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ChartDVBasics.cpp
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/************************************************************************
* Copyright(c) 2013, One Unified. All rights reserved. *
* email: [email protected] *
* *
* This file is provided as is WITHOUT ANY WARRANTY *
* without even the implied warranty of *
* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. *
* *
* This software may not be used nor distributed without proper license *
* agreement. *
* *
* See the file LICENSE.txt for redistribution information. *
************************************************************************/
#include <cfloat>
#include <algorithm>
#include <OUCommon/Colour.h>
#include "ChartDVBasics.h"
namespace ou { // One Unified
// 1,1,2,3,5,8,13,21,34
// 55, 89, 144, 233, 377, 610, 987, 1597, 2584, 4181, 6765 - fibonacci numbers (seconds)
// .91 1.5 2.4 3.9, 6.3, 10.2 16.5 26.6 54.0 69.7 112.8 - ratio to 60 seconds (1 minute)
ChartDVBasics::ChartDVBasics()
: m_dvChart()
, m_bfTrades( 10 )
, m_bfBuys( 10 )
, m_bfSells( 10 )
, m_bFirstTrade( true )
, m_rtTickDiffs( m_pricesTickDiffs, seconds( 120 ) )
, m_rocTickDiffs( m_pricesTickDiffsROC, seconds( 30 ) )
, m_dblUpTicks( 0.0 ), m_dblMdTicks( 0.0 ), m_dblDnTicks( 0.0 )
, m_dblUpVolume( 0.0 ), m_dblMdVolume( 0.0 ), m_dblDnVolume( 0.0 )
, m_ceShortEntries( ou::ChartEntryShape::EShape::Short, ou::Colour::Red )
, m_ceLongEntries( ou::ChartEntryShape::EShape::Long, ou::Colour::Blue )
, m_ceShortFills( ou::ChartEntryShape::EShape::FillShort, ou::Colour::Red )
, m_ceLongFills( ou::ChartEntryShape::EShape::FillLong, ou::Colour::Blue )
, m_ceShortExits( ou::ChartEntryShape::EShape::ShortStop, ou::Colour::Red )
, m_ceLongExits( ou::ChartEntryShape::EShape::LongStop, ou::Colour::Blue )
{
m_vInfoBollinger.push_back( infoBollinger( m_quotes, boost::posix_time::seconds( 55 ) ) );
m_vInfoBollinger.push_back( infoBollinger( m_quotes, boost::posix_time::seconds( 144 ) ) );
m_vInfoBollinger.push_back( infoBollinger( m_quotes, boost::posix_time::seconds( 377 ) ) );
m_vInfoBollinger.push_back( infoBollinger( m_quotes, boost::posix_time::seconds( 987 ) ) );
m_vInfoBollinger[0].SetProperties( ou::Colour::DarkOliveGreen, "Bollinger1 - 55s" );
m_vInfoBollinger[1].SetProperties( ou::Colour::Turquoise, "Bollinger2 - 2m24s" );
m_vInfoBollinger[2].SetProperties( ou::Colour::GreenYellow, "Bollinger3 - 6m17s" );
m_vInfoBollinger[3].SetProperties( ou::Colour::MediumSlateBlue, "Bollinger4 - 16m27s" );
m_dvChart.Add( 0, &m_ceQuoteUpper );
m_dvChart.Add( 0, &m_ceQuoteLower );
m_dvChart.Add( 0, &m_ceTrade );
m_dvChart.Add( 2, &m_ceQuoteSpread );
m_dvChart.Add( 0, &m_ceShortEntries );
m_dvChart.Add( 0, &m_ceLongEntries );
