klhztrader/KLHZ.Trader.Core/Declisions/Utils/HistoryProcessingInstruments.cs

using KLHZ.Trader.Core.Declisions.Models;

namespace KLHZ.Trader.Core.Declisions.Utils
{
    internal static class HistoryProcessingInstruments
    {
        internal static PeriodPricesInfo GetPriceDiffForTimeSpan(this PriceHistoryCacheUnit unit, TimeSpan timeShift, TimeSpan timeSpan)
        {
            var res = new PeriodPricesInfo(false, 0, 0, 0, 0, 0, timeSpan, 0);
            var data = unit.GetData();
            var times = data.timestamps;
            var prices = data.prices;
            if (times.Length < 2) return res;
            var lastPriceTime = times[times.Length - 1];
            var intervalEnd = lastPriceTime - timeShift;
            var intervalStart = intervalEnd - timeSpan;
            var max = float.MinValue;
            var min = float.MaxValue;

            var intervaEndIndex = -1;
            var intervaStartIndex = -1;
            for (int i = times.Length - 1; i > -1; i--)
            {
                if (times[i] <= intervalEnd && intervaEndIndex < 0)
                {
                    intervaEndIndex = i;
                }

                if (prices[i] > max && intervaEndIndex >= 0)
                {
                    max = prices[i];
                }
                if (prices[i] < min && intervaEndIndex >= 0)
                {
                    min = prices[i];
                }
                if (times[i] <= intervalStart && intervaStartIndex < 0)
                {
                    intervaStartIndex = i;
                    if (intervaStartIndex != intervaEndIndex && intervaEndIndex >= 0)
                        break;
                }
            }

            if (intervaStartIndex >= 0 && intervaEndIndex >= 0)
            {
                res = new PeriodPricesInfo(
                    true,
                    prices[intervaStartIndex],
                    prices[intervaEndIndex],
                    prices[intervaEndIndex] - prices[intervaStartIndex],
                    min,
                    max,
                    timeSpan, intervaEndIndex - intervaStartIndex);
            }

            return res;
        }

        internal static bool CheckStable(this PeriodPricesInfo data, float meanfullDiff)
        {
            meanfullDiff = Math.Abs(meanfullDiff);
            return data.Success && Math.Abs(data.PeriodDiff) < 1.5 * meanfullDiff && Math.Abs(data.PeriodMax - data.PeriodMin) < 2 * meanfullDiff;
        }

        internal static bool CheckGrowing(this PeriodPricesInfo data, float meanfullDiff)
        {
            return meanfullDiff > 0 && data.Success && data.PeriodDiff > meanfullDiff && Math.Abs(data.PeriodMax - data.PeriodMin) < 3 * Math.Abs(data.PeriodDiff);
        }

        internal static bool CheckFalling(this PeriodPricesInfo data, float meanfullDiff)
        {
            meanfullDiff = -meanfullDiff;
            return meanfullDiff < 0 && data.Success && data.PeriodDiff < meanfullDiff && Math.Abs(data.PeriodMax - data.PeriodMin) < 3 * Math.Abs(data.PeriodDiff);
        }

        internal static float CalcTrendRelationAbs(PeriodPricesInfo first, PeriodPricesInfo second)
        {
            var k1 = Math.Abs(first.PeriodDiff) / Math.Abs(first.Period.TotalSeconds);
            var k2 = Math.Abs(second.PeriodDiff) / Math.Abs(second.Period.TotalSeconds);
            if (k2 == 0 && k1 != 0) return 1000;
            return (float)(k1 / k2);
        }

