - { - Centerline = x.Wma, - UpperEnvelope = x.Wma + x.Wma * offsetRatio, - LowerEnvelope = x.Wma - x.Wma * offsetRatio - }; - } - - private static void ValidateMaEnvelopes(double percentOffset) - { - if (percentOffset <= 0.0) - { - throw new ArgumentOutOfRangeException("percentOffset", percentOffset, "Percent Offset must be greater than 0 for Moving Average Envelopes."); - } - } - - /// Removes non-essential records containing null values with unique consideration for - /// this indicator. See - /// documentation for more information. - /// Indicator results to evaluate.Time series of - /// indicator results, condensed. - public static IEnumerable Condense(this IEnumerable results) - { - List list = results.ToList(); - list.RemoveAll((MaEnvelopeResult x) => !x.UpperEnvelope.HasValue && !x.LowerEnvelope.HasValue && !x.Centerline.HasValue); - return list.ToSortedList(); - } - - /// - /// MESA Adaptive Moving Average (MAMA) is a 5-period adaptive moving average of high/low price. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Fast limit threshold.Slow limit threshold.Time series of MAMA values.Invalid parameter value provided. - public static IEnumerable GetMama(this IEnumerable quotes, double fastLimit = 0.5, double slowLimit = 0.05) where TQuote : IQuote - { - return quotes.ToTuple(CandlePart.HL2).CalcMama(fastLimit, slowLimit); - } - - public static IEnumerable GetMama(this IEnumerable results, double fastLimit = 0.5, double slowLimit = 0.05) - { - return results.ToTuple().CalcMama(fastLimit, slowLimit).SyncIndex(results, SyncType.Prepend); - } - - public static IEnumerable GetMama(this IEnumerable<(DateTime, double)> priceTuples, double fastLimit = 0.5, double slowLimit = 0.05) - { - return priceTuples.ToSortedList().CalcMama(fastLimit, slowLimit); - } - - internal static List CalcMama(this List<(DateTime, double)> tpList, double fastLimit, double slowLimit) - { - ValidateMama(fastLimit, slowLimit); - int count = tpList.Count; - List list = new List(count); - double num = 0.0; - double[] array = new double[count]; - double[] array2 = new double[count]; - double[] array3 = new double[count]; - double[] array4 = new double[count]; - double[] array5 = new double[count]; - double[] array6 = new double[count]; - double[] array7 = new double[count]; - double[] array8 = new double[count]; - double[] array9 = new double[count]; - double[] array10 = new double[count]; - double[] array11 = new double[count]; - checked - { - for (int i = 0; i < count; i++) - { - var (date, num2) = tpList[i]; - array[i] = num2; - MamaResult mamaResult = new MamaResult(date); - list.Add(mamaResult); - if (i > 5) - { - double num3 = 0.075 * array4[i - 1] + 0.54; - array2[i] = (4.0 * array[i] + 3.0 * array[i - 1] + 2.0 * array[i - 2] + array[i - 3]) / 10.0; - array3[i] = (0.0962 * array2[i] + 0.5769 * array2[i - 2] - 0.5769 * array2[i - 4] - 0.0962 * array2[i - 6]) * num3; - array5[i] = (0.0962 * array3[i] + 0.5769 * array3[i - 2] - 0.5769 * array3[i - 4] - 0.0962 * array3[i - 6]) * num3; - array6[i] = array3[i - 3]; - double num4 = (0.0962 * array6[i] + 0.5769 * array6[i - 2] - 0.5769 * array6[i - 4] - 0.0962 * array6[i - 6]) * num3; - double num5 = (0.0962 * array5[i] + 0.5769 * array5[i - 2] - 0.5769 * array5[i - 4] - 0.0962 * array5[i - 6]) * num3; - array8[i] = array6[i] - num5; - array7[i] = array5[i] + num4; - array8[i] = 0.2 * array8[i] + 0.8 * array8[i - 1]; - array7[i] = 0.2 * array7[i] + 0.8 * array7[i - 1]; - array9[i] = array8[i] * array8[i - 1] + array7[i] * array7[i - 1]; - array10[i] = array8[i] * array7[i - 1] - array7[i] * array8[i - 1]; - array9[i] = 0.2 * array9[i] + 0.8 * array9[i - 1]; - array10[i] = 0.2 * array10[i] + 0.8 * array10[i - 1]; - array4[i] = ((array10[i] != 0.0 && array9[i] != 0.0) ? (Math.PI * 2.0 / Math.Atan(array10[i] / array9[i])) : 0.0); - array4[i] = ((array4[i] > 1.5 * array4[i - 1]) ? (1.5 * array4[i - 1]) : array4[i]); - array4[i] = ((array4[i] < 0.67 * array4[i - 1]) ? (0.67 * array4[i - 1]) : array4[i]); - array4[i] = ((array4[i] < 6.0) ? 6.0 : array4[i]); - array4[i] = ((array4[i] > 50.0) ? 50.0 : array4[i]); - array4[i] = 0.2 * array4[i] + 0.8 * array4[i - 1]; - array11[i] = ((array6[i] != 0.0) ? (Math.Atan(array5[i] / array6[i]) * 180.0 / Math.PI) : 0.0); - double num6 = Math.Max(array11[i - 1] - array11[i], 1.0); - double num7 = Math.Max(fastLimit / num6, slowLimit); - mamaResult.Mama = (num7 * array[i] + (1.0 - num7) * list[i - 1].Mama).NaN2Null(); - mamaResult.Fama = (0.5 * num7 * mamaResult.Mama + (1.0 - 0.5 * num7) * list[i - 1].Fama).NaN2Null(); - } - else - { - num += array[i]; - if (i == 5) - { - mamaResult.Mama = (num / 6.0).NaN2Null(); - mamaResult.Fama = mamaResult.Mama; - } - array4[i] = 0.0; - array2[i] = 0.0; - array3[i] = 0.0; - array6[i] = 0.0; - array5[i] = 0.0; - array8[i] = 0.0; - array7[i] = 0.0; - array9[i] = 0.0; - array10[i] = 0.0; - array11[i] = 0.0; - } - } - return list; - } - } - - private static void ValidateMama(double fastLimit, double slowLimit) - { - if (fastLimit <= slowLimit || fastLimit >= 1.0) - { - throw new ArgumentOutOfRangeException("fastLimit", fastLimit, "Fast Limit must be greater than Slow Limit and less than 1 for MAMA."); - } - if (slowLimit <= 0.0) - { - throw new ArgumentOutOfRangeException("slowLimit", slowLimit, "Slow Limit must be greater than 0 for MAMA."); - } - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - return results.Remove(50); - } - - /// - /// Marubozu is a single candlestick pattern that has no wicks, representing consistent directional movement. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Optional. Minimum candle body size as percentage.Time series of Marubozu values.Invalid parameter value provided. - public static IEnumerable GetMarubozu(this IEnumerable quotes, double minBodyPercent = 95.0) where TQuote : IQuote - { - return quotes.CalcMarubozu(minBodyPercent); - } - - /// - /// Marubozu is a single candlestick pattern that has no wicks, representing consistent directional movement. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Optional. Minimum candle body size as percentage.Time series of Marubozu values.Invalid parameter value provided. - internal static List CalcMarubozu(this IEnumerable quotes, double minBodyPercent) where TQuote : IQuote - { - ValidateMarubozu(minBodyPercent); - List list = quotes.ToCandleResults(); - minBodyPercent /= 100.0; - int count = list.Count; - for (int i = 0; i < count; i = checked(i + 1)) - { - CandleResult candleResult = list[i]; - if (candleResult.Candle.BodyPct >= minBodyPercent) - { - candleResult.Price = candleResult.Candle.Close; - candleResult.Match = (candleResult.Candle.IsBullish ? Match.BullSignal : Match.BearSignal); - } - } - return list; - } - - private static void ValidateMarubozu(double minBodyPercent) - { - if (minBodyPercent > 100.0) - { - throw new ArgumentOutOfRangeException("minBodyPercent", minBodyPercent, "Minimum Body Percent must be less than 100 for Marubozu (<=100%)."); - } - if (minBodyPercent < 80.0) - { - throw new ArgumentOutOfRangeException("minBodyPercent", minBodyPercent, "Minimum Body Percent must at least 80 (80%) for Marubozu and is usually greater than 90 (90%)."); - } - } - - /// - /// Money Flow Index (MFI) is a price-volume oscillator that shows buying and selling momentum. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods in the lookback window.Time series of MFI values.Invalid parameter value provided. - public static IEnumerable GetMfi(this IEnumerable quotes, int lookbackPeriods = 14) where TQuote : IQuote - { - return quotes.ToQuoteD().CalcMfi(lookbackPeriods); - } - - internal static List CalcMfi(this List qdList, int lookbackPeriods) - { - ValidateMfi(lookbackPeriods); - int count = qdList.Count; - List list = new List(count); - double[] array = new double[count]; - double[] array2 = new double[count]; - int[] array3 = new int[count]; - double? num = null; - checked - { - for (int i = 0; i < qdList.Count; i++) - { - QuoteD quoteD = qdList[i]; - MfiResult item = new MfiResult(quoteD.Date); - list.Add(item); - array[i] = (quoteD.High + quoteD.Low + quoteD.Close) / 3.0; - array2[i] = array[i] * quoteD.Volume; - if (!num.HasValue || array[i] == num) - { - array3[i] = 0; - } - else if (array[i] > num) - { - array3[i] = 1; - } - else if (array[i] < num) - { - array3[i] = -1; - } - num = array[i]; - } - for (int j = lookbackPeriods; j < list.Count; j++) - { - MfiResult mfiResult = list[j]; - double num2 = 0.0; - double num3 = 0.0; - for (int k = j + 1 - lookbackPeriods; k <= j; k++) - { - if (array3[k] == 1) - { - num2 += array2[k]; - } - else if (array3[k] == -1) - { - num3 += array2[k]; - } - } - if (num3 != 0.0) - { - mfiResult.Mfi = 100.0 - 100.0 / (1.0 + new double?(num2 / num3)); - } - else - { - mfiResult.Mfi = 100.0; - } - } - return list; - } - } - - private static void ValidateMfi(int lookbackPeriods) - { - if (lookbackPeriods <= 1) - { - throw new ArgumentOutOfRangeException("lookbackPeriods", lookbackPeriods, "Lookback periods must be greater than 1 for MFI."); - } - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - int removePeriods = results.ToList().FindIndex((MfiResult x) => x.Mfi.HasValue); - return results.Remove(removePeriods); - } - - /// - /// On-balance Volume (OBV) is a rolling accumulation of volume based on Close price direction. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Optional. Number of periods for an SMA of the OBV line.Time series of OBV values.Invalid parameter value provided. - public static IEnumerable GetObv(this IEnumerable quotes, int? smaPeriods = null) where TQuote : IQuote - { - return quotes.ToQuoteD().CalcObv(smaPeriods); - } - - internal static List CalcObv(this List qdList, int? smaPeriods) - { - ValidateObv(smaPeriods); - List list = new List(qdList.Count); - double num = double.NaN; - double num2 = 0.0; - checked - { - for (int i = 0; i < qdList.Count; i++) - { - QuoteD quoteD = qdList[i]; - if (!double.IsNaN(num) && quoteD.Close != num) - { - if (quoteD.Close > num) - { - num2 += quoteD.Volume; - } - else if (quoteD.Close < num) - { - num2 -= quoteD.Volume; - } - } - ObvResult obvResult = new ObvResult(quoteD.Date) - { - Obv = num2 - }; - list.Add(obvResult); - num = quoteD.Close; - if (smaPeriods.HasValue && i + 1 > smaPeriods) - { - double? num3 = 0.0; - for (int j = i + 1 - smaPeriods.Value; j <= i; j++) - { - num3 += list[j].Obv; - } - obvResult.ObvSma = num3 / (double?)smaPeriods; - } - } - return list; - } - } - - private static void ValidateObv(int? smaPeriods) - { - if (smaPeriods.HasValue && smaPeriods.GetValueOrDefault() <= 0) - { - throw new ArgumentOutOfRangeException("smaPeriods", smaPeriods, "SMA periods must be greater than 0 for OBV."); - } - } - - /// - /// Parabolic SAR (stop and reverse) is a price-time based indicator used to determine trend direction and reversals. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Incremental step size.Maximum step threshold.Time series of Parabolic SAR values.Invalid parameter value provided. - public static IEnumerable GetParabolicSar(this IEnumerable quotes, double accelerationStep = 0.02, double maxAccelerationFactor = 0.2) where TQuote : IQuote - { - return quotes.ToQuoteD().CalcParabolicSar(accelerationStep, maxAccelerationFactor, accelerationStep); - } - - /// - /// Parabolic SAR (stop and reverse) is a price-time based indicator used to determine trend direction and reversals. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Incremental step size.Maximum step threshold.Initial starting acceleration factor.Time series of Parabolic SAR values.Invalid parameter value provided. - public static IEnumerable GetParabolicSar(this IEnumerable quotes, double accelerationStep, double maxAccelerationFactor, double initialFactor) where TQuote : IQuote - { - return quotes.ToQuoteD().CalcParabolicSar(accelerationStep, maxAccelerationFactor, initialFactor); - } - - internal static List CalcParabolicSar(this List qdList, double accelerationStep, double maxAccelerationFactor, double initialFactor) - { - ValidateParabolicSar(accelerationStep, maxAccelerationFactor, initialFactor); - int count = qdList.Count; - List list = new List(count); - if (count == 0) - { - return list; - } - QuoteD quoteD = qdList[0]; - double num = initialFactor; - double num2 = quoteD.High; - double num3 = quoteD.Low; - bool flag = true; - checked - { - for (int i = 0; i < count; i++) - { - QuoteD quoteD2 = qdList[i]; - ParabolicSarResult parabolicSarResult = new ParabolicSarResult(quoteD2.Date); - list.Add(parabolicSarResult); - if (i == 0) - { - continue; - } - if (flag) - { - double num4 = num3 + num * (num2 - num3); - if (i >= 2) - { - double val = Math.Min(qdList[i - 1].Low, qdList[i - 2].Low); - num4 = Math.Min(num4, val); - } - if (quoteD2.Low < num4) - { - parabolicSarResult.IsReversal = true; - parabolicSarResult.Sar = num2; - flag = false; - num = initialFactor; - num2 = quoteD2.Low; - } - else - { - parabolicSarResult.IsReversal = false; - parabolicSarResult.Sar = num4; - if (quoteD2.High > num2) - { - num2 = quoteD2.High; - num = Math.Min(num + accelerationStep, maxAccelerationFactor); - } - } - } - else - { - double num5 = num3 - num * (num3 - num2); - if (i >= 2) - { - double val2 = Math.Max(qdList[i - 1].High, qdList[i - 2].High); - num5 = Math.Max(num5, val2); - } - if (quoteD2.High > num5) - { - parabolicSarResult.IsReversal = true; - parabolicSarResult.Sar = num2; - flag = true; - num = initialFactor; - num2 = quoteD2.High; - } - else - { - parabolicSarResult.IsReversal = false; - parabolicSarResult.Sar = num5; - if (quoteD2.Low < num2) - { - num2 = quoteD2.Low; - num = Math.Min(num + accelerationStep, maxAccelerationFactor); - } - } - } - num3 = parabolicSarResult.Sar.Value; - } - ParabolicSarResult parabolicSarResult2 = (from x in list - where x.IsReversal == true - orderby x.Date - select x).FirstOrDefault(); - int num6 = ((parabolicSarResult2 != null) ? list.IndexOf(parabolicSarResult2) : (count - 1)); - for (int num7 = 0; num7 <= num6; num7++) - { - ParabolicSarResult parabolicSarResult3 = list[num7]; - parabolicSarResult3.Sar = null; - parabolicSarResult3.IsReversal = null; - } - return list; - } - } - - private static void ValidateParabolicSar(double accelerationStep, double maxAccelerationFactor, double initialFactor) - { - if (accelerationStep <= 0.0) - { - throw new ArgumentOutOfRangeException("accelerationStep", accelerationStep, "Acceleration Step must be greater than 0 for Parabolic SAR."); - } - if (maxAccelerationFactor <= 0.0) - { - throw new ArgumentOutOfRangeException("maxAccelerationFactor", maxAccelerationFactor, "Max Acceleration Factor must be greater than 0 for Parabolic SAR."); - } - if (accelerationStep > maxAccelerationFactor) - { - string message = string.Format(invCulture, "Acceleration Step cannot be larger than the Max Acceleration Factor ({0}) for Parabolic SAR.", maxAccelerationFactor); - throw new ArgumentOutOfRangeException("accelerationStep", accelerationStep, message); - } - if (initialFactor <= 0.0 || initialFactor > maxAccelerationFactor) - { - throw new ArgumentOutOfRangeException("initialFactor", initialFactor, "Initial Factor must be greater than 0 and not larger than Max Acceleration Factor for Parabolic SAR."); - } - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - int removePeriods = results.ToList().FindIndex((ParabolicSarResult x) => x.Sar.HasValue); - return results.Remove(removePeriods); - } - - /// - /// Pivot Points depict support and resistance levels, based on the prior lookback window. You can specify window size (e.g. month, week, day, etc). - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Calendar size of the lookback window.Pivot Point type.Time series of Pivot Points values.Invalid parameter value provided. - public static IEnumerable GetPivotPoints(this IEnumerable quotes, PeriodSize windowSize, PivotPointType pointType = PivotPointType.Standard) where TQuote : IQuote - { - return quotes.ToSortedList().CalcPivotPoints(windowSize, pointType); - } - - internal static List CalcPivotPoints(this List quotesList, PeriodSize windowSize, PivotPointType pointType) where TQuote : IQuote - { - int count = quotesList.Count; - List list = new List(count); - PivotPointsResult pivotPointsResult = new PivotPointsResult(); - if (count == 0) - { - return list; - } - TQuote val = quotesList[0]; - int num = GetWindowNumber(val.Date, windowSize); - bool flag = true; - decimal num2 = val.High; - decimal num3 = val.Low; - decimal open = val.Open; - decimal close = val.Close; - for (int i = 0; i < count; i = checked(i + 1)) - { - TQuote val2 = quotesList[i]; - PivotPointsResult pivotPointsResult2 = new PivotPointsResult - { - Date = val2.Date - }; - int windowNumber = GetWindowNumber(val2.Date, windowSize); - if (windowNumber != num) - { - num = windowNumber; - flag = false; - if (pointType == PivotPointType.Woodie) - { - open = val2.Open; - } - pivotPointsResult = GetPivotPoint(pointType, open, num2, num3, close); - open = val2.Open; - num2 = val2.High; - num3 = val2.Low; - } - if (!flag) - { - pivotPointsResult2.PP = pivotPointsResult?.PP; - pivotPointsResult2.S1 = pivotPointsResult?.S1; - pivotPointsResult2.S2 = pivotPointsResult?.S2; - pivotPointsResult2.S3 = pivotPointsResult?.S3; - pivotPointsResult2.S4 = pivotPointsResult?.S4; - pivotPointsResult2.R1 = pivotPointsResult?.R1; - pivotPointsResult2.R2 = pivotPointsResult?.R2; - pivotPointsResult2.R3 = pivotPointsResult?.R3; - pivotPointsResult2.R4 = pivotPointsResult?.R4; - } - list.Add(pivotPointsResult2); - num2 = ((val2.High > num2) ? val2.High : num2); - num3 = ((val2.Low < num3) ? val2.Low : num3); - close = val2.Close; - } - return list; - } - - internal static TPivotPoint GetPivotPointStandard(decimal high, decimal low, decimal close) where TPivotPoint : IPivotPoint, new() - { - decimal num = (high + low + close) / 3m; - TPivotPoint result = new TPivotPoint(); - decimal? pP = num; - result.PP = pP; - decimal? s = num * 2m - high; - result.S1 = s; - decimal? s2 = num - (high - low); - result.S2 = s2; - decimal? s3 = low - 2m * (high - num); - result.S3 = s3; - decimal? r = num * 2m - low; - result.R1 = r; - decimal? r2 = num + (high - low); - result.R2 = r2; - decimal? r3 = high + 2m * (num - low); - result.R3 = r3; - return result; - } - - internal static TPivotPoint GetPivotPointCamarilla(decimal high, decimal low, decimal close) where TPivotPoint : IPivotPoint, new() - { - TPivotPoint result = new TPivotPoint(); - decimal? pP = close; - result.PP = pP; - decimal? s = close - 0.0916666666666666666666666667m * (high - low); - result.S1 = s; - decimal? s2 = close - 0.1833333333333333333333333333m * (high - low); - result.S2 = s2; - decimal? s3 = close - 0.275m * (high - low); - result.S3 = s3; - decimal? s4 = close - 0.55m * (high - low); - result.S4 = s4; - decimal? r = close + 0.0916666666666666666666666667m * (high - low); - result.R1 = r; - decimal? r2 = close + 0.1833333333333333333333333333m * (high - low); - result.R2 = r2; - decimal? r3 = close + 0.275m * (high - low); - result.R3 = r3; - decimal? r4 = close + 0.55m * (high - low); - result.R4 = r4; - return result; - } - - internal static TPivotPoint GetPivotPointDemark(decimal open, decimal high, decimal low, decimal close) where TPivotPoint : IPivotPoint, new() - { - decimal? num = ((close < open) ? (high + 2m * low + close) : ((close > open) ? (2m * high + low + close) : (high + low + 2m * close))); - TPivotPoint result = new TPivotPoint(); - decimal? pP = num / (decimal?)4; - result.PP = pP; - decimal? s = num / (decimal?)2 - (decimal?)high; - result.S1 = s; - decimal? r = num / (decimal?)2 - (decimal?)low; - result.R1 = r; - return result; - } - - internal static TPivotPoint GetPivotPointFibonacci(decimal high, decimal low, decimal close) where TPivotPoint : IPivotPoint, new() - { - decimal num = (high + low + close) / 3m; - TPivotPoint result = new TPivotPoint(); - decimal? pP = num; - result.PP = pP; - decimal? s = num - 0.382m * (high - low); - result.S1 = s; - decimal? s2 = num - 0.618m * (high - low); - result.S2 = s2; - decimal? s3 = num - 1.000m * (high - low); - result.S3 = s3; - decimal? r = num + 0.382m * (high - low); - result.R1 = r; - decimal? r2 = num + 0.618m * (high - low); - result.R2 = r2; - decimal? r3 = num + 1.000m * (high - low); - result.R3 = r3; - return result; - } - - internal static TPivotPoint GetPivotPointWoodie(decimal currentOpen, decimal high, decimal low) where TPivotPoint : IPivotPoint, new() - { - decimal num = (high + low + 2m * currentOpen) / 4m; - TPivotPoint result = new TPivotPoint(); - decimal? pP = num; - result.PP = pP; - decimal? s = num * 2m - high; - result.S1 = s; - decimal? s2 = num - high + low; - result.S2 = s2; - decimal? s3 = low - 2m * (high - num); - result.S3 = s3; - decimal? r = num * 2m - low; - result.R1 = r; - decimal? r2 = num + high - low; - result.R2 = r2; - decimal? r3 = high + 2m * (num - low); - result.R3 = r3; - return result; - } - - internal static TPivotPoint GetPivotPoint(PivotPointType pointType, decimal open, decimal high, decimal low, decimal close) where TPivotPoint : IPivotPoint, new() - { - return pointType switch - { - PivotPointType.Standard => GetPivotPointStandard(high, low, close), - PivotPointType.Camarilla => GetPivotPointCamarilla(high, low, close), - PivotPointType.Demark => GetPivotPointDemark(open, high, low, close), - PivotPointType.Fibonacci => GetPivotPointFibonacci(high, low, close), - PivotPointType.Woodie => GetPivotPointWoodie(open, high, low), - _ => throw new ArgumentOutOfRangeException("pointType", pointType, "Invalid pointType provided."), - }; - } - - private static int GetWindowNumber(DateTime d, PeriodSize windowSize) - { - return windowSize switch - { - PeriodSize.Month => d.Month, - PeriodSize.Week => invCalendar.GetWeekOfYear(d, invCalendarWeekRule, invFirstDayOfWeek), - PeriodSize.Day => d.Day, - PeriodSize.OneHour => d.Hour, - _ => throw new ArgumentOutOfRangeException("windowSize", windowSize, string.Format(invCulture, "Pivot Points does not support PeriodSize of {0}. See documentation for valid options.", Enum.GetName(typeof(PeriodSize), windowSize))), - }; - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - int removePeriods = results.ToList().FindIndex((PivotPointsResult x) => x.PP.HasValue); - return results.Remove(removePeriods); - } - - /// - /// Pivots is an extended version of Williams Fractal that includes identification of Higher High, Lower Low, Higher Low, and Lower Low trends between pivots in a lookback window. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of span periods to the left of the evaluation period.Number of span periods to the right of the evaluation period.Number of periods in the lookback window.Determines use of Close or High/Low wicks for points.Time series of Pivots values.Invalid parameter value provided. - public static IEnumerable GetPivots(this IEnumerable quotes, int leftSpan = 2, int rightSpan = 2, int maxTrendPeriods = 20, EndType endType = EndType.HighLow) where TQuote : IQuote - { - return quotes.ToSortedList().CalcPivots(leftSpan, rightSpan, maxTrendPeriods, endType); - } - - internal static List CalcPivots(this List quotesList, int leftSpan, int rightSpan, int maxTrendPeriods, EndType endType) where TQuote : IQuote - { - ValidatePivots(leftSpan, rightSpan, maxTrendPeriods); - List list = (from x in quotesList.CalcFractal(leftSpan, rightSpan, endType) - select new PivotsResult(x.Date) - { - HighPoint = x.FractalBear, - LowPoint = x.FractalBull - }).ToList(); - int? num = null; - decimal? num2 = null; - int? num3 = null; - decimal? num4 = null; - checked - { - for (int num5 = leftSpan; num5 <= list.Count - rightSpan; num5++) - { - PivotsResult pivotsResult = list[num5]; - if (num < num5 - maxTrendPeriods) - { - num = null; - num2 = null; - } - if (num3 < num5 - maxTrendPeriods) - { - num3 = null; - num4 = null; - } - if (pivotsResult.HighPoint.HasValue) - { - if (num.HasValue && !(pivotsResult.HighPoint == num2)) - { - PivotTrend value = ((!(pivotsResult.HighPoint > num2)) ? PivotTrend.LH : PivotTrend.HH); - list[num.Value].HighLine = num2; - decimal? num6 = (pivotsResult.HighPoint - num2) / (decimal?)(num5 - num); - for (int num7 = num.Value + 1; num7 <= num5; num7++) - { - list[num7].HighTrend = value; - list[num7].HighLine = pivotsResult.HighPoint + num6 * (decimal?)(num7 - num5); - } - } - num = num5; - num2 = pivotsResult.HighPoint; - } - if (!pivotsResult.LowPoint.HasValue) - { - continue; - } - if (num3.HasValue && !(pivotsResult.LowPoint == num4)) - { - PivotTrend value2 = ((pivotsResult.LowPoint > num4) ? PivotTrend.HL : PivotTrend.LL); - list[num3.Value].LowLine = num4; - decimal? num8 = (pivotsResult.LowPoint - num4) / (decimal?)(num5 - num3); - for (int num9 = num3.Value + 1; num9 <= num5; num9++) - { - list[num9].LowTrend = value2; - list[num9].LowLine = pivotsResult.LowPoint + num8 * (decimal?)(num9 - num5); - } - } - num3 = num5; - num4 = pivotsResult.LowPoint; - } - return list; - } - } - - internal static void ValidatePivots(int leftSpan, int rightSpan, int maxTrendPeriods, string caller = "Pivots") - { - if (rightSpan < 2) - { - throw new ArgumentOutOfRangeException("rightSpan", rightSpan, "Right span must be at least 2 for " + caller + "."); - } - if (leftSpan < 2) - { - throw new ArgumentOutOfRangeException("leftSpan", leftSpan, "Left span must be at least 2 for " + caller + "."); - } - if (maxTrendPeriods <= leftSpan) - { - throw new ArgumentOutOfRangeException("leftSpan", leftSpan, "Lookback periods must be greater than the Left window span for " + caller + "."); - } - } - - /// Removes non-essential records containing null values with unique consideration for - /// this indicator. See - /// documentation for more information. - /// Indicator results to evaluate.Time series of - /// indicator results, condensed. - public static IEnumerable Condense(this IEnumerable results) - { - List list = results.ToList(); - list.RemoveAll((PivotsResult x) => !x.HighPoint.HasValue && !x.LowPoint.HasValue); - return list.ToSortedList(); - } - - /// - /// Price Momentum Oscillator (PMO) is double-smoothed ROC based momentum indicator. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods for ROC EMA smoothing.Number of periods for PMO EMA smoothing.Number of periods for Signal line EMA.Time series of PMO values.Invalid parameter value provided. - public static IEnumerable GetPmo(this IEnumerable quotes, int timePeriods = 35, int smoothPeriods = 20, int signalPeriods = 10) where TQuote : IQuote - { - return quotes.ToTuple(CandlePart.Close).CalcPmo(timePeriods, smoothPeriods, signalPeriods); - } - - public static IEnumerable GetPmo(this IEnumerable results, int timePeriods = 35, int smoothPeriods = 20, int signalPeriods = 10) - { - return results.ToTuple().CalcPmo(timePeriods, smoothPeriods, signalPeriods).SyncIndex(results, SyncType.Prepend); - } - - public static IEnumerable GetPmo(this IEnumerable<(DateTime, double)> priceTuples, int timePeriods = 35, int smoothPeriods = 20, int signalPeriods = 10) - { - return priceTuples.ToSortedList().CalcPmo(timePeriods, smoothPeriods, signalPeriods); - } - - internal static List CalcPmo(this List<(DateTime, double)> tpList, int timePeriods, int smoothPeriods, int signalPeriods) - { - ValidatePmo(timePeriods, smoothPeriods, signalPeriods); - List list = tpList.CalcPmoRocEma(timePeriods); - double num = 2.0 / (double)smoothPeriods; - double? num2 = null; - checked - { - int num3 = timePeriods + smoothPeriods; - for (int i = num3 - 1; i < list.Count; i++) - { - PmoResult pmoResult = list[i]; - if (i + 1 > num3) - { - pmoResult.Pmo = (pmoResult.RocEma - num2) * num + num2; - } - else if (i + 1 == num3) - { - double? num4 = 0.0; - for (int j = i + 1 - smoothPeriods; j <= i; j++) - { - num4 += list[j].RocEma; - } - pmoResult.Pmo = num4 / (double)smoothPeriods; - } - num2 = pmoResult.Pmo; - } - CalcPmoSignal(list, timePeriods, smoothPeriods, signalPeriods); - return list; - } - } - - private static List CalcPmoRocEma(this List<(DateTime, double)> tpList, int timePeriods) - { - double num = 2.0 / (double)timePeriods; - double? num2 = null; - List list = tpList.CalcRoc(1, null).ToList(); - List list2 = new List(); - checked - { - int num3 = timePeriods + 1; - for (int i = 0; i < list.Count; i++) - { - RocResult rocResult = list[i]; - PmoResult pmoResult = new PmoResult(rocResult.Date); - list2.Add(pmoResult); - if (i + 1 > num3) - { - pmoResult.RocEma = rocResult.Roc * num + num2 * (1.0 - num); - } - else if (i + 1 == num3) - { - double? num4 = 0.0; - for (int j = i + 1 - timePeriods; j <= i; j++) - { - num4 += list[j].Roc; - } - pmoResult.RocEma = num4 / (double)timePeriods; - } - num2 = pmoResult.RocEma; - pmoResult.RocEma *= 10.0; - } - return list2; - } - } - - private static void CalcPmoSignal(List results, int timePeriods, int smoothPeriods, int signalPeriods) - { - checked - { - double num = 2.0 / (double)(signalPeriods + 1); - double? num2 = null; - int num3 = timePeriods + smoothPeriods + signalPeriods - 1; - for (int i = num3 - 1; i < results.Count; i++) - { - PmoResult pmoResult = results[i]; - if (i + 1 > num3) - { - pmoResult.Signal = (pmoResult.Pmo - num2) * num + num2; - } - else if (i + 1 == num3) - { - double? num4 = 0.0; - for (int j = i + 1 - signalPeriods; j <= i; j++) - { - num4 += results[j].Pmo; - } - pmoResult.Signal = num4 / (double)signalPeriods; - } - num2 = pmoResult.Signal; - } - } - } - - private static void ValidatePmo(int timePeriods, int smoothPeriods, int signalPeriods) - { - if (timePeriods <= 1) - { - throw new ArgumentOutOfRangeException("timePeriods", timePeriods, "Time periods must be greater than 1 for PMO."); - } - if (smoothPeriods <= 0) - { - throw new ArgumentOutOfRangeException("smoothPeriods", smoothPeriods, "Smoothing periods must be greater than 0 for PMO."); - } - if (signalPeriods <= 0) - { - throw new ArgumentOutOfRangeException("signalPeriods", signalPeriods, "Signal periods must be greater than 0 for PMO."); - } - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - checked - { - int num = results.ToList().FindIndex((PmoResult x) => x.Pmo.HasValue) + 1; - return results.Remove(num + 250); - } - } - - /// - /// Price Relative Strength (PRS), also called Comparative Relative Strength, - /// shows the ratio of two quote histories. It is often used to compare - /// against a market index or sector ETF. When using the optional lookbackPeriods, - /// this also return relative percent change over the specified periods. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes for evaluation.This is usually market index data, but could be any baseline data that you might use for comparison.Optional. Number of periods for % difference.Optional. Number of periods for a PRS SMA signal line.Time series of PRS values.Invalid parameter value provided.Invalid quotes provided. - public static IEnumerable GetPrs(this IEnumerable quotesEval, IEnumerable quotesBase, int? lookbackPeriods = null, int? smaPeriods = null) where TQuote : IQuote - { - List<(DateTime, double)> tpListBase = quotesBase.ToTuple(CandlePart.Close); - return CalcPrs(quotesEval.ToTuple(CandlePart.Close), tpListBase, lookbackPeriods, smaPeriods); - } - - public static IEnumerable GetPrs(this IEnumerable quotesEval, IEnumerable quotesBase, int? lookbackPeriods = null, int? smaPeriods = null) - { - List<(DateTime Date, double Value)> tpListEval = quotesEval.ToTuple(); - List<(DateTime, double)> tpListBase = quotesBase.ToTuple(); - return CalcPrs(tpListEval, tpListBase, lookbackPeriods, smaPeriods).SyncIndex(quotesEval, SyncType.Prepend); - } - - public static IEnumerable GetPrs(this IEnumerable<(DateTime, double)> tupleEval, IEnumerable<(DateTime, double)> tupleBase, int? lookbackPeriods = null, int? smaPeriods = null) - { - List<(DateTime, double)> tpListBase = tupleBase.ToSortedList(); - return CalcPrs(tupleEval.ToSortedList(), tpListBase, lookbackPeriods, smaPeriods); - } - - internal static List CalcPrs(List<(DateTime, double)> tpListEval, List<(DateTime, double)> tpListBase, int? lookbackPeriods = null, int? smaPeriods = null) - { - ValidatePriceRelative(tpListEval, tpListBase, lookbackPeriods, smaPeriods); - List list = new List(tpListEval.Count); - checked - { - for (int i = 0; i < tpListEval.Count; i++) - { - var (dateTime, num) = tpListBase[i]; - var (dateTime2, num2) = tpListEval[i]; - if (dateTime2 != dateTime) - { - throw new InvalidQuotesException("tpListEval", dateTime2, "Date sequence does not match. Price Relative requires matching dates in provided histories."); - } - PrsResult prsResult = new PrsResult(dateTime2) - { - Prs = ((num == 0.0) ? ((double?)null) : (num2 / num).NaN2Null()) - }; - list.Add(prsResult); - if (lookbackPeriods.HasValue && i + 1 > lookbackPeriods) - { - double item = tpListBase[i - lookbackPeriods.Value].Item2; - double item2 = tpListEval[i - lookbackPeriods.Value].Item2; - if (item != 0.0 && item2 != 0.0) - { - double? num3 = (num - item) / item; - prsResult.PrsPercent = (new double?((num2 - item2) / item2) - num3).NaN2Null(); - } - } - if (smaPeriods.HasValue && i + 1 >= smaPeriods) - { - double? num4 = 0.0; - for (int j = i + 1 - smaPeriods.Value; j <= i; j++) - { - num4 += list[j].Prs; - } - prsResult.PrsSma = (num4 / (double?)smaPeriods).NaN2Null(); - } - } - return list; - } - } - - private static void ValidatePriceRelative(List<(DateTime, double)> quotesEval, List<(DateTime, double)> quotesBase, int? lookbackPeriods, int? smaPeriods) - { - if (lookbackPeriods.HasValue && lookbackPeriods.GetValueOrDefault() <= 0) - { - throw new ArgumentOutOfRangeException("lookbackPeriods", lookbackPeriods, "Lookback periods must be greater than 0 for Price Relative Strength."); - } - if (smaPeriods.HasValue && smaPeriods.GetValueOrDefault() <= 0) - { - throw new ArgumentOutOfRangeException("smaPeriods", smaPeriods, "SMA periods must be greater than 0 for Price Relative Strength."); - } - int count = quotesEval.Count; - int count2 = quotesBase.Count; - int? num = lookbackPeriods; - if (num.HasValue && count < num) - { - string message = "Insufficient quotes provided for Price Relative Strength. " + string.Format(invCulture, "You provided {0} periods of quotes when at least {1} are required.", count, num); - throw new InvalidQuotesException("quotesEval", message); - } - if (count2 != count) - { - throw new InvalidQuotesException("quotesBase", "Base quotes should have at least as many records as Eval quotes for PRS."); - } - } - - /// - /// Percentage Volume Oscillator (PVO) is a simple oscillator view of two converging/diverging exponential moving averages of Volume. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods in the Fast moving average.Number of periods in the Slow moving average.Number of periods for the PVO SMA signal line.Time series of PVO values.Invalid parameter value provided. - public static IEnumerable GetPvo(this IEnumerable quotes, int fastPeriods = 12, int slowPeriods = 26, int signalPeriods = 9) where TQuote : IQuote - { - return quotes.ToTuple(CandlePart.Volume).CalcPvo(fastPeriods, slowPeriods, signalPeriods); - } - - internal static List CalcPvo(this List<(DateTime, double)> tpList, int fastPeriods, int slowPeriods, int signalPeriods) - { - ValidatePvo(fastPeriods, slowPeriods, signalPeriods); - List list = tpList.CalcEma(fastPeriods); - List list2 = tpList.CalcEma(slowPeriods); - int count = tpList.Count; - List<(DateTime, double)> list3 = new List<(DateTime, double)>(); - List list4 = new List(count); - checked - { - for (int i = 0; i < count; i++) - { - DateTime item = tpList[i].Item1; - EmaResult emaResult = list[i]; - EmaResult emaResult2 = list2[i]; - PvoResult pvoResult = new PvoResult(item); - list4.Add(pvoResult); - if (i >= slowPeriods - 1) - { - double? num = (pvoResult.Pvo = ((emaResult2.Ema == 0.0) ? ((double?)null) : (100.0 * ((emaResult.Ema - emaResult2.Ema) / emaResult2.Ema)))); - (DateTime, double) item2 = (item, (!num.HasValue) ? 0.0 : num.Value); - list3.Add(item2); - } - } - List list5 = list3.CalcEma(signalPeriods); - for (int j = slowPeriods - 1; j < count; j++) - { - PvoResult pvoResult2 = list4[j]; - EmaResult emaResult3 = list5[j + 1 - slowPeriods]; - pvoResult2.Signal = emaResult3.Ema; - pvoResult2.Histogram = pvoResult2.Pvo - pvoResult2.Signal; - } - return list4; - } - } - - private static void ValidatePvo(int fastPeriods, int slowPeriods, int signalPeriods) - { - if (fastPeriods <= 0) - { - throw new ArgumentOutOfRangeException("fastPeriods", fastPeriods, "Fast periods must be greater than 0 for PVO."); - } - if (signalPeriods < 0) - { - throw new ArgumentOutOfRangeException("signalPeriods", signalPeriods, "Signal periods must be greater than or equal to 0 for PVO."); - } - if (slowPeriods <= fastPeriods) - { - throw new ArgumentOutOfRangeException("slowPeriods", slowPeriods, "Slow periods must be greater than the fast period for PVO."); - } - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - checked - { - int num = results.ToList().FindIndex((PvoResult x) => x.Signal.HasValue) + 2; - return results.Remove(num + 250); - } - } - - /// - /// Renko Chart is a modified Japanese candlestick pattern that uses time-lapsed bricks. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Fixed brick size ($).End type. See documentation.Time series of Renko Chart candlestick values.Invalid parameter value provided. - public static IEnumerable GetRenko(this IEnumerable quotes, decimal brickSize, EndType endType = EndType.Close) where TQuote : IQuote - { - return quotes.ToSortedList().CalcRenko(brickSize, endType); - } - - internal static List CalcRenko(this List quotesList, decimal brickSize, EndType endType) where TQuote : IQuote - { - ValidateRenko(brickSize); - int count = quotesList.Count; - List list = new List(count); - if (count == 0) - { - return list; - } - TQuote val = quotesList[0]; - bool flag = true; - int decimalPlaces = brickSize.GetDecimalPlaces(); - checked - { - decimal num = Math.Round(val.Close, Math.Max(decimalPlaces - 1, 0)); - decimal num2 = decimal.MinValue; - decimal num3 = decimal.MaxValue; - decimal num4 = default(decimal); - RenkoResult renkoResult = new RenkoResult(val.Date) - { - Open = num, - Close = num - }; - for (int i = 1; i < count; i++) - { - TQuote q = quotesList[i]; - if (flag) - { - num2 = q.High; - num3 = q.Low; - num4 = q.Volume; - } - else - { - num2 = ((q.High > num2) ? q.High : num2); - num3 = ((q.Low < num3) ? q.Low : num3); - num4 += q.Volume; - } - int newBricks = GetNewBricks(endType, q, renkoResult, brickSize); - int num5 = Math.Abs(newBricks); - for (int j = 0; j < num5; j++) - { - bool isUp = newBricks >= 0; - decimal close; - if (newBricks > 0) - { - num = Math.Max(renkoResult.Open, renkoResult.Close); - close = num + brickSize; - } - else - { - num = Math.Min(renkoResult.Open, renkoResult.Close); - close = num - brickSize; - } - RenkoResult renkoResult2 = new RenkoResult(q.Date) - { - Open = num, - High = num2, - Low = num3, - Close = close, - Volume = num4 / (decimal)num5, - IsUp = isUp - }; - list.Add(renkoResult2); - renkoResult = renkoResult2; - } - flag = num5 != 0; - } - return list; - } - } - - private static int GetNewBricks(EndType endType, TQuote q, RenkoResult lastBrick, decimal brickSize) where TQuote : IQuote - { - decimal num = Math.Max(lastBrick.Open, lastBrick.Close); - decimal num2 = Math.Min(lastBrick.Open, lastBrick.Close); - switch (endType) - { - case EndType.Close: - return (q.Close > num) ? ((int)((q.Close - num) / brickSize)) : ((q.Close < num2) ? ((int)((q.Close - num2) / brickSize)) : 0); - case EndType.HighLow: - { - decimal num3 = (q.High - num) / brickSize; - decimal num4 = (num2 - q.Low) / brickSize; - return (int)((num3 >= num4) ? num3 : (-num4)); - } - default: - throw new ArgumentOutOfRangeException("endType"); - } - } - - private static void ValidateRenko(decimal brickSize) - { - if (brickSize <= 0m) - { - throw new ArgumentOutOfRangeException("brickSize", brickSize, "Brick size must be greater than 0 for Renko Charts."); - } - } - - /// - /// The ATR Renko Chart is a modified Japanese candlestick pattern based on Average True Range brick size. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Lookback periods for the ATR evaluation.End type. See documentation.Time series of Renko Chart candlestick values. - public static IEnumerable GetRenkoAtr(this IEnumerable quotes, int atrPeriods, EndType endType = EndType.Close) where TQuote : IQuote - { - return quotes.ToSortedList().CalcRenkoAtr(atrPeriods, endType); - } - - internal static List CalcRenkoAtr(this List quotesList, int atrPeriods, EndType endType = EndType.Close) where TQuote : IQuote - { - double? num = quotesList.ToQuoteD().CalcAtr(atrPeriods).LastOrDefault()?.Atr; - decimal num2 = ((!num.HasValue) ? 0m : ((decimal)num.Value)); - if (!(num2 == 0m)) - { - return quotesList.CalcRenko(num2, endType); - } - return new List(); - } - - /// - /// Rate of Change (ROC), also known as Momentum Oscillator, is the percent change of price over a lookback window. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods in the lookback window.Optional. Number of periods for an ROC SMA signal line.Time series of ROC values.Invalid parameter value provided. - public static IEnumerable GetRoc(this IEnumerable quotes, int lookbackPeriods, int? smaPeriods = null) where TQuote : IQuote - { - return quotes.ToTuple(CandlePart.Close).CalcRoc(lookbackPeriods, smaPeriods); - } - - public static IEnumerable GetRoc(this IEnumerable results, int lookbackPeriods, int? smaPeriods = null) - { - return results.ToTuple().CalcRoc(lookbackPeriods, smaPeriods).SyncIndex(results, SyncType.Prepend); - } - - public static IEnumerable GetRoc(this IEnumerable<(DateTime, double)> priceTuples, int lookbackPeriods, int? smaPeriods = null) - { - return priceTuples.ToSortedList().CalcRoc(lookbackPeriods, smaPeriods); - } - - internal static List CalcRoc(this List<(DateTime, double)> tpList, int lookbackPeriods, int? smaPeriods) - { - ValidateRoc(lookbackPeriods, smaPeriods); - List list = new List(tpList.Count); - checked - { - for (int i = 0; i < tpList.Count; i++) - { - (DateTime, double) tuple = tpList[i]; - DateTime item = tuple.Item1; - double item2 = tuple.Item2; - RocResult rocResult = new RocResult(item); - list.Add(rocResult); - if (i + 1 > lookbackPeriods) - { - double item3 = tpList[i - lookbackPeriods].Item2; - rocResult.Momentum = (item2 - item3).NaN2Null(); - rocResult.Roc = ((item3 == 0.0) ? ((double?)null) : (100.0 * rocResult.Momentum / item3).NaN2Null()); - } - if (smaPeriods.HasValue && i >= lookbackPeriods + smaPeriods - 1) - { - double? num = 0.0; - for (int j = i + 1 - smaPeriods.Value; j <= i; j++) - { - num += list[j].Roc; - } - rocResult.RocSma = num / (double?)smaPeriods; - } - } - return list; - } - } - - private static void ValidateRoc(int lookbackPeriods, int? smaPeriods) - { - if (lookbackPeriods <= 0) - { - throw new ArgumentOutOfRangeException("lookbackPeriods", lookbackPeriods, "Lookback periods must be greater than 0 for ROC."); - } - if (smaPeriods.HasValue && smaPeriods.GetValueOrDefault() <= 0) - { - throw new ArgumentOutOfRangeException("smaPeriods", smaPeriods, "SMA periods must be greater than 0 for ROC."); - } - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - int removePeriods = results.ToList().FindIndex((RocResult x) => x.Roc.HasValue); - return results.Remove(removePeriods); - } - - /// - /// Rate of Change with Bands (ROCWB) is the percent change of price over a lookback window with standard deviation bands. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods in the lookback window.Number of periods for the ROC EMA line.Number of periods the standard deviation for upper/lower band lines.Time series of ROCWB values.Invalid parameter value provided. - public static IEnumerable GetRocWb(this IEnumerable quotes, int lookbackPeriods, int emaPeriods, int stdDevPeriods) where TQuote : IQuote - { - return quotes.ToTuple(CandlePart.Close).CalcRocWb(lookbackPeriods, emaPeriods, stdDevPeriods); - } - - public static IEnumerable GetRocWb(this IEnumerable results, int lookbackPeriods, int emaPeriods, int stdDevPeriods) - { - return results.ToTuple().CalcRocWb(lookbackPeriods, emaPeriods, stdDevPeriods).SyncIndex(results, SyncType.Prepend); - } - - public static IEnumerable GetRocWb(this IEnumerable<(DateTime, double)> priceTuples, int lookbackPeriods, int emaPeriods, int stdDevPeriods) - { - return priceTuples.ToSortedList().CalcRocWb(lookbackPeriods, emaPeriods, stdDevPeriods); - } - - internal static List CalcRocWb(this List<(DateTime, double)> tpList, int lookbackPeriods, int emaPeriods, int stdDevPeriods) - { - ValidateRocWb(lookbackPeriods, emaPeriods, stdDevPeriods); - List list = (from x in tpList.CalcRoc(lookbackPeriods, null) - select new RocWbResult(x.Date) - { - Roc = x.Roc - }).ToList(); - checked - { - double num = 2.0 / (double)(emaPeriods + 1); - double? num2 = 0.0; - int count = list.Count; - if (count > lookbackPeriods) - { - int num3 = Math.Min(lookbackPeriods + emaPeriods, count); - for (int num4 = lookbackPeriods; num4 < num3; num4++) - { - num2 += list[num4].Roc; - } - num2 /= (double)emaPeriods; - } - double?