121 lines
4.6 KiB
C#
121 lines
4.6 KiB
C#
using KLHZ.Trader.Core.Contracts.Declisions.Dtos.Enums;
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using MathNet.Numerics;
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namespace KLHZ.Trader.Core.Math.Declisions.Utils
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{
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/// <summary>
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/// Обработка последних интервалов истории изменения цен.
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/// </summary>
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public static class LocalTrends
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{
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public static bool TryGetLocalTrends(DateTime[] times, decimal[] prices, TimeSpan firstPeriod, TimeSpan lastPeriod,
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double meanfullDiff, out TradingEvent res)
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{
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res = TradingEvent.None;
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var success = false;
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if (times.Length == 0)
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{
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return success;
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}
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var x1 = new List<double>();
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var y1 = new List<double>();
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var x1d = new List<DateTime>();
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var x2 = new List<double>();
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var y2 = new List<double>();
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var x2d = new List<DateTime>();
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var y1_approximated = new List<double>();
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var y2_approximated = new List<double>();
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var lastTime = times[times.Length - 1];
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var firstTime = times[0];
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var fullPeriod = firstPeriod + lastPeriod;
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if (lastTime - firstTime > fullPeriod)
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{
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for (int i = 1; i < times.Length - 1; i++)
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{
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var dt1 = lastTime - times[times.Length - i];
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if (dt1 <= lastPeriod)
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{
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x2.Add((times[times.Length - i] - firstTime).TotalSeconds);
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x2d.Add(times[times.Length - i]);
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y2.Add((double)prices[times.Length - i]);
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}
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else if (dt1 <= fullPeriod)
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{
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x1.Add((times[times.Length - i] - firstTime).TotalSeconds);
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x1d.Add(times[times.Length - i]);
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y1.Add((double)prices[times.Length - i]);
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}
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else
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{
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success = true;
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break;
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}
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}
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if (x1.Count > 1 && x2.Count > 1)
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{
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var line1 = Fit.Line(x1.ToArray(), y1.ToArray());
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var line2 = Fit.Line(x2.ToArray(), y2.ToArray());
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foreach (var x in x1)
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{
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y1_approximated.Add(line1.A + x * line1.B);
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}
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foreach (var x in x2)
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{
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y2_approximated.Add(line2.A + x * line2.B);
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}
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var diff1 = y1_approximated[0] - y1_approximated[y1_approximated.Count - 1];
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var diff2 = y2_approximated[0] - y2_approximated[y2_approximated.Count - 1];
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if (diff1 <= -meanfullDiff && diff2 >= meanfullDiff)
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{
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res |= TradingEvent.DowntrendEnd;
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}
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else if (diff1 >= meanfullDiff && diff2 <= -meanfullDiff)
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{
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res |= TradingEvent.UptrendEnd;
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}
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else if (diff1 <= -meanfullDiff && diff2 >= meanfullDiff)
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{
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res |= TradingEvent.DowntrendEnd;
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}
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else if (diff1 >= 0 && diff2 <= -meanfullDiff)
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{
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res |= TradingEvent.DowntrendStart;
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}
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success = true;
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}
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}
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return success;
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}
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public static bool TryCalcTrendDiff(DateTime[] times, decimal[] prices, out decimal diff)
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{
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diff = 0;
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if (times.Length <= 1 || times.Length != prices.Length)
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{
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return false;
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}
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else
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{
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var startTime = times[0];
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var x = new double[times.Length];
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for (int i = 0; i < times.Length - 1; i++)
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{
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x[i] = (times[i] - startTime).TotalSeconds;
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}
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var line = Fit.Line(x.ToArray(), prices.Select(p => (double)p).ToArray());
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var p1 = line.A + line.B * 0;
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var p2 = line.A + line.B * (times[times.Length - 1] - times[0]).TotalSeconds;
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diff = (decimal)(p2 - p1);
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return true;
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}
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}
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}
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}
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