Initial Commit

MarketData/MarketDataLib/Generator/MACDGenerator.cs

@@ -0,0 +1,131 @@
+using System;
+using System.IO;
+using System.Collections;
+using System.Collections.Generic;
+using System.Runtime.InteropServices;
+using System.Diagnostics;
+using System.Threading;
+using System.Reflection;
+//using System.Runtime.Remoting.Messaging;
+using System.Text;
+using MarketData.MarketDataModel;
+using MarketData.DataAccess;
+using MarketData.Utils;
+using MarketData.Numerical;
+using MarketData;
+
+namespace MarketData.Generator
+{
+  public class MACDGenerator
+  {
+    private MACDGenerator()
+    {
+    }
+    public static MACDFastSlowSignals GenerateMACD(String symbol,int dayCount=120)
+    {
+      try
+      {
+        DateGenerator dateGenerator = new DateGenerator();
+        DateTime startDate = DateTime.Now;
+        if (null == symbol) return null;
+        symbol = symbol.ToUpper();
+        Dictionary<DateTime, MACDFastSlowSignal> macdFastSlowSignalsByDate = new Dictionary<DateTime, MACDFastSlowSignal>();
+        startDate = dateGenerator.GetPrevBusinessDay(DateTime.Now); ;
+        if (Utility.IsEpoch(startDate))
+        {
+          MDTrace.WriteLine(LogLevel.DEBUG,"No price dates for '" + symbol + "'");
+          return null;
+        }
+        DateTime historicalDate = dateGenerator.GenerateHistoricalDate(startDate, dayCount);
+        Prices prices = PricingDA.GetPrices(symbol, startDate, historicalDate);
+        if (null == prices || 0 == prices.Count)
+        {
+          MDTrace.WriteLine(LogLevel.DEBUG,"No price dates for '" + symbol + "'");
+          return null;
+        }
+        Price latestPrice = prices[0];
+        String companyName = PricingDA.GetNameForSymbol(symbol);
+        MACDSetup macdSetupSlow = new MACDSetup(12, 26, 9);
+        MACDSetup macdSetupFast = new MACDSetup(8, 17, 9);
+        MACDSignals macdSignalsSlow = MACDGenerator.GenerateMACD(prices, macdSetupSlow);
+        MACDSignals macdSignalsFast = MACDGenerator.GenerateMACD(prices, macdSetupFast);
+
+        Signals signalsSlow=SignalGenerator.GenerateSignals(macdSignalsSlow);
+        signalsSlow=signalsSlow.CondenseSignals();
+        Signals signalsFast=SignalGenerator.GenerateSignals(macdSignalsFast);
+        signalsFast=signalsFast.CondenseSignals();
+
+        for (int index = 0; index < macdSignalsSlow.Count; index++)
+        {
+          MACDSignal macdSignal = macdSignalsSlow[index];
+          if (!macdFastSlowSignalsByDate.ContainsKey(macdSignal.Date))
+          {
+            MACDFastSlowSignal macdFastSlowSignal = new MACDFastSlowSignal();
+            macdFastSlowSignal.Date = macdSignal.Date;
+            macdFastSlowSignal.SignalSlow = macdSignal.Signal;
+            macdFastSlowSignal.MACDSlow = macdSignal.MACD;
+            macdFastSlowSignalsByDate.Add(macdSignal.Date, macdFastSlowSignal);
+          }
+        }
+        for (int index = 0; index < macdSignalsFast.Count; index++)
+        {
+          MACDSignal macdSignal = macdSignalsFast[index];
+          if (!macdFastSlowSignalsByDate.ContainsKey(macdSignal.Date)) continue;
+          MACDFastSlowSignal macdFastSlowSignal = macdFastSlowSignalsByDate[macdSignal.Date];
+          macdFastSlowSignal.SignalFast = macdSignal.Signal;
+          macdFastSlowSignal.MACDFast = macdSignal.MACD;
+        }
+        MACDFastSlowSignals macdFastSlowSignals = new MACDFastSlowSignals(macdFastSlowSignalsByDate.Values);
+        macdFastSlowSignals.Symbol = symbol;
+        macdFastSlowSignals.FromDate = prices[prices.Count - 1].Date;
+        macdFastSlowSignals.ThruDate = prices[0].Date;
+        macdFastSlowSignals.Sort(new MACDFastSlowSignalsComparerAsc());
+        macdFastSlowSignals.SlowCondensedSignals=signalsSlow;
+        macdFastSlowSignals.FastCondensedSignals=signalsFast;
+
+        return macdFastSlowSignals;
+      }
+      catch (Exception exception)
+      {
+        MDTrace.WriteLine(LogLevel.DEBUG,exception);
+        return null;
+      }
+    }
+    public static MACDSignals GenerateMACD(Prices prices, MACDSetup macdSetup)
+    {
+      try
+      {
+        MACDSignals macdSignals = new MACDSignals();
+        for (int index = 0; index < prices.Count; index++)
+        {
+          MACDSignal macdSignal = new MACDSignal();
+          float[] pricesArray = null;
+          Price price = prices[index];
+          macdSignal.Symbol = price.Symbol;
+          macdSignal.Date = price.Date;
+          pricesArray = prices.GetPrices(index, macdSetup.Fast);    // 12
+          if (null == pricesArray) break;
+          macdSignal.Fast = Numerics.Mean(ref pricesArray);
+          pricesArray = prices.GetPrices(index, macdSetup.Slow);
+          if (null == pricesArray) break;
+          macdSignal.Slow = Numerics.Mean(ref pricesArray);  // 26
+          macdSignal.MACD = macdSignal.Fast - macdSignal.Slow;
+          macdSignals.Add(macdSignal);
+        }
+        for (int index = 0; index < macdSignals.Count; index++)
+        {
+          MACDSignal macdSignal = macdSignals[index];
+          float[] macd = macdSignals.GetMACD(index, macdSetup.Signal);  // 9 
+          if (null != macd) macdSignal.Signal = Numerics.Mean(ref macd);
+          macdSignal.Histogram = macdSignal.MACD - macdSignal.Signal;
+        }
+        return macdSignals;
+      }
+      catch (Exception exception)
+      {
+        MDTrace.WriteLine(LogLevel.DEBUG,exception);
+        return null;
+      }
+    }   
+  }
+}