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MarketDataLib/Generator/ModelGenerators/VolatilityGenerator.cs

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+using MarketData.MarketDataModel;
+using MarketData.Utils;
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Text;
+using System.Threading.Tasks;
+
+namespace MarketData.Generator.ModelGenerators
+{
+// Calculates Volatility as 3x Average True Range
+  public class VolatilityGenerator
+  {
+    public static double CalculateVolatility(String symbol,DateTime date,int movingAverageDays=10)
+    {
+      return CalculateVolatility(symbol,date,movingAverageDays,3.00);
+    }
+    public static double CalculateVolatility(String symbol,DateTime date,int movingAverageDays,double atrMultiplier)
+    {
+      double volatility=double.NaN;
+      DateGenerator dateGenerator=new DateGenerator();
+      Dictionary<DateTime,double> trueRangeCollectionByDate=new Dictionary<DateTime,double>();
+      List<DateTime> historicalDates=dateGenerator.GenerateHistoricalDates(date,(movingAverageDays+1)*2);      // most recent date in lowest index, we need to generate (items+1)
+      for(int dateIndex=0;dateIndex<historicalDates.Count;dateIndex++)
+      {
+        DateTime historicalDate=historicalDates[dateIndex];
+        TrueRangeResult trueRangeResult=TrueRangeGenerator.GenerateAverageTrueRange(symbol,historicalDate);
+        if(null==trueRangeResult)continue;
+        trueRangeCollectionByDate.Add(historicalDate,trueRangeResult.AverageTrueRange);
+      }
+      if(movingAverageDays>trueRangeCollectionByDate.Count) return volatility;
+      historicalDates=new List<DateTime>(trueRangeCollectionByDate.Keys.OrderByDescending(x=>x.Date));
+      Prices prices=new Prices();
+      foreach(DateTime historicalDate in historicalDates)
+      {
+        Price price=new Price();
+        price.Symbol=symbol;
+        price.Date=historicalDate;
+        price.Close=trueRangeCollectionByDate[historicalDate];
+        prices.Add(price);
+      }
+      DMAPrices emaPrices=MovingAverageGenerator.GenerateExponentialMovingAverage(prices,movingAverageDays);
+      if(null==emaPrices||0==emaPrices.Count)return volatility;
+      volatility=emaPrices[0].AVGPrice*atrMultiplier;
+      return volatility;
+    }
+
+  }
+}