m_dvChart.Add( 0, &m_ceShortFills );
m_dvChart.Add( 0, &m_ceLongFills );
m_dvChart.Add( 0, &m_ceShortExits );
m_dvChart.Add( 0, &m_ceLongExits );
std::for_each(
m_vInfoBollinger.begin(), m_vInfoBollinger.end(),
[this](infoBollinger& ib){
m_dvChart.Add( 0, &ib.m_ceEma );
m_dvChart.Add( 0, &ib.m_ceUpperBollinger );
m_dvChart.Add( 0, &ib.m_ceLowerBollinger );
//m_dvChart.Add( 5, &ib.m_ceRatio );
// 2018/07/02 TODO: conditional include at some point
// m_dvChart.Add( 6, &ib.m_ceSlope );
// m_dvChart.Add( 7, &ib.m_ceSlopeBy2 );
// m_dvChart.Add( 8, &ib.m_ceSlopeBy3 );
});
// m_cemRatio.AddMark( 2.0, ou::Colour::Black, "+2sd" );
// m_cemRatio.AddMark( 0.0, ou::Colour::Black, "" );//"zero" );
// m_cemRatio.AddMark( -2.0, ou::Colour::Black, "-2sd" );
// m_dvChart.Add( 5, &m_cemRatio );
m_cemSlope.AddMark( 0.0, ou::Colour::Black, "" ); //"zero" );
// m_dvChart.Add( 6, &m_cemSlope )
m_cemSlopeBy2.AddMark( 0.0, ou::Colour::Black, "" ); //"zero" );
// m_dvChart.Add( 7, &m_cemSlopeBy2 );
m_cemSlopeBy3.AddMark( 0.0, ou::Colour::Black, "" ); //"zero" );
// m_dvChart.Add( 8, &m_cemSlopeBy3 );
m_dvChart.Add( 0, &m_ceBars );
m_dvChart.Add( 1, &m_rVolumes[ VUp ].ceVolumeUp );
m_dvChart.Add( 1, &m_rVolumes[ VUp ].ceVolumeNeutral );
m_dvChart.Add( 1, &m_rVolumes[ VUp ].ceVolumeDn );
m_dvChart.Add( 1, &m_rVolumes[ VDn ].ceVolumeUp );
m_dvChart.Add( 1, &m_rVolumes[ VDn ].ceVolumeNeutral );
m_dvChart.Add( 1, &m_rVolumes[ VDn ].ceVolumeDn );
m_ceQuoteUpper.SetColour( ou::Colour::Red );
m_ceQuoteLower.SetColour( ou::Colour::Blue );
m_ceTrade.SetColour( ou::Colour::DarkGreen );
m_ceQuoteSpread.SetColour( ou::Colour::Black );
m_ceQuoteSpread.SetName( "Spread" );
//m_ceQuoteUpper.SetName( "QuoteUpper" );
//m_ceQuoteLower.SetName( "QuoteLower" );
//m_ceTrade.SetName( "Trade" );
m_rVolumes[ VUp ].ceVolumeUp.SetColour( ou::Colour::Green );
m_rVolumes[ VUp ].ceVolumeNeutral.SetColour( ou::Colour::Yellow );
m_rVolumes[ VUp ].ceVolumeDn.SetColour( ou::Colour::Red );
m_rVolumes[ VDn ].ceVolumeUp.SetColour( ou::Colour::Green );
m_rVolumes[ VDn ].ceVolumeNeutral.SetColour( ou::Colour::Yellow );
m_rVolumes[ VDn ].ceVolumeDn.SetColour( ou::Colour::Red );
m_ceZigZag.SetColour( ou::Colour::DarkBlue );
m_bfTrades.SetOnBarComplete( MakeDelegate( this, &ChartDVBasics::HandleBarCompletionTrades ) );
m_bfBuys.SetOnBarComplete( MakeDelegate( this, &ChartDVBasics::HandleBarCompletionBuys ) );
m_bfSells.SetOnBarComplete( MakeDelegate( this, &ChartDVBasics::HandleBarCompletionSells ) );
m_zigzagPrice.SetOnPeakFound( MakeDelegate( this, &ChartDVBasics::HandleZigZagPeak ) );
m_zigzagPrice.SetUpDecisionPointFound( MakeDelegate( this, &ChartDVBasics::HandleZigZagUpDp ) );
m_zigzagPrice.SetDnDecisionPointFound( MakeDelegate( this, &ChartDVBasics::HandleZigZagDnDp ) );
