Files
Avalonia/PortfolioManager/Renderers/BollingerBandRenderer.cs
2025-06-24 19:34:26 -04:00

547 lines
23 KiB
C#

using System;
using System.Collections.Generic;
using System.ComponentModel;
using System.Text;
using System.Linq;
using Eremex.AvaloniaUI.Charts;
using MarketData.DataAccess;
using MarketData.Generator;
using MarketData.MarketDataModel;
using MarketData.Utils;
using PortfolioManager.Cache;
using PortfolioManager.DataSeriesViewModels;
using PortfolioManager.Models;
using PortfolioManager.ViewModels;
using ScottPlot;
using ScottPlot.Avalonia;
using ScottPlot.Plottables;
using SkiaSharp;
using MarketData.Numerical;
namespace PortfolioManager.Renderers
{
public static class SizeFactor
{
public const float Small = 0.09375f;
public const float Normal = 0.125f;
public const float Large = 0.15625f;
}
public static class FontFactor
{
public const int FontSize = 11;
}
public class BollingerBandRenderer : ModelBase
{
private Price latestPrice = default;
private Price zeroPrice = default;
private bool showLabels = true;
private bool showMarkers = true;
private bool showLegend = false;
private bool showTradeLabels = true;
private bool syncTradeToBand = true;
private StopLimit stopLimit = default;
private StopLimits stopLimits = default;
private PortfolioTrades portfolioTrades = default;
private PortfolioTrades portfolioTradesLots = default;
private Prices prices = default;
private BollingerBands bollingerBands;
private InsiderTransactionSummaries insiderTransactionSummaries = null;
double maxBollingerDate = 0.00;
double minBollingerDate = 0.00;
double spread = 0.00;
double percentShift3PC = 0.00;
double percentShift1PC = 0.00;
public BollingerBandRenderer(AvaPlot plotter)
{
Plotter = plotter ?? throw new ArgumentNullException(nameof(plotter));
PropertyChanged += OnBollingerBandRendererPropertyChanged;
}
private void OnBollingerBandRendererPropertyChanged(Object sender, PropertyChangedEventArgs eventArgs)
{
if (eventArgs.PropertyName.Equals("ShowLabels"))
{
}
else if (eventArgs.PropertyName.Equals("ShowMarkers"))
{
}
else if (eventArgs.PropertyName.Equals("ShowLegend"))
{
if (!ShowLegend) Plotter.Plot.HideLegend();
else Plotter.Plot.ShowLegend();
}
}
public void Render()
{
Plotter.Plot.Axes.AutoScale();
Plotter.Refresh();
base.OnPropertyChanged("ShowLegend");
}
public void SetData(String selectedSymbol, int selectedDayCount)
{
stopLimit = PortfolioDA.GetStopLimit(selectedSymbol);
portfolioTrades = PortfolioDA.GetTradesSymbol(selectedSymbol);
portfolioTradesLots = LotAggregator.CombineLots(portfolioTrades);
Plotter.Plot.Clear();
if (null != portfolioTrades && 0 != portfolioTrades.Count)
{
DateGenerator dateGenerator = new DateGenerator();
DateTime earliestTrade = portfolioTrades[0].TradeDate;
earliestTrade = earliestTrade.AddDays(-30);
int daysBetween = dateGenerator.DaysBetween(earliestTrade, DateTime.Now);
if (daysBetween < selectedDayCount || !syncTradeToBand) prices = PricingDA.GetPrices(selectedSymbol, selectedDayCount);
else prices = PricingDA.GetPrices(selectedSymbol, earliestTrade);
DateTime earliestInsiderTransactionDate = dateGenerator.GenerateFutureBusinessDate(prices[prices.Count - 1].Date, 30);
insiderTransactionSummaries = InsiderTransactionDA.GetInsiderTransactionSummaries(selectedSymbol, earliestInsiderTransactionDate);
// calculate the break even price on the open trades for this symbol
