├── MgFx.History
    ├── CsvLoader
    │   ├── DateFormat.cs
    │   ├── FileFormat.cs
    │   └── RegexFormats.cs
    ├── Metadata.cs
    ├── MgFx.History.csproj
    ├── Mt5Loader
    │   ├── Mt5Header.cs
    │   └── Mt5PriceQuote.cs
    ├── Price.cs
    ├── Properties
    │   └── AssemblyInfo.cs
    ├── Settings.StyleCop
    ├── TimeSeries.cs
    └── packages.config
├── MgFx.Indicators.sln
├── MgFx.Indicators
    ├── ATR.cs
    ├── ATRP.cs
    ├── Ac.cs
    ├── Adx.cs
    ├── Ao.cs
    ├── BOP.cs
    ├── BearsPower.cs
    ├── BullsPower.cs
    ├── COG.cs
    ├── DmiMinus.cs
    ├── DmiPlus.cs
    ├── Ema.cs
    ├── Extensions.cs
    ├── FIR.cs
    ├── Highest.cs
    ├── IIR.cs
    ├── Indicator.cs
    ├── LWMA.cs
    ├── Lowest.cs
    ├── MgFx.Indicators.csproj
    ├── Momentum.cs
    ├── Properties
    │   └── AssemblyInfo.cs
    ├── Rsi.cs
    ├── Settings.StyleCop
    ├── Sma.cs
    ├── Trix.cs
    ├── Wpr.cs
    └── packages.config
└── README.md


/MgFx.History/CsvLoader/DateFormat.cs:
--------------------------------------------------------------------------------
 1 | // --------------------------------------------------------------------------------------------------------------------
 2 | // <copyright file="DateFormat.cs" company="Mariusz Gumowski">
 3 | //   Copyright (c) 2003-2015 Mariusz Gumowski. All rights reserved.
 4 | // </copyright>
 5 | // <summary>
 6 | //   Date format selector class.
 7 | // </summary>
 8 | // --------------------------------------------------------------------------------------------------------------------
 9 | 
10 | namespace MgFx.History.CsvLoader
11 | {
12 |     /// <summary>
13 |     /// Date format selector class.
14 |     /// </summary>
15 |     public static class DateFormat
16 |     {
17 |         /// <summary>
18 |         /// Gets file format.
19 |         /// </summary>
20 |         /// <param name="fileFormat">Select <see cref="FileFormat"/>.</param>
21 |         /// <returns>Proper file format as <see cref="string"/>.</returns>
22 |         public static string Get(FileFormat fileFormat)
23 |         {
24 |             switch (fileFormat)
25 |             {
26 |                 case FileFormat.Generic:
27 |                     return "YYYYMMHH";
28 |             }
29 | 
30 |             return string.Empty;
31 |         }
32 |     }
33 | }
34 | 


--------------------------------------------------------------------------------
/MgFx.History/CsvLoader/FileFormat.cs:
--------------------------------------------------------------------------------
 1 | // --------------------------------------------------------------------------------------------------------------------
 2 | // <copyright file="FileFormat.cs" company="Mariusz Gumowski">
 3 | //   Copyright (c) 2003-2015 Mariusz Gumowski. All rights reserved.
 4 | // </copyright>
 5 | // <summary>
 6 | //   Various file formats supported by <see cref="CsvLoader" />.
 7 | // </summary>
 8 | // --------------------------------------------------------------------------------------------------------------------
 9 | 
10 | namespace MgFx.History.CsvLoader
11 | {
12 |     /// <summary>
13 |     /// Various file formats supported by <see cref="CsvLoader"/>.
14 |     /// </summary>
15 |     public enum FileFormat
16 |     {
17 |         /// <summary>
18 |         /// The generic date time format.
19 |         /// Example: 20120201 183205
20 |         /// </summary>
21 |         Generic,
22 | 
23 |         /// <summary>
24 |         /// <c>Metatrader</c> date time format.
25 |         /// Example: 2012.02.01,18:32
26 |         /// </summary>
27 |         Metatrader,
28 | 
29 |         /// <summary>
30 |         /// <c>Metastock</c> date time format.
31 |         /// Example: 201202011832
32 |         /// </summary>
33 |         Metastock,
34 | 
35 |         /// <summary>
36 |         /// <c>Ninjatrader</c> date time format.
37 |         /// Example: 20120201 183205
38 |         /// </summary>
39 |         NinjaTrader
40 |     }
41 | }
42 | 