}
ChartDVBasics::~ChartDVBasics() {
m_bfTrades.SetOnBarComplete( nullptr );
m_bfBuys.SetOnBarComplete( nullptr );
m_bfSells.SetOnBarComplete( nullptr );
}
void ChartDVBasics::HandleBarCompletionTrades( const ou::tf::Bar& bar ) {
m_ceBars.AppendBar( bar );
}
void ChartDVBasics::HandleBarCompletionBuys( const ou::tf::Bar& bar ) {
ptime dt( bar.DateTime() );
if ( bar.Open() == bar.Close() ) {
m_rVolumes[ VUp ].ceVolumeUp.Append( dt, 0.0 );
m_rVolumes[ VUp ].ceVolumeNeutral.Append( dt, bar.Volume() );
m_rVolumes[ VUp ].ceVolumeDn.Append( dt, 0.0 );
}
else {
if ( bar.Close() > bar.Open() ) {
m_rVolumes[ VUp ].ceVolumeUp.Append( dt, bar.Volume() );
m_rVolumes[ VUp ].ceVolumeNeutral.Append( dt, 0.0 );
m_rVolumes[ VUp ].ceVolumeDn.Append( dt, 0.0 );
}
else {
m_rVolumes[ VUp ].ceVolumeUp.Append( dt, 0.0 );
m_rVolumes[ VUp ].ceVolumeNeutral.Append( dt, 0.0 );
m_rVolumes[ VUp ].ceVolumeDn.Append( dt, bar.Volume() );
}
}
}
void ChartDVBasics::HandleBarCompletionSells( const ou::tf::Bar& bar ) {
ptime dt( bar.DateTime() );
if ( bar.Open() == bar.Close() ) {
m_rVolumes[ VDn ].ceVolumeUp.Append( dt, 0.0 );
m_rVolumes[ VDn ].ceVolumeNeutral.Append( dt, -bar.Volume() );
m_rVolumes[ VDn ].ceVolumeDn.Append( dt, 0.0 );
}
else {
if ( bar.Close() > bar.Open() ) {
m_rVolumes[ VDn ].ceVolumeUp.Append( dt, -bar.Volume() );
m_rVolumes[ VDn ].ceVolumeNeutral.Append( dt, 0.0 );
m_rVolumes[ VDn ].ceVolumeDn.Append( dt, 0.0 );
}
else {
m_rVolumes[ VDn ].ceVolumeUp.Append( dt, 0.0 );
m_rVolumes[ VDn ].ceVolumeNeutral.Append( dt, 0.0 );
m_rVolumes[ VDn ].ceVolumeDn.Append( dt, -bar.Volume() );
}
}
}
void ChartDVBasics::HandleZigZagPeak( const ou::tf::ZigZag&, ptime dt, double price, ou::tf::ZigZag::EDirection ) {
m_ceZigZag.Append( dt, price );
//m_zigzagPrice.SetFilterWidth( 0.17 * sqrt( price ) );
}
void ChartDVBasics::HandleZigZagUpDp( const ou::tf::ZigZag& ) {
}
void ChartDVBasics::HandleZigZagDnDp( const ou::tf::ZigZag& ) {
}
void ChartDVBasics::HandleTrade( const ou::tf::Trade& trade ) {
ptime dt( trade.DateTime() );
ou::tf::Trade::price_t price = trade.Price();
if ( m_bFirstTrade ) {
m_bFirstTrade = false;
//m_zigzagPrice.SetFilterWidth( 0.17 * sqrt( trade.Trade() ) );
m_zigzagPrice.SetFilterWidth( 4.0 );
}
m_ceTrade.Append( dt, price );
m_trades.Append( trade );
m_bfTrades.Add( trade );
m_zigzagPrice.Check( dt, price );
if ( 0 < m_quotes.Size() ) {
double mid = m_quoteLast.Midpoint();
if ( price == mid ) {
switch ( m_TradeDirection ) {
case ETradeDirection::TradeDirUnkn:
m_TradeDirection = ETradeDirection::TradeDirUp; // default to up
//break; fall through instead
case ETradeDirection::TradeDirUp: // leave as is
break;
case ETradeDirection::TradeDirDn: // leave as is
break;
}
++m_dblMdTicks;
//m_dblMdVolume += trade.Volume();