PortfolioTrades openTrades = portfolioTrades.GetOpenTrades();
DateTime latestPricingDate = PricingDA.GetLatestDate(selectedSymbol);
latestPrice = PricingDA.GetPrice(selectedSymbol, latestPricingDate);
zeroPrice = ParityGenerator.GenerateGainLossValue(openTrades, latestPrice);
if (!syncTradeToBand)
{
DateTime earliestPricingDate = prices[prices.Count - 1].Date;
earliestPricingDate = earliestPricingDate.AddDays(30);
IEnumerable<PortfolioTrade> tradesInRange = (from portfolioTrade in portfolioTradesLots where portfolioTrade.TradeDate >= earliestPricingDate select portfolioTrade);
portfolioTrades = new PortfolioTrades();
foreach (PortfolioTrade portfolioTrade in tradesInRange) portfolioTrades.Add(portfolioTrade);
portfolioTradesLots = portfolioTrades;
}
}
else
{
prices = PricingDA.GetPrices(selectedSymbol, selectedDayCount);
if (null != prices && 0 != prices.Count)
{
DateGenerator dateGenerator = new DateGenerator();
DateTime earliestInsiderTransactionDate = dateGenerator.GenerateFutureBusinessDate(prices[prices.Count - 1].Date, 30);
insiderTransactionSummaries = InsiderTransactionDA.GetInsiderTransactionSummaries(selectedSymbol, earliestInsiderTransactionDate);
}
}
bollingerBands = BollingerBandGenerator.GenerateBollingerBands(prices);
maxBollingerDate = bollingerBands.Max(x=>x.Date).ToOADate();
minBollingerDate = bollingerBands.Min(x=>x.Date).ToOADate();
spread = (maxBollingerDate - minBollingerDate);
percentShift3PC = spread * .03;
percentShift1PC = spread * .01;
GenerateBollingerBands();
GenerateZeroPoint(zeroPrice);
GenerateInsiderTransactions();
GenerateStopLimits();
GenerateTradePoints();
}
/// <summary>
/// Generate the ZeroPoint marker and text
/// </summary>
/// <param name="zeroPrice"></param>
private void GenerateZeroPoint(Price zeroPrice)
{
if (!ShowMarkers || null == zeroPrice) return;
ImageMarker imageMarker = default;
Coordinates coordinates = default;
Image image = default;
ZeroPoint = GainLossModel.Price(zeroPrice);
(DateTime[] dates, double[] values) = ZeroPoint.ToXYData();
Scatter scatter = Plotter.Plot.Add.Scatter(dates, values, ScottPlot.Color.FromSKColor(SKColors.Blue));
image = TextMarkerImageGenerator.ToSPImage(ImageCache.GetInstance().GetImage(ImageCache.ImageType.BlueTriangleUp));
coordinates = new Coordinates(dates[0].ToOADate(), values[0]);
imageMarker = Plotter.Plot.Add.ImageMarker(coordinates, image, SizeFactor.Normal);
StringBuilder sb = new StringBuilder();
sb.Append("Even ");
sb.Append(Utility.FormatCurrency(zeroPrice.Close));
double parityOffsetPercent = (latestPrice.Close - zeroPrice.Close) / zeroPrice.Close;
sb.Append("(").Append(parityOffsetPercent < 0 ? "" : "+").Append(Utility.FormatPercent(parityOffsetPercent)).Append(")");
image = TextMarkerImageGenerator.GenerateImage(sb.ToString(), 130, 24, FontFactor.FontSize);
coordinates = new Coordinates(dates[0].ToOADate(), values[0] - 5.00);
imageMarker = Plotter.Plot.Add.ImageMarker(coordinates, image);
}
/// <summary>
/// Generate Stop Limits
/// </summary>
private void GenerateStopLimits()
{
if (null == stopLimits && null == zeroPrice) return;
if (null != stopLimits)
{
StopLimits = StopLimitCompositeModel.CreateCompositeDataSource(stopLimits);
}
else if (null != stopLimit && null != zeroPrice)
{
StopLimits = GainLossModel.CreateCompositeDataSource(zeroPrice.Date, stopLimit.StopPrice);
}