[] array = list.Select((RocWbResult x) => x.Roc * x.Roc).ToArray(); - for (int num5 = lookbackPeriods; num5 < count; num5++) - { - RocWbResult rocWbResult = list[num5]; - if (num5 + 1 > lookbackPeriods + emaPeriods) - { - rocWbResult.RocEma = num2 + num * (rocWbResult.Roc - num2); - num2 = rocWbResult.RocEma; - } - else if (num5 + 1 == lookbackPeriods + emaPeriods) - { - rocWbResult.RocEma = num2; - } - if (num5 + 1 >= lookbackPeriods + stdDevPeriods) - { - double? num6 = 0.0; - for (int num7 = num5 - stdDevPeriods + 1; num7 <= num5; num7++) - { - num6 += array[num7]; - } - if (num6.HasValue) - { - rocWbResult.LowerBand = 0.0 - (rocWbResult.UpperBand = Math.Sqrt(num6.Value / (double)stdDevPeriods)); - } - } - } - return list; - } - } - - private static void ValidateRocWb(int lookbackPeriods, int emaPeriods, int stdDevPeriods) - { - if (lookbackPeriods <= 0) - { - throw new ArgumentOutOfRangeException("lookbackPeriods", lookbackPeriods, "Lookback periods must be greater than 0 for ROC with Bands."); - } - if (emaPeriods <= 0) - { - throw new ArgumentOutOfRangeException("emaPeriods", emaPeriods, "EMA periods must be greater than 0 for ROC."); - } - if (stdDevPeriods <= 0 || stdDevPeriods > lookbackPeriods) - { - throw new ArgumentOutOfRangeException("stdDevPeriods", stdDevPeriods, "Standard Deviation periods must be greater than 0 and less than lookback period for ROC with Bands."); - } - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - checked - { - int num = results.ToList().FindIndex((RocWbResult x) => x.RocEma.HasValue) + 1; - return results.Remove(num + 100); - } - } - - /// - /// Rolling Pivot Points is a modern update to traditional fixed calendar window Pivot Points. - /// It depicts support and resistance levels, based on a defined rolling window and offset. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods in the evaluation window.Number of periods to offset the window from the current period.Pivot Point type.Time series of Rolling Pivot Points values.Invalid parameter value provided. - public static IEnumerable GetRollingPivots(this IEnumerable quotes, int windowPeriods, int offsetPeriods, PivotPointType pointType = PivotPointType.Standard) where TQuote : IQuote - { - return quotes.ToSortedList().CalcRollingPivots(windowPeriods, offsetPeriods, pointType); - } - - internal static List CalcRollingPivots(this List quotesList, int windowPeriods, int offsetPeriods, PivotPointType pointType) where TQuote : IQuote - { - ValidateRollingPivots(windowPeriods, offsetPeriods); - int count = quotesList.Count; - List list = new List(count); - checked - { - for (int i = 0; i < count; i++) - { - TQuote val = quotesList[i]; - RollingPivotsResult rollingPivotsResult = new RollingPivotsResult - { - Date = val.Date - }; - if (i >= windowPeriods + offsetPeriods) - { - int num = i - windowPeriods - offsetPeriods; - TQuote val2 = quotesList[num]; - decimal num2 = val2.High; - decimal num3 = val2.Low; - decimal close = quotesList[i - offsetPeriods - 1].Close; - for (int j = num; j <= i - offsetPeriods - 1; j++) - { - TQuote val3 = quotesList[j]; - num2 = ((val3.High > num2) ? val3.High : num2); - num3 = ((val3.Low < num3) ? val3.Low : num3); - } - RollingPivotsResult pivotPoint = GetPivotPoint(pointType, val.Open, num2, num3, close); - rollingPivotsResult.PP = pivotPoint.PP; - rollingPivotsResult.S1 = pivotPoint.S1; - rollingPivotsResult.S2 = pivotPoint.S2; - rollingPivotsResult.S3 = pivotPoint.S3; - rollingPivotsResult.S4 = pivotPoint.S4; - rollingPivotsResult.R1 = pivotPoint.R1; - rollingPivotsResult.R2 = pivotPoint.R2; - rollingPivotsResult.R3 = pivotPoint.R3; - rollingPivotsResult.R4 = pivotPoint.R4; - } - list.Add(rollingPivotsResult); - } - return list; - } - } - - private static void ValidateRollingPivots(int windowPeriods, int offsetPeriods) - { - if (windowPeriods <= 0) - { - throw new ArgumentOutOfRangeException("windowPeriods", windowPeriods, "Window periods must be greater than 0 for Rolling Pivot Points."); - } - if (offsetPeriods < 0) - { - throw new ArgumentOutOfRangeException("offsetPeriods", offsetPeriods, "Offset periods must be greater than or equal to 0 for Rolling Pivot Points."); - } - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - int removePeriods = results.ToList().FindIndex((RollingPivotsResult x) => x.PP.HasValue); - return results.Remove(removePeriods); - } - - /// - /// Relative Strength Index (RSI) measures strength of the winning/losing streak over N lookback periods - /// on a scale of 0 to 100, to depict overbought and oversold conditions. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods in the lookback window.Time series of RSI values.Invalid parameter value provided. - public static IEnumerable GetRsi(this IEnumerable quotes, int lookbackPeriods = 14) where TQuote : IQuote - { - return quotes.ToTuple(CandlePart.Close).CalcRsi(lookbackPeriods); - } - - public static IEnumerable GetRsi(this IEnumerable results, int lookbackPeriods = 14) - { - return results.ToTuple().CalcRsi(lookbackPeriods).SyncIndex(results, SyncType.Prepend); - } - - public static IEnumerable GetRsi(this IEnumerable<(DateTime, double)> priceTuples, int lookbackPeriods = 14) - { - return priceTuples.ToSortedList().CalcRsi(lookbackPeriods); - } - - internal static List CalcRsi(this List<(DateTime Date, double Value)> tpList, int lookbackPeriods) - { - ValidateRsi(lookbackPeriods); - int count = tpList.Count; - double num = 0.0; - double num2 = 0.0; - List list = new List(count); - double[] array = new double[count]; - double[] array2 = new double[count]; - if (count == 0) - { - return list; - } - double num3 = tpList[0].Value; - checked - { - for (int i = 0; i < count; i++) - { - (DateTime Date, double Value) tuple = tpList[i]; - DateTime item = tuple.Date; - double item2 = tuple.Value; - RsiResult rsiResult = new RsiResult(item); - list.Add(rsiResult); - array[i] = ((item2 > num3) ? (item2 - num3) : 0.0); - array2[i] = ((item2 < num3) ? (num3 - item2) : 0.0); - num3 = item2; - if (i > lookbackPeriods) - { - num = (num * (double)(lookbackPeriods - 1) + array[i]) / (double)lookbackPeriods; - num2 = (num2 * (double)(lookbackPeriods - 1) + array2[i]) / (double)lookbackPeriods; - if (num2 > 0.0) - { - double num4 = num / num2; - rsiResult.Rsi = 100.0 - 100.0 / (1.0 + num4); - } - else - { - rsiResult.Rsi = 100.0; - } - } - else if (i == lookbackPeriods) - { - double num5 = 0.0; - double num6 = 0.0; - for (int j = 1; j <= lookbackPeriods; j++) - { - num5 += array[j]; - num6 += array2[j]; - } - num = num5 / (double)lookbackPeriods; - num2 = num6 / (double)lookbackPeriods; - rsiResult.Rsi = ((num2 > 0.0) ? (100.0 - 100.0 / (1.0 + num / num2)) : 100.0); - } - } - return list; - } - } - - private static void ValidateRsi(int lookbackPeriods) - { - if (lookbackPeriods < 1) - { - throw new ArgumentOutOfRangeException("lookbackPeriods", lookbackPeriods, "Lookback periods must be greater than 0 for RSI."); - } - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - int num = results.ToList().FindIndex((RsiResult x) => x.Rsi.HasValue); - return results.Remove(checked(10 * num)); - } - - /// - /// Slope of the best fit line is determined by an ordinary least-squares simple linear regression on price. - /// It can be used to help identify trend strength and direction. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods in the lookback window.Time series of Slope values, including Slope, Standard Deviation, R², and a best-fit Line (for the last lookback segment).Invalid parameter value provided. - public static IEnumerable GetSlope(this IEnumerable quotes, int lookbackPeriods) where TQuote : IQuote - { - return quotes.ToTuple(CandlePart.Close).CalcSlope(lookbackPeriods); - } - - public static IEnumerable GetSlope(this IEnumerable results, int lookbackPeriods) - { - return results.ToTuple().CalcSlope(lookbackPeriods).SyncIndex(results, SyncType.Prepend); - } - - public static IEnumerable GetSlope(this IEnumerable<(DateTime, double)> priceTuples, int lookbackPeriods) - { - return priceTuples.ToSortedList().CalcSlope(lookbackPeriods); - } - - internal static List CalcSlope(this List<(DateTime, double)> tpList, int lookbackPeriods) - { - ValidateSlope(lookbackPeriods); - int count = tpList.Count; - List list = new List(count); - checked - { - for (int i = 0; i < count; i++) - { - SlopeResult slopeResult = new SlopeResult(tpList[i].Item1); - list.Add(slopeResult); - if (i + 1 >= lookbackPeriods) - { - double num = 0.0; - double num2 = 0.0; - for (int j = i - lookbackPeriods + 1; j <= i; j++) - { - double item = tpList[j].Item2; - num += (double)j + 1.0; - num2 += item; - } - double num3 = num / (double)lookbackPeriods; - double num4 = num2 / (double)lookbackPeriods; - double num5 = 0.0; - double num6 = 0.0; - double num7 = 0.0; - for (int k = i - lookbackPeriods + 1; k <= i; k++) - { - double item2 = tpList[k].Item2; - double num8 = (double)k + 1.0 - num3; - double num9 = item2 - num4; - num5 += num8 * num8; - num6 += num9 * num9; - num7 += num8 * num9; - } - slopeResult.Slope = (num7 / num5).NaN2Null(); - slopeResult.Intercept = (num4 - slopeResult.Slope * num3).NaN2Null(); - double num10 = Math.Sqrt(num5 / (double)lookbackPeriods); - double num11 = Math.Sqrt(num6 / (double)lookbackPeriods); - slopeResult.StdDev = num11.NaN2Null(); - if (num10 * num11 != 0.0) - { - double num12 = num7 / (num10 * num11) / (double)lookbackPeriods; - slopeResult.RSquared = (num12 * num12).NaN2Null(); - } - } - } - if (count >= lookbackPeriods) - { - SlopeResult slopeResult2 = list.LastOrDefault(); - for (int l = count - lookbackPeriods; l < count; l++) - { - list[l].Line = (decimal?)(slopeResult2?.Slope * (double)(l + 1) + slopeResult2?.Intercept).NaN2Null(); - } - } - return list; - } - } - - private static void ValidateSlope(int lookbackPeriods) - { - if (lookbackPeriods <= 1) - { - throw new ArgumentOutOfRangeException("lookbackPeriods", lookbackPeriods, "Lookback periods must be greater than 1 for Slope/Linear Regression."); - } - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - int removePeriods = results.ToList().FindIndex((SlopeResult x) => x.Slope.HasValue); - return results.Remove(removePeriods); - } - - internal static IEnumerable CalcSmaAnalysis(this List<(DateTime, double)> tpList, int lookbackPeriods) - { - List list = (from x in tpList.CalcSma(lookbackPeriods) - select new SmaAnalysis(x.Date) - { - Sma = x.Sma - }).ToList(); - checked - { - for (int num = lookbackPeriods - 1; num < list.Count; num++) - { - SmaAnalysis smaAnalysis = list[num]; - double num2 = ((!smaAnalysis.Sma.HasValue) ? double.NaN : smaAnalysis.Sma.Value); - double num3 = 0.0; - double num4 = 0.0; - double num5 = 0.0; - for (int num6 = num + 1 - lookbackPeriods; num6 <= num; num6++) - { - double item = tpList[num6].Item2; - num3 += Math.Abs(item - num2); - num4 += (item - num2) * (item - num2); - num5 += ((item == 0.0) ? double.NaN : (Math.Abs(item - num2) / item)); - } - smaAnalysis.Mad = (num3 / (double)lookbackPeriods).NaN2Null(); - smaAnalysis.Mse = (num4 / (double)lookbackPeriods).NaN2Null(); - smaAnalysis.Mape = (num5 / (double)lookbackPeriods).NaN2Null(); - } - return list; - } - } - - /// - /// Simple Moving Average (SMA) of the price. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods in the lookback window.Time series of SMA values.Invalid parameter value provided. - public static IEnumerable GetSma(this IEnumerable quotes, int lookbackPeriods) where TQuote : IQuote - { - return quotes.ToTuple(CandlePart.Close).CalcSma(lookbackPeriods); - } - - public static IEnumerable GetSma(this IEnumerable results, int lookbackPeriods) - { - return results.ToTuple().CalcSma(lookbackPeriods).SyncIndex(results, SyncType.Prepend); - } - - public static IEnumerable GetSma(this IEnumerable<(DateTime, double)> priceTuples, int lookbackPeriods) - { - return priceTuples.ToSortedList().CalcSma(lookbackPeriods); - } - - /// - /// Simple Moving Average (SMA) is the average of price over a lookback window. This extended variant includes mean absolute deviation (MAD), mean square error (MSE), and mean absolute percentage error (MAPE). - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods in the lookback window.Time series of SMA, MAD, MSE, and MAPE values.Invalid parameter value provided. - public static IEnumerable GetSmaAnalysis(this IEnumerable quotes, int lookbackPeriods) where TQuote : IQuote - { - return quotes.ToTuple(CandlePart.Close).CalcSmaAnalysis(lookbackPeriods); - } - - public static IEnumerable GetSmaAnalysis(this IEnumerable results, int lookbackPeriods) - { - return results.ToTuple().CalcSmaAnalysis(lookbackPeriods).SyncIndex(results, SyncType.Prepend); - } - - public static IEnumerable GetSmaAnalysis(this IEnumerable<(DateTime, double)> priceTuples, int lookbackPeriods) - { - return priceTuples.ToSortedList().CalcSmaAnalysis(lookbackPeriods); - } - - internal static List CalcSma(this List<(DateTime, double)> tpList, int lookbackPeriods) - { - ValidateSma(lookbackPeriods); - List list = new List(tpList.Count); - checked - { - for (int i = 0; i < tpList.Count; i++) - { - SmaResult smaResult = new SmaResult(tpList[i].Item1); - list.Add(smaResult); - if (i + 1 >= lookbackPeriods) - { - double num = 0.0; - for (int j = i + 1 - lookbackPeriods; j <= i; j++) - { - double item = tpList[j].Item2; - num += item; - } - smaResult.Sma = (num / (double)lookbackPeriods).NaN2Null(); - } - } - return list; - } - } - - private static void ValidateSma(int lookbackPeriods) - { - if (lookbackPeriods <= 0) - { - throw new ArgumentOutOfRangeException("lookbackPeriods", lookbackPeriods, "Lookback periods must be greater than 0 for SMA."); - } - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - int removePeriods = results.ToList().FindIndex((SmaResult x) => x.Sma.HasValue); - return results.Remove(removePeriods); - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - int removePeriods = results.ToList().FindIndex((SmaAnalysis x) => x.Sma.HasValue); - return results.Remove(removePeriods); - } - - /// - /// Stochastic Momentum Index is a double-smoothed variant of the Stochastic Oscillator on a scale from -100 to 100. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods for the Stochastic lookback.Number of periods in the first smoothing.Number of periods in the second smoothing.Number of periods in the EMA of SMI.Time series of Stochastic Momentum Index values.Invalid parameter value provided. - public static IEnumerable GetSmi(this IEnumerable quotes, int lookbackPeriods = 13, int firstSmoothPeriods = 25, int secondSmoothPeriods = 2, int signalPeriods = 3) where TQuote : IQuote - { - return quotes.ToQuoteD().CalcSmi(lookbackPeriods, firstSmoothPeriods, secondSmoothPeriods, signalPeriods); - } - - internal static List CalcSmi(this List qdList, int lookbackPeriods, int firstSmoothPeriods, int secondSmoothPeriods, int signalPeriods) - { - ValidateSmi(lookbackPeriods, firstSmoothPeriods, secondSmoothPeriods, signalPeriods); - int count = qdList.Count; - List list = new List(count); - checked - { - double num = 2.0 / (double)(firstSmoothPeriods + 1); - double num2 = 2.0 / (double)(secondSmoothPeriods + 1); - double num3 = 2.0 / (double)(signalPeriods + 1); - double num4 = 0.0; - double num5 = 0.0; - double num6 = 0.0; - double num7 = 0.0; - double num8 = 0.0; - for (int i = 0; i < count; i++) - { - QuoteD quoteD = qdList[i]; - SmiResult smiResult = new SmiResult(quoteD.Date); - list.Add(smiResult); - if (i + 1 < lookbackPeriods) - { - continue; - } - double num9 = double.MinValue; - double num10 = double.MaxValue; - for (int j = i + 1 - lookbackPeriods; j <= i; j++) - { - QuoteD quoteD2 = qdList[j]; - if (quoteD2.High > num9) - { - num9 = quoteD2.High; - } - if (quoteD2.Low < num10) - { - num10 = quoteD2.Low; - } - } - double num11 = quoteD.Close - 0.5 * (num9 + num10); - double num12 = num9 - num10; - if (i + 1 == lookbackPeriods) - { - num4 = num11; - num5 = num4; - num6 = num12; - num7 = num6; - } - double num13 = num4 + num * (num11 - num4); - double num14 = num6 + num * (num12 - num6); - double num15 = num5 + num2 * (num13 - num5); - double num16 = num7 + num2 * (num14 - num7); - double num17 = 100.0 * (num15 / (0.5 * num16)); - smiResult.Smi = num17; - if (i + 1 == lookbackPeriods) - { - num8 = num17; - } - double num18 = num8 + num3 * (num17 - num8); - smiResult.Signal = num18; - num4 = num13; - num5 = num15; - num6 = num14; - num7 = num16; - num8 = num18; - } - return list; - } - } - - private static void ValidateSmi(int lookbackPeriods, int firstSmoothPeriods, int secondSmoothPeriods, int signalPeriods) - { - if (lookbackPeriods <= 0) - { - throw new ArgumentOutOfRangeException("lookbackPeriods", lookbackPeriods, "Lookback periods must be greater than 0 for SMI."); - } - if (firstSmoothPeriods <= 0) - { - throw new ArgumentOutOfRangeException("firstSmoothPeriods", firstSmoothPeriods, "Smoothing periods must be greater than 0 for SMI."); - } - if (secondSmoothPeriods <= 0) - { - throw new ArgumentOutOfRangeException("secondSmoothPeriods", secondSmoothPeriods, "Smoothing periods must be greater than 0 for SMI."); - } - if (signalPeriods <= 0) - { - throw new ArgumentOutOfRangeException("signalPeriods", signalPeriods, "Signal periods must be greater than 0 for SMI."); - } - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - int num = results.ToList().FindIndex((SmiResult x) => x.Smi.HasValue); - return results.Remove(checked(num + 2 + 100)); - } - - /// - /// Smoothed Moving Average (SMMA) is the average of price over a lookback window using a smoothing method. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods in the lookback window.Time series of SMMA values.Invalid parameter value provided. - public static IEnumerable GetSmma(this IEnumerable quotes, int lookbackPeriods) where TQuote : IQuote - { - return quotes.ToTuple(CandlePart.Close).CalcSmma(lookbackPeriods); - } - - public static IEnumerable GetSmma(this IEnumerable results, int lookbackPeriods) - { - return results.ToTuple().CalcSmma(lookbackPeriods).SyncIndex(results, SyncType.Prepend); - } - - public static IEnumerable GetSmma(this IEnumerable<(DateTime, double)> priceTuples, int lookbackPeriods) - { - return priceTuples.ToSortedList().CalcSmma(lookbackPeriods); - } - - internal static List CalcSmma(this List<(DateTime, double)> tpList, int lookbackPeriods) - { - ValidateSmma(lookbackPeriods); - int count = tpList.Count; - List list = new List(count); - double num = double.NaN; - checked - { - for (int i = 0; i < count; i++) - { - double num2 = double.NaN; - (DateTime, double) tuple = tpList[i]; - DateTime item = tuple.Item1; - double item2 = tuple.Item2; - SmmaResult smmaResult = new SmmaResult(item); - list.Add(smmaResult); - if (i + 1 > lookbackPeriods) - { - num2 = (num * (double)(lookbackPeriods - 1) + item2) / (double)lookbackPeriods; - smmaResult.Smma = num2.NaN2Null(); - } - else if (i + 1 == lookbackPeriods) - { - double num3 = 0.0; - for (int j = i + 1 - lookbackPeriods; j <= i; j++) - { - double item3 = tpList[j].Item2; - num3 += item3; - } - num2 = num3 / (double)lookbackPeriods; - smmaResult.Smma = num2.NaN2Null(); - } - num = num2; - } - return list; - } - } - - private static void ValidateSmma(int lookbackPeriods) - { - if (lookbackPeriods <= 0) - { - throw new ArgumentOutOfRangeException("lookbackPeriods", lookbackPeriods, "Lookback periods must be greater than 0 for SMMA."); - } - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - checked - { - int num = results.ToList().FindIndex((SmmaResult x) => x.Smma.HasValue) + 1; - return results.Remove(num + 100); - } - } - - /// - /// Stoller Average Range Channel (STARC) Bands, are based on an SMA centerline and ATR band widths. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods for the centerline SMA.ATR multiplier sets the width of the channel.Number of periods in the ATR evaluation.Time series of STARC Bands values.Invalid parameter value provided. - public static IEnumerable GetStarcBands(this IEnumerable quotes, int smaPeriods, double multiplier = 2.0, int atrPeriods = 10) where TQuote : IQuote - { - return quotes.ToQuoteD().CalcStarcBands(smaPeriods, multiplier, atrPeriods); - } - - internal static List CalcStarcBands(this List qdList, int smaPeriods, double multiplier, int atrPeriods) - { - ValidateStarcBands(smaPeriods, multiplier, atrPeriods); - List list = qdList.CalcAtr(atrPeriods); - List list2 = (from x in qdList.ToTuple(CandlePart.Close).CalcSma(smaPeriods) - select new StarcBandsResult(x.Date) - { - Centerline = x.Sma - }).ToList(); - checked - { - for (int num = Math.Max(smaPeriods, atrPeriods) - 1; num < list2.Count; num++) - { - StarcBandsResult starcBandsResult = list2[num]; - AtrResult atrResult = list[num]; - starcBandsResult.UpperBand = starcBandsResult.Centerline + multiplier * atrResult.Atr; - starcBandsResult.LowerBand = starcBandsResult.Centerline - multiplier * atrResult.Atr; - } - return list2; - } - } - - private static void ValidateStarcBands(int smaPeriods, double multiplier, int atrPeriods) - { - if (smaPeriods <= 1) - { - throw new ArgumentOutOfRangeException("smaPeriods", smaPeriods, "EMA periods must be greater than 1 for STARC Bands."); - } - if (atrPeriods <= 1) - { - throw new ArgumentOutOfRangeException("atrPeriods", atrPeriods, "ATR periods must be greater than 1 for STARC Bands."); - } - if (multiplier <= 0.0) - { - throw new ArgumentOutOfRangeException("multiplier", multiplier, "Multiplier must be greater than 0 for STARC Bands."); - } - } - - /// Removes non-essential records containing null values with unique consideration for - /// this indicator. See - /// documentation for more information. - /// Indicator results to evaluate.Time series of - /// indicator results, condensed. - public static IEnumerable Condense(this IEnumerable results) - { - List list = results.ToList(); - list.RemoveAll((StarcBandsResult x) => !x.UpperBand.HasValue && !x.LowerBand.HasValue && !x.Centerline.HasValue); - return list.ToSortedList(); - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - checked - { - int num = results.ToList().FindIndex((StarcBandsResult x) => x.UpperBand.HasValue || x.LowerBand.HasValue) + 1; - return results.Remove(num + 150); - } - } - - /// - /// Schaff Trend Cycle is a stochastic oscillator view of two converging/diverging exponential moving averages. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods for the Trend Cycle.Number of periods in the Fast EMA.Number of periods in the Slow EMA.Time series of MACD values, including MACD, Signal, and Histogram.Invalid parameter value provided. - public static IEnumerable GetStc(this IEnumerable quotes, int cyclePeriods = 10, int fastPeriods = 23, int slowPeriods = 50) where TQuote : IQuote - { - return quotes.ToTuple(CandlePart.Close).CalcStc(cyclePeriods, fastPeriods, slowPeriods); - } - - public static IEnumerable GetStc(this IEnumerable results, int cyclePeriods = 10, int fastPeriods = 23, int slowPeriods = 50) - { - return results.ToTuple().CalcStc(cyclePeriods, fastPeriods, slowPeriods).SyncIndex(results, SyncType.Prepend); - } - - public static IEnumerable GetStc(this IEnumerable<(DateTime, double)> priceTuples, int cyclePeriods = 10, int fastPeriods = 23, int slowPeriods = 50) - { - return priceTuples.ToSortedList().CalcStc(cyclePeriods, fastPeriods, slowPeriods); - } - - internal static List CalcStc(this List<(DateTime, double)> tpList, int cyclePeriods, int fastPeriods, int slowPeriods) - { - ValidateStc(cyclePeriods, fastPeriods, slowPeriods); - int count = tpList.Count; - checked - { - int num = Math.Min(slowPeriods - 1, count); - List list = new List(count); - for (int i = 0; i < num; i++) - { - DateTime item = tpList[i].Item1; - list.Add(new StcResult(item)); - } - List list2 = (from x in tpList.CalcMacd(fastPeriods, slowPeriods, 1).Remove(num) - select new QuoteD - { - Date = x.Date, - High = x.Macd.Null2NaN(), - Low = x.Macd.Null2NaN(), - Close = x.Macd.Null2NaN() - }).ToList().CalcStoch(cyclePeriods, 1, 3, 3.0, 2.0, MaType.SMA); - for (int num2 = 0; num2 < list2.Count; num2++) - { - StochResult stochResult = list2[num2]; - list.Add(new StcResult(stochResult.Date) - { - Stc = stochResult.Oscillator - }); - } - return list; - } - } - - private static void ValidateStc(int cyclePeriods, int fastPeriods, int slowPeriods) - { - if (cyclePeriods < 0) - { - throw new ArgumentOutOfRangeException("cyclePeriods", cyclePeriods, "Trend Cycle periods must be greater than or equal to 0 for STC."); - } - if (fastPeriods <= 0) - { - throw new ArgumentOutOfRangeException("fastPeriods", fastPeriods, "Fast periods must be greater than 0 for STC."); - } - if (slowPeriods <= fastPeriods) - { - throw new ArgumentOutOfRangeException("slowPeriods", slowPeriods, "Slow periods must be greater than the fast period for STC."); - } - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - int num = results.ToList().FindIndex((StcResult x) => x.Stc.HasValue); - return results.Remove(checked(num + 250)); - } - - /// - /// Rolling Standard Deviation of price over a lookback window. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods in the lookback window.Optional. Number of periods in the Standard Deviation SMA signal line.Time series of Standard Deviations values.Invalid parameter value provided. - public static IEnumerable GetStdDev(this IEnumerable quotes, int lookbackPeriods, int? smaPeriods = null) where TQuote : IQuote - { - return quotes.ToTuple(CandlePart.Close).CalcStdDev(lookbackPeriods, smaPeriods); - } - - public static IEnumerable GetStdDev(this IEnumerable results, int lookbackPeriods, int? smaPeriods = null) - { - return results.ToTuple().CalcStdDev(lookbackPeriods, smaPeriods).SyncIndex(results, SyncType.Prepend); - } - - public static IEnumerable GetStdDev(this IEnumerable<(DateTime, double)> priceTuples, int lookbackPeriods, int? smaPeriods = null) - { - return priceTuples.ToSortedList().CalcStdDev(lookbackPeriods, smaPeriods); - } - - internal static List CalcStdDev(this List<(DateTime, double)> tpList, int lookbackPeriods, int? smaPeriods) - { - ValidateStdDev(lookbackPeriods, smaPeriods); - int count = tpList.Count; - List list = new List(count); - checked - { - for (int i = 0; i < count; i++) - { - (DateTime, double) tuple = tpList[i]; - DateTime item = tuple.Item1; - double item2 = tuple.Item2; - StdDevResult stdDevResult = new StdDevResult(item); - list.Add(stdDevResult); - if (i + 1 >= lookbackPeriods) - { - double[] array = new double[lookbackPeriods]; - double num = 0.0; - int num2 = 0; - for (int j = i + 1 - lookbackPeriods; j <= i; j++) - { - num += (array[num2] = tpList[j].Item2); - num2++; - } - double num3 = num / (double)lookbackPeriods; - stdDevResult.StdDev = array.StdDev().NaN2Null(); - stdDevResult.Mean = num3.NaN2Null(); - stdDevResult.ZScore = ((stdDevResult.StdDev == 0.0) ? ((double?)null) : ((item2 - num3) / stdDevResult.StdDev)); - } - if (smaPeriods.HasValue && i >= lookbackPeriods + smaPeriods - 2) - { - double? num4 = 0.0; - for (int k = i + 1 - smaPeriods.Value; k <= i; k++) - { - num4 += list[k].StdDev; - } - stdDevResult.StdDevSma = (num4 / (double?)smaPeriods).NaN2Null(); - } - } - return list; - } - } - - private static void ValidateStdDev(int lookbackPeriods, int? smaPeriods) - { - if (lookbackPeriods <= 1) - { - throw new ArgumentOutOfRangeException("lookbackPeriods", lookbackPeriods, "Lookback periods must be greater than 1 for Standard Deviation."); - } - if (smaPeriods.HasValue && smaPeriods.GetValueOrDefault() <= 0) - { - throw new ArgumentOutOfRangeException("smaPeriods", smaPeriods, "SMA periods must be greater than 0 for Standard Deviation."); - } - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - int removePeriods = results.ToList().FindIndex((StdDevResult x) => x.StdDev.HasValue); - return results.Remove(removePeriods); - } - - /// - /// Standard Deviation Channels are based on an linear regression centerline and standard deviations band widths. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Size of the evaluation window.Width of bands. Number of Standard Deviations from the regression line.Time series of Standard Deviation Channels values.Invalid parameter value provided. - public static IEnumerable GetStdDevChannels(this IEnumerable quotes, int? lookbackPeriods = 20, double stdDeviations = 2.0) where TQuote : IQuote - { - return quotes.ToTuple(CandlePart.Close).CalcStdDevChannels(lookbackPeriods, stdDeviations); - } - - public static IEnumerable GetStdDevChannels(this IEnumerable results, int? lookbackPeriods = 20, double stdDeviations = 2.0) - { - return results.ToTuple().CalcStdDevChannels(lookbackPeriods, stdDeviations).SyncIndex(results, SyncType.Prepend); - } - - public static IEnumerable GetStdDevChannels(this IEnumerable<(DateTime, double)> priceTuples, int? lookbackPeriods = 20, double stdDeviations = 2.0) - { - return priceTuples.ToSortedList().CalcStdDevChannels(lookbackPeriods, stdDeviations); - } - - internal static List CalcStdDevChannels(this List<(DateTime, double)> tpList, int? lookbackPeriods, double stdDeviations) - { - int valueOrDefault = lookbackPeriods.GetValueOrDefault(); - if (!lookbackPeriods.HasValue) - { - valueOrDefault = tpList.Count; - lookbackPeriods = valueOrDefault; - } - ValidateStdDevChannels(lookbackPeriods, stdDeviations); - List list = tpList.CalcSlope(lookbackPeriods.Value); - int count = list.Count; - List list2 = list.Select((SlopeResult x) => new StdDevChannelsResult(x.Date)).ToList(); - checked - { - for (int num = count - 1; num >= lookbackPeriods - 1; num -= lookbackPeriods.Value) - { - SlopeResult slopeResult = list[num]; - double? num2 = stdDeviations * slopeResult.StdDev; - for (int num3 = num - lookbackPeriods.Value + 1; num3 <= num; num3++) - { - if (num3 >= 0) - { - StdDevChannelsResult stdDevChannelsResult = list2[num3]; - stdDevChannelsResult.Centerline = slopeResult.Slope * (double)(num3 + 1) + slopeResult.Intercept; - stdDevChannelsResult.UpperChannel = stdDevChannelsResult.Centerline + num2; - stdDevChannelsResult.LowerChannel = stdDevChannelsResult.Centerline - num2; - stdDevChannelsResult.BreakPoint = num3 == num - lookbackPeriods + 1; - } - } - } - return list2; - } - } - - private static void ValidateStdDevChannels(int? lookbackPeriods, double stdDeviations) - { - if (lookbackPeriods <= 1) - { - throw new ArgumentOutOfRangeException("lookbackPeriods", lookbackPeriods, "Lookback periods must be greater than 1 for Standard Deviation Channels."); - } - if (stdDeviations <= 0.0) - { - throw new ArgumentOutOfRangeException("stdDeviations", stdDeviations, "Standard Deviations must be greater than 0 for Standard Deviation Channels."); - } - } - - /// Removes non-essential records containing null values with unique consideration for - /// this indicator. See - /// documentation for more information. - /// Indicator results to evaluate.Time series of - /// indicator results, condensed. - public static IEnumerable Condense(this IEnumerable results) - { - List list = results.ToList(); - list.RemoveAll((StdDevChannelsResult x) => !x.UpperChannel.HasValue && !x.LowerChannel.HasValue && !x.Centerline.HasValue && !x.BreakPoint); - return list.ToSortedList(); - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - int removePeriods = results.ToList().FindIndex((StdDevChannelsResult x) => x.UpperChannel.HasValue || x.LowerChannel.HasValue); - return results.Remove(removePeriods); - } - - /// - /// Stochastic Oscillator is a momentum indicator that looks back N periods to produce a scale of 0 to 100. - /// %J is also included for the KDJ Index extension. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods for the Oscillator.Smoothing period for the %D signal line.Smoothing period for the %K Oscillator. Use 3 for Slow or 1 for Fast.Time series of Stochastic Oscillator values.Invalid parameter value provided. - public static IEnumerable GetStoch(this IEnumerable quotes, int lookbackPeriods = 14, int signalPeriods = 3, int smoothPeriods = 3) where TQuote : IQuote - { - return quotes.ToQuoteD().CalcStoch(lookbackPeriods, signalPeriods, smoothPeriods, 3.0, 2.0, MaType.SMA); - } - - /// - /// Stochastic Oscillator is a momentum indicator that looks back N periods to produce a scale of 0 to 100. - /// %J is also included for the KDJ Index extension. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods for the Oscillator.Smoothing period for the %D signal line.Smoothing period for the %K Oscillator. Use 3 for Slow or 1 for Fast.Weight of %K in the %J calculation. Default is 3.Weight of %K in the %J calculation. Default is 2.Type of moving average to use. Default is MaType.SMA. See docs for instructions and options.Time series of Stochastic Oscillator values.Invalid parameter value provided. - public static IEnumerable GetStoch(this IEnumerable quotes, int lookbackPeriods, int signalPeriods, int smoothPeriods, double kFactor, double dFactor, MaType movingAverageType) where TQuote : IQuote - { - return quotes.ToQuoteD().CalcStoch(lookbackPeriods, signalPeriods, smoothPeriods, kFactor, dFactor, movingAverageType); - } - - internal static List CalcStoch(this List qdList, int lookbackPeriods, int signalPeriods, int smoothPeriods, double kFactor, double dFactor, MaType movingAverageType) - { - ValidateStoch(lookbackPeriods, signalPeriods, smoothPeriods, kFactor, dFactor, movingAverageType); - int count = qdList.Count; - List list = new List(count); - checked - { - for (int i = 0; i < count; i++) - { - QuoteD quoteD = qdList[i]; - StochResult stochResult = new StochResult(quoteD.Date); - list.Add(stochResult); - if (i + 1 < lookbackPeriods) - { - continue; - } - double num = double.MinValue; - double num2 = double.MaxValue; - for (int j = i + 1 - lookbackPeriods; j <= i; j++) - { - QuoteD quoteD2 = qdList[j]; - if (quoteD2.High > num) - { - num = quoteD2.High; - } - if (quoteD2.Low < num2) - { - num2 = quoteD2.Low; - } - } - stochResult.Oscillator = ((num2 != num) ? (100.0 * (quoteD.Close - num2) / (num - num2)) : 0.0); - stochResult.Oscillator = stochResult.Oscillator.NaN2Null(); - } - if (smoothPeriods > 1) - { - list = SmoothOscillator(list, count, lookbackPeriods, smoothPeriods, movingAverageType); - } - if (count < lookbackPeriods - 1) - { - return list; - } - int num3 = lookbackPeriods + smoothPeriods + signalPeriods - 2; - double? num4 = null; - for (int k = lookbackPeriods - 1; k < count; k++) - { - StochResult stochResult2 = list[k]; - if (signalPeriods <= 1) - { - stochResult2.Signal = stochResult2.Oscillator; - } - else if (k + 1 >= num3 && movingAverageType == MaType.SMA) - { - double? num5 = 0.0; - for (int l = k + 1 - signalPeriods; l <= k; l++) - { - num5 += list[l].Oscillator; - } - stochResult2.Signal = num5 / (double)signalPeriods; - } - else if (k >= lookbackPeriods - 1 && movingAverageType == MaType.SMMA) - { - double? num6 = num4; - if (!num6.HasValue) - { - num4 = list[k].Oscillator; - } - num4 = (stochResult2.Signal = (num4 * (double)(signalPeriods - 1) + list[k].Oscillator) / (double)signalPeriods); - } - stochResult2.PercentJ = kFactor * stochResult2.Oscillator - dFactor * stochResult2.Signal; - } - return list; - } - } - - private static List SmoothOscillator(List results, int length, int lookbackPeriods, int smoothPeriods, MaType movingAverageType) - { - double?[] array = new double?[length]; - checked - { - switch (movingAverageType) - { - case MaType.SMA: - { - for (int j = lookbackPeriods + smoothPeriods - 2; j < length; j++) - { - double? num3 = 0.0; - for (int k = j + 1 - smoothPeriods; k <= j; k++) - { - num3 += results[k].Oscillator; - } - array[j] = num3 / (double)smoothPeriods; - } - break; - } - case MaType.SMMA: - { - double? num = results[lookbackPeriods - 1].Oscillator; - for (int i = lookbackPeriods - 1; i < length; i++) - { - double? num2 = num; - if (!num2.HasValue) - { - num = results[i].Oscillator; - } - num = (array[i] = (num * (double)(smoothPeriods - 1) + results[i].Oscillator) / (double)smoothPeriods); - } - break; - } - } - for (int l = 0; l < length; l++) - { - results[l].Oscillator = array[l]; - } - return results; - } - } - - private static void ValidateStoch(int lookbackPeriods, int signalPeriods, int smoothPeriods, double kFactor, double dFactor, MaType movingAverageType) - { - if (lookbackPeriods <= 0) - { - throw new ArgumentOutOfRangeException("lookbackPeriods", lookbackPeriods, "Lookback periods must be greater than 0 for Stochastic."); - } - if (signalPeriods <= 0) - { - throw new ArgumentOutOfRangeException("signalPeriods", signalPeriods, "Signal periods must be greater than 0 for Stochastic."); - } - if (smoothPeriods <= 0) - { - throw new ArgumentOutOfRangeException("smoothPeriods", smoothPeriods, "Smooth periods must be greater than 0 for Stochastic."); - } - if (kFactor <= 0.0) - { - throw new ArgumentOutOfRangeException("kFactor", kFactor, "kFactor must be greater than 0 for Stochastic."); - } - if (dFactor <= 0.0) - { - throw new ArgumentOutOfRangeException("dFactor", dFactor, "dFactor must be greater than 0 for Stochastic."); - } - if (movingAverageType != MaType.SMA && movingAverageType != MaType.SMMA) - { - throw new ArgumentOutOfRangeException("dFactor", dFactor, "Stochastic only supports SMA and SMMA moving average types."); - } - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - int removePeriods = results.ToList().FindIndex((StochResult x) => x.Oscillator.HasValue); - return results.Remove(removePeriods); - } - - /// - /// Stochastic RSI is a Stochastic interpretation of the Relative Strength Index. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods for the RSI.Number of periods for the Stochastic.Number of periods for the Stochastic RSI SMA signal line.Number of periods for Stochastic Smoothing. Use 1 for Fast or 3 for Slow.Time series of Stochastic RSI values.Invalid parameter value provided. - public static IEnumerable GetStochRsi(this IEnumerable quotes, int rsiPeriods, int stochPeriods, int signalPeriods, int smoothPeriods = 1) where TQuote : IQuote - { - return quotes.ToTuple(CandlePart.Close).CalcStochRsi(rsiPeriods, stochPeriods, signalPeriods, smoothPeriods); - } - - public static IEnumerable GetStochRsi(this IEnumerable results, int rsiPeriods, int stochPeriods, int signalPeriods, int smoothPeriods) - { - return results.ToTuple().CalcStochRsi(rsiPeriods, stochPeriods, signalPeriods, smoothPeriods).SyncIndex(results, SyncType.Prepend); - } - - public static IEnumerable GetStochRsi(this IEnumerable<(DateTime, double)> priceTuples, int rsiPeriods, int stochPeriods, int signalPeriods, int smoothPeriods) - { - return priceTuples.ToSortedList().CalcStochRsi(rsiPeriods, stochPeriods, signalPeriods, smoothPeriods); - } - - internal static List CalcStochRsi(this List<(DateTime, double)> tpList, int rsiPeriods, int stochPeriods, int signalPeriods, int smoothPeriods) - { - ValidateStochRsi(rsiPeriods, stochPeriods, signalPeriods, smoothPeriods); - int count = tpList.Count; - checked - { - int num = Math.Min(rsiPeriods + stochPeriods - 1, count); - List list = new List(count); - for (int i = 0; i < num; i++) - { - DateTime item = tpList[i].Item1; - list.Add(new StochRsiResult(item)); - } - List list2 = (from x in tpList.CalcRsi(rsiPeriods).Remove(Math.Min(rsiPeriods, count)) - select new QuoteD - { - Date = x.Date, - High = x.Rsi.Null2NaN(), - Low = x.Rsi.Null2NaN(), - Close = x.Rsi.Null2NaN() - }).ToList().CalcStoch(stochPeriods, signalPeriods, smoothPeriods, 3.0, 2.0, MaType.SMA).ToList(); - for (int num2 = rsiPeriods + stochPeriods - 1; num2 < count; num2++) - { - StochResult stochResult = list2[num2 - rsiPeriods]; - list.Add(new StochRsiResult(stochResult.Date) - { - StochRsi = stochResult.Oscillator, - Signal = stochResult.Signal - }); - } - return list; - } - } - - private static void ValidateStochRsi(int rsiPeriods, int stochPeriods, int signalPeriods, int smoothPeriods) - { - if (rsiPeriods <= 0) - { - throw new ArgumentOutOfRangeException("rsiPeriods", rsiPeriods, "RSI periods must be greater than 0 for Stochastic RSI."); - } - if (stochPeriods <= 0) - { - throw new ArgumentOutOfRangeException("stochPeriods", stochPeriods, "STOCH periods must be greater than 0 for Stochastic RSI."); - } - if (signalPeriods <= 0) - { - throw new ArgumentOutOfRangeException("signalPeriods", signalPeriods, "Signal periods must be greater than 0 for Stochastic RSI."); - } - if (smoothPeriods <= 0) - { - throw new ArgumentOutOfRangeException("smoothPeriods", smoothPeriods, "Smooth periods must be greater than 0 for Stochastic RSI."); - } - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - checked - { - int num = results.ToList().FindIndex((StochRsiResult x) => x.StochRsi.HasValue) + 2; - return results.Remove(num + 100); - } - } - - /// - /// SuperTrend attempts to determine the primary trend of prices by using - /// Average True Range (ATR) band thresholds around an HL2 midline. It can indicate a buy/sell signal or a - /// trailing stop when the trend changes. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods for ATR.Multiplier sets the ATR band width.Time series of SuperTrend values.Invalid parameter value provided. - public static IEnumerable GetSuperTrend(this IEnumerable quotes, int lookbackPeriods = 10, double multiplier = 3.0) where TQuote : IQuote - { - return quotes.ToQuoteD().CalcSuperTrend(lookbackPeriods, multiplier); - } - - internal static List CalcSuperTrend(this List qdList, int lookbackPeriods, double multiplier) - { - ValidateSuperTrend(lookbackPeriods, multiplier); - List list = new List(qdList.Count); - List list2 = qdList.CalcAtr(lookbackPeriods); - bool flag = true; - double? num = null; - double? num2 = null; - checked - { - for (int i = 0; i < qdList.Count; i++) - { - QuoteD quoteD = qdList[i]; - SuperTrendResult superTrendResult = new SuperTrendResult(quoteD.Date); - list.Add(superTrendResult); - if (i >= lookbackPeriods) - { - double? num3 = (quoteD.High + quoteD.Low) / 2.0; - double? atr = list2[i].Atr; - double? num4 = qdList[i - 1].Close; - double? num5 = num3 + multiplier * atr; - double? num6 = num3 - multiplier * atr; - if (i == lookbackPeriods) - { - flag = quoteD.Close >= num3; - num = num5; - num2 = num6; - } - if (num5 < num || num4 > num) - { - num = num5; - } - if (num6 > num2 || num4 < num2) - { - num2 = num6; - } - if (quoteD.Close <= (flag ? num2 : num)) - { - superTrendResult.SuperTrend = (decimal?)num; - superTrendResult.UpperBand = (decimal?)num; - flag = false; - } - else - { - superTrendResult.SuperTrend = (decimal?)num2; - superTrendResult.LowerBand = (decimal?)num2; - flag = true; - } - } - } - return list; - } - } - - private static void ValidateSuperTrend(int lookbackPeriods, double multiplier) - { - if (lookbackPeriods <= 1) - { - throw new ArgumentOutOfRangeException("lookbackPeriods", lookbackPeriods, "Lookback periods must be greater than 1 for SuperTrend."); - } - if (multiplier <= 0.0) - { - throw new ArgumentOutOfRangeException("multiplier", multiplier, "Multiplier must be greater than 0 for SuperTrend."); - } - } - - /// Removes non-essential records containing null values with unique consideration for - /// this indicator. See - /// documentation for more information. - /// Indicator results to evaluate.Time series of - /// indicator results, condensed. - public static IEnumerable Condense(this IEnumerable results) - { - List list = results.ToList(); - list.RemoveAll((SuperTrendResult x) => !x.SuperTrend.HasValue); - return list.ToSortedList(); - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - int removePeriods = results.ToList().FindIndex((SuperTrendResult x) => x.SuperTrend.HasValue); - return results.Remove(removePeriods); - } - - /// - /// Tillson T3 is a smooth moving average that reduces both lag and overshooting. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods for the EMA smoothing.Size of the Volume Factor.Time series of T3 values.Invalid parameter value provided. - public static IEnumerable GetT3(this IEnumerable quotes, int lookbackPeriods = 5, double volumeFactor = 0.7) where TQuote : IQuote - { - return quotes.ToTuple(CandlePart.Close).CalcT3(lookbackPeriods, volumeFactor); - } - - public static IEnumerable GetT3(this IEnumerable results, int lookbackPeriods = 5, double volumeFactor = 0.7) - { - return results.ToTuple().CalcT3(lookbackPeriods, volumeFactor).SyncIndex(results, SyncType.Prepend); - } - - public static IEnumerable GetT3(this IEnumerable<(DateTime, double)> priceTuples, int lookbackPeriods = 5, double volumeFactor = 0.7) - { - return priceTuples.ToSortedList().CalcT3(lookbackPeriods, volumeFactor); - } - - internal static List CalcT3(this List<(DateTime, double)> tpList, int lookbackPeriods, double volumeFactor) - { - ValidateT3(lookbackPeriods, volumeFactor); - int count = tpList.Count; - List list = new List(count); - if (count == 0) - { - return list; - } - checked - { - double num = 2.0 / (double)(lookbackPeriods + 1); - double num2 = (0.0 - volumeFactor) * volumeFactor * volumeFactor; - double num3 = 3.0 * volumeFactor * volumeFactor + 3.0 * volumeFactor * volumeFactor * volumeFactor; - double num4 = -6.0 * volumeFactor * volumeFactor - 3.0 * volumeFactor - 3.0 * volumeFactor * volumeFactor * volumeFactor; - double num5 = 1.0 + 3.0 * volumeFactor + volumeFactor * volumeFactor * volumeFactor + 3.0 * volumeFactor * volumeFactor; - (DateTime, double) tuple = tpList[0]; - double? num6 = tuple.Item2; - double? num8; - double? num9; - double? num10; - double? num11; - double? num7 = (num8 = (num9 = (num10 = (num11 = num6)))); - list.Add(new T3Result(tuple.Item1) - { - T3 = tuple.Item2 - }); - for (int i = 1; i < count; i++) - { - (DateTime, double) tuple2 = tpList[i]; - DateTime item = tuple2.Item1; - double item2 = tuple2.Item2; - T3Result t3Result = new T3Result(item); - list.Add(t3Result); - num7 += num * (item2 - num7); - num8 += num * (num7 - num8); - num9 += num * (num8 - num9); - num10 += num * (num9 - num10); - num11 += num * (num10 - num11); - num6 += num * (num11 - num6); - t3Result.T3 = (num2 * num6 + num3 * num11 + num4 * num10 + num5 * num9).NaN2Null(); - } - return list; - } - } - - private static void ValidateT3(int lookbackPeriods, double volumeFactor) - { - if (lookbackPeriods <= 0) - { - throw new ArgumentOutOfRangeException("lookbackPeriods", lookbackPeriods, "Lookback periods must be greater than 0 for T3."); - } - if (volumeFactor <= 0.0) - { - throw new ArgumentOutOfRangeException("volumeFactor", volumeFactor, "Volume Factor must be greater than 0 for T3."); - } - } - - /// - /// Triple Exponential Moving Average (TEMA) of the price. Note: TEMA is often confused with the alternative TRIX oscillator. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods in the lookback window.Time series of Triple EMA values.Invalid parameter value provided. - public static IEnumerable GetTema(this IEnumerable quotes, int lookbackPeriods) where TQuote : IQuote - { - return quotes.ToTuple(CandlePart.Close).CalcTema(lookbackPeriods); - } - - public static IEnumerable GetTema(this IEnumerable results, int lookbackPeriods) - { - return results.ToTuple().CalcTema(lookbackPeriods).SyncIndex(results, SyncType.Prepend); - } - - public static IEnumerable GetTema(this IEnumerable<(DateTime, double)> priceTuples, int lookbackPeriods) - { - return priceTuples.ToSortedList().CalcTema(lookbackPeriods); - } - - internal static List CalcTema(this List<(DateTime, double)> tpList, int lookbackPeriods) - { - ValidateTema(lookbackPeriods); - int count = tpList.Count; - List list = new List(count); - checked - { - double num = 2.0 / (double)(lookbackPeriods + 1); - double? num2 = 0.0; - int num3 = Math.Min(lookbackPeriods, count); - for (int i = 0; i < num3; i++) - { - num2 += tpList[i].Item2; - } - num2 /= (double)lookbackPeriods; - double? num5; - double? num4 = (num5 = num2); - for (int j = 0; j < count; j++) - { - (DateTime, double) tuple = tpList[j]; - DateTime item = tuple.Item1; - double item2 = tuple.Item2; - TemaResult temaResult = new TemaResult(item); - list.Add(temaResult); - if (j > lookbackPeriods - 1) - { - double? num6 = num2 + num * (item2 - num2); - double? num7 = num4 + num * (num6 - num4); - double? num8 = num5 + num * (num7 - num5); - temaResult.Tema = (3.0 * num6 - 3.0 * num7 + num8).NaN2Null(); - num2 = num6; - num4 = num7; - num5 = num8; - } - else if (j == lookbackPeriods - 1) - { - temaResult.Tema = (3.0 * num2 - 3.0 * num4 + num5).NaN2Null(); - } - } - return list; - } - } - - private static void ValidateTema(int lookbackPeriods) - { - if (lookbackPeriods <= 0) - { - throw new ArgumentOutOfRangeException("lookbackPeriods", lookbackPeriods, "Lookback periods must be greater than 0 for TEMA."); - } - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - checked - { - int num = results.ToList().FindIndex((TemaResult x) => x.Tema.HasValue) + 1; - return results.Remove(3 * num + 100); - } - } - - /// - /// True Range (TR) is a measure of volatility that captures gaps and limits between periods. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Time series of True Range (TR) values.Invalid parameter value provided. - public static IEnumerable GetTr(this IEnumerable quotes) where TQuote : IQuote - { - return quotes.ToQuoteD().CalcTr(); - } - - internal static List CalcTr(this List qdList) - { - List list = new List(qdList.Count); - double num = double.NaN; - for (int i = 0; i < qdList.Count; i = checked(i + 1)) - { - QuoteD quoteD = qdList[i]; - TrResult trResult = new TrResult(quoteD.Date); - list.Add(trResult); - if (i == 0) - { - num = quoteD.Close; - continue; - } - double val = Math.Abs(quoteD.High - num); - double val2 = Math.Abs(quoteD.Low - num); - trResult.Tr = Math.Max(quoteD.High - quoteD.Low, Math.Max(val, val2)); - num = quoteD.Close; - } - return list; - } - - /// - /// Triple EMA Oscillator (TRIX) is the rate of change for a 3 EMA smoothing of the price over a lookback window. TRIX is often confused with TEMA. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods in the lookback window.Optional. Number of periods for a TRIX SMA signal line.Time series of TRIX values.Invalid parameter value provided. - public static IEnumerable GetTrix(this IEnumerable quotes, int lookbackPeriods, int? signalPeriods = null) where TQuote : IQuote - { - return quotes.ToTuple(CandlePart.Close).CalcTrix(lookbackPeriods, signalPeriods); - } - - public static IEnumerable GetTrix(this IEnumerable results, int lookbackPeriods, int? signalPeriods = null) - { - return results.ToTuple().CalcTrix(lookbackPeriods, signalPeriods).SyncIndex(results, SyncType.Prepend); - } - - public static IEnumerable GetTrix(this IEnumerable<(DateTime, double)> priceTuples, int lookbackPeriods, int? signalPeriods = null) - { - return priceTuples.ToSortedList().CalcTrix(lookbackPeriods, signalPeriods); - } - - internal static List CalcTrix(this List<(DateTime, double)> tpList, int lookbackPeriods, int? signalPeriods) - { - ValidateTrix(lookbackPeriods); - int count = tpList.Count; - List list = new List(count); - checked - { - double num = 2.0 / (double)(lookbackPeriods + 1); - double? num2 = 0.0; - int num3 = Math.Min(lookbackPeriods, count); - for (int i = 0; i < num3; i++) - { - num2 += tpList[i].Item2; - } - num2 /= (double)num3; - double? num5; - double? num4 = (num5 = num2); - for (int j = 0; j < count; j++) - { - (DateTime, double) tuple = tpList[j]; - DateTime item = tuple.Item1; - double item2 = tuple.Item2; - TrixResult trixResult = new TrixResult(item); - list.Add(trixResult); - if (j >= lookbackPeriods) - { - double? num6 = num2 + num * (item2 - num2); - double? obj = num4 + num * (num6 - num4); - double? num7 = num5 + num * (obj - num5); - trixResult.Ema3 = num7.NaN2Null(); - trixResult.Trix = (100.0 * (num7 - num5) / num5).NaN2Null(); - num2 = num6; - num4 = obj; - num5 = num7; - } - CalcTrixSignal(signalPeriods, j, lookbackPeriods, list); - } - return list; - } - } - - private static void CalcTrixSignal(int? signalPeriods, int i, int lookbackPeriods, List results) - { - checked - { - if (signalPeriods.HasValue && i >= lookbackPeriods + signalPeriods - 1) - { - double? num = 0.0; - for (int j = i + 1 - signalPeriods.Value; j <= i; j++) - { - num += results[j].Trix; - } - results[i].Signal = num / (double?)signalPeriods; - } - } - } - - private static void ValidateTrix(int lookbackPeriods) - { - if (lookbackPeriods <= 0) - { - throw new ArgumentOutOfRangeException("lookbackPeriods", lookbackPeriods, "Lookback periods must be greater than 0 for TRIX."); - } - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - int num = results.ToList().FindIndex((TrixResult x) => x.Trix.HasValue); - return results.Remove(checked(3 * num + 100)); - } - - /// - /// True Strength Index (TSI) is a momentum oscillator that depicts trends in price changes. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods for the first EMA.Number of periods in the second smoothing.Number of periods in the TSI SMA signal line.Time series of TSI values.Invalid parameter value provided. - public static IEnumerable GetTsi(this IEnumerable quotes, int lookbackPeriods = 25, int smoothPeriods = 13, int signalPeriods = 7) where TQuote : IQuote - { - return quotes.ToTuple(CandlePart.Close).CalcTsi(lookbackPeriods, smoothPeriods, signalPeriods); - } - - public static IEnumerable GetTsi(this IEnumerable results, int lookbackPeriods = 25, int smoothPeriods = 13, int signalPeriods = 7) - { - return results.ToTuple().CalcTsi(lookbackPeriods, smoothPeriods, signalPeriods).SyncIndex(results, SyncType.Prepend); - } - - public static IEnumerable GetTsi(this IEnumerable<(DateTime, double)> priceTuples, int lookbackPeriods = 25, int smoothPeriods = 13, int signalPeriods = 7) - { - return priceTuples.ToSortedList().CalcTsi(lookbackPeriods, smoothPeriods, signalPeriods); - } - - internal static List CalcTsi(this List<(DateTime, double)> tpList, int lookbackPeriods, int smoothPeriods, int signalPeriods) - { - ValidateTsi(lookbackPeriods, smoothPeriods, signalPeriods); - int count = tpList.Count; - checked - { - double num = 2.0 / (double)(lookbackPeriods + 1); - double num2 = 2.0 / (double)(smoothPeriods + 1); - double num3 = 2.0 / (double)(signalPeriods + 1); - double num4 = 0.0; - List list = new List(count); - double[] array = new double[count]; - double[] array2 = new double[count]; - double[] array3 = new double[count]; - double num5 = 0.0; - double num6 = 0.0; - double[] array4 = new double[count]; - double[] array5 = new double[count]; - double[] array6 = new double[count]; - double num7 = 0.0; - double num8 = 0.0; - for (int i = 0; i < count; i++) - { - (DateTime, double) tuple = tpList[i]; - DateTime item = tuple.Item1; - double item2 = tuple.Item2; - TsiResult tsiResult = new TsiResult(item); - list.Add(tsiResult); - if (i == 0) - { - continue; - } - array[i] = item2 - tpList[i - 1].Item2; - array4[i] = Math.Abs(array[i]); - if (i > lookbackPeriods) - { - array2[i] = (array[i] - array2[i - 1]) * num + array2[i - 1]; - array5[i] = (array4[i] - array5[i - 1]) * num + array5[i - 1]; - if (i + 1 > lookbackPeriods + smoothPeriods) - { - array3[i] = (array2[i] - array3[i - 1]) * num2 + array3[i - 1]; - array6[i] = (array5[i] - array6[i - 1]) * num2 + array6[i - 1]; - double num9 = ((array6[i] != 0.0) ? (100.0 * (array3[i] / array6[i])) : double.NaN); - tsiResult.Tsi = num9.NaN2Null(); - if (signalPeriods > 0) - { - int num10 = lookbackPeriods + smoothPeriods + signalPeriods - 1; - if (i >= num10) - { - tsiResult.Signal = ((num9 - list[i - 1].Signal) * num3).NaN2Null() + list[i - 1].Signal; - } - else if (i == num10 - 1) - { - num4 += num9; - tsiResult.Signal = num4 / (double)signalPeriods; - } - else - { - num4 += num9; - } - } - } - else - { - num6 += array2[i]; - num8 += array5[i]; - if (i + 1 == lookbackPeriods + smoothPeriods) - { - array3[i] = num6 / (double)smoothPeriods; - array6[i] = num8 / (double)smoothPeriods; - double num11 = ((array6[i] != 0.0) ? (100.0 * array3[i] / array6[i]) : double.NaN); - tsiResult.Tsi = num11; - num4 = num11; - } - } - } - else - { - num5 += array[i]; - num7 += array4[i]; - if (i == lookbackPeriods) - { - array2[i] = num5 / (double)lookbackPeriods; - array5[i] = num7 / (double)lookbackPeriods; - num6 = array2[i]; - num8 = array5[i]; - } - } - } - return list; - } - } - - private static void ValidateTsi(int lookbackPeriods, int smoothPeriods, int signalPeriods) - { - if (lookbackPeriods <= 0) - { - throw new ArgumentOutOfRangeException("lookbackPeriods", lookbackPeriods, "Lookback periods must be greater than 0 for TSI."); - } - if (smoothPeriods <= 0) - { - throw new ArgumentOutOfRangeException("smoothPeriods", smoothPeriods, "Smoothing periods must be greater than 0 for TSI."); - } - if (signalPeriods < 0) - { - throw new ArgumentOutOfRangeException("signalPeriods", signalPeriods, "Signal periods must be greater than or equal to 0 for TSI."); - } - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - checked - { - int num = results.ToList().FindIndex((TsiResult x) => x.Tsi.HasValue) + 1; - return results.Remove(num + 250); - } - } - - /// - /// Ulcer Index (UI) is a measure of downside price volatility over a lookback window. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods in the lookback window.Time series of Ulcer Index values.Invalid parameter value provided. - public static IEnumerable GetUlcerIndex(this IEnumerable quotes, int lookbackPeriods = 14) where TQuote : IQuote - { - return quotes.ToTuple(CandlePart.Close).CalcUlcerIndex(lookbackPeriods); - } - - public static IEnumerable GetUlcerIndex(this IEnumerable results, int lookbackPeriods) - { - return results.ToTuple().CalcUlcerIndex(lookbackPeriods).SyncIndex(results, SyncType.Prepend); - } - - public static IEnumerable GetUlcerIndex(this IEnumerable<(DateTime, double)> priceTuples, int lookbackPeriods) - { - return priceTuples.ToSortedList().CalcUlcerIndex(lookbackPeriods); - } - - internal static List CalcUlcerIndex(this List<(DateTime, double)> tpList, int lookbackPeriods) - { - ValidateUlcer(lookbackPeriods); - List list = new List(tpList.Count); - checked - { - for (int i = 0; i < tpList.Count; i++) - { - UlcerIndexResult ulcerIndexResult = new UlcerIndexResult(tpList[i].Item1); - list.Add(ulcerIndexResult); - if (i + 1 < lookbackPeriods) - { - continue; - } - double num = 0.0; - for (int j = i + 1 - lookbackPeriods; j <= i; j++) - { - double item = tpList[j].Item2; - int num2 = j + 1; - double num3 = 0.0; - for (int k = i + 1 - lookbackPeriods; k < num2; k++) - { - double item2 = tpList[k].Item2; - if (item2 > num3) - { - num3 = item2; - } - } - double num4 = ((num3 == 0.0) ? double.NaN : (100.0 * ((item - num3) / num3))); - num += num4 * num4; - } - ulcerIndexResult.UI = Math.Sqrt(num / (double)lookbackPeriods).NaN2Null(); - } - return list; - } - } - - private static void ValidateUlcer(int lookbackPeriods) - { - if (lookbackPeriods <= 0) - { - throw new ArgumentOutOfRangeException("lookbackPeriods", lookbackPeriods, "Lookback periods must be greater than 0 for Ulcer Index."); - } - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - int removePeriods = results.ToList().FindIndex((UlcerIndexResult x) => x.UI.HasValue); - return results.Remove(removePeriods); - } - - /// - /// Ultimate Oscillator uses several lookback periods to weigh buying power against True Range price to produce on oversold / overbought oscillator. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods in the smallest window.Number of periods in the middle-sized window.Number of periods in the largest window.Time series of Ultimate Oscillator values.Invalid parameter value provided. - public static IEnumerable GetUltimate(this IEnumerable quotes, int shortPeriods = 7, int middlePeriods = 14, int longPeriods = 28) where TQuote : IQuote - { - return quotes.ToQuoteD().CalcUltimate(shortPeriods, middlePeriods, longPeriods); - } - - internal static List CalcUltimate(this List qdList, int shortPeriods, int middlePeriods, int longPeriods) - { - ValidateUltimate(shortPeriods, middlePeriods, longPeriods); - int count = qdList.Count; - List list = new List(count); - double[] array = new double[count]; - double[] array2 = new double[count]; - double val = 0.0; - checked - { - for (int i = 0; i < qdList.Count; i++) - { - QuoteD quoteD = qdList[i]; - UltimateResult ultimateResult = new UltimateResult(quoteD.Date); - list.Add(ultimateResult); - if (i > 0) - { - array[i] = quoteD.Close - Math.Min(quoteD.Low, val); - array2[i] = Math.Max(quoteD.High, val) - Math.Min(quoteD.Low, val); - } - if (i >= longPeriods) - { - double num = 0.0; - double num2 = 0.0; - double num3 = 0.0; - double num4 = 0.0; - double num5 = 0.0; - double num6 = 0.0; - for (int j = i + 1 - longPeriods; j <= i; j++) - { - int num7 = j + 1; - if (num7 > i + 1 - shortPeriods) - { - num += array[j]; - num4 += array2[j]; - } - if (num7 > i + 1 - middlePeriods) - { - num2 += array[j]; - num5 += array2[j]; - } - num3 += array[j]; - num6 += array2[j]; - } - double num8 = ((num4 == 0.0) ? double.NaN : (num / num4)); - double num9 = ((num5 == 0.0) ? double.NaN : (num2 / num5)); - double num10 = ((num6 == 0.0) ? double.NaN : (num3 / num6)); - ultimateResult.Ultimate = (100.0 * (4.0 * num8 + 2.0 * num9 + num10) / 7.0).NaN2Null(); - } - val = quoteD.Close; - } - return list; - } - } - - private static void ValidateUltimate(int shortPeriods, int middleAverage, int longPeriods) - { - if (shortPeriods <= 0 || middleAverage <= 0 || longPeriods <= 0) - { - throw new ArgumentOutOfRangeException("longPeriods", longPeriods, "Average periods must be greater than 0 for Ultimate Oscillator."); - } - if (shortPeriods >= middleAverage || middleAverage >= longPeriods) - { - throw new ArgumentOutOfRangeException("middleAverage", middleAverage, "Average periods must be increasingly larger than each other for Ultimate Oscillator."); - } - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - int removePeriods = results.ToList().FindIndex((UltimateResult x) => x.Ultimate.HasValue); - return results.Remove(removePeriods); - } - - /// - /// Volatility Stop is an ATR based indicator used to determine trend direction, stops, and reversals. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods in the lookback window.ATR offset amount.Time series of Volatility Stop values.Invalid parameter value provided. - public static IEnumerable GetVolatilityStop(this IEnumerable quotes, int lookbackPeriods = 7, double multiplier = 3.0) where TQuote : IQuote - { - return quotes.ToQuoteD().CalcVolatilityStop(lookbackPeriods, multiplier); - } - - internal static List CalcVolatilityStop(this List qdList, int lookbackPeriods, double multiplier) - { - List<(DateTime, double)> list = qdList.ToTuple(CandlePart.Close); - ValidateVolatilityStop(lookbackPeriods, multiplier); - int count = list.Count; - List list2 = new List(count); - if (count == 0) - { - return list2; - } - List list3 = qdList.CalcAtr(lookbackPeriods); - int num = Math.Min(count, lookbackPeriods); - double num2 = list[0].Item2; - checked - { - bool flag = list[num - 1].Item2 > num2; - for (int i = 0; i < num; i++) - { - (DateTime, double) tuple = list[i]; - DateTime item = tuple.Item1; - double item2 = tuple.Item2; - num2 = (flag ? Math.Max(num2, item2) : Math.Min(num2, item2)); - list2.Add(new VolatilityStopResult(item)); - } - for (int j = lookbackPeriods; j < count; j++) - { - (DateTime, double) tuple2 = list[j]; - DateTime item3 = tuple2.Item1; - double item4 = tuple2.Item2; - double? num3 = list3[j - 1].Atr * multiplier; - VolatilityStopResult volatilityStopResult = new VolatilityStopResult(item3) - { - Sar = ((!flag) ? (num2 + num3) : (num2 - num3)) - }; - list2.Add(volatilityStopResult); - if (flag) - { - volatilityStopResult.LowerBand = volatilityStopResult.Sar; - } - else - { - volatilityStopResult.UpperBand = volatilityStopResult.Sar; - } - if ((flag && item4 < volatilityStopResult.Sar) || (!flag && item4 > volatilityStopResult.Sar)) - { - volatilityStopResult.IsStop = true; - num2 = item4; - flag = !flag; - } - else - { - volatilityStopResult.IsStop = false; - num2 = (flag ? Math.Max(num2, item4) : Math.Min(num2, item4)); - } - } - VolatilityStopResult volatilityStopResult2 = (from x in list2 - where x.IsStop == true - orderby x.Date - select x).FirstOrDefault(); - if (volatilityStopResult2 != null) - { - int num4 = list2.IndexOf(volatilityStopResult2); - for (int num5 = 0; num5 <= num4; num5++) - { - VolatilityStopResult volatilityStopResult3 = list2[num5]; - volatilityStopResult3.Sar = null; - volatilityStopResult3.UpperBand = null; - volatilityStopResult3.LowerBand = null; - volatilityStopResult3.IsStop = null; - } - } - return list2; - } - } - - private static void ValidateVolatilityStop(int lookbackPeriods, double multiplier) - { - if (lookbackPeriods <= 1) - { - throw new ArgumentOutOfRangeException("lookbackPeriods", lookbackPeriods, "Lookback periods must be greater than 1 for Volatility Stop."); - } - if (multiplier <= 0.0) - { - throw new ArgumentOutOfRangeException("multiplier", multiplier, "ATR Multiplier must be greater than 0 for Volatility Stop."); - } - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - int val = results.ToList().FindIndex((VolatilityStopResult x) => x.Sar.HasValue); - val = Math.Max(100, val); - return results.Remove(val); - } - - /// - /// Vortex Indicator (VI) is a measure of price directional movement. - /// It includes positive and negative indicators, and is often used to identify trends and reversals. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods in the lookback window.Time series of VI+ and VI- vortex movement indicator values.Invalid parameter value provided. - public static IEnumerable GetVortex(this IEnumerable quotes, int lookbackPeriods) where TQuote : IQuote - { - return quotes.ToQuoteD().CalcVortex(lookbackPeriods); - } - - internal static List CalcVortex(this List qdList, int lookbackPeriods) - { - ValidateVortex(lookbackPeriods); - int count = qdList.Count; - List list = new List(count); - double[] array = new double[count]; - double[] array2 = new double[count]; - double[] array3 = new double[count]; - double num = 0.0; - double num2 = 0.0; - double num3 = 0.0; - checked - { - for (int i = 0; i < count; i++) - { - QuoteD quoteD = qdList[i]; - VortexResult vortexResult = new VortexResult(quoteD.Date); - list.Add(vortexResult); - if (i == 0) - { - num = quoteD.High; - num2 = quoteD.Low; - num3 = quoteD.Close; - continue; - } - double val = Math.Abs(quoteD.High - num3); - double val2 = Math.Abs(quoteD.Low - num3); - array[i] = Math.Max(quoteD.High - quoteD.Low, Math.Max(val, val2)); - array2[i] = Math.Abs(quoteD.High - num2); - array3[i] = Math.Abs(quoteD.Low - num); - num = quoteD.High; - num2 = quoteD.Low; - num3 = quoteD.Close; - if (i + 1 > lookbackPeriods) - { - double num4 = 0.0; - double num5 = 0.0; - double num6 = 0.0; - for (int j = i + 1 - lookbackPeriods; j <= i; j++) - { - num4 += array[j]; - num5 += array2[j]; - num6 += array3[j]; - } - if (num4 != 0.0) - { - vortexResult.Pvi = num5 / num4; - vortexResult.Nvi = num6 / num4; - } - } - } - return list; - } - } - - private static void ValidateVortex(int lookbackPeriods) - { - if (lookbackPeriods <= 1) - { - throw new ArgumentOutOfRangeException("lookbackPeriods", lookbackPeriods, "Lookback periods must be greater than 1 for VI."); - } - } - - /// Removes non-essential records containing null values with unique consideration for - /// this indicator. See - /// documentation for more information. - /// Indicator results to evaluate.Time series of - /// indicator results, condensed. - public static IEnumerable Condense(this IEnumerable results) - { - List list = results.ToList(); - list.RemoveAll((VortexResult x) => !x.Pvi.HasValue && !x.Nvi.HasValue); - return list.ToSortedList(); - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - int removePeriods = results.ToList().FindIndex((VortexResult x) => x.Pvi.HasValue || x.Nvi.HasValue); - return results.Remove(removePeriods); - } - - /// - /// Volume Weighted Average Price (VWAP) is a Volume weighted average of price, typically used on intraday data. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Optional anchor date. If not provided, the first date in quotes is used.Time series of VWAP values.Invalid parameter value provided. - public static IEnumerable GetVwap(this IEnumerable quotes, DateTime? startDate = null) where TQuote : IQuote - { - return quotes.ToQuoteD().CalcVwap(startDate); - } - - internal static List CalcVwap(this List qdList, DateTime? startDate = null) - { - ValidateVwap(qdList, startDate); - int count = qdList.Count; - List list = new List(count); - if (count == 0) - { - return list; - } - DateTime valueOrDefault = startDate.GetValueOrDefault(); - if (!startDate.HasValue) - { - valueOrDefault = qdList[0].Date; - startDate = valueOrDefault; - } - double? num = 0.0; - double? num2 = 0.0; - for (int i = 0; i < count; i = checked(i + 1)) - { - QuoteD quoteD = qdList[i]; - double? num3 = quoteD.Volume; - double? num4 = quoteD.High; - double? num5 = quoteD.Low; - double? num6 = quoteD.Close; - VwapResult vwapResult = new VwapResult(quoteD.Date); - list.Add(vwapResult); - valueOrDefault = quoteD.Date; - DateTime? dateTime = startDate; - if (valueOrDefault >= dateTime) - { - num += num3; - num2 += num3 * (num4 + num5 + num6) / 3.0; - vwapResult.Vwap = ((num == 0.0) ? ((double?)null) : (num2 / num)); - } - } - return list; - } - - private static void ValidateVwap(List quotesList, DateTime? startDate) - { - if (quotesList.Count == 0 || !(startDate < quotesList[0].Date)) - { - return; - } - throw new ArgumentOutOfRangeException("startDate", startDate, "Start Date must be within the quotes range for VWAP."); - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - int removePeriods = results.ToList().FindIndex((VwapResult x) => x.Vwap.HasValue); - return results.Remove(removePeriods); - } - - /// - /// Volume Weighted Moving Average is the volume adjusted average price over a lookback window. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods in the lookback window.Time series of Volume Weighted Moving Average values.Invalid parameter value provided. - public static IEnumerable GetVwma(this IEnumerable quotes, int lookbackPeriods) where TQuote : IQuote - { - return quotes.ToQuoteD().CalcVwma(lookbackPeriods); - } - - internal static List CalcVwma(this List qdList, int lookbackPeriods) - { - ValidateVwma(lookbackPeriods); - int count = qdList.Count; - List list = new List(count); - checked - { - for (int i = 0; i < count; i++) - { - VwmaResult vwmaResult = new VwmaResult(qdList[i].Date); - list.Add(vwmaResult); - if (i + 1 >= lookbackPeriods) - { - double? num = 0.0; - double? num2 = 0.0; - for (int j = i + 1 - lookbackPeriods; j <= i; j++) - { - QuoteD quoteD = qdList[j]; - double? num3 = quoteD.Close; - double? num4 = quoteD.Volume; - num += num3 * num4; - num2 += num4; - } - vwmaResult.Vwma = ((num2 == 0.0) ? ((double?)null) : (num / num2)); - } - } - return list; - } - } - - private static void ValidateVwma(int lookbackPeriods) - { - if (lookbackPeriods <= 0) - { - throw new ArgumentOutOfRangeException("lookbackPeriods", lookbackPeriods, "Lookback periods must be greater than 0 for Vwma."); - } - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - int removePeriods = results.ToList().FindIndex((VwmaResult x) => x.Vwma.HasValue); - return results.Remove(removePeriods); - } - - /// - /// Williams %R momentum indicator is a stochastic oscillator with scale of -100 to 0. It is exactly the same as the Fast variant of Stochastic Oscillator, but with a different scaling. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods in the lookback window.Time series of Williams %R values.Invalid parameter value provided. - public static IEnumerable GetWilliamsR(this IEnumerable quotes, int lookbackPeriods = 14) where TQuote : IQuote - { - return quotes.ToQuoteD().CalcWilliamsR(lookbackPeriods); - } - - internal static List CalcWilliamsR(this List qdList, int lookbackPeriods) - { - ValidateWilliam(lookbackPeriods); - return (from s in qdList.CalcStoch(lookbackPeriods, 1, 1, 3.0, 2.0, MaType.SMA) - select new WilliamsResult(s.Date) - { - WilliamsR = s.Oscillator - 100.0 - }).ToList(); - } - - private static void ValidateWilliam(int lookbackPeriods) - { - if (lookbackPeriods <= 0) - { - throw new ArgumentOutOfRangeException("lookbackPeriods", lookbackPeriods, "Lookback periods must be greater than 0 for William %R."); - } - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - int removePeriods = results.ToList().FindIndex((WilliamsResult x) => x.WilliamsR.HasValue); - return results.Remove(removePeriods); - } - - /// - /// Weighted Moving Average (WMA) is the linear weighted average of price over N lookback periods. This also called Linear Weighted Moving Average (LWMA). - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Number of periods in the lookback window.Time series of WMA values.Invalid parameter value provided. - public static IEnumerable GetWma(this IEnumerable quotes, int lookbackPeriods) where TQuote : IQuote - { - return quotes.ToTuple(CandlePart.Close).CalcWma(lookbackPeriods); - } - - public static IEnumerable GetWma(this IEnumerable results, int lookbackPeriods) - { - return results.ToTuple().CalcWma(lookbackPeriods).SyncIndex(results, SyncType.Prepend); - } - - public static IEnumerable GetWma(this IEnumerable<(DateTime, double)> priceTuples, int lookbackPeriods) - { - return priceTuples.ToSortedList().CalcWma(lookbackPeriods); - } - - internal static List CalcWma(this List<(DateTime, double)> tpList, int lookbackPeriods) - { - ValidateWma(lookbackPeriods); - List list = new List(tpList.Count); - checked - { - double num = (double)lookbackPeriods * (double)(lookbackPeriods + 1) / 2.0; - for (int i = 0; i < tpList.Count; i++) - { - WmaResult wmaResult = new WmaResult(tpList[i].Item1); - list.Add(wmaResult); - if (i + 1 >= lookbackPeriods) - { - double num2 = 0.0; - for (int j = i + 1 - lookbackPeriods; j <= i; j++) - { - double item = tpList[j].Item2; - num2 += item * (double)(lookbackPeriods - (i + 1 - j - 1)) / num; - } - wmaResult.Wma = num2.NaN2Null(); - } - } - return list; - } - } - - private static void ValidateWma(int lookbackPeriods) - { - if (lookbackPeriods <= 0) - { - throw new ArgumentOutOfRangeException("lookbackPeriods", lookbackPeriods, "Lookback periods must be greater than 0 for WMA."); - } - } - - /// Removes the recommended quantity of results from the beginning of the results list - /// using a reverse-engineering approach. See - /// documentation for more information. - /// Indicator - /// results to evaluate.Time - /// series of results, pruned. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable results) - { - int removePeriods = results.ToList().FindIndex((WmaResult x) => x.Wma.HasValue); - return results.Remove(removePeriods); - } - - /// - /// Zig Zag is a price chart overlay that simplifies the up and down movements and transitions based on a percent change smoothing threshold. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Determines use of Close or High/Low wicks for extreme points.Percent price change to set threshold for minimum size movements.Time series of Zig Zag values.Invalid parameter value provided. - public static IEnumerable GetZigZag(this IEnumerable quotes, EndType endType = EndType.Close, decimal percentChange = 5m) where TQuote : IQuote - { - return quotes.ToSortedList().CalcZigZag(endType, percentChange); - } - - internal static List CalcZigZag(this List quotesList, EndType endType = EndType.Close, decimal percentChange = 5m) where TQuote : IQuote - { - ValidateZigZag(percentChange); - int count = quotesList.Count; - List list = new List(count); - if (count == 0) - { - return list; - } - TQuote q = quotesList[0]; - ZigZagEval zigZagEval = GetZigZagEval(endType, 1, q); - decimal num = percentChange / 100m; - ZigZagPoint zigZagPoint = new ZigZagPoint - { - Index = zigZagEval.Index, - Value = q.Close, - PointType = "U" - }; - ZigZagPoint zigZagPoint2 = new ZigZagPoint - { - Index = zigZagEval.Index, - Value = zigZagEval.High, - PointType = "H" - }; - ZigZagPoint zigZagPoint3 = new ZigZagPoint - { - Index = zigZagEval.Index, - Value = zigZagEval.Low, - PointType = "L" - }; - int num2 = count; - checked - { - for (int i = 0; i < count; i++) - { - TQuote q2 = quotesList[i]; - int index = i + 1; - zigZagEval = GetZigZagEval(endType, index, q2); - decimal? value = zigZagPoint3.Value; - decimal? num3 = (((value.GetValueOrDefault() == default(decimal)) & value.HasValue) ? ((decimal?)null) : ((zigZagEval.High - zigZagPoint3.Value) / zigZagPoint3.Value)); - decimal? value2 = zigZagPoint2.Value; - decimal? num4 = (((value2.GetValueOrDefault() == default(decimal)) & value2.HasValue) ? ((decimal?)null) : ((zigZagPoint2.Value - zigZagEval.Low) / zigZagPoint2.Value)); - value = num3; - decimal num5 = num; - if (((value.GetValueOrDefault() >= num5) & value.HasValue) && num3 > num4) - { - zigZagPoint.Index = zigZagPoint3.Index; - zigZagPoint.Value = zigZagPoint3.Value; - zigZagPoint.PointType = zigZagPoint3.PointType; - break; - } - value2 = num4; - num5 = num; - if (((value2.GetValueOrDefault() >= num5) & value2.HasValue) && num4 > num3) - { - zigZagPoint.Index = zigZagPoint2.Index; - zigZagPoint.Value = zigZagPoint2.Value; - zigZagPoint.PointType = zigZagPoint2.PointType; - break; - } - } - ZigZagResult item = new ZigZagResult(q.Date); - list.Add(item); - while (zigZagPoint.Index < num2) - { - ZigZagPoint nextPoint = EvaluateNextPoint(quotesList, endType, num, zigZagPoint); - string pointType = zigZagPoint.PointType; - DrawZigZagLine(list, quotesList, zigZagPoint, nextPoint); - DrawRetraceLine(list, pointType, zigZagPoint3, zigZagPoint2, nextPoint); - } - return list; - } - } - - private static ZigZagPoint EvaluateNextPoint(List quotesList, EndType endType, decimal changeThreshold, ZigZagPoint lastPoint) where TQuote : IQuote - { - bool flag = lastPoint.PointType == "L"; - ZigZagPoint zigZagPoint = new ZigZagPoint - { - Index = lastPoint.Index, - Value = lastPoint.Value, - PointType = (flag ? "H" : "L") - }; - checked - { - for (int i = lastPoint.Index; i < quotesList.Count; i++) - { - TQuote q = quotesList[i]; - int num = i + 1; - ZigZagEval zigZagEval = GetZigZagEval(endType, num, q); - decimal? num2; - if (flag) - { - if (zigZagEval.High >= zigZagPoint.Value) - { - zigZagPoint.Index = zigZagEval.Index; - zigZagPoint.Value = zigZagEval.High; - num2 = default(decimal); - } - else - { - decimal? value = zigZagPoint.Value; - num2 = (((value.GetValueOrDefault() == default(decimal)) & value.HasValue) ? ((decimal?)null) : ((zigZagPoint.Value - zigZagEval.Low) / zigZagPoint.Value)); - } - } - else if (zigZagEval.Low <= zigZagPoint.Value) - { - zigZagPoint.Index = zigZagEval.Index; - zigZagPoint.Value = zigZagEval.Low; - num2 = default(decimal); - } - else - { - decimal? value = zigZagPoint.Value; - num2 = (((value.GetValueOrDefault() == default(decimal)) & value.HasValue) ? ((decimal?)null) : ((zigZagEval.High - zigZagPoint.Value) / zigZagPoint.Value)); - } - decimal? num3 = num2; - decimal num4 = changeThreshold; - if ((num3.GetValueOrDefault() >= num4) & num3.HasValue) - { - return zigZagPoint; - } - if (num == quotesList.Count) - { - zigZagPoint.Index = num; - zigZagPoint.Value = (flag ? zigZagEval.High : zigZagEval.Low); - zigZagPoint.PointType = null; - } - } - return zigZagPoint; - } - } - - private static void DrawZigZagLine(List results, List quotesList, ZigZagPoint lastPoint, ZigZagPoint nextPoint) where TQuote : IQuote - { - checked - { - if (nextPoint.Index != lastPoint.Index) - { - decimal? num = (nextPoint.Value - lastPoint.Value) / (decimal?)(nextPoint.Index - lastPoint.Index); - for (int i = lastPoint.Index; i < nextPoint.Index; i++) - { - TQuote val = quotesList[i]; - int num2 = i + 1; - ZigZagResult item = new ZigZagResult(val.Date) - { - ZigZag = ((lastPoint.Index == 1 && num2 != nextPoint.Index) ? ((decimal?)null) : (lastPoint.Value + num * (decimal?)(num2 - lastPoint.Index))), - PointType = ((num2 == nextPoint.Index) ? nextPoint.PointType : null) - }; - results.Add(item); - } - } - lastPoint.Index = nextPoint.Index; - lastPoint.Value = nextPoint.Value; - lastPoint.PointType = nextPoint.PointType; - } - } - - private static void DrawRetraceLine(List results, string lastDirection, ZigZagPoint lastLowPoint, ZigZagPoint lastHighPoint, ZigZagPoint nextPoint) - { - ZigZagPoint zigZagPoint = new ZigZagPoint(); - if (lastDirection == "L") - { - zigZagPoint.Index = lastHighPoint.Index; - zigZagPoint.Value = lastHighPoint.Value; - lastHighPoint.Index = nextPoint.Index; - lastHighPoint.Value = nextPoint.Value; - } - else if (lastDirection == "H") - { - zigZagPoint.Index = lastLowPoint.Index; - zigZagPoint.Value = lastLowPoint.Value; - lastLowPoint.Index = nextPoint.Index; - lastLowPoint.Value = nextPoint.Value; - } - if (lastDirection == "U" || zigZagPoint.Index == 1 || nextPoint.Index == zigZagPoint.Index) - { - return; - } - checked - { - decimal? num = (nextPoint.Value - zigZagPoint.Value) / (decimal?)(nextPoint.Index - zigZagPoint.Index); - for (int i = zigZagPoint.Index - 1; i < nextPoint.Index; i++) - { - ZigZagResult zigZagResult = results[i]; - int num2 = i + 1; - if (lastDirection == "L") - { - zigZagResult.RetraceHigh = zigZagPoint.Value + num * (decimal?)(num2 - zigZagPoint.Index); - } - else if (lastDirection == "H") - { - zigZagResult.RetraceLow = zigZagPoint.Value + num * (decimal?)(num2 - zigZagPoint.Index); - } - } - } - } - - private static ZigZagEval GetZigZagEval(EndType endType, int index, TQuote q) where TQuote : IQuote - { - ZigZagEval zigZagEval = new ZigZagEval - { - Index = index - }; - switch (endType) - { - case EndType.Close: - zigZagEval.Low = q.Close; - zigZagEval.High = q.Close; - break; - case EndType.HighLow: - zigZagEval.Low = q.Low; - zigZagEval.High = q.High; - break; - default: - throw new ArgumentOutOfRangeException("endType"); - } - return zigZagEval; - } - - private static void ValidateZigZag(decimal percentChange) - { - if (percentChange <= 0m) - { - throw new ArgumentOutOfRangeException("percentChange", percentChange, "Percent change must be greater than 0 for ZIGZAG."); - } - } - - /// Removes non-essential records containing null values with unique consideration for - /// this indicator. See - /// documentation for more information. - /// Indicator results to evaluate.Time series of - /// indicator results, condensed. - public static IEnumerable Condense(this IEnumerable results) - { - List list = results.ToList(); - list.RemoveAll((ZigZagResult x) => x.PointType == null); - return list.ToSortedList(); - } - - [ExcludeFromCodeCoverage] - [Obsolete("'ToBasicTuple(..)' was deprecated.", false)] - public static List<(DateTime, double)> ToBasicTuple(this IEnumerable quotes, CandlePart candlePart) where TQuote : IQuote - { - return quotes.ToTuple(candlePart); - } - - [ExcludeFromCodeCoverage] - [Obsolete("Rename 'ToResultTuple(..)' to 'ToTuple(..)' to fix.", false)] - public static List<(DateTime Date, double Value)> ToResultTuple(this IEnumerable basicData) - { - return basicData.ToTuple(); - } - - [ExcludeFromCodeCoverage] - [Obsolete("Rename 'ToTupleCollection(..)' to 'ToTupleChainable(..)' to fix.", false)] - public static Collection<(DateTime Date, double Value)> ToTupleCollection(this IEnumerable reusable) - { - return reusable.ToTupleChainable(); - } - - [ExcludeFromCodeCoverage] - [Obsolete("Rename 'ToTupleCollection(NullTo..)' to either 'ToTupleNaN(..)' or 'ToTupleNull(..)' to fix.", false)] - public static Collection<(DateTime Date, double? Value)> ToTupleCollection(this IEnumerable reusable, NullTo nullTo) - { - List list = reusable.ToSortedList(); - int count = list.Count; - Collection<(DateTime, double?)> collection = new Collection<(DateTime, double?)>(); - for (int i = 0; i < count; i = checked(i + 1)) - { - IReusableResult reusableResult = list[i]; - collection.Add((reusableResult.Date, reusableResult.Value.Null2NaN())); - } - return collection; - } - - [ExcludeFromCodeCoverage] - [Obsolete("Change 'GetStarcBands()' to 'GetStarcBands(20)' to fix.", false)] - public static IEnumerable GetStarcBands(this IEnumerable quotes) where TQuote : IQuote - { - return quotes.GetStarcBands(20); - } -} -[Serializable] -public sealed class AdlResult : ResultBase, IReusableResult, ISeries -{ - public double? MoneyFlowMultiplier { get; set; } - - public double? MoneyFlowVolume { get; set; } - - public double Adl { get; set; } - - public double? AdlSma { get; set; } - - double? IReusableResult.Value => Adl; - - public AdlResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class AdxResult : ResultBase, IReusableResult, ISeries -{ - public double? Pdi { get; set; } - - public double? Mdi { get; set; } - - public double? Adx { get; set; } - - public double? Adxr { get; set; } - - double? IReusableResult.Value => Adx; - - public AdxResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class AlligatorResult : ResultBase -{ - public double? Jaw { get; set; } - - public double? Teeth { get; set; } - - public double? Lips { get; set; } - - public AlligatorResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class AlmaResult : ResultBase, IReusableResult, ISeries -{ - public double? Alma { get; set; } - - double? IReusableResult.Value => Alma; - - public AlmaResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class AroonResult : ResultBase, IReusableResult, ISeries -{ - public double? AroonUp { get; set; } - - public double? AroonDown { get; set; } - - public double? Oscillator { get; set; } - - double? IReusableResult.Value => Oscillator; - - public AroonResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class AtrResult : ResultBase, IReusableResult, ISeries -{ - public double? Tr { get; set; } - - public double? Atr { get; set; } - - public double? Atrp { get; set; } - - double? IReusableResult.Value => Atrp; - - public AtrResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class AtrStopResult : ResultBase -{ - public decimal? AtrStop { get; set; } - - public decimal? BuyStop { get; set; } - - public decimal? SellStop { get; set; } - - public AtrStopResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class AwesomeResult : ResultBase, IReusableResult, ISeries -{ - public double? Oscillator { get; set; } - - public double? Normalized { get; set; } - - double? IReusableResult.Value => Oscillator; - - public AwesomeResult(DateTime date) - { - base.Date = date; - } -} -public interface IBasicData -{ - DateTime Date { get; } - - double Value { get; } -} -public class BasicData : ISeries, IBasicData, IReusableResult -{ - public DateTime Date { get; set; } - - public double Value { get; set; } - - double? IReusableResult.Value => Value; -} -[Serializable] -public sealed class BetaResult : ResultBase, IReusableResult, ISeries -{ - public double? Beta { get; set; } - - public double? BetaUp { get; set; } - - public double? BetaDown { get; set; } - - public double? Ratio { get; set; } - - public double? Convexity { get; set; } - - public double? ReturnsEval { get; set; } - - public double? ReturnsMrkt { get; set; } - - double? IReusableResult.Value => Beta; - - public BetaResult(DateTime date) - { - base.Date = date; - } -} -public enum BetaType -{ - Standard, - Up, - Down, - All -} -[Serializable] -public sealed class BollingerBandsResult : ResultBase, IReusableResult, ISeries -{ - public double? Sma { get; set; } - - public double? UpperBand { get; set; } - - public double? LowerBand { get; set; } - - public double? PercentB { get; set; } - - public double? ZScore { get; set; } - - public double? Width { get; set; } - - double? IReusableResult.Value => PercentB; - - public BollingerBandsResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class BopResult : ResultBase, IReusableResult, ISeries -{ - public double? Bop { get; set; } - - double? IReusableResult.Value => Bop; - - public BopResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class CciResult : ResultBase, IReusableResult, ISeries -{ - public double? Cci { get; set; } - - double? IReusableResult.Value => Cci; - - public CciResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class ChaikinOscResult : ResultBase, IReusableResult, ISeries -{ - public double? MoneyFlowMultiplier { get; set; } - - public double? MoneyFlowVolume { get; set; } - - public double? Adl { get; set; } - - public double? Oscillator { get; set; } - - double? IReusableResult.Value => Oscillator; - - public ChaikinOscResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class ChandelierResult : ResultBase, IReusableResult, ISeries -{ - public double? ChandelierExit { get; set; } - - double? IReusableResult.Value => ChandelierExit; - - public ChandelierResult(DateTime date) - { - base.Date = date; - } -} -public enum ChandelierType -{ - Long, - Short -} -[Serializable] -public sealed class ChopResult : ResultBase, IReusableResult, ISeries -{ - public double? Chop { get; set; } - - double? IReusableResult.Value => Chop; - - public ChopResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class CmfResult : ResultBase, IReusableResult, ISeries -{ - public double? MoneyFlowMultiplier { get; set; } - - public double? MoneyFlowVolume { get; set; } - - public double? Cmf { get; set; } - - double? IReusableResult.Value => Cmf; - - public CmfResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class CmoResult : ResultBase, IReusableResult, ISeries -{ - public double? Cmo { get; set; } - - double? IReusableResult.Value => Cmo; - - public CmoResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class