}
else {
if ( price > mid ) {
m_TradeDirection = ETradeDirection::TradeDirUp; // definitively up
//++m_dblMdTicks;
m_pricesTickDiffs.Append( ou::tf::Price( dt, +1.0 ) );
++m_dblUpTicks;
m_dblUpVolume += trade.Volume();
}
else {
m_TradeDirection = ETradeDirection::TradeDirDn; // definitively down
//--m_dblMdTicks;
m_pricesTickDiffs.Append( ou::tf::Price( dt, -1.0 ) );
++m_dblDnTicks;
m_dblDnVolume += trade.Volume();
}
}
switch ( m_TradeDirection ) {
case ETradeDirection::TradeDirUp:
m_bfBuys.Add( trade );
break;
case ETradeDirection::TradeDirDn:
m_bfSells.Add( trade );
break;
case ETradeDirection::TradeDirUnkn:
break;
}
// m_rtTickDiffs.Update();
double dif = m_rtTickDiffs.Net();
m_pricesTickDiffsROC.Append( ou::tf::Price( dt, dif ) );
if ( 45 < dif ) dif = 45;
if ( -45 > dif ) dif = -45;
m_ceTickDiffs.Append( dt, dif );
// m_rocTickDiffs.Update();
dif = m_rocTickDiffs.RateOfChange();
if ( 45 < dif ) dif = 45;
if ( -45 > dif ) dif = -45;
m_ceTickDiffsRoc.Append( dt, dif );
}
}
void ChartDVBasics::HandleQuote( const ou::tf::Quote& quote ) {
if ( !quote.IsValid() ) {
return;
}
// should also check that a price within 2 - 3 sigma of last
// problems occur when long trend happens and can't get out of opposing position.
ptime dt( quote.DateTime() );
m_quoteLast = quote;
m_quotes.Append( quote );
double midpoint = quote.Midpoint();
m_ceQuoteUpper.Append( dt, quote.Ask() );
m_ceQuoteLower.Append( dt, quote.Bid() );
m_ceQuoteSpread.Append( dt, quote.Ask() - quote.Bid() );
std::for_each(
m_vInfoBollinger.begin(), m_vInfoBollinger.end(),
[this,dt](infoBollinger& ib){
double lastEma, sd;
ib.m_ceEma.Append( dt, ib.m_ema.Ago( 0 ).Value() );
lastEma = ib.m_ema.Ago( 0 ).Value();
sd = 2.0 * ib.m_stats.SD();
ib.m_ceUpperBollinger.Append( dt, lastEma + sd );
ib.m_ceLowerBollinger.Append( dt, lastEma - sd );
ib.m_dblBollingerWidth = 2.0 * sd;
// if ( 0.0 < sd ) {
// ib.m_ceRatio.Append( dt, ( midpoint - lastEma ) / ( sd ) );
// }
double slope = ib.m_statsSlope.Slope();
if ( 100.0 < std::abs( slope ) ) {
}
else {
if ( ( slope <= DBL_MAX ) && ( slope >= -DBL_MAX ) ) {
ib.m_ceSlope.Append( dt, slope );
ib.m_tsStatsSlope.Append( ou::tf::Price( dt, slope ) );
double slopeby2 = ib.m_statsSlopeBy2.Slope();
if ( 100.0 < std::abs( slopeby2 ) ) {
}
else {
ib.m_ceSlopeBy2.Append( dt, slopeby2 );
ib.m_tsStatsSlopeBy2.Append( ou::tf::Price( dt, slopeby2 ) );
double slopeby3 = ib.m_statsSlopeBy3.Slope();
if ( 100.0 < std::abs( slopeby3 ) ) {
}
else {
ib.m_ceSlopeBy3.Append( dt, slopeby3 );
// if ( 0 == ix ) { // only on shortest time frame
// switch ( ib.m_stateAccel.State( slopeby3 ) ) {
// case ou::tf::Crossing<double>::EGTX:
// break;
// case ou::tf::Crossing<double>::ELTX:
// break;
// }
// }
}
}
}
}
});
}
} // namespace ou