(DateTime[] dates, double[] values) = StopLimits.ToXYData();
// Add the markers
Image imageStopLimitMarker = TextMarkerImageGenerator.ToSPImage(ImageCache.GetInstance().GetImage(ImageCache.ImageType.RedTriangleUp));
for (int index = 0; index < dates.Length; index++)
{
DateTime date = dates[index];
double value = values[index];
Coordinates coordinates = new Coordinates(date.ToOADate(), value);
ImageMarker imageMarker = Plotter.Plot.Add.ImageMarker(coordinates, imageStopLimitMarker, SizeFactor.Normal);
}
// Add the text marker
if (null != stopLimits)
{
for (int index = 0; index < stopLimits.Count; index++)
{
StopLimit limit = stopLimits[index];
StringBuilder sb = new StringBuilder();
sb.Append(limit.StopType).Append(" ");
sb.Append(Utility.FormatCurrency(limit.StopPrice));
if (index == stopLimits.Count - 1)
{
Price latestPrice = prices[0];
double percentOffsetFromLow = ((latestPrice.Low - limit.StopPrice) / limit.StopPrice);
sb.Append(" (").Append(percentOffsetFromLow > 0 ? "+" : "").Append(Utility.FormatPercent(percentOffsetFromLow)).Append(")");
}
Image image = TextMarkerImageGenerator.GenerateImage(sb.ToString(), 155, 24, FontFactor.FontSize);
// Coordinates coordinates = new Coordinates(dates[0].ToOADate()-1, values[0] - 5.00);
Coordinates coordinates = new Coordinates(limit.EffectiveDate.ToOADate(), limit.StopPrice - 5.00);
ImageMarker imageMarker = Plotter.Plot.Add.ImageMarker(coordinates, image);
}
}
else
{
if (null == zeroPrice) return;
if (null == stopLimit || null == zeroPrice || !showTradeLabels) return;
Price latestPrice = prices[0];
double percentOffsetFromLow = ((latestPrice.Low - stopLimit.StopPrice) / stopLimit.StopPrice);
StringBuilder sb = new StringBuilder();
sb.Append(stopLimit.StopType).Append(" ");
sb.Append(Utility.FormatCurrency(stopLimit.StopPrice));
sb.Append(" (").Append(percentOffsetFromLow > 0 ? "+" : "").Append(Utility.FormatPercent(percentOffsetFromLow)).Append(")");
Image image = TextMarkerImageGenerator.GenerateImage(sb.ToString(), 155, 24, FontFactor.FontSize);
// Coordinates coordinates = new Coordinates(latestPrice.Date.ToOADate()/(1+onePercent), stopLimit.StopPrice - 5.00);
Coordinates coordinates = new Coordinates(latestPrice.Date.ToOADate()-percentShift3PC, stopLimit.StopPrice - 5.00);
ImageMarker imageMarker = Plotter.Plot.Add.ImageMarker(coordinates, image);
}
}
/// <summary>
/// Generate Trade Points
/// </summary>
private void GenerateTradePoints()
{
if (null == portfolioTradesLots || 0 == portfolioTradesLots.Count || !showTradeLabels) return;
// Here we add the image markers
Image tradePointMarker = TextMarkerImageGenerator.ToSPImage(ImageCache.GetInstance().GetImage(ImageCache.ImageType.YellowTriangleUp));
for (int index = 0; index < portfolioTradesLots.Count; index++)
{
PortfolioTrade portfolioTrade = portfolioTradesLots[index];
Coordinates coordinates = new Coordinates(portfolioTrade.TradeDate.ToOADate(), portfolioTrade.Price);
ImageMarker imageMarker = Plotter.Plot.Add.ImageMarker(coordinates, tradePointMarker, SizeFactor.Normal);
}
// This adds the text markers
for (int index = 0; index < portfolioTradesLots.Count; index++)
{
PortfolioTrade portfolioTrade = portfolioTradesLots[index];
StringBuilder sb = new StringBuilder();
sb.Append(portfolioTrade.BuySell.Equals("B") ? "Buy " : "Sell ");
sb.Append(Utility.FormatNumber(portfolioTrade.Shares));
sb.Append("@");