--------------------------------------------------------------------------------
/MgFx.History/CsvLoader/RegexFormats.cs:
--------------------------------------------------------------------------------
  1 | // --------------------------------------------------------------------------------------------------------------------
  2 | // <copyright file="RegexFormats.cs" company="Mariusz Gumowski">
  3 | //   Copyright (c) 2003-2015 Mariusz Gumowski. All rights reserved.
  4 | // </copyright>
  5 | // <summary>
  6 | //   The regex formats.
  7 | // </summary>
  8 | // --------------------------------------------------------------------------------------------------------------------
  9 | 
 10 | namespace MgFx.History.CsvLoader
 11 | {
 12 |     /// <summary>
 13 |     /// The regex formats.
 14 |     /// </summary>
 15 |     public static class RegexFormats
 16 |     {
 17 |         /// <summary>
 18 |         /// The get.
 19 |         /// </summary>
 20 |         /// <param name="fileFormat">
 21 |         /// The file format.
 22 |         /// </param>
 23 |         /// <returns>
 24 |         /// The <see cref="string"/>.
 25 |         /// </returns>
 26 |         public static string Get(FileFormat fileFormat)
 27 |         {
 28 |             switch (fileFormat)
 29 |             {
 30 |                 case FileFormat.Generic:
 31 |                     // 20140101 000200;1.30111;1.309610;1.306350;1.306455;10
 32 |                     return @"^(?<date>\d{8}) (?<time>\d{6});(?<open>[0-9]*\.?[0-9]+);(?<high>[0-9]*\.?[0-9]+);(?<low>[0-9]*\.?[0-9]+);(?<close>[0-9]*\.?[0-9]+);(?<vol>[0-9]*\.?[0-9]+)";
 33 |             }
 34 | 
 35 |             return string.Empty;
 36 |         }
 37 |     }
 38 | }
 39 | 
 40 | /*
 41 |  * 
 42 |  * Data Files: Detailed Specification
 43 | Here you can find all the details regarding any file we allow you to download.
 44 | Please, don’t hesitate to send us a message in case you find any trouble with the forex data files available in this website.
 45 | 
 46 | Regarding your question, we output the historical data in 6 diferent file formats.
 47 | Here the details:
 48 | 
 49 | 1. Generic ASCII in M1 Bars (1 Minute Bars):
 50 | 
 51 | As example, in DAT_ASCII_EURUSD_M1_201202.csv:
 52 | 
 53 | 20120201 000000;1.306600;1.306600;1.306560;1.306560;0
 54 | 20120201 000100;1.306570;1.306570;1.306470;1.306560;0
 55 | 20120201 000200;1.306520;1.306560;1.306520;1.306560;0
 56 | 20120201 000300;1.306610;1.306610;1.306450;1.306450;0
 57 | 20120201 000400;1.306470;1.306540;1.306470;1.306520;0
 58 | 20120201 000500;1.306510;1.306650;1.306510;1.306600;0
 59 | 20120201 000600;1.306610;1.306760;1.306610;1.306650;0
 60 | 
 61 | Row Fields:
 62 | DateTime Stamp;Bar OPEN Bid Quote;Bar HIGH Bid Quote;Bar LOW Bid Quote;Bar CLOSE Bid Quote;Volume
 63 | 
 64 | DateTime Stamp Format:
 65 | YYYYMMDD HHMMSS
 66 | 
 67 | Legend:
 68 | YYYY – Year
 69 | MM – Month (01 to 12)
 70 | DD – Day of the Month
 71 | HH – Hour of the day (in 24h format)
 72 | MM – Minute
 73 | SS – Second, in this case it will be allways 00
 74 | 
 75 | TimeZone: Eastern Standard Time (EST) time-zone WITHOUT Day Light Savings adjustments
 76 | 
 77 | 2. Generic ASCII in Ticks:
 78 | 
 79 | As example, in DAT_ASCII_EURUSD_T_201202.csv:
 80 | 
 81 | 20120201 000003660,1.306600,1.306770,0
 82 | 20120201 000003973,1.306580,1.306750,0
 83 | 20120201 000005003,1.306590,1.306760,0
 84 | 20120201 000005707,1.306600,1.306770,0
 85 | 20120201 000006397,1.306590,1.306760,0
 86 | 20120201 000007083,1.306600,1.306770,0
 87 | 20120201 000014660,1.306560,1.306730,0
 88 | 20120201 000014990,1.306570,1.306740,0
 89 | 
 90 | Row Fields:
 91 | DateTime Stamp,Bid Quote,Ask Quote,Volume
 92 | 
 93 | DateTime Stamp Format:
 94 | YYYYMMDD HHMMSSNNN
 95 | 
 96 | Legend:
 97 | YYYY – Year
 98 | MM – Month (01 to 12)
 99 | DD – Day of the Month
100 | HH – Hour of the day (in 24h format)
101 | MM – Minute
102 | SS – Second
103 | NNN – Millisecond
104 | 
105 | TimeZone: Eastern Standard Time (EST) time-zone WITHOUT Day Light Savings adjustments
106 | 
107 | 3. MetaTrader in M1 Bars (1 Minute Bars):
108 | 
109 | As example, in DAT_MT_EURUSD_M1_201202.csv:
110 | 
111 | 2012.02.01,00:00,1.306600,1.306600,1.306560,1.306560,0
112 | 2012.02.01,00:01,1.306570,1.306570,1.306470,1.306560,0
113 | 2012.02.01,00:02,1.306520,1.306560,1.306520,1.306560,0
114 | 2012.02.01,00:03,1.306610,1.306610,1.306450,1.306450,0
115 | 2012.02.01,00:04,1.306470,1.306540,1.306470,1.306520,0
116 | 2012.02.01,00:05,1.306510,1.306650,1.306510,1.306600,0
117 | 2012.02.01,00:06,1.306610,1.306760,1.306610,1.306650,0
118 | 2012.02.01,00:07,1.306660,1.306660,1.306640,1.306650,0
119 | 
120 | Row Fields:
121 | Date Stamp,Time Stamp,Bar OPEN Bid Quote,Bar HIGH Bid Quote,Bar LOW Bid Quote,Bar CLOSE Bid Quote,Volume
122 | 
123 | Date Stamp Format:
124 | YYYY.MM.DD
125 | 
126 | Time Stamp Format:
127 | HH:MM
128 | 
129 | Legend:
130 | YYYY – Year
131 | MM – Month (01 to 12)
132 | DD – Day of the Month
133 | HH – Hour of the day (in 24h format)
134 | MM – Minute
135 | 
136 | TimeZone: Eastern Standard Time (EST) time-zone WITHOUT Day Light Savings adjustments
137 | 
138 | 4. MetaStock in M1 Bars (1 Minute Bars):
139 | 
140 | As example, in DAT_MS_EURUSD_M1_201202.csv:
141 | 
142 | EURUSD,201202010000,1.306600,1.306600,1.306560,1.306560,0
143 | EURUSD,201202010001,1.306570,1.306570,1.306470,1.306560,0
144 | EURUSD,201202010002,1.306520,1.306560,1.306520,1.306560,0
145 | EURUSD,201202010003,1.306610,1.306610,1.306450,1.306450,0
146 | EURUSD,201202010004,1.306470,1.306540,1.306470,1.306520,0
147 | EURUSD,201202010005,1.306510,1.306650,1.306510,1.306600,0
148 | EURUSD,201202010006,1.306610,1.306760,1.306610,1.306650,0
149 | EURUSD,201202010007,1.306660,1.306660,1.306640,1.306650,0
150 | 
151 | Row Fields:
152 | Forex Pair,DateTime Stamp,Bar OPEN Bid Quote,Bar HIGH Bid Quote,Bar LOW Bid Quote,Bar CLOSE Bid Quote,Volume
153 | 
154 | DateTime Stamp Format:
155 | YYYYMMDDHHMM
156 | 
157 | Legend:
158 | YYYY – Year
159 | MM – Month (01 to 12)
160 | DD – Day of the Month
161 | HH – Hour of the day (in 24h format)
162 | MM – Minute
163 | 
164 | TimeZone: Eastern Standard Time (EST) time-zone WITHOUT Day Light Savings adjustments
165 | 
166 | 5. Ninja Trader in M1 Bars (1 Minute Bars):
167 | 
168 | As example, in DAT_NT_EURUSD_M1_201202.csv:
169 | 
170 | 20120201 000000;1.306600;1.306600;1.306560;1.306560;0
171 | 20120201 000100;1.306570;1.306570;1.306470;1.306560;0
172 | 20120201 000200;1.306520;1.306560;1.306520;1.306560;0
173 | 20120201 000300;1.306610;1.306610;1.306450;1.306450;0
174 | 20120201 000400;1.306470;1.306540;1.306470;1.306520;0
175 | 20120201 000500;1.306510;1.306650;1.306510;1.306600;0
176 | 20120201 000600;1.306610;1.306760;1.306610;1.306650;0
177 | 
178 | Row Fields:
179 | DateTime Stamp;Bar OPEN Bid Quote;Bar HIGH Bid Quote;Bar LOW Bid Quote;Bar CLOSE Bid Quote;Volume
180 | 
181 | DateTime Stamp Format:
182 | YYYYMMDD HHMMSS
183 | 
184 | Legend:
185 | YYYY – Year
186 | MM – Month (01 to 12)
187 | DD – Day of the Month
188 | HH – Hour of the day (in 24h format)
189 | MM – Minute
190 | SS – Second, in this case it will be allways 00
191 | 
192 | TimeZone: Eastern Standard Time (EST) time-zone WITHOUT Day Light Savings adjustments
193 | 
194 | 6. Ninja Trader in Tick Bars (1 Second Bars) with Last Quotes:
195 | 
196 | As example, in DAT_NT_AUDCAD_T_LAST_201212.csv:
197 | 
198 | 20121202 170010;1.035400;0
199 | 20121202 170013;1.035600;0
200 | 20121202 170017;1.035550;0
201 | 20121202 170023;1.035550;0
202 | 20121202 170024;1.035600;0
203 | 20121202 170030;1.035550;0
204 | 20121202 170040;1.035610;0
205 | 
206 | Row Fields:
207 | DateTime Stamp;LAST Quote;Volume
208 | 
209 | DateTime Stamp Format:
210 | YYYYMMDD HHMMSS
211 | 
212 | Legend:
213 | YYYY – Year
214 | MM – Month (01 to 12)
215 | DD – Day of the Month
216 | HH – Hour of the day (in 24h format)
217 | MM – Minute
218 | SS – Second
219 | 
220 | TimeZone: Eastern Standard Time (EST) time-zone WITHOUT Day Light Savings adjustments
221 | 
222 | 7. Ninja Trader in Tick Bars (1 Second Bars) with Bid Quotes:
223 | 
224 | As example, in DAT_NT_AUDCAD_T_BID_201212.csv:
225 | 
226 | 20121202 170010;1.035400;0
227 | 20121202 170013;1.035450;0
228 | 20121202 170017;1.035550;0
229 | 20121202 170023;1.035550;0
230 | 20121202 170024;1.035600;0
231 | 20121202 170030;1.035550;0
232 | 20121202 170040;1.035610;0
233 | 
234 | Row Fields:
235 | DateTime Stamp;BID Quote;Volume
236 | 
237 | DateTime Stamp Format:
238 | YYYYMMDD HHMMSS
239 | 
240 | Legend:
241 | YYYY – Year
242 | MM – Month (01 to 12)
243 | DD – Day of the Month
244 | HH – Hour of the day (in 24h format)
245 | MM – Minute
246 | SS – Second
247 | 
248 | TimeZone: Eastern Standard Time (EST) time-zone WITHOUT Day Light Savings adjustments
249 | 
250 | 8. Ninja Trader in Tick Bars (1 Second Bars) with Ask Quotes:
251 | 
252 | As example, in DAT_NT_AUDCAD_T_ASK_201212.csv:
253 | 
254 | 20121202 170010;1.035990;0
255 | 20121202 170013;1.036050;0
256 | 20121202 170017;1.036100;0
257 | 20121202 170023;1.036050;0
258 | 20121202 170024;1.036100;0
259 | 20121202 170030;1.036100;0
260 | 20121202 170040;1.036210;0
261 | 
262 | Row Fields:
263 | DateTime Stamp;ASK Quote;Volume
264 | 
265 | DateTime Stamp Format:
266 | YYYYMMDD HHMMSS
267 | 
268 | Legend:
269 | YYYY – Year
270 | MM – Month (01 to 12)
271 | DD – Day of the Month
272 | HH – Hour of the day (in 24h format)
273 | MM – Minute
274 | SS – Second
275 | 
276 | TimeZone: Eastern Standard Time (EST) time-zone WITHOUT Day Light Savings adjustments
277 | */


