TradeBlotter/Model/BollingerBandModel.cs

using System;
using System.Collections.Generic;
using System.Linq;
using MarketData.MarketDataModel;
using MarketData.Numerical;
using Microsoft.Research.DynamicDataDisplay.DataSources;
using MarketData.Utils;

namespace TradeBlotter.Model
{
  public class BollingerBandModel
  {
    private BollingerBandModel()
    {
    }
    public static CompositeDataSource SMAN(BollingerBands bollingerBands)
    {
      if (null == bollingerBands) return null;
      CompositeDataSource compositeDataSource;
      var xData = new EnumerableDataSource<DateTime>(bollingerBands.Select(x => x.Date.Date));
      xData.SetXMapping(x => (x.Ticks / 10000000000.0));
      var yData = new EnumerableDataSource<double>(bollingerBands.Select(y => y.SMAN));
      yData.SetYMapping(y => y);
      compositeDataSource = xData.Join(yData);
      return compositeDataSource;
    }
    public static CompositeDataSource K(BollingerBands bollingerBands)
    {
      if (null == bollingerBands) return null;
      CompositeDataSource compositeDataSource;
      var xData = new EnumerableDataSource<DateTime>(bollingerBands.Select(x => x.Date.Date));
      xData.SetXMapping(x => (x.Ticks/ 10000000000.0));
      var yData = new EnumerableDataSource<double>(bollingerBands.Select(y => y.K));
      yData.SetYMapping(y => y);
      compositeDataSource = xData.Join(yData);
      return compositeDataSource;
    }
    public static CompositeDataSource KL1(BollingerBands bollingerBands)
    {
      if (null == bollingerBands) return null;
      CompositeDataSource compositeDataSource;
      var xData = new EnumerableDataSource<DateTime>(bollingerBands.Select(x => x.Date.Date));
      xData.SetXMapping(x => (x.Ticks / 10000000000.0));
      var yData = new EnumerableDataSource<double>(bollingerBands.Select(y => y.KL1));
      yData.SetYMapping(y => y);
      compositeDataSource = xData.Join(yData);
      return compositeDataSource;
    }
    public static CompositeDataSource L(BollingerBands bollingerBands)
    {
      if (null == bollingerBands) return null;
      CompositeDataSource compositeDataSource;
      var xData = new EnumerableDataSource<DateTime>(bollingerBands.Select(x => x.Date.Date));
      xData.SetXMapping(x => (x.Ticks / 10000000000.0));
      var yData = new EnumerableDataSource<double>(bollingerBands.Select(y => y.L));
      yData.SetYMapping(y => y);
      compositeDataSource = xData.Join(yData);
      return compositeDataSource;
    }
    public static CompositeDataSource LP1(BollingerBands bollingerBands)
    {
      if (null == bollingerBands) return null;
      CompositeDataSource compositeDataSource;
      var xData = new EnumerableDataSource<DateTime>(bollingerBands.Select(x => x.Date.Date));
      xData.SetXMapping(x => (x.Ticks / 10000000000.0));
      var yData = new EnumerableDataSource<double>(bollingerBands.Select(y => y.LP1));
      yData.SetYMapping(y => y);
      compositeDataSource = xData.Join(yData);
      return compositeDataSource;
    }
    public static CompositeDataSource High(BollingerBands bollingerBands)
    {
      if (null == bollingerBands) return null;
      CompositeDataSource compositeDataSource;
      var xData = new EnumerableDataSource<DateTime>(bollingerBands.Select(x => x.Date.Date));
      xData.SetXMapping(x => (x.Ticks / 10000000000.0));
      var yData = new EnumerableDataSource<double>(bollingerBands.Select(y => y.High));
      yData.SetYMapping(y => y);
      compositeDataSource = xData.Join(yData);
      return compositeDataSource;
    }
    public static CompositeDataSource Low(BollingerBands bollingerBands)
    {
      if (null == bollingerBands) return null;
      CompositeDataSource compositeDataSource;
      var xData = new EnumerableDataSource<DateTime>(bollingerBands.Select(x => x.Date.Date));
      xData.SetXMapping(x => (x.Ticks / 10000000000.0));
      var yData = new EnumerableDataSource<double>(bollingerBands.Select(y => y.Low));
      yData.SetYMapping(y => y);
      compositeDataSource = xData.Join(yData);
      return compositeDataSource;
    }
    public static CompositeDataSource Close(BollingerBands bollingerBands)
    {
      if (null == bollingerBands) return null;
      CompositeDataSource compositeDataSource;
      var xData = new EnumerableDataSource<DateTime>(bollingerBands.Select(x => x.Date.Date));
      xData.SetXMapping(x => (x.Ticks / 10000000000.0));
      var yData = new EnumerableDataSource<double>(bollingerBands.Select(y => y.Close));
      yData.SetYMapping(y => y);
      compositeDataSource = xData.Join(yData);
      return compositeDataSource;
    }
    public static CompositeDataSource LeastSquares(BollingerBands bollingerBands)
    {
      if (null == bollingerBands) return null;
      CompositeDataSource compositeDataSource;
      var xData = new EnumerableDataSource<DateTime>(bollingerBands.Select(x => x.Date.Date));
      xData.SetXMapping(x => (x.Ticks / 10000000000.0));
			LeastSquaresResult leastSquaresResult=bollingerBands.LeastSquaresFitClose();
      var yData = new EnumerableDataSource<double>(leastSquaresResult.LeastSquares);
      yData.SetYMapping(y => y);
      compositeDataSource = xData.Join(yData);
      return compositeDataSource;
    }
    public static CompositeDataSource LeastSquaresExtend(BollingerBands bollingerBands,DateTime extendToDate)
    {
      if (null == bollingerBands) return null;
      CompositeDataSource compositeDataSource;

