48 lines
1.5 KiB
C#
48 lines
1.5 KiB
C#
using MarketData.MarketDataModel;
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using System;
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using System.Collections.Generic;
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using System.Linq;
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using System.Text;
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using System.Threading.Tasks;
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namespace MarketData.Generator.Indicators
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{
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public class NarrowRangeIndicator
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{
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private NarrowRangeIndicator()
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{
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}
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// It is assumed that prices are in descending date order. (i.e.) The most recent price is in the lowest index position
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public static bool IsNarrowRangeEntry(DateTime date,Prices prices,int dayCount)
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{
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if(!IsInsideDay(date,prices))return false;
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if(!IsNarrowestRange(date,prices,dayCount))return false;
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return true;
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}
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private static bool IsInsideDay(DateTime date,Prices prices)
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{
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int index=prices.FindIndex(x=>x.Date.Date.Equals(date));
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if(-1==index||index+1>=prices.Count)return false;
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if(!(prices[index].High<=prices[index+1].High&&prices[index].Low>=prices[index+1].Low))return false;
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return true;
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}
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private static bool IsNarrowestRange(DateTime date,Prices prices,int dayCount)
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{
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int index=prices.FindIndex(x => x.Date.Date.Equals(date));
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double range=GetRange(prices,index);
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if(index+dayCount>=prices.Count-1)return false;
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for(int dayIndex=index+1;dayIndex<index+dayCount;dayIndex++)
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{
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double nextRange=GetRange(prices,dayIndex);
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if(nextRange<range)return false;
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}
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return true;
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}
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private static double GetRange(Prices prices,int index)
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{
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double range=prices[index].High-prices[index].Low;
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return Math.Abs(range);
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}
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}
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}
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