--------------------------------------------------------------------------------
/MgFx.History/Metadata.cs:
--------------------------------------------------------------------------------
 1 | // --------------------------------------------------------------------------------------------------------------------
 2 | // <copyright file="Metadata.cs" company="Mariusz Gumowski">
 3 | //   Copyright (c) 2003-2015 Mariusz Gumowski. All rights reserved.
 4 | // </copyright>
 5 | // <summary>
 6 | //   Metadata of trading instrument.
 7 | // </summary>
 8 | // --------------------------------------------------------------------------------------------------------------------
 9 | 
10 | namespace MgFx.History
11 | {
12 |     using System;
13 | 
14 |     /// <summary>
15 |     /// Metadata of trading instrument.
16 |     /// </summary>
17 |     public class Metadata
18 |     {
19 |         /// <summary>
20 |         /// Gets or sets the symbol.
21 |         /// </summary>
22 |         public string Symbol { get; set; }
23 | 
24 |         /// <summary>
25 |         /// Gets or sets the period.
26 |         /// </summary>
27 |         public int Period { get; set; }
28 | 
29 |         /// <summary>
30 |         /// Gets or sets the filename.
31 |         /// </summary>
32 |         public string Filename { get; set; }
33 | 
34 |         /// <summary>
35 |         /// Gets or sets the start date and time.
36 |         /// </summary>
37 |         public DateTime Start { get; set; }
38 | 
39 |         /// <summary>
40 |         /// Gets or sets the end date and time.
41 |         /// </summary>
42 |         public DateTime End { get; set; }
43 |     }
44 | }
45 | 