sb.Append(Utility.FormatCurrency(portfolioTrade.Price));
Image image = TextMarkerImageGenerator.GenerateImage(sb.ToString(), 150, 24, FontFactor.FontSize);
Coordinates coordinates = new Coordinates(portfolioTrade.TradeDate.ToOADate(), portfolioTrade.Price - 5.00);
ImageMarker imageMarker = Plotter.Plot.Add.ImageMarker(coordinates, image);
}
}
/// <summary>
/// Generate Insider Transactions
/// </summary>
private void GenerateInsiderTransactions()
{
if (null == prices || 0 == prices.Count || !ShowMarkers) return;
ImageMarker imageMarker = default;
Coordinates coordinates = default;
double minClose = (from Price price in prices select price.Close).Min();
// get the maximum date in the bollinger band series
DateTime maxBollingerDate = (from BollingerBandElement bollingerBandElement in bollingerBands select bollingerBandElement.Date).Max();
// ensure that the insider transactions are clipped to the bollingerband max date. There are some items in insider transaction summaries (options dated in the future) that will throw the graphic out of proportion
InsiderTransactionSummaries disposedSummaries = new InsiderTransactionSummaries((from InsiderTransactionSummary insiderTransactionSummary in insiderTransactionSummaries where insiderTransactionSummary.NumberOfSharesAcquiredDisposed < 0 && insiderTransactionSummary.TransactionDate.Date <= maxBollingerDate select insiderTransactionSummary).ToList());
InsiderTransactionSummaries acquiredSummaries = new InsiderTransactionSummaries((from InsiderTransactionSummary insiderTransactionSummary in insiderTransactionSummaries where insiderTransactionSummary.NumberOfSharesAcquiredDisposed > 0 && insiderTransactionSummary.TransactionDate.Date <= maxBollingerDate select insiderTransactionSummary).ToList());
BinCollection<InsiderTransactionSummary> disposedSummariesBin = BinHelper<InsiderTransactionSummary>.CreateBins(new BinItems<InsiderTransactionSummary>(disposedSummaries), 3);
BinCollection<InsiderTransactionSummary> acquiredSummariesBin = BinHelper<InsiderTransactionSummary>.CreateBins(new BinItems<InsiderTransactionSummary>(acquiredSummaries), 3);
InsiderTransactionPointDisposedSmall = InsiderTransactionModel.InsiderTransactionSummaries(new InsiderTransactionSummaries(disposedSummariesBin[2]), minClose);
InsiderTransactionPointDisposedMedium = InsiderTransactionModel.InsiderTransactionSummaries(new InsiderTransactionSummaries(disposedSummariesBin[1]), minClose);
InsiderTransactionPointDisposedLarge = InsiderTransactionModel.InsiderTransactionSummaries(new InsiderTransactionSummaries(disposedSummariesBin[0]), minClose);
InsiderTransactionPointAcquiredSmall = InsiderTransactionModel.InsiderTransactionSummaries(new InsiderTransactionSummaries(acquiredSummariesBin[0]), minClose);
InsiderTransactionPointAcquiredMedium = InsiderTransactionModel.InsiderTransactionSummaries(new InsiderTransactionSummaries(acquiredSummariesBin[1]), minClose);
InsiderTransactionPointAcquiredLarge = InsiderTransactionModel.InsiderTransactionSummaries(new InsiderTransactionSummaries(acquiredSummariesBin[2]), minClose);
Image imageDisposed = TextMarkerImageGenerator.ToSPImage(ImageCache.GetInstance().GetImage(ImageCache.ImageType.RedTriangleDown));
Image imageAcquired = TextMarkerImageGenerator.ToSPImage(ImageCache.GetInstance().GetImage(ImageCache.ImageType.GreenTriangleUp));
// Disposed
{
