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MarketDataLib/Generator/ModelGenerators/TrueRangeGenerator.cs

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+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Runtime.Serialization;
+using System.Text;
+using System.Threading.Tasks;
+using MarketData.MarketDataModel;
+using MarketData.Utils;
+using MarketData.DataAccess;
+using MarketData.Numerical;
+
+namespace MarketData.Generator.ModelGenerators
+{
+  public class TrueRangeGenerator
+  {
+    private TrueRangeGenerator()
+    {
+    }
+    // Prices : Where most recent price is at lowest index
+    public static TrueRangeResult GenerateAverageTrueRange(String symbol, DateTime startDate, int atrDays = 14)
+    {
+      Prices prices = PricingDA.GetPrices(symbol, startDate, atrDays + 1);
+      if (null == prices || prices.Count < 2 || 0 == prices[0].Close) return null;
+      double[] values = new double[prices.Count - 1];
+      for (int index = 0; index < prices.Count - 1; index++)
+      {
+        Price price = prices[index];
+        Price prevPrice = prices[index + 1];
+        double levelA = price.High - price.Low;
+        double levelB = Math.Abs(price.High - prevPrice.Close);
+        double levelC = Math.Abs(price.Low - prevPrice.Close);
+        values[index] = Math.Max(levelA, levelB);
+        values[index] = Math.Max(values[index], levelC);
+      }
+      double averageTrueRange = Numerics.Mean(ref values);
+      return new TrueRangeResult(averageTrueRange, (averageTrueRange / prices[0].Close) * 2.00);
+    }
+  }
+  public class TrueRangeResult
+  {
+    public TrueRangeResult()
+    {
+    }
+    public TrueRangeResult(double averageTrueRange,double shortTermVolatility)
+    {
+      AverageTrueRange=averageTrueRange;
+      ShortTermVolatility=shortTermVolatility;
+    }
+    public double AverageTrueRange{get;set;}
+    public double ShortTermVolatility{get;set;}
+  }
+}