--------------------------------------------------------------------------------
/MgFx.History/MgFx.History.csproj:
--------------------------------------------------------------------------------
 1 | <?xml version="1.0" encoding="utf-8"?>
 2 | <Project ToolsVersion="4.0" DefaultTargets="Build" xmlns="http://schemas.microsoft.com/developer/msbuild/2003">
 3 |   <Import Project="$(MSBuildExtensionsPath)\$(MSBuildToolsVersion)\Microsoft.Common.props" Condition="Exists('$(MSBuildExtensionsPath)\$(MSBuildToolsVersion)\Microsoft.Common.props')" />
 4 |   <PropertyGroup>
 5 |     <Configuration Condition=" '$(Configuration)' == '' ">Debug</Configuration>
 6 |     <Platform Condition=" '$(Platform)' == '' ">AnyCPU</Platform>
 7 |     <ProjectGuid>{2A0E2923-69E5-473A-9C59-C31DD530CC74}</ProjectGuid>
 8 |     <OutputType>Library</OutputType>
 9 |     <AppDesignerFolder>Properties</AppDesignerFolder>
10 |     <RootNamespace>MgFx.History</RootNamespace>
11 |     <AssemblyName>MgFx.History</AssemblyName>
12 |     <TargetFrameworkVersion>v4.5.1</TargetFrameworkVersion>
13 |     <FileAlignment>512</FileAlignment>
14 |     <SolutionDir Condition="$(SolutionDir) == '' Or $(SolutionDir) == '*Undefined*'">..\</SolutionDir>
15 |     <RestorePackages>true</RestorePackages>
16 |   </PropertyGroup>
17 |   <PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Debug|AnyCPU' ">
18 |     <DebugSymbols>true</DebugSymbols>
19 |     <DebugType>full</DebugType>
20 |     <Optimize>false</Optimize>
21 |     <OutputPath>bin\Debug\</OutputPath>
22 |     <DefineConstants>DEBUG;TRACE</DefineConstants>
23 |     <ErrorReport>prompt</ErrorReport>
24 |     <WarningLevel>4</WarningLevel>
25 |   </PropertyGroup>
26 |   <PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Release|AnyCPU' ">
27 |     <DebugType>pdbonly</DebugType>
28 |     <Optimize>true</Optimize>
29 |     <OutputPath>bin\Release\</OutputPath>
30 |     <DefineConstants>TRACE</DefineConstants>
31 |     <ErrorReport>prompt</ErrorReport>
32 |     <WarningLevel>4</WarningLevel>
33 |   </PropertyGroup>
34 |   <ItemGroup>
35 |     <Reference Include="CuttingEdge.Conditions">
36 |       <HintPath>..\packages\CuttingEdge.Conditions.1.2.0.0\lib\NET35\CuttingEdge.Conditions.dll</HintPath>
37 |     </Reference>
38 |     <Reference Include="System" />
39 |     <Reference Include="System.Core" />
40 |     <Reference Include="System.Xml.Linq" />
41 |     <Reference Include="System.Data.DataSetExtensions" />
42 |     <Reference Include="Microsoft.CSharp" />
43 |     <Reference Include="System.Data" />
44 |     <Reference Include="System.Xml" />
45 |   </ItemGroup>
46 |   <ItemGroup>
47 |     <Compile Include="CsvLoader\DateFormat.cs" />
48 |     <Compile Include="CsvLoader\FileFormat.cs" />
49 |     <Compile Include="CsvLoader\RegexFormats.cs" />
50 |     <Compile Include="Metadata.cs" />
51 |     <Compile Include="Mt5Loader\Mt5Header.cs" />
52 |     <Compile Include="Mt5Loader\Mt5PriceQuote.cs">
53 |       <ExcludeFromStyleCop>False</ExcludeFromStyleCop>
54 |     </Compile>
55 |     <Compile Include="Price.cs" />
56 |     <Compile Include="Properties\AssemblyInfo.cs" />
57 |     <Compile Include="TimeSeries.cs" />
58 |   </ItemGroup>
59 |   <ItemGroup />
60 |   <ItemGroup>
61 |     <None Include="packages.config" />
62 |   </ItemGroup>
63 |   <Import Project="$(MSBuildToolsPath)\Microsoft.CSharp.targets" />
64 |   <Import Project="$(SolutionDir)\.nuget\NuGet.targets" Condition="Exists('$(SolutionDir)\.nuget\NuGet.targets')" />
65 |   <Target Name="EnsureNuGetPackageBuildImports" BeforeTargets="PrepareForBuild">
66 |     <PropertyGroup>
67 |       <ErrorText>This project references NuGet package(s) that are missing on this computer. Enable NuGet Package Restore to download them.  For more information, see http://go.microsoft.com/fwlink/?LinkID=322105. The missing file is {0}.</ErrorText>
68 |     </PropertyGroup>
69 |     <Error Condition="!Exists('$(SolutionDir)\.nuget\NuGet.targets')" Text="$([System.String]::Format('$(ErrorText)', '$(SolutionDir)\.nuget\NuGet.targets'))" />
70 |   </Target>
71 |   <!-- To modify your build process, add your task inside one of the targets below and uncomment it. 
72 |        Other similar extension points exist, see Microsoft.Common.targets.
73 |   <Target Name="BeforeBuild">
74 |   </Target>
75 |   <Target Name="AfterBuild">
76 |   </Target>
77 |   -->
78 | </Project>


--------------------------------------------------------------------------------
/MgFx.History/Mt5Loader/Mt5Header.cs:
--------------------------------------------------------------------------------
 1 | // --------------------------------------------------------------------------------------------------------------------
 2 | // <copyright file="Mt5Header.cs" company="Mariusz Gumowski">
 3 | //   Copyright (c) 2003-2015 Mariusz Gumowski. All rights reserved.
 4 | // </copyright>
 5 | // <summary>
 6 | //   <c>Metatrader</c> 5 History header format
 7 | // </summary>
 8 | // --------------------------------------------------------------------------------------------------------------------
 9 | 
10 | namespace MgFx.History.Mt5Loader
11 | {
12 |     using System;
13 |     using System.Text;
14 | 
15 |     using CuttingEdge.Conditions;
16 | 
17 |     /// <summary>
18 |     /// <c>Metatrader</c> 5 History header format
19 |     /// </summary>
20 |     public class MT5Header
21 |     {
22 |         /// <summary>
23 |         /// The size of quote in bytes.
24 |         /// </summary>
25 |         public const int Size = 148;
26 | 
27 |         /// <summary>
28 |         /// Initializes a new instance of the <see cref="MT5Header"/> class. 
29 |         /// </summary>
30 |         /// <param name="bytes"> Bytes buffer from file.</param>
31 |         public MT5Header(byte[] bytes)
32 |         {
33 |             Condition.Requires(bytes, "bytes")
34 |                 .IsNotNull()
35 |                 .HasLength(Size);
36 | 
37 |             this.Version = BitConverter.ToInt32(bytes, 0);
38 |             this.Copyright = Encoding.ASCII.GetString(bytes, 4, 64);
39 |             this.Symbol = Encoding.ASCII.GetString(bytes, 68, 12);
40 |             this.Period = BitConverter.ToInt32(bytes, 80);
41 |             this.Digits = BitConverter.ToInt32(bytes, 84);
42 |         }
43 | 
44 |         /// <summary>
45 |         /// Gets the version.
46 |         /// </summary>
47 |         public int Version { get; private set; }
48 | 
49 |         /// <summary>
50 |         /// Gets the copyright.
51 |         /// </summary>
52 |         public string Copyright { get; private set; }
53 | 
54 |         /// <summary>
55 |         /// Gets the symbol.
56 |         /// </summary>
57 |         public string Symbol { get; private set; }
58 | 
59 |         /// <summary>
60 |         /// Gets the period.
61 |         /// </summary>
62 |         public int Period { get; private set; }
63 | 
64 |         /// <summary>
65 |         /// Gets the digits.
66 |         /// </summary>
67 |         public int Digits { get; private set; }
68 |     }
69 | }
70 | 