(DateTime[] dates, double[] values) = InsiderTransactionPointDisposedSmall.ToXYData();
for (int index = 0; index < dates.Length; index++)
{
DateTime date = dates[index];
double value = values[index];
coordinates = new Coordinates(date.ToOADate(), value);
imageMarker = Plotter.Plot.Add.ImageMarker(coordinates, imageDisposed, SizeFactor.Small);
}
}
{
(DateTime[] dates, double[] values) = InsiderTransactionPointDisposedMedium.ToXYData();
for (int index = 0; index < dates.Length; index++)
{
DateTime date = dates[index];
double value = values[index];
coordinates = new Coordinates(date.ToOADate(), value);
imageMarker = Plotter.Plot.Add.ImageMarker(coordinates, imageDisposed, SizeFactor.Normal);
}
}
{
(DateTime[] dates, double[] values) = InsiderTransactionPointDisposedLarge.ToXYData();
for (int index = 0; index < dates.Length; index++)
{
DateTime date = dates[index];
double value = values[index];
coordinates = new Coordinates(date.ToOADate(), value);
imageMarker = Plotter.Plot.Add.ImageMarker(coordinates, imageDisposed, SizeFactor.Large);
}
}
// Acquired
{
(DateTime[] dates, double[] values) = InsiderTransactionPointAcquiredSmall.ToXYData();
for (int index = 0; index < dates.Length; index++)
{
DateTime date = dates[index];
double value = values[index];
coordinates = new Coordinates(date.ToOADate(), value);
imageMarker = Plotter.Plot.Add.ImageMarker(coordinates, imageAcquired, SizeFactor.Small);
}
}
{
(DateTime[] dates, double[] values) = InsiderTransactionPointAcquiredMedium.ToXYData();
for (int index = 0; index < dates.Length; index++)
{
DateTime date = dates[index];
double value = values[index];
coordinates = new Coordinates(date.ToOADate(), value);
imageMarker = Plotter.Plot.Add.ImageMarker(coordinates, imageAcquired, SizeFactor.Normal);
}
}
{
(DateTime[] dates, double[] values) = InsiderTransactionPointAcquiredLarge.ToXYData();
for (int index = 0; index < dates.Length; index++)
{
DateTime date = dates[index];
double value = values[index];
coordinates = new Coordinates(date.ToOADate(), value);
imageMarker = Plotter.Plot.Add.ImageMarker(coordinates, imageAcquired, SizeFactor.Large);
}
}
}
/// <summary>
/// Generate Bollinger Bands
/// </summary>
private void GenerateBollingerBands()
{
K = BollingerBandModel.K(bollingerBands);
KL1 = BollingerBandModel.KL1(bollingerBands);
L = BollingerBandModel.L(bollingerBands);
LP1 = BollingerBandModel.LP1(bollingerBands);
High = BollingerBandModel.High(bollingerBands);
Low = BollingerBandModel.Low(bollingerBands);
Close = BollingerBandModel.Close(bollingerBands);
SMAN = BollingerBandModel.SMAN(bollingerBands);
Volume = BollingerBandModel.Volume(bollingerBands);
LeastSquares = BollingerBandModel.LeastSquares(bollingerBands);
Scatter scatter = default;
{
(DateTime[] dates, double[] values) = K.ToXYData();
scatter = Plotter.Plot.Add.ScatterLine(dates, values, ScottPlot.Color.FromSKColor(SKColors.Green));
scatter.LegendText = "K";
scatter.LineWidth = 3;
}
{
(DateTime[] dates, double[] values) = KL1.ToXYData();
scatter = Plotter.Plot.Add.ScatterLine(dates, values, ScottPlot.Color.FromSKColor(SKColors.Green));
scatter.LegendText = "KL1";
scatter.LineWidth = 2;
}
{
(DateTime[] dates, double[] values) = L.ToXYData();
scatter = Plotter.Plot.Add.ScatterLine(dates, values, ScottPlot.Color.FromSKColor(SKColors.Green));
scatter.LegendText = "L";
scatter.LineWidth = 3;
}
{
(DateTime[] dates, double[] values) = LP1.ToXYData();
