Initial Commit

MarketData/MarketDataLib/Generator/StochasticsGenerator.cs

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+using System;
+using System.Collections.Generic;
+using MarketData.Generator.MovingAverage;
+using MarketData.MarketDataModel;
+
+// Filename: StochasticsGenerator.cs
+// Author:Sean Kessler
+// Date:08/2013
+
+namespace MarketData.Generator
+{
+  /// <summary>StochasticsGenerator - StochasticsGenerator utility class</summary>
+  public class StochasticsGenerator
+  {
+    public static Stochastics GenerateStochastics(Prices prices, int periodN=9,int periodX=3)
+    {
+      try
+      {
+        Stochastics stochastics = new Stochastics();
+        DMAPricesByDate dmaLNPricesByDate = null;  // these are the min(low) for the period-n
+        DMAPricesByDate dmaHNPricesByDate = null; // these are the max(high) for the period-n
+        DMAPrices dmaLN = MovingAverageGenerator.GenerateMovingMinsOnLow(prices, periodN);
+        DMAPrices dmaHN = MovingAverageGenerator.GenerateMovingMaxOnHigh(prices, periodN);
+        dmaLNPricesByDate = dmaLN.GetDMAPricesByDate();
+        dmaHNPricesByDate = dmaHN.GetDMAPricesByDate();
+        int stopCount;
+
+        stopCount = Math.Max(periodN, periodX)+1;  // clamp the solution set the range
+        for (int index = 0; index < prices.Count - stopCount; index++)
+        {
+          Price price = prices[index];
+          StochasticElement stochasticElement = new StochasticElement();
+          if(!dmaLNPricesByDate.ContainsKey(price.Date))continue;
+          if(!dmaHNPricesByDate.ContainsKey(price.Date))continue;
+          stochasticElement.Date = price.Date;
+          stochasticElement.Symbol = price.Symbol;
+          stochasticElement.Open = price.Open;
+          stochasticElement.High = price.High;
+          stochasticElement.Low = price.Low;
+          stochasticElement.Close = price.Close;
+          stochasticElement.LN = dmaLNPricesByDate[price.Date].MinPrice;  // min low for period N
+          stochasticElement.HN = dmaHNPricesByDate[price.Date].MaxPrice;  // max high for period N
+          stochasticElement.HX = CalculateHX(index, prices, dmaLN, periodX);   // sum (CCL-LN) for past periodX
+          stochasticElement.LX = CalculateLX(index, dmaHN, dmaLN, periodX);   // sum(HN-LN) for past periodX
+          stochasticElement.PK = 100 * (price.Close - stochasticElement.LN) / (stochasticElement.HN - stochasticElement.LN); //  100*(CCL-LN)/(HN-LN)
+          stochasticElement.PD = 100 * (stochasticElement.HX / stochasticElement.LX);   // 100*(HX/LX)
+          stochastics.Add(stochasticElement);
+        }
+        return stochastics;
+      }
+      catch (Exception exception)
+      {
+        MDTrace.WriteLine(LogLevel.DEBUG,exception);
+        return null;
+      }
+    }
+// calculate the x-period sum of (CCL-LN)
+    private static double CalculateHX(int startingIndex,Prices prices,DMAPrices lnPrices,int periodK)
+    {
+      try
+      {
+        double sum = 0.00;
+        for (int index = startingIndex; index < startingIndex + periodK; index++)
+        {
+          Price price = prices[index];
+          DMAPrice lnPrice = lnPrices[index];
+          sum+=(price.Close-lnPrice.MinPrice);
+        }
+        return sum;
+      }
+      catch(Exception /*exception*/)
+      {
+        return double.NaN;
+      }
+    }
+//sum(HN-LN) for past period K
+    private static double CalculateLX(int startingIndex,DMAPrices hnPrices,DMAPrices lnPrices, int periodK)
+    {
+      try
+      {
+        double sum = 0.00;
+        for (int index = startingIndex; index < startingIndex + periodK; index++)
+        {
+          DMAPrice hnPrice = hnPrices[index];
+          DMAPrice lnPrice = lnPrices[index];
+          sum+=(hnPrice.MaxPrice-lnPrice.MinPrice);
+        }
+        return sum;
+      }
+      catch (Exception /*exception*/)
+      {
+        return double.NaN;
+      }
+    }
+  }
+}