ConnorsRsiResult : ResultBase, IReusableResult, ISeries -{ - public double? Rsi { get; set; } - - public double? RsiStreak { get; set; } - - public double? PercentRank { get; set; } - - public double? ConnorsRsi { get; set; } - - internal int Streak { get; set; } - - double? IReusableResult.Value => ConnorsRsi; - - public ConnorsRsiResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class CorrResult : ResultBase, IReusableResult, ISeries -{ - public double? VarianceA { get; set; } - - public double? VarianceB { get; set; } - - public double? Covariance { get; set; } - - public double? Correlation { get; set; } - - public double? RSquared { get; set; } - - double? IReusableResult.Value => Correlation; - - public CorrResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class DemaResult : ResultBase, IReusableResult, ISeries -{ - public double? Dema { get; set; } - - double? IReusableResult.Value => Dema; - - public DemaResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class DonchianResult : ResultBase -{ - public decimal? UpperBand { get; set; } - - public decimal? Centerline { get; set; } - - public decimal? LowerBand { get; set; } - - public decimal? Width { get; set; } - - public DonchianResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class DpoResult : ResultBase, IReusableResult, ISeries -{ - public double? Sma { get; set; } - - public double? Dpo { get; set; } - - double? IReusableResult.Value => Dpo; - - public DpoResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class DynamicResult : ResultBase, IReusableResult, ISeries -{ - public double? Dynamic { get; set; } - - double? IReusableResult.Value => Dynamic; - - public DynamicResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class ElderRayResult : ResultBase, IReusableResult, ISeries -{ - public double? Ema { get; set; } - - public double? BullPower { get; set; } - - public double? BearPower { get; set; } - - double? IReusableResult.Value => BullPower + BearPower; - - public ElderRayResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class EmaResult : ResultBase, IReusableResult, ISeries -{ - public double? Ema { get; set; } - - double? IReusableResult.Value => Ema; - - public EmaResult(DateTime date) - { - base.Date = date; - } -} -public class EmaBase -{ - internal double K { get; set; } - - internal List ProtectedResults { get; set; } - - public IEnumerable Results => ProtectedResults; - - internal EmaBase(IEnumerable<(DateTime, double)> tpQuotes, int lookbackPeriods) - { - K = 2.0 / (double)checked(lookbackPeriods + 1); - ProtectedResults = tpQuotes.ToSortedList().CalcEma(lookbackPeriods); - } - - public IEnumerable Add(Quote quote, CandlePart candlePart = CandlePart.Close) - { - if (quote == null) - { - throw new InvalidQuotesException("quote", quote, "No quote provided."); - } - (DateTime, double) tuple = quote.ToTuple(candlePart); - return Add(tuple); - } - - public IEnumerable Add((DateTime Date, double Value) tuple) - { - checked - { - int num = ProtectedResults.Count - 1; - EmaResult emaResult = ProtectedResults[num]; - if (tuple.Date == emaResult.Date) - { - EmaResult emaResult2 = ProtectedResults[num - 1]; - double lastEma = ((!emaResult2.Ema.HasValue) ? double.NaN : emaResult2.Ema.Value); - emaResult.Ema = Increment(tuple.Value, lastEma, K); - } - else if (tuple.Date > emaResult.Date) - { - double lastEma2 = ((!emaResult.Ema.HasValue) ? double.NaN : emaResult.Ema.Value); - double value = Increment(tuple.Value, lastEma2, K); - EmaResult item = new EmaResult(tuple.Date) - { - Ema = value - }; - ProtectedResults.Add(item); - } - return Results; - } - } - - internal static double Increment(double newValue, double lastEma, double k) - { - return lastEma + k * (newValue - lastEma); - } - - internal static void Validate(int lookbackPeriods) - { - if (lookbackPeriods <= 0) - { - throw new ArgumentOutOfRangeException("lookbackPeriods", lookbackPeriods, "Lookback periods must be greater than 0 for EMA."); - } - } -} -[Serializable] -public sealed class EpmaResult : ResultBase, IReusableResult, ISeries -{ - public double? Epma { get; set; } - - double? IReusableResult.Value => Epma; - - public EpmaResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class FcbResult : ResultBase -{ - public decimal? UpperBand { get; set; } - - public decimal? LowerBand { get; set; } - - public FcbResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class FisherTransformResult : ResultBase, IReusableResult, ISeries -{ - public double? Fisher { get; set; } - - public double? Trigger { get; set; } - - double? IReusableResult.Value => Fisher; - - public FisherTransformResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class ForceIndexResult : ResultBase, IReusableResult, ISeries -{ - public double? ForceIndex { get; set; } - - double? IReusableResult.Value => ForceIndex; - - public ForceIndexResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class FractalResult : ResultBase -{ - public decimal? FractalBear { get; set; } - - public decimal? FractalBull { get; set; } - - public FractalResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public class GatorResult : ResultBase -{ - public double? Upper { get; set; } - - public double? Lower { get; set; } - - public bool? UpperIsExpanding { get; set; } - - public bool? LowerIsExpanding { get; set; } - - public GatorResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class HeikinAshiResult : ResultBase, IQuote, ISeries -{ - public decimal Open { get; set; } - - public decimal High { get; set; } - - public decimal Low { get; set; } - - public decimal Close { get; set; } - - public decimal Volume { get; set; } - - public HeikinAshiResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class HmaResult : ResultBase, IReusableResult, ISeries -{ - public double? Hma { get; set; } - - double? IReusableResult.Value => Hma; - - public HmaResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class HtlResult : ResultBase, IReusableResult, ISeries -{ - public int? DcPeriods { get; set; } - - public double? Trendline { get; set; } - - public double? SmoothPrice { get; set; } - - double? IReusableResult.Value => Trendline; - - public HtlResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class HurstResult : ResultBase, IReusableResult, ISeries -{ - public double? HurstExponent { get; set; } - - double? IReusableResult.Value => HurstExponent; - - public HurstResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class IchimokuResult : ResultBase -{ - public decimal? TenkanSen { get; set; } - - public decimal? KijunSen { get; set; } - - public decimal? SenkouSpanA { get; set; } - - public decimal? SenkouSpanB { get; set; } - - public decimal? ChikouSpan { get; set; } - - public IchimokuResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class KamaResult : ResultBase, IReusableResult, ISeries -{ - public double? ER { get; set; } - - public double? Kama { get; set; } - - double? IReusableResult.Value => Kama; - - public KamaResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class KeltnerResult : ResultBase -{ - public double? UpperBand { get; set; } - - public double? Centerline { get; set; } - - public double? LowerBand { get; set; } - - public double? Width { get; set; } - - public KeltnerResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class KvoResult : ResultBase, IReusableResult, ISeries -{ - public double? Oscillator { get; set; } - - public double? Signal { get; set; } - - double? IReusableResult.Value => Oscillator; - - internal KvoResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class MacdResult : ResultBase, IReusableResult, ISeries -{ - public double? Macd { get; set; } - - public double? Signal { get; set; } - - public double? Histogram { get; set; } - - public double? FastEma { get; set; } - - public double? SlowEma { get; set; } - - double? IReusableResult.Value => Macd; - - public MacdResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class MaEnvelopeResult : ResultBase -{ - public double? Centerline { get; set; } - - public double? UpperEnvelope { get; set; } - - public double? LowerEnvelope { get; set; } - - public MaEnvelopeResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class MamaResult : ResultBase, IReusableResult, ISeries -{ - public double? Mama { get; set; } - - public double? Fama { get; set; } - - double? IReusableResult.Value => Mama; - - public MamaResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class MfiResult : ResultBase, IReusableResult, ISeries -{ - public double? Mfi { get; set; } - - double? IReusableResult.Value => Mfi; - - public MfiResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class ObvResult : ResultBase, IReusableResult, ISeries -{ - public double Obv { get; set; } - - public double? ObvSma { get; set; } - - double? IReusableResult.Value => Obv; - - public ObvResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class ParabolicSarResult : ResultBase, IReusableResult, ISeries -{ - public double? Sar { get; set; } - - public bool? IsReversal { get; set; } - - double? IReusableResult.Value => Sar; - - public ParabolicSarResult(DateTime date) - { - base.Date = date; - } -} -internal interface IPivotPoint -{ - decimal? R4 { get; set; } - - decimal? R3 { get; set; } - - decimal? R2 { get; set; } - - decimal? R1 { get; set; } - - decimal? PP { get; set; } - - decimal? S1 { get; set; } - - decimal? S2 { get; set; } - - decimal? S3 { get; set; } - - decimal? S4 { get; set; } -} -[Serializable] -public sealed class PivotPointsResult : ResultBase, IPivotPoint -{ - public decimal? R4 { get; set; } - - public decimal? R3 { get; set; } - - public decimal? R2 { get; set; } - - public decimal? R1 { get; set; } - - public decimal? PP { get; set; } - - public decimal? S1 { get; set; } - - public decimal? S2 { get; set; } - - public decimal? S3 { get; set; } - - public decimal? S4 { get; set; } -} -public enum PivotPointType -{ - Standard, - Camarilla, - Demark, - Fibonacci, - Woodie -} -[Serializable] -public class PivotsResult : ResultBase -{ - public decimal? HighPoint { get; set; } - - public decimal? LowPoint { get; set; } - - public decimal? HighLine { get; set; } - - public decimal? LowLine { get; set; } - - public PivotTrend? HighTrend { get; set; } - - public PivotTrend? LowTrend { get; set; } - - public PivotsResult(DateTime date) - { - base.Date = date; - } -} -public enum PivotTrend -{ - HH, - LH, - HL, - LL -} -[Serializable] -public sealed class PmoResult : ResultBase, IReusableResult, ISeries -{ - public double? Pmo { get; set; } - - public double? Signal { get; set; } - - internal double? RocEma { get; set; } - - double? IReusableResult.Value => Pmo; - - public PmoResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class PrsResult : ResultBase, IReusableResult, ISeries -{ - public double? Prs { get; set; } - - public double? PrsSma { get; set; } - - public double? PrsPercent { get; set; } - - double? IReusableResult.Value => Prs; - - public PrsResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class PvoResult : ResultBase, IReusableResult, ISeries -{ - public double? Pvo { get; set; } - - public double? Signal { get; set; } - - public double? Histogram { get; set; } - - double? IReusableResult.Value => Pvo; - - public PvoResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class RenkoResult : ResultBase, IQuote, ISeries -{ - public decimal Open { get; set; } - - public decimal High { get; set; } - - public decimal Low { get; set; } - - public decimal Close { get; set; } - - public decimal Volume { get; set; } - - public bool IsUp { get; set; } - - public RenkoResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class RocResult : ResultBase, IReusableResult, ISeries -{ - public double? Momentum { get; set; } - - public double? Roc { get; set; } - - public double? RocSma { get; set; } - - double? IReusableResult.Value => Roc; - - public RocResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class RocWbResult : ResultBase, IReusableResult, ISeries -{ - public double? Roc { get; set; } - - public double? RocEma { get; set; } - - public double? UpperBand { get; set; } - - public double? LowerBand { get; set; } - - double? IReusableResult.Value => Roc; - - public RocWbResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class RollingPivotsResult : ResultBase, IPivotPoint -{ - public decimal? R4 { get; set; } - - public decimal? R3 { get; set; } - - public decimal? R2 { get; set; } - - public decimal? R1 { get; set; } - - public decimal? PP { get; set; } - - public decimal? S1 { get; set; } - - public decimal? S2 { get; set; } - - public decimal? S3 { get; set; } - - public decimal? S4 { get; set; } -} -[Serializable] -public sealed class RsiResult : ResultBase, IReusableResult, ISeries -{ - public double? Rsi { get; set; } - - double? IReusableResult.Value => Rsi; - - public RsiResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class SlopeResult : ResultBase, IReusableResult, ISeries -{ - public double? Slope { get; set; } - - public double? Intercept { get; set; } - - public double? StdDev { get; set; } - - public double? RSquared { get; set; } - - public decimal? Line { get; set; } - - double? IReusableResult.Value => Slope; - - public SlopeResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class SmaResult : ResultBase, IReusableResult, ISeries -{ - public double? Sma { get; set; } - - double? IReusableResult.Value => Sma; - - public SmaResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class SmaAnalysis : ResultBase, IReusableResult, ISeries -{ - public double? Sma { get; set; } - - public double? Mad { get; set; } - - public double? Mse { get; set; } - - public double? Mape { get; set; } - - double? IReusableResult.Value => Sma; - - public SmaAnalysis(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class SmiResult : ResultBase, IReusableResult, ISeries -{ - public double? Smi { get; set; } - - public double? Signal { get; set; } - - double? IReusableResult.Value => Smi; - - public SmiResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class SmmaResult : ResultBase, IReusableResult, ISeries -{ - public double? Smma { get; set; } - - double? IReusableResult.Value => Smma; - - public SmmaResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class StarcBandsResult : ResultBase -{ - public double? UpperBand { get; set; } - - public double? Centerline { get; set; } - - public double? LowerBand { get; set; } - - public StarcBandsResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class StcResult : ResultBase, IReusableResult, ISeries -{ - public double? Stc { get; set; } - - double? IReusableResult.Value => Stc; - - public StcResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class StdDevResult : ResultBase, IReusableResult, ISeries -{ - public double? StdDev { get; set; } - - public double? Mean { get; set; } - - public double? ZScore { get; set; } - - public double? StdDevSma { get; set; } - - double? IReusableResult.Value => StdDev; - - public StdDevResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class StdDevChannelsResult : ResultBase -{ - public double? Centerline { get; set; } - - public double? UpperChannel { get; set; } - - public double? LowerChannel { get; set; } - - public bool BreakPoint { get; set; } - - public StdDevChannelsResult(DateTime date) - { - base.Date = date; - } -} -/// -/// Stochastic indicator results includes aliases for those who prefer the simpler K,D,J outputs. -/// -/// See -/// documentation -/// for more information. -/// -/// -/// Standard output properties: -/// -/// -/// Oscillator -/// %K Oscillator over prior lookback periods. -/// -/// -/// Signal -/// %D Simple moving average of %K Oscillator. -/// -/// -/// PercentJ -/// -/// %J is the weighted divergence of %K and %D: %J=3×%K-2×%D -/// -/// -/// -/// These are the aliases of the above properties: -/// -/// -/// K -/// Same as Oscillator. -/// -/// -/// D -/// Same as Signal. -/// -/// -/// J -/// Same as PercentJ. -/// -/// -/// -[Serializable] -public sealed class StochResult : ResultBase, IReusableResult, ISeries -{ - public double? Oscillator { get; set; } - - public double? Signal { get; set; } - - public double? PercentJ { get; set; } - - public double? K => Oscillator; - - public double? D => Signal; - - public double? J => PercentJ; - - double? IReusableResult.Value => Oscillator; - - public StochResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class StochRsiResult : ResultBase, IReusableResult, ISeries -{ - public double? StochRsi { get; set; } - - public double? Signal { get; set; } - - double? IReusableResult.Value => StochRsi; - - public StochRsiResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class SuperTrendResult : ResultBase -{ - public decimal? SuperTrend { get; set; } - - public decimal? UpperBand { get; set; } - - public decimal? LowerBand { get; set; } - - public SuperTrendResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class T3Result : ResultBase, IReusableResult, ISeries -{ - public double? T3 { get; set; } - - double? IReusableResult.Value => T3; - - public T3Result(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class TemaResult : ResultBase, IReusableResult, ISeries -{ - public double? Tema { get; set; } - - double? IReusableResult.Value => Tema; - - public TemaResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class TrResult : ResultBase, IReusableResult, ISeries -{ - public double? Tr { get; set; } - - double? IReusableResult.Value => Tr; - - public TrResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class TrixResult : ResultBase, IReusableResult, ISeries -{ - public double? Ema3 { get; set; } - - public double? Trix { get; set; } - - public double? Signal { get; set; } - - double? IReusableResult.Value => Trix; - - public TrixResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class TsiResult : ResultBase, IReusableResult, ISeries -{ - public double? Tsi { get; set; } - - public double? Signal { get; set; } - - double? IReusableResult.Value => Tsi; - - public TsiResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class UlcerIndexResult : ResultBase, IReusableResult, ISeries -{ - public double? UI { get; set; } - - double? IReusableResult.Value => UI; - - public UlcerIndexResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class UltimateResult : ResultBase, IReusableResult, ISeries -{ - public double? Ultimate { get; set; } - - double? IReusableResult.Value => Ultimate; - - public UltimateResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class VolatilityStopResult : ResultBase, IReusableResult, ISeries -{ - public double? Sar { get; set; } - - public bool? IsStop { get; set; } - - public double? UpperBand { get; set; } - - public double? LowerBand { get; set; } - - double? IReusableResult.Value => Sar; - - public VolatilityStopResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class VortexResult : ResultBase -{ - public double? Pvi { get; set; } - - public double? Nvi { get; set; } - - public VortexResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class VwapResult : ResultBase, IReusableResult, ISeries -{ - public double? Vwap { get; set; } - - double? IReusableResult.Value => Vwap; - - public VwapResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class VwmaResult : ResultBase, IReusableResult, ISeries -{ - public double? Vwma { get; set; } - - double? IReusableResult.Value => Vwma; - - public VwmaResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class WilliamsResult : ResultBase, IReusableResult, ISeries -{ - public double? WilliamsR { get; set; } - - double? IReusableResult.Value => WilliamsR; - - public WilliamsResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class WmaResult : ResultBase, IReusableResult, ISeries -{ - public double? Wma { get; set; } - - double? IReusableResult.Value => Wma; - - public WmaResult(DateTime date) - { - base.Date = date; - } -} -[Serializable] -public sealed class ZigZagResult : ResultBase, IReusableResult, ISeries -{ - public decimal? ZigZag { get; set; } - - public string? PointType { get; set; } - - public decimal? RetraceHigh { get; set; } - - public decimal? RetraceLow { get; set; } - - double? IReusableResult.Value => (double?)ZigZag; - - public ZigZagResult(DateTime date) - { - base.Date = date; - } -} -internal class ZigZagEval -{ - internal int Index { get; set; } - - internal decimal? High { get; set; } - - internal decimal? Low { get; set; } -} -internal class ZigZagPoint -{ - internal int Index { get; set; } - - internal decimal? Value { get; set; } - - internal string? PointType { get; set; } -} -public static class Candlesticks -{ - public static IEnumerable Condense(this IEnumerable candleResults) - { - return candleResults.Where((CandleResult candle) => candle.Match != Match.None).ToList(); - } - - public static CandleProperties ToCandle(this TQuote quote) where TQuote : IQuote - { - return new CandleProperties - { - Date = quote.Date, - Open = quote.Open, - High = quote.High, - Low = quote.Low, - Close = quote.Close, - Volume = quote.Volume - }; - } - - public static IEnumerable ToCandles(this IEnumerable quotes) where TQuote : IQuote - { - return (from x in quotes - select x.ToCandle() into x - orderby x.Date - select x).ToList(); - } - - internal static List ToCandleResults(this IEnumerable quotes) where TQuote : IQuote - { - return (from x in quotes - select new CandleResult(x.Date) - { - Match = Match.None, - Candle = x.ToCandle() - } into x - orderby x.Date - select x).ToList(); - } -} -[Serializable] -public class CandleProperties : Quote -{ - public decimal? Size => base.High - base.Low; - - public decimal? Body => (base.Open > base.Close) ? (base.Open - base.Close) : (base.Close - base.Open); - - public decimal? UpperWick => base.High - ((base.Open > base.Close) ? base.Open : base.Close); - - public decimal? LowerWick => ((base.Open > base.Close) ? base.Close : base.Open) - base.Low; - - public double? BodyPct - { - get - { - decimal? size = Size; - if ((size.GetValueOrDefault() == default(decimal)) & size.HasValue) - { - return 1.0; - } - return (double?)(Body / Size); - } - } - - public double? UpperWickPct - { - get - { - decimal? size = Size; - if ((size.GetValueOrDefault() == default(decimal)) & size.HasValue) - { - return 1.0; - } - return (double?)(UpperWick / Size); - } - } - - public double? LowerWickPct - { - get - { - decimal? size = Size; - if ((size.GetValueOrDefault() == default(decimal)) & size.HasValue) - { - return 1.0; - } - return (double?)