        internal static bool CheckDowntrendEnding(this PriceHistoryCacheUnit unit, TimeSpan firstPeriod, TimeSpan secondPeriod, float meanfullDiff)
        {
            var totalDiff = unit.GetPriceDiffForTimeSpan(TimeSpan.Zero, firstPeriod + secondPeriod);
            var startDiff = unit.GetPriceDiffForTimeSpan(secondPeriod, firstPeriod);
            var endDiff = unit.GetPriceDiffForTimeSpan(TimeSpan.Zero, secondPeriod);
            var isEndStable = endDiff.CheckStable(meanfullDiff);
            var isEndGrown = endDiff.CheckGrowing(meanfullDiff);
            var isStartFalls = startDiff.CheckFalling(meanfullDiff);
            var isTotalFalls = totalDiff.CheckFalling(meanfullDiff);

            var trendRelation = CalcTrendRelationAbs(startDiff, endDiff);
            var res =  totalDiff.Success && isStartFalls && (isEndStable || isEndGrown) && trendRelation >= 2;
        
            if (startDiff.Success)
            {

            }
            return res;
        }

        internal static bool CheckUptrendEnding(this PriceHistoryCacheUnit unit, TimeSpan firstPeriod, TimeSpan secondPeriod, float meanfullDiff)
        {
            var totalDiff = unit.GetPriceDiffForTimeSpan(TimeSpan.Zero, firstPeriod + secondPeriod);
            var startDiff = unit.GetPriceDiffForTimeSpan(secondPeriod, firstPeriod);
            var endDiff = unit.GetPriceDiffForTimeSpan(TimeSpan.Zero, secondPeriod);
            var isEndStable = endDiff.CheckStable(meanfullDiff);
            var isEndFalls = endDiff.CheckFalling(meanfullDiff);
            var isStartGrows = startDiff.CheckGrowing(meanfullDiff);

            var trendRelation = CalcTrendRelationAbs(startDiff, endDiff);
            var isEndLocal = endDiff.PeriodDiff == 0 && endDiff.Count == 2;
            var res = totalDiff.Success && isStartGrows && (isEndStable || isEndFalls) && (trendRelation >= 2 && !isEndLocal);

            if (res)
            {

            }
            return res;
        }

        internal static bool CheckDowntrendStarting(this PriceHistoryCacheUnit unit, TimeSpan firstPeriod, TimeSpan secondPeriod, float meanfullDiff)
        {
            var totalDiff = unit.GetPriceDiffForTimeSpan(TimeSpan.Zero, firstPeriod + secondPeriod);
            var startDiff = unit.GetPriceDiffForTimeSpan(secondPeriod, firstPeriod);
            var endDiff = unit.GetPriceDiffForTimeSpan(TimeSpan.Zero, secondPeriod);


            var isEndFalls = endDiff.CheckFalling(meanfullDiff);
            var isStartStable = startDiff.CheckStable(meanfullDiff);
            var isStartGrows = startDiff.CheckGrowing(meanfullDiff);

            var trendRelation = CalcTrendRelationAbs(endDiff, startDiff);
            return totalDiff.Success && (isStartStable || isStartGrows) && isEndFalls && trendRelation >= 2;
        }

        internal static bool CheckUptrendStarting(this PriceHistoryCacheUnit unit, TimeSpan firstPeriod, TimeSpan secondPeriod, float meanfullDiff)
        {
            var totalDiff = unit.GetPriceDiffForTimeSpan(TimeSpan.Zero, firstPeriod + secondPeriod);
            var startDiff = unit.GetPriceDiffForTimeSpan(secondPeriod, firstPeriod);
            var endDiff = unit.GetPriceDiffForTimeSpan(TimeSpan.Zero, secondPeriod);


            var isEndGrows = endDiff.CheckGrowing(meanfullDiff);
            var isStartStable = startDiff.CheckStable(meanfullDiff);
            var isStartFalls = startDiff.CheckStable(meanfullDiff);

            var trendRelation = CalcTrendRelationAbs(endDiff, startDiff);
            var res = totalDiff.Success && (isStartStable || isStartFalls) && isEndGrows && endDiff.PeriodDiff > meanfullDiff;
            
            if (isStartStable)
            {
                res &= trendRelation >= 2;
            }
            else
            {
                
            }
            if (res)
            {

            }
            return res;
        }
    }
}