scatter = Plotter.Plot.Add.ScatterLine(dates, values, ScottPlot.Color.FromSKColor(SKColors.Green));
scatter.LegendText = "LP1";
scatter.LineWidth = 2;
}
{
(DateTime[] dates, double[] values) = High.ToXYData();
scatter = Plotter.Plot.Add.ScatterLine(dates, values, ScottPlot.Color.FromSKColor(SKColors.Blue));
scatter.LegendText = "High";
scatter.LineWidth = 2;
}
{
(DateTime[] dates, double[] values) = Low.ToXYData();
scatter = Plotter.Plot.Add.ScatterLine(dates, values, ScottPlot.Color.FromSKColor(SKColors.Red));
scatter.LegendText = "Low";
scatter.LineWidth = 2;
}
{
(DateTime[] dates, double[] values) = Close.ToXYData();
scatter = Plotter.Plot.Add.ScatterLine(dates, values, ScottPlot.Color.FromSKColor(SKColors.Black));
scatter.LegendText = "Close";
scatter.LineWidth = 2;
}
{
(DateTime[] dates, double[] values) = LeastSquares.ToXYData();
scatter = Plotter.Plot.Add.ScatterLine(dates, values, ScottPlot.Color.FromSKColor(SKColors.Orange));
scatter.LegendText = "LeastSquares";
scatter.LineWidth = 2;
}
{
(DateTime[] dates, double[] values) = SMAN.ToXYData();
scatter = Plotter.Plot.Add.ScatterLine(dates, values, ScottPlot.Color.FromSKColor(SKColors.Purple));
scatter.LegendText = "SMAN";
scatter.LineWidth = 2;
}
}
// *********************************************************** P R O P E R T I E S *****************************************************
public Prices Prices
{
get
{
return prices;
}
}
public bool SyncTradeToBand
{
get
{
return syncTradeToBand;
}
set
{
syncTradeToBand = value;
base.OnPropertyChanged("SyncTradeToBand");
}
}
public bool ShowLabels
{
get
{
return showLabels;
}
set
{
showLabels = value;
base.OnPropertyChanged("ShowLabels");
}
}
public bool ShowMarkers
{
get
{
return showMarkers;
}
set
{
showMarkers = value;
base.OnPropertyChanged("ShowMarkers");
}
}
public bool ShowLegend
{
get
{
return showLegend;
}
set
{
showLegend = value;
base.OnPropertyChanged("ShowLegend");
}
}
public AvaPlot Plotter { get; private set; }
private CompositeDataSource InsiderTransactionPointDisposedSmall { get; set; } = Empty();
private CompositeDataSource InsiderTransactionPointDisposedMedium { get; set; } = Empty();
private CompositeDataSource InsiderTransactionPointDisposedLarge { get; set; } = Empty();
private CompositeDataSource InsiderTransactionPointAcquiredSmall { get; set; } = Empty();
private CompositeDataSource InsiderTransactionPointAcquiredMedium { get; set; } = Empty();
private CompositeDataSource InsiderTransactionPointAcquiredLarge { get; set; } = Empty();
private CompositeDataSource K { get; set; } = Empty();
private CompositeDataSource KL1 { get; set; } = Empty();
private CompositeDataSource L { get; set; } = Empty();
private CompositeDataSource LP1 { get; set; } = Empty();
private CompositeDataSource High { get; set; } = Empty();
private CompositeDataSource Low { get; set; } = Empty();
private CompositeDataSource Close { get; set; } = Empty();
private CompositeDataSource SMAN { get; set; } = Empty();
private CompositeDataSource Volume { get; set; } = Empty();
private CompositeDataSource LeastSquares { get; set; } = Empty();
private CompositeDataSource ZeroPoint { get; set; } = Empty();
private CompositeDataSource StopLimits { get; set; } = Empty();
private static CompositeDataSource Empty()
{
return new CompositeDataSource()
{
DataAdapter = new SortedDateTimeDataAdapter()
};
}
}
}