--------------------------------------------------------------------------------
/MgFx.History/Mt5Loader/Mt5PriceQuote.cs:
--------------------------------------------------------------------------------
 1 | // --------------------------------------------------------------------------------------------------------------------
 2 | // <copyright file="Mt5PriceQuote.cs" company="Mariusz Gumowski">
 3 | //   Copyright (c) 2003-2015 Mariusz Gumowski. All rights reserved.
 4 | // </copyright>
 5 | // <summary>
 6 | //   <c>Metatrader</c> 5 Single Price Quote Format
 7 | // </summary>
 8 | // --------------------------------------------------------------------------------------------------------------------
 9 | 
10 | namespace MgFx.History.Mt5Loader
11 | {
12 |     using System;
13 | 
14 |     using CuttingEdge.Conditions;
15 | 
16 |     /// <summary>
17 |     /// <c>Metatrader</c> 5 Single Price Quote Format
18 |     /// </summary>
19 |     public class MT5PriceQuote
20 |     {
21 |         /// <summary>
22 |         /// The size of header in bytes.
23 |         /// </summary>
24 |         public const int Size = 60;
25 | 
26 |         /// <summary>
27 |         /// Initializes a new instance of the <see cref="MT5PriceQuote"/> class.
28 |         /// </summary>
29 |         /// <param name="bytes">Bytes buffer from file.</param>
30 |         public MT5PriceQuote(byte[] bytes)
31 |         {
32 |             Condition.Requires(bytes, "bytes")
33 |                 .IsNotEmpty()
34 |                 .HasLength(Size);
35 | 
36 |             this.Time = UnixTimeStampToDateTime(BitConverter.ToUInt64(bytes, 0));
37 |             this.Open = BitConverter.ToDouble(bytes, 8);
38 |             this.High = BitConverter.ToDouble(bytes, 16);
39 |             this.Low = BitConverter.ToDouble(bytes, 24);
40 |             this.Close = BitConverter.ToDouble(bytes, 32);
41 |             this.TickCount = BitConverter.ToInt64(bytes, 40);
42 |             this.Spread = BitConverter.ToInt32(bytes, 48);
43 |             this.Vol = BitConverter.ToInt64(bytes, 52);
44 |         }
45 | 
46 |         /// <summary>
47 |         /// Gets the time.
48 |         /// </summary>
49 |         public DateTime Time { get; private set; }
50 | 
51 |         /// <summary>
52 |         /// Gets the opening price.
53 |         /// </summary>
54 |         public double Open { get; private set; }
55 | 
56 |         /// <summary>
57 |         /// Gets the highest price.
58 |         /// </summary>
59 |         public double High { get; private set; }
60 | 
61 |         /// <summary>
62 |         /// Gets the lowest price.
63 |         /// </summary>
64 |         public double Low { get; private set; }
65 | 
66 |         /// <summary>
67 |         /// Gets the close price.
68 |         /// </summary>
69 |         public double Close { get; private set; }
70 | 
71 |         /// <summary>
72 |         /// Gets the tick count.
73 |         /// </summary>
74 |         public long TickCount { get; private set; }
75 | 
76 |         /// <summary>
77 |         /// Gets the spread.
78 |         /// </summary>
79 |         public int Spread { get; private set; }
80 | 
81 |         /// <summary>
82 |         /// Gets the volume.
83 |         /// </summary>
84 |         public long Vol { get; private set; }
85 | 
86 |         /// <summary>
87 |         /// Converts unix time stamp to date time.
88 |         /// </summary>
89 |         /// <param name="unixTimeStamp">The unix time stamp.</param>
90 |         /// <returns>The <see cref="DateTime"/>.</returns>
91 |         private static DateTime UnixTimeStampToDateTime(ulong unixTimeStamp)
92 |         {
93 |             var dateTime = new DateTime(1970, 1, 1, 0, 0, 0, 0);
94 |             dateTime = dateTime.AddSeconds(unixTimeStamp).ToLocalTime();
95 |             return dateTime;
96 |         }
97 |     }
98 | }
99 | 


--------------------------------------------------------------------------------
/MgFx.History/Price.cs:
--------------------------------------------------------------------------------
 1 | // --------------------------------------------------------------------------------------------------------------------
 2 | // <copyright file="Price.cs" company="Mariusz Gumowski">
 3 | //   Copyright (c) 2003-2015 Mariusz Gumowski. All rights reserved.
 4 | // </copyright>
 5 | // <summary>
 6 | //   Enumerates different prices
 7 | // </summary>
 8 | // --------------------------------------------------------------------------------------------------------------------
 9 | 
10 | namespace MgFx.History
11 | {
12 |     /// <summary>
13 |     /// Enumerates different prices
14 |     /// </summary>
15 |     public enum Price
16 |     {
17 |         /// <summary>
18 |         /// Open price
19 |         /// </summary>
20 |         Open,
21 | 
22 |         /// <summary>
23 |         /// Highest price
24 |         /// </summary>
25 |         High,
26 | 
27 |         /// <summary>
28 |         /// Lowest price
29 |         /// </summary>
30 |         Low,
31 | 
32 |         /// <summary>
33 |         /// Closing price
34 |         /// </summary>
35 |         Close,
36 | 
37 |         /// <summary>
38 |         /// Median price, (High + Low) / 2
39 |         /// </summary>
40 |         Median,
41 | 
42 |         /// <summary>
43 |         /// Typical price, (High + Low + Close) / 3
44 |         /// </summary>
45 |         Typical,
46 | 
47 |         /// <summary>
48 |         /// Weighted price, (Open + High + Low + Close) / 4
49 |         /// </summary>
50 |         Weighted
51 |     }
52 | }
53 | 