			LeastSquaresResult leastSquaresResult=bollingerBands.LeastSquaresFitClose();       
      DateTime maxDateInBand=bollingerBands.Select(x=>x.Date).Max();
      if(maxDateInBand<extendToDate)
      {
        DateGenerator dateGenerator=new DateGenerator();
        List<DateTime> extendedDates=dateGenerator.GenerateHistoricalDates(dateGenerator.FindNextBusinessDay(maxDateInBand),extendToDate);
        var xData=new EnumerableDataSource<DateTime>(bollingerBands.Select(x => x.Date.Date).Union(extendedDates.Select(x=>x)).OrderByDescending(x=>x.Date));
        leastSquaresResult.Extend(extendedDates.Count,leastSquaresResult.Slope);
        xData.SetXMapping(x => (x.Ticks / 10000000000.0));
        var yData = new EnumerableDataSource<double>(leastSquaresResult.LeastSquares);
        yData.SetYMapping(y => y);
        compositeDataSource = xData.Join(yData);
      }
      else
      {
        var xData = new EnumerableDataSource<DateTime>(bollingerBands.Select(x => x.Date.Date));
        xData.SetXMapping(x => (x.Ticks / 10000000000.0));
        var yData = new EnumerableDataSource<double>(leastSquaresResult.LeastSquares);
        yData.SetYMapping(y => y);
        compositeDataSource = xData.Join(yData);
      }
      return compositeDataSource;
    }
    public static CompositeDataSource Volume(BollingerBands bollingerBands)
    {
      if (null == bollingerBands) return null;
      CompositeDataSource compositeDataSource;
      var xData = new EnumerableDataSource<DateTime>(bollingerBands.Select(x => x.Date.Date));
      xData.SetXMapping(x => (x.Ticks / 10000000000.0));
      var yData = new EnumerableDataSource<long>(bollingerBands.Select(y => y.Volume));
      yData.SetYMapping(y => y);
      compositeDataSource = xData.Join(yData);
      return compositeDataSource;
    }
  }
}