Initial Commit

MarketData/MarketDataLib/Generator/BollingerBandGenerator.cs

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+using System;
+using System.Collections.Generic;
+using System.Text;
+using MarketData.Generator.MovingAverage;
+using MarketData.MarketDataModel;
+// Filename: BollingerBandGenerator.cs
+// Author:Sean Kessler
+// Date:05/2013
+
+namespace MarketData.Generator
+{
+  /// <summary>GenerateBollingerBands - Bollinger band generator utility class</summary>
+  public class BollingerBandGenerator
+  {
+    private BollingerBandGenerator()
+    {
+    }
+    public static BollingerBands GenerateBollingerBands(Prices prices,int movingAverageDays=20)
+    {
+      try
+      {
+        double standardDeviations = 2.00;
+        BollingerBands bollingerBands = new BollingerBands();
+        Dictionary<DateTime, DMADeviation> deviationsByDate = new Dictionary<DateTime, DMADeviation>();
+        Dictionary<DateTime, DMAPrice> averagesByDate = new Dictionary<DateTime, DMAPrice>();
+
+        if (movingAverageDays < 20) standardDeviations = 1.9;
+        else if (movingAverageDays >= 20) standardDeviations = 2.1;
+        if (null == prices || prices.Count < movingAverageDays * 2) return null;
+        DMAPrices dmaPrices = MovingAverageGenerator.GenerateMovingAverage(prices, movingAverageDays);
+        DMADeviations dmaDeviations = MovingDeviation.GenerateMovingDeviation(prices, movingAverageDays);
+        for (int index = 0; index < dmaPrices.Count; index++)
+        {
+          DMAPrice dmaPrice = dmaPrices[index];
+          if (!averagesByDate.ContainsKey(dmaPrice.Date)) averagesByDate.Add(dmaPrice.Date, dmaPrice);
+        }
+        for (int index = 0; index < dmaDeviations.Count; index++)
+        {
+          DMADeviation dmaDeviation = dmaDeviations[index];
+          if (!deviationsByDate.ContainsKey(dmaDeviation.Date)) deviationsByDate.Add(dmaDeviation.Date, dmaDeviation);
+        }
+        for (int index = 0; index < prices.Count; index++)
+        {
+          Price price = prices[index];
+          if (!deviationsByDate.ContainsKey(price.Date) || !averagesByDate.ContainsKey(price.Date)) continue;
+          DMADeviation dmaDeviation = deviationsByDate[price.Date];
+          DMAPrice dmaPrice = averagesByDate[price.Date];
+          BollingerBandElement bollingerBandElement = new BollingerBandElement();
+          bollingerBandElement.Symbol = price.Symbol;
+          bollingerBandElement.Date = price.Date;
+          bollingerBandElement.Open = price.Open;
+          bollingerBandElement.High = price.High;
+          bollingerBandElement.Low = price.Low;
+          bollingerBandElement.Close = price.Close;
+          bollingerBandElement.Volume = price.Volume;
+          bollingerBandElement.SMAN = dmaPrice.AVGPrice;
+          bollingerBandElement.StDevN = dmaDeviation.StDevPrice;
+          bollingerBandElement.K = bollingerBandElement.SMAN + (standardDeviations * bollingerBandElement.StDevN);
+          bollingerBandElement.L = bollingerBandElement.SMAN - (standardDeviations * bollingerBandElement.StDevN);
+          bollingerBandElement.KL1 = bollingerBandElement.SMAN + ((standardDeviations - 1) * bollingerBandElement.StDevN);
+          bollingerBandElement.LP1 = bollingerBandElement.SMAN - ((standardDeviations - 1) * bollingerBandElement.StDevN);
+          bollingerBands.Add(bollingerBandElement);
+        }
+        return bollingerBands;
+      }
+      catch (Exception exception)
+      {
+        MDTrace.WriteLine(LogLevel.DEBUG,exception);
+        return null;
+      }
+    }
+  }
+}