--------------------------------------------------------------------------------
/MgFx.History/Properties/AssemblyInfo.cs:
--------------------------------------------------------------------------------
 1 | // --------------------------------------------------------------------------------------------------------------------
 2 | // <copyright file="AssemblyInfo.cs" company="Mariusz Gumowski">
 3 | //   Copyright (c) 2003-2015 Mariusz Gumowski. All rights reserved.
 4 | // </copyright>
 5 | // <summary>
 6 | //   AssemblyInfo.cs
 7 | // </summary>
 8 | // --------------------------------------------------------------------------------------------------------------------
 9 | 
10 | using System.Reflection;
11 | using System.Runtime.InteropServices;
12 | 
13 | // General Information about an assembly is controlled through the following 
14 | // set of attributes. Change these attribute values to modify the information
15 | // associated with an assembly.
16 | [assembly: AssemblyTitle("MgFx.History")]
17 | [assembly: AssemblyDescription("")]
18 | [assembly: AssemblyConfiguration("")]
19 | [assembly: AssemblyCompany("Mariusz Gumowski")]
20 | [assembly: AssemblyProduct("MgFx.History")]
21 | [assembly: AssemblyCopyright("Copyright ©  2014")]
22 | [assembly: AssemblyTrademark("")]
23 | [assembly: AssemblyCulture("")]
24 | 
25 | // Setting ComVisible to false makes the types in this assembly not visible 
26 | // to COM components.  If you need to access a type in this assembly from 
27 | // COM, set the ComVisible attribute to true on that type.
28 | [assembly: ComVisible(false)]
29 | 
30 | // The following GUID is for the ID of the typelib if this project is exposed to COM
31 | [assembly: Guid("c04d5523-ae3f-4335-a35c-6cb3d8850152")]
32 | 
33 | // Version information for an assembly consists of the following four values:
34 | //
35 | //      Major Version
36 | //      Minor Version 
37 | //      Build Number
38 | //      Revision
39 | //
40 | // You can specify all the values or you can default the Build and Revision Numbers 
41 | // by using the '*' as shown below:
42 | // [assembly: AssemblyVersion("1.0.*")]
43 | [assembly: AssemblyVersion("1.0.0.0")]
44 | [assembly: AssemblyFileVersion("1.0.0.0")]
45 | 


--------------------------------------------------------------------------------
/MgFx.History/Settings.StyleCop:
--------------------------------------------------------------------------------
 1 | <StyleCopSettings Version="105">
 2 |   <GlobalSettings>
 3 |     <BooleanProperty Name="WriteCache">False</BooleanProperty>
 4 |   </GlobalSettings>
 5 |   <Analyzers>
 6 |     <Analyzer AnalyzerId="StyleCop.CSharp.DocumentationRules">
 7 |       <AnalyzerSettings>
 8 |         <StringProperty Name="CompanyName">Mariusz Gumowski</StringProperty>
 9 |         <StringProperty Name="Copyright">Copyright (c) 2003-2015 Mariusz Gumowski. All rights reserved.</StringProperty>
10 |       </AnalyzerSettings>
11 |     </Analyzer>
12 |   </Analyzers>
13 | </StyleCopSettings>


--------------------------------------------------------------------------------
/MgFx.History/TimeSeries.cs:
--------------------------------------------------------------------------------
 1 | // --------------------------------------------------------------------------------------------------------------------
 2 | // <copyright file="TimeSeries.cs" company="Mariusz Gumowski">
 3 | //   Copyright (c) 2003-2015 Mariusz Gumowski. All rights reserved.
 4 | // </copyright>
 5 | // <summary>
 6 | //   The time series.
 7 | // </summary>
 8 | // --------------------------------------------------------------------------------------------------------------------
 9 | 
10 | namespace MgFx.History
11 | {
12 |     using System;
13 | 
14 |     /// <summary>
15 |     /// The time series.
16 |     /// </summary>
17 |     public class TimeSeries
18 |     {
19 |         /// <summary>
20 |         /// Gets the open price series.
21 |         /// </summary>
22 |         public double[] Open { get; private set; }
23 | 
24 |         /// <summary>
25 |         /// Gets the highest price series.
26 |         /// </summary>
27 |         public double[] High { get; private set; }
28 | 
29 |         /// <summary>
30 |         /// Gets the lowest price series.
31 |         /// </summary>
32 |         public double[] Low { get; private set; }
33 | 
34 |         /// <summary>
35 |         /// Gets the close price series.
36 |         /// </summary>
37 |         public double[] Close { get; private set; }
38 | 
39 |         /// <summary>
40 |         /// Gets the volume series.
41 |         /// </summary>
42 |         public double[] Vol { get; private set; }
43 | 
44 |         /// <summary>
45 |         /// Gets the median price series.
46 |         /// </summary>
47 |         public double[] Median { get; private set; }
48 | 
49 |         /// <summary>
50 |         /// Gets the typical price series.
51 |         /// </summary>
52 |         public double[] Typical { get; private set; }
53 | 
54 |         /// <summary>
55 |         /// Gets the weighted price series.
56 |         /// </summary>
57 |         public double[] Weighted { get; private set; }
58 | 
59 |         /// <summary>
60 |         /// Gets the date and time series.
61 |         /// </summary>
62 |         public DateTime[] Time { get; private set; }
63 |     }
64 | }
65 | 


--------------------------------------------------------------------------------
/MgFx.History/packages.config:
--------------------------------------------------------------------------------
1 | <?xml version="1.0" encoding="utf-8"?>
2 | <packages>
3 |   <package id="CuttingEdge.Conditions" version="1.2.0.0" targetFramework="net451" />
4 | </packages>


