Initial Commit

MarketData/MarketDataLib/MarketDataModel/MovingDeviation.cs

@@ -0,0 +1,40 @@
+using System;
+using System.Collections.Generic;
+using MarketData.Numerical;
+
+namespace MarketData.MarketDataModel
+{
+  public class MovingDeviation
+  {
+    private MovingDeviation()
+    {
+    }
+    public static DMADeviations GenerateMovingDeviation(Prices prices, int dayCount)
+    {
+      try
+      {
+        DMADeviations dmaDeviations = new DMADeviations();
+
+        for (int index = 0; index < prices.Count; index++)
+        {
+          Price price = prices[index];
+          DMADeviation dmaDeviation = new DMADeviation();
+          dmaDeviation.Symbol = price.Symbol;
+          dmaDeviation.Date = price.Date;
+          float[] pricesArray = prices.GetPrices(index, dayCount);
+          dmaDeviation.StDevPrice = Numerics.Volatility(ref pricesArray);
+          if (double.IsNaN(dmaDeviation.StDevPrice)) continue;
+          dmaDeviation.CurrentPrice = price.Close;
+          dmaDeviations.Add(dmaDeviation);
+        }
+        return dmaDeviations;
+      }
+      catch (Exception exception)
+      {
+        MDTrace.WriteLine(LogLevel.DEBUG,exception);
+        return null;
+      }
+    }
+  }
+
+}