(LowerWick / Size); - } - } - - public bool IsBullish => base.Close > base.Open; - - public bool IsBearish => base.Close < base.Open; -} -[Serializable] -public class CandleResult : ResultBase -{ - public decimal? Price { get; set; } - - public Match Match { get; set; } - - public CandleProperties Candle { get; set; } - - public CandleResult(DateTime date) - { - base.Date = date; - Candle = new CandleProperties(); - } -} -public enum CandlePart -{ - Open, - High, - Low, - Close, - Volume, - HL2, - HLC3, - OC2, - OHL3, - OHLC4 -} -public enum EndType -{ - Close, - HighLow -} -public enum Match -{ - BullConfirmed = 200, - BullSignal = 100, - BullBasis = 10, - Neutral = 1, - None = 0, - BearBasis = -10, - BearSignal = -100, - BearConfirmed = -200 -} -public enum MaType -{ - ALMA, - DEMA, - EPMA, - EMA, - HMA, - KAMA, - MAMA, - SMA, - SMMA, - TEMA, - WMA -} -public enum PeriodSize -{ - Month, - Week, - Day, - FourHours, - TwoHours, - OneHour, - ThirtyMinutes, - FifteenMinutes, - FiveMinutes, - ThreeMinutes, - TwoMinutes, - OneMinute -} -public enum SyncType -{ - Prepend, - AppendOnly, - RemoveOnly, - FullMatch -} -public static class Pruning -{ - /// Removes a specific quantity from the beginning of the time series list. - /// - /// See documentation for more information. - /// - /// Any series type.Collection to evaluate.Exact quantity to remove from the beginning of the series.Time series, pruned.Invalid parameter value provided. - public static IEnumerable RemoveWarmupPeriods(this IEnumerable series, int removePeriods) - { - if (removePeriods >= 0) - { - return series.Remove(removePeriods); - } - throw new ArgumentOutOfRangeException("removePeriods", removePeriods, "If specified, the Remove Periods value must be greater than or equal to 0."); - } - - internal static List Remove(this IEnumerable series, int removePeriods) - { - List list = series.ToList(); - if (list.Count <= removePeriods) - { - return new List(); - } - if (removePeriods > 0) - { - for (int i = 0; i < removePeriods; i = checked(i + 1)) - { - list.RemoveAt(0); - } - } - return list; - } -} -public static class Seeking -{ - /// Finds time series values on a specific date. - /// - /// See documentation for more information. - /// - /// Any series type.Time series to evaluate.Exact date to lookup.First - /// record in the series on the date specified. - public static TSeries? Find(this IEnumerable series, DateTime lookupDate) where TSeries : ISeries - { - return series.FirstOrDefault((TSeries x) => x.Date == lookupDate); - } -} -public interface ISeries -{ - DateTime Date { get; } -} -public static class Sorting -{ - public static Collection ToSortedCollection(this IEnumerable series) where TSeries : ISeries - { - return series.OrderBy((TSeries x) => x.Date).ToCollection(); - } - - internal static List ToSortedList(this IEnumerable series) where TSeries : ISeries - { - return series.OrderBy((TSeries x) => x.Date).ToList(); - } -} -internal static class Transforms -{ - internal static Collection ToCollection(this IEnumerable source) - { - if (source == null) - { - throw new ArgumentNullException("source"); - } - Collection collection = new Collection(); - foreach (T item in source) - { - collection.Add(item); - } - return collection; - } -} -/// -/// Nullable System. functions. -/// -/// -/// System.Math infamously does not allow -/// or handle nullable input values. -/// Instead of adding repetitive inline defensive code, -/// we're using these equivalents. Most are simple wrappers. -/// -public static class NullMath -{ - /// - /// Returns the absolute value of a nullable double. - /// - /// The nullable double value. - /// The absolute value, or null if the input is null. - [MethodImpl(MethodImplOptions.AggressiveInlining)] - public static double? Abs(this double? value) - { - if (!value.HasValue) - { - return null; - } - if (!(value.GetValueOrDefault() < 0.0)) - { - return value; - } - return 0.0 - value.GetValueOrDefault(); - } - - /// - /// Rounds a nullable decimal value to a specified number of fractional digits. - /// - /// The nullable decimal value. - /// The number of fractional digits. - /// The rounded value, or null if the input is null. - [MethodImpl(MethodImplOptions.AggressiveInlining)] - public static decimal? Round(this decimal? value, int digits) - { - if (!value.HasValue) - { - return null; - } - return Math.Round(value.GetValueOrDefault(), digits); - } - - /// - /// Rounds a nullable double value to a specified number of fractional digits. - /// - /// The nullable double value. - /// The number of fractional digits. - /// The rounded value, or null if the input is null. - [MethodImpl(MethodImplOptions.AggressiveInlining)] - public static double? Round(this double? value, int digits) - { - if (!value.HasValue) - { - return null; - } - return Math.Round(value.GetValueOrDefault(), digits); - } - - /// - /// Rounds a double value to a specified number of fractional digits. - /// It is an extension alias of - /// - /// The double value. - /// The number of fractional digits. - /// The rounded value. - [MethodImpl(MethodImplOptions.AggressiveInlining)] - public static double Round(this double value, int digits) - { - return Math.Round(value, digits); - } - - /// - /// Rounds a decimal value to a specified number of fractional digits. - /// It is an extension alias of - /// - /// The decimal value. - /// The number of fractional digits. - /// The rounded value. - [MethodImpl(MethodImplOptions.AggressiveInlining)] - public static decimal Round(this decimal value, int digits) - { - return Math.Round(value, digits); - } - - /// - /// Converts a nullable double value to NaN if it is null. - /// - /// The nullable double value. - /// The value, or NaN if the input is null. - [MethodImpl(MethodImplOptions.AggressiveInlining)] - public static double Null2NaN(this double? value) - { - return value ?? double.NaN; - } - - /// - /// Converts a nullable decimal value to NaN if it is null. - /// - /// The nullable decimal value. - /// The value as a double, or NaN if the input is null. - [MethodImpl(MethodImplOptions.AggressiveInlining)] - public static double Null2NaN(this decimal? value) - { - return ((double?)value) ?? double.NaN; - } - - /// - /// Converts a nullable double value to null if it is NaN. - /// - /// The nullable double value. - /// The value, or null if the input is NaN. - [MethodImpl(MethodImplOptions.AggressiveInlining)] - public static double? NaN2Null(this double? value) - { - if (!value.HasValue || !double.IsNaN(value.GetValueOrDefault())) - { - return value; - } - return null; - } - - /// - /// Converts a double value to null if it is NaN. - /// - /// The double value. - /// The value, or null if the input is NaN. - [MethodImpl(MethodImplOptions.AggressiveInlining)] - public static double? NaN2Null(this double value) - { - if (!double.IsNaN(value)) - { - return value; - } - return null; - } -} -public static class Numerix -{ - public static double StdDev(this double[] values) - { - if (values == null) - { - throw new ArgumentNullException("values", "StdDev values cannot be null."); - } - double result = 0.0; - int num = values.Length; - checked - { - if (num > 1) - { - double num2 = 0.0; - for (int i = 0; i < num; i++) - { - num2 += values[i]; - } - double num3 = num2 / (double)num; - double num4 = 0.0; - for (int j = 0; j < num; j++) - { - double num5 = values[j]; - num4 += (num5 - num3) * (num5 - num3); - } - result = Math.Sqrt(num4 / (double)num); - } - return result; - } - } - - public static double Slope(double[] x, double[] y) - { - if (x == null) - { - throw new ArgumentNullException("x", "Slope X values cannot be null."); - } - if (y == null) - { - throw new ArgumentNullException("y", "Slope Y values cannot be null."); - } - if (x.Length != y.Length) - { - throw new ArgumentException("Slope X and Y arrays must be the same size."); - } - int num = x.Length; - double num2 = 0.0; - double num3 = 0.0; - checked - { - for (int i = 0; i < num; i++) - { - num2 += x[i]; - num3 += y[i]; - } - double num4 = num2 / (double)num; - double num5 = num3 / (double)num; - double num6 = 0.0; - double num7 = 0.0; - for (int j = 0; j < num; j++) - { - double num8 = x[j] - num4; - double num9 = y[j] - num5; - num6 += num8 * num8; - num7 += num8 * num9; - } - return num7 / num6; - } - } - - internal static DateTime RoundDown(this DateTime dateTime, TimeSpan interval) - { - checked - { - if (!(interval == TimeSpan.Zero)) - { - return dateTime.AddTicks(-unchecked(dateTime.Ticks % interval.Ticks)); - } - return dateTime; - } - } - - internal static TimeSpan ToTimeSpan(this PeriodSize periodSize) - { - return periodSize switch - { - PeriodSize.OneMinute => TimeSpan.FromMinutes(1L), - PeriodSize.TwoMinutes => TimeSpan.FromMinutes(2L), - PeriodSize.ThreeMinutes => TimeSpan.FromMinutes(3L), - PeriodSize.FiveMinutes => TimeSpan.FromMinutes(5L), - PeriodSize.FifteenMinutes => TimeSpan.FromMinutes(15L), - PeriodSize.ThirtyMinutes => TimeSpan.FromMinutes(30L), - PeriodSize.OneHour => TimeSpan.FromHours(1), - PeriodSize.TwoHours => TimeSpan.FromHours(2), - PeriodSize.FourHours => TimeSpan.FromHours(4), - PeriodSize.Day => TimeSpan.FromDays(1), - PeriodSize.Week => TimeSpan.FromDays(7), - _ => TimeSpan.Zero, - }; - } - - internal static int GetDecimalPlaces(this decimal n) - { - n = Math.Abs(n); - n -= (decimal)(int)n; - int num = 0; - while (n > 0m) - { - num = checked(num + 1); - n *= 10m; - n -= (decimal)(int)n; - } - return num; - } -} -public enum NullTo -{ - NaN, - Null -} -public static class QuoteUtility -{ - private static readonly CultureInfo invCulture = CultureInfo.InvariantCulture; - - /// - /// Converts historical quotes into larger bar sizes. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.PeriodSize enum representing the new bar size.Time series of historical quote values.Invalid parameter value provided. - public static IEnumerable Aggregate(this IEnumerable quotes, PeriodSize newSize) where TQuote : IQuote - { - if (newSize != PeriodSize.Month) - { - TimeSpan timeSpan = newSize.ToTimeSpan(); - return quotes.Aggregate(timeSpan); - } - return from x in quotes - orderby x.Date - group x by new DateTime(x.Date.Year, x.Date.Month, 1) into x - select new Quote - { - Date = x.Key, - Open = x.First().Open, - High = x.Max((TQuote t) => t.High), - Low = x.Min((TQuote t) => t.Low), - Close = x.Last().Close, - Volume = x.Sum((TQuote t) => t.Volume) - }; - } - - /// - /// Converts historical quotes into larger bar sizes. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.TimeSpan representing the new bar size.Time series of historical quote values.Invalid parameter value provided. - public static IEnumerable Aggregate(this IEnumerable quotes, TimeSpan timeSpan) where TQuote : IQuote - { - if (timeSpan <= TimeSpan.Zero) - { - throw new ArgumentOutOfRangeException("timeSpan", timeSpan, "Quotes Aggregation must use a usable new size value (see documentation for options)."); - } - return from x in quotes - orderby x.Date - group x by x.Date.RoundDown(timeSpan) into x - select new Quote - { - Date = x.Key, - Open = x.First().Open, - High = x.Max((TQuote t) => t.High), - Low = x.Min((TQuote t) => t.Low), - Close = x.Last().Close, - Volume = x.Sum((TQuote t) => t.Volume) - }; - } - - /// - /// Optionally select which candle part to use in the calculation. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.The OHLCV element or simply calculated value type.Time series of Quote tuple values.Invalid candle part provided. - public static IEnumerable<(DateTime Date, double Value)> Use(this IEnumerable quotes, CandlePart candlePart = CandlePart.Close) where TQuote : IQuote - { - return quotes.Select((TQuote x) => x.ToTuple(candlePart)); - } - - public static Collection<(DateTime, double)> ToTupleCollection(this IEnumerable quotes, CandlePart candlePart) where TQuote : IQuote - { - return quotes.ToTuple(candlePart).ToCollection(); - } - - internal static List<(DateTime, double)> ToTuple(this IEnumerable quotes, CandlePart candlePart) where TQuote : IQuote - { - return (from x in quotes - orderby x.Date - select x.ToTuple(candlePart)).ToList(); - } - - public static Collection<(DateTime, double)> ToSortedCollection(this IEnumerable<(DateTime date, double value)> tuples) - { - return tuples.ToSortedList().ToCollection(); - } - - internal static List<(DateTime, double)> ToSortedList(this IEnumerable<(DateTime date, double value)> tuples) - { - return tuples.OrderBy(((DateTime date, double value) x) => x.date).ToList(); - } - - internal static List ToQuoteD(this IEnumerable quotes) where TQuote : IQuote - { - return (from x in quotes - select new QuoteD - { - Date = x.Date, - Open = (double)x.Open, - High = (double)x.High, - Low = (double)x.Low, - Close = (double)x.Close, - Volume = (double)x.Volume - } into x - orderby x.Date - select x).ToList(); - } - - internal static List<(DateTime, double)> ToTuple(this List qdList, CandlePart candlePart) - { - return (from x in qdList - orderby x.Date - select x.ToTuple(candlePart)).ToList(); - } - - internal static (DateTime date, double value) ToTuple(this TQuote q, CandlePart candlePart) where TQuote : IQuote - { - return candlePart switch - { - CandlePart.Open => (date: q.Date, value: (double)q.Open), - CandlePart.High => (date: q.Date, value: (double)q.High), - CandlePart.Low => (date: q.Date, value: (double)q.Low), - CandlePart.Close => (date: q.Date, value: (double)q.Close), - CandlePart.Volume => (date: q.Date, value: (double)q.Volume), - CandlePart.HL2 => (date: q.Date, value: (double)(q.High + q.Low) / 2.0), - CandlePart.HLC3 => (date: q.Date, value: (double)(q.High + q.Low + q.Close) / 3.0), - CandlePart.OC2 => (date: q.Date, value: (double)(q.Open + q.Close) / 2.0), - CandlePart.OHL3 => (date: q.Date, value: (double)(q.Open + q.High + q.Low) / 3.0), - CandlePart.OHLC4 => (date: q.Date, value: (double)(q.Open + q.High + q.Low + q.Close) / 4.0), - _ => throw new ArgumentOutOfRangeException("candlePart", candlePart, "Invalid candlePart provided."), - }; - } - - internal static BasicData ToBasicData(this TQuote q, CandlePart candlePart) where TQuote : IQuote - { - return candlePart switch - { - CandlePart.Open => new BasicData - { - Date = q.Date, - Value = (double)q.Open - }, - CandlePart.High => new BasicData - { - Date = q.Date, - Value = (double)q.High - }, - CandlePart.Low => new BasicData - { - Date = q.Date, - Value = (double)q.Low - }, - CandlePart.Close => new BasicData - { - Date = q.Date, - Value = (double)q.Close - }, - CandlePart.Volume => new BasicData - { - Date = q.Date, - Value = (double)q.Volume - }, - CandlePart.HL2 => new BasicData - { - Date = q.Date, - Value = (double)(q.High + q.Low) / 2.0 - }, - CandlePart.HLC3 => new BasicData - { - Date = q.Date, - Value = (double)(q.High + q.Low + q.Close) / 3.0 - }, - CandlePart.OC2 => new BasicData - { - Date = q.Date, - Value = (double)(q.Open + q.Close) / 2.0 - }, - CandlePart.OHL3 => new BasicData - { - Date = q.Date, - Value = (double)(q.Open + q.High + q.Low) / 3.0 - }, - CandlePart.OHLC4 => new BasicData - { - Date = q.Date, - Value = (double)(q.Open + q.High + q.Low + q.Close) / 4.0 - }, - _ => throw new ArgumentOutOfRangeException("candlePart", candlePart, "Invalid candlePart provided."), - }; - } - - internal static (DateTime, double) ToTuple(this QuoteD q, CandlePart candlePart) - { - return candlePart switch - { - CandlePart.Open => (q.Date, q.Open), - CandlePart.High => (q.Date, q.High), - CandlePart.Low => (q.Date, q.Low), - CandlePart.Close => (q.Date, q.Close), - CandlePart.Volume => (q.Date, q.Volume), - CandlePart.HL2 => (q.Date, (q.High + q.Low) / 2.0), - CandlePart.HLC3 => (q.Date, (q.High + q.Low + q.Close) / 3.0), - CandlePart.OC2 => (q.Date, (q.Open + q.Close) / 2.0), - CandlePart.OHL3 => (q.Date, (q.Open + q.High + q.Low) / 3.0), - CandlePart.OHLC4 => (q.Date, (q.Open + q.High + q.Low + q.Close) / 4.0), - _ => throw new ArgumentOutOfRangeException("candlePart", candlePart, "Invalid candlePart provided."), - }; - } - - /// - /// Validate historical quotes. - /// - /// See - /// documentation - /// for more information. - /// - /// Configurable Quote type. See Guide for more information.Historical price quotes.Time series of historical quote values.Validation check failed. - public static IEnumerable Validate(this IEnumerable quotes) where TQuote : IQuote - { - List list = quotes.ToSortedList(); - DateTime dateTime = DateTime.MinValue; - foreach (TQuote item in list) - { - if (dateTime == item.Date) - { - throw new InvalidQuotesException("Duplicate date found on " + item.Date.ToString("o", invCulture) + "."); - } - dateTime = item.Date; - } - return list; - } -} -public class InvalidQuotesException : ArgumentOutOfRangeException -{ - public InvalidQuotesException() - { - } - - public InvalidQuotesException(string? paramName) - : base(paramName) - { - } - - public InvalidQuotesException(string? message, Exception? innerException) - : base(message, innerException) - { - } - - public InvalidQuotesException(string? paramName, string? message) - : base(paramName, message) - { - } - - public InvalidQuotesException(string? paramName, object? actualValue, string? message) - : base(paramName, actualValue, message) - { - } -} -public interface IQuote : ISeries -{ - decimal Open { get; } - - decimal High { get; } - - decimal Low { get; } - - decimal Close { get; } - - decimal Volume { get; } -} -[Serializable] -public class Quote : IQuote, ISeries -{ - public DateTime Date { get; set; } - - public decimal Open { get; set; } - - public decimal High { get; set; } - - public decimal Low { get; set; } - - public decimal Close { get; set; } - - public decimal Volume { get; set; } -} -[Serializable] -internal class QuoteD -{ - internal DateTime Date { get; set; } - - internal double Open { get; set; } - - internal double High { get; set; } - - internal double Low { get; set; } - - internal double Close { get; set; } - - internal double Volume { get; set; } -} -public interface IReusableResult : ISeries -{ - double? Value { get; } -} -[Serializable] -public abstract class ResultBase : ISeries -{ - public DateTime Date { get; set; } -} -public static class ResultUtility -{ - /// - /// Forces indicator results to have the same date-based records as another result baseline. - /// - /// This utility is undocumented. - /// - /// Any indicator result series type to be transformed.Any indicator result series type to be matched.The indicator result series to be modified.The indicator result series to compare for matching.Synchronization behavior See options in SyncType enum.Indicator result series, synchronized to a comparator match. - /// Invalid parameter value provided. - /// - public static IEnumerable SyncIndex(this IEnumerable syncMe, IEnumerable toMatch, SyncType syncType = SyncType.FullMatch) where TResultA : ISeries where TResultB : ISeries - { - List list = syncMe.ToSortedList(); - List list2 = toMatch.ToSortedList(); - if (list.Count == 0 || list2.Count == 0) - { - return new List(); - } - bool flag = false; - bool flag2 = false; - bool flag3 = false; - switch (syncType) - { - case SyncType.Prepend: - flag = true; - break; - case SyncType.AppendOnly: - flag = (flag2 = true); - break; - case SyncType.RemoveOnly: - flag3 = true; - break; - case SyncType.FullMatch: - flag = (flag2 = (flag3 = true)); - break; - default: - throw new ArgumentOutOfRangeException("syncType"); - } - Type type = list[0].GetType(); - if (flag || flag2) - { - List list3 = new List(); - for (int i = 0; i < list2.Count; i = checked(i + 1)) - { - TResultB val = list2[i]; - if (list.Find(val.Date) == null) - { - TResultA val2 = (TResultA)Activator.CreateInstance(type, val.Date); - if (val2 != null) - { - list3.Add(val2); - } - } - else if (!flag2) - { - break; - } - } - list.AddRange(list3); - } - if (flag3) - { - List list4 = new List(); - for (int j = 0; j < list.Count; j = checked(j + 1)) - { - TResultA item = list[j]; - if (list2.Find(item.Date) == null) - { - list4.Add(item); - } - } - list.RemoveAll(list4.Contains); - } - return list.ToSortedList(); - } - - /// Removes non-essential records containing null or NaN values. See - /// documentation for more information. - /// Any result - /// type.Indicator results to evaluate.Time series of indicator results, - /// condensed. - public static IEnumerable Condense(this IEnumerable results) where TResult : IReusableResult - { - List list = results.ToList(); - list.RemoveAll(delegate(TResult x) - { - double? value = x.Value; - return (!value.HasValue || double.IsNaN(value.GetValueOrDefault())) ? true : false; - }); - return list.ToSortedList(); - } - - /// Converts results into a reusable tuple with warmup periods removed and nulls converted - /// to NaN. See - /// documentation for more information. - /// Indicator results to evaluate.Collection of non-nullable tuple time series of results, without null warmup periods. - public static Collection<(DateTime Date, double Value)> ToTupleChainable(this IEnumerable reusable) - { - return reusable.ToTuple().ToCollection(); - } - - internal static List<(DateTime Date, double Value)> ToTuple(this IEnumerable reusable) - { - List<(DateTime, double)> list = new List<(DateTime, double)>(); - List list2 = reusable.ToList(); - for (int num = list2.FindIndex((IReusableResult x) => x.Value.HasValue); num < list2.Count; num = checked(num + 1)) - { - IReusableResult reusableResult = list2[num]; - list.Add((reusableResult.Date, reusableResult.Value.Null2NaN())); - } - return list.OrderBy<(DateTime, double), DateTime>(((DateTime date, double value) x) => x.date).ToList(); - } - - /// Converts results into a tuple collection with non-nullable NaN to replace null values. - /// See - /// documentation for more information. - /// Indicator results to evaluate.Collection of tuple time series of - /// results with specified handling of nulls, without pruning. - public static Collection<(DateTime Date, double Value)> ToTupleNaN(this IEnumerable reusable) - { - List list = reusable.ToSortedList(); - int count = list.Count; - Collection<(DateTime, double)> collection = new Collection<(DateTime, double)>(); - for (int i = 0; i < count; i = checked(i + 1)) - { - IReusableResult reusableResult = list[i]; - collection.Add((reusableResult.Date, reusableResult.Value.Null2NaN())); - } - return collection; - } -}