--------------------------------------------------------------------------------
/MgFx.Indicators.sln:
--------------------------------------------------------------------------------
 1 | 
 2 | Microsoft Visual Studio Solution File, Format Version 12.00
 3 | # Visual Studio 2012
 4 | Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "MgFx.Indicators", "MgFx.Indicators\MgFx.Indicators.csproj", "{56D38122-EC90-4FFE-8E41-23D1BC5213BA}"
 5 | 	ProjectSection(ProjectDependencies) = postProject
 6 | 		{2A0E2923-69E5-473A-9C59-C31DD530CC74} = {2A0E2923-69E5-473A-9C59-C31DD530CC74}
 7 | 	EndProjectSection
 8 | EndProject
 9 | Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "MgFx.History", "MgFx.History\MgFx.History.csproj", "{2A0E2923-69E5-473A-9C59-C31DD530CC74}"
10 | EndProject
11 | Project("{2150E333-8FDC-42A3-9474-1A3956D46DE8}") = ".nuget", ".nuget", "{000520AB-974D-48E4-82D3-C7B9F45CC948}"
12 | 	ProjectSection(SolutionItems) = preProject
13 | 		.nuget\NuGet.Config = .nuget\NuGet.Config
14 | 		.nuget\NuGet.exe = .nuget\NuGet.exe
15 | 		.nuget\NuGet.targets = .nuget\NuGet.targets
16 | 	EndProjectSection
17 | EndProject
18 | Global
19 | 	GlobalSection(SolutionConfigurationPlatforms) = preSolution
20 | 		Debug|Any CPU = Debug|Any CPU
21 | 		Release|Any CPU = Release|Any CPU
22 | 	EndGlobalSection
23 | 	GlobalSection(ProjectConfigurationPlatforms) = postSolution
24 | 		{56D38122-EC90-4FFE-8E41-23D1BC5213BA}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
25 | 		{56D38122-EC90-4FFE-8E41-23D1BC5213BA}.Debug|Any CPU.Build.0 = Debug|Any CPU
26 | 		{56D38122-EC90-4FFE-8E41-23D1BC5213BA}.Release|Any CPU.ActiveCfg = Release|Any CPU
27 | 		{56D38122-EC90-4FFE-8E41-23D1BC5213BA}.Release|Any CPU.Build.0 = Release|Any CPU
28 | 		{2A0E2923-69E5-473A-9C59-C31DD530CC74}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
29 | 		{2A0E2923-69E5-473A-9C59-C31DD530CC74}.Debug|Any CPU.Build.0 = Debug|Any CPU
30 | 		{2A0E2923-69E5-473A-9C59-C31DD530CC74}.Release|Any CPU.ActiveCfg = Release|Any CPU
31 | 		{2A0E2923-69E5-473A-9C59-C31DD530CC74}.Release|Any CPU.Build.0 = Release|Any CPU
32 | 	EndGlobalSection
33 | 	GlobalSection(SolutionProperties) = preSolution
34 | 		HideSolutionNode = FALSE
35 | 	EndGlobalSection
36 | EndGlobal
37 | 


--------------------------------------------------------------------------------
/MgFx.Indicators/ATR.cs:
--------------------------------------------------------------------------------
 1 | // --------------------------------------------------------------------------------------------------------------------
 2 | // <copyright file="ATR.cs" company="Mariusz Gumowski">
 3 | //   Copyright (c) 2003-2015 Mariusz Gumowski. All rights reserved.
 4 | // </copyright>
 5 | // <summary>
 6 | //   Average True Range Indicator.
 7 | // </summary>
 8 | // --------------------------------------------------------------------------------------------------------------------
 9 | 
10 | namespace MgFx.Indicators
11 | {
12 |     using System;
13 | 
14 |     using CuttingEdge.Conditions;
15 | 
16 |     using MgFx.History;
17 | 
18 |     /// <summary>
19 |     /// Average True Range Indicator.
20 |     /// </summary>
21 |     public class ATR : Indicator
22 |     {
23 |         /// <summary>
24 |         /// Initializes a new instance of the <see cref="ATR"/> class. 
25 |         /// </summary>
26 |         public ATR()
27 |         {
28 |             this.Name = "Welles Wilder's Average True Range";
29 |             this.ShortName = "ATR";
30 |         }
31 | 
32 |         /// <summary>
33 |         /// Calculates indicator.
34 |         /// </summary>
35 |         /// <param name="period">Indicator period.</param>
36 |         /// <param name="timeSeries">Instrument <c>ohlc</c> time series.</param>
37 |         /// <returns>Calculated indicator series.</returns>
38 |         public static double[] Calculate(int period, TimeSeries timeSeries)
39 |         {
40 |             Condition.Requires(timeSeries, "timeSeries")
41 |                 .IsNotNull();
42 |             Condition.Requires(period, "period")
43 |                 .IsGreaterThan(0)
44 |                 .IsLessOrEqual(timeSeries.Close.Length);
45 | 
46 |             var temp = new double[timeSeries.Close.Length];
47 |             temp[0] = 0;
48 | 
49 |             for (var i = 1; i < timeSeries.Close.Length; i++)
50 |             {
51 |                 var diff1 = Math.Abs(timeSeries.Close[i - 1] - timeSeries.High[i]);
52 |                 var diff2 = Math.Abs(timeSeries.Close[i - 1] - timeSeries.Low[i]);
53 |                 var diff3 = timeSeries.High[i] - timeSeries.Low[i];
54 | 
55 |                 var max = diff1 > diff2 ? diff1 : diff2;
56 |                 temp[i] = max > diff3 ? max : diff3;
57 |             }
58 | 
59 |             var atr = SMA.Calculate(temp, period);
60 | 
61 |             return atr;
62 |         }
63 |     }
64 | }
65 | 


--------------------------------------------------------------------------------
/MgFx.Indicators/ATRP.cs:
--------------------------------------------------------------------------------
 1 | // --------------------------------------------------------------------------------------------------------------------
 2 | // <copyright file="ATRP.cs" company="Mariusz Gumowski">
 3 | //   Copyright (c) 2003-2015 Mariusz Gumowski. All rights reserved.
 4 | // </copyright>
 5 | // <summary>
 6 | //   Average True Range Percentage Indicator.
 7 | // </summary>
 8 | // --------------------------------------------------------------------------------------------------------------------
 9 | 
10 | namespace MgFx.Indicators
11 | {
12 |     using CuttingEdge.Conditions;
13 | 
14 |     using MgFx.History;
15 | 
16 |     /// <summary>
17 |     /// Average True Range Percentage Indicator.
18 |     /// </summary>
19 |     public class ATRP : Indicator
20 |     {
21 |         /// <summary>
22 |         /// Initializes a new instance of the <see cref="ATRP"/> class. 
23 |         /// </summary>
24 |         public ATRP()
25 |         {
26 |             this.Name = "Average True Range Percentage";
27 |             this.ShortName = "ATRP";
28 |         }
29 | 
30 |         /// <summary>
31 |         /// Calculates indicator.
32 |         /// </summary>
33 |         /// <param name="period">Indicator period.</param>
34 |         /// <param name="timeSeries">Instrument <c>ohlc</c> time series.</param>
35 |         /// <returns>Calculated indicator series.</returns>
36 |         public static double[] Calculate(int period, TimeSeries timeSeries)
37 |         {
38 |             Condition.Requires(timeSeries, "timeSeries")
39 |                 .IsNotNull();
40 |             Condition.Requires(period, "period")
41 |                 .IsGreaterThan(0)
42 |                 .IsLessOrEqual(timeSeries.Close.Length);
43 | 
44 |             var atr = ATR.Calculate(period, timeSeries);
45 |             var atrp = new double[atr.Length];
46 |             for (var i = period; i < timeSeries.Close.Length; i++)
47 |             {
48 |                 atrp[i] = atr[i] * 100.0 / timeSeries.Close[i];
49 |             }
50 | 
51 |             return atrp;
52 |         }
53 |     }
54 | }
55 | 


--------------------------------------------------------------------------------
/MgFx.Indicators/Ac.cs:
--------------------------------------------------------------------------------
 1 | // --------------------------------------------------------------------------------------------------------------------
 2 | // <copyright file="Ac.cs" company="Mariusz Gumowski">
 3 | //   Copyright (c) 2003-2015 Mariusz Gumowski. All rights reserved.
 4 | // </copyright>
 5 | // <summary>
 6 | //   Accelerator / Decelerator Indicator.
 7 | // </summary>
 8 | // --------------------------------------------------------------------------------------------------------------------
 9 | 
10 | namespace MgFx.Indicators
11 | {
12 |     using CuttingEdge.Conditions;
13 | 
14 |     /// <summary>
15 |     /// Accelerator / Decelerator Indicator.
16 |     /// </summary>
17 |     public class AC : Indicator
18 |     {
19 |         /// <summary>
20 |         /// Initializes a new instance of the <see cref="AC"/> class. 
21 |         /// </summary>
22 |         public AC()
23 |         {
24 |             this.Name = "Bill Williams' Accelerator/Decelerator oscillator";
25 |             this.ShortName = "AC";
26 |         }
27 | 
28 |         /// <summary>
29 |         /// Calculates indicator.
30 |         /// </summary>
31 |         /// <param name="price">Price series.</param>
32 |         /// <param name="period">Indicator period.</param>
33 |         /// <returns>Calculated indicator series.</returns>
34 |         public static double[] Calculate(double[] price, int period)
35 |         {
36 |             Condition.Requires(price, "price")
37 |                 .IsNotEmpty();
38 |             Condition.Requires(period, "period")
39 |                 .IsGreaterThan(0)
40 |                 .IsLessOrEqual(price.Length);
41 | 
42 |             var ao = AO.Calculate(price);
43 |             var smaOfAo = SMA.Calculate(ao, 5);
44 |             var ac = new double[price.Length];
45 |             for (var i = 0; i < price.Length; ++i)
46 |             {
47 |                 ac[i] = ao[i] - smaOfAo[i];
48 |             }
49 | 
50 |             return ac;
51 |         }
52 |     }
53 | }
54 | 


--------------------------------------------------------------------------------
/MgFx.Indicators/Adx.cs:
--------------------------------------------------------------------------------
 1 | // --------------------------------------------------------------------------------------------------------------------
 2 | // <copyright file="Adx.cs" company="Mariusz Gumowski">
 3 | //   Copyright (c) 2003-2015 Mariusz Gumowski. All rights reserved.
 4 | // </copyright>
 5 | // <summary>
 6 | //   Average Directional Movement Index Indicator.
 7 | // </summary>
 8 | // --------------------------------------------------------------------------------------------------------------------
 9 | 
10 | namespace MgFx.Indicators
11 | {
12 |     using System;
13 | 
14 |     using CuttingEdge.Conditions;
15 | 
16 |     using MgFx.History;
17 | 
18 |     /// <summary>
19 |     /// Average Directional Movement Index Indicator.
20 |     /// </summary>
21 |     public class ADX : Indicator
22 |     {
23 |         /// <summary>
24 |         /// Initializes a new instance of the <see cref="ADX"/> class. 
25 |         /// </summary>
26 |         public ADX()
27 |         {
28 |             this.Name = "Welles Wilder' Average Directional Movement Index";
29 |             this.ShortName = "EMA";
30 |         }
31 | 
32 |         /// <summary>
33 |         /// Calculates indicator.
34 |         /// </summary>
35 |         /// <param name="price">Price series.</param>
36 |         /// <param name="period">Indicator period.</param>
37 |         /// <param name="timeSeries">Instrument <c>ohlc</c> time series.</param>
38 |         /// <returns>Calculated indicator series.</returns>
39 |         public static double[] Calculate(double[] price, int period, TimeSeries timeSeries)
40 |         {
41 |             Condition.Requires(price, "price")
42 |                 .IsNotEmpty();
43 |             Condition.Requires(period, "period")
44 |                 .IsGreaterThan(0)
45 |                 .IsLessOrEqual(price.Length);
46 |             Condition.Requires(timeSeries, "timeSeries")
47 |                 .IsNotNull();
48 | 
49 |             var dx = new double[price.Length];
50 |             var pDi = DmiPlus.Calculate(price, period, timeSeries);
51 |             var mDi = DmiMinus.Calculate(price, period, timeSeries);
52 |             for (var i = 0; i < price.Length; ++i)
53 |             {
54 |                 var diff = pDi[i] + mDi[i];
55 |                 if (diff.IsAlmostZero())
56 |                 {
57 |                     dx[i] = 0;
58 |                 }
59 |                 else
60 |                 {
61 |                     dx[i] = 100 * (Math.Abs(pDi[i] - mDi[i]) / (pDi[i] + mDi[i]));
62 |                 }
63 |             }
64 | 
65 |             var adx = EMA.Calculate(dx, period);
66 | 
67 |             return adx;
68 |         }
69 |     }
70 | }
71 | 


--------------------------------------------------------------------------------
/MgFx.Indicators/Ao.cs:
--------------------------------------------------------------------------------
 1 | // --------------------------------------------------------------------------------------------------------------------
 2 | // <copyright file="Ao.cs" company="Mariusz Gumowski">
 3 | //   Copyright (c) 2003-2015 Mariusz Gumowski. All rights reserved.
 4 | // </copyright>
 5 | // <summary>
 6 | //   Awesome Oscillator Indicator.
 7 | // </summary>
 8 | // --------------------------------------------------------------------------------------------------------------------
 9 | 
10 | namespace MgFx.Indicators
11 | {
12 |     using CuttingEdge.Conditions;
13 | 
14 |     /// <summary>
15 |     /// Awesome Oscillator Indicator.
16 |     /// </summary>
17 |     public class AO : Indicator
18 |     {
19 |         /// <summary>
20 |         /// Initializes a new instance of the <see cref="AO"/> class. 
21 |         /// </summary>
22 |         public AO()
23 |         {
24 |             this.Name = "Bill Williams' Awesome Oscillator";
25 |             this.ShortName = "AO";
26 |         }
27 | 
28 |         /// <summary>
29 |         /// Calculates indicator.
30 |         /// </summary>
31 |         /// <param name="price">Price series.</param>
32 |         /// <returns>Calculated indicator series.</returns>
33 |         public static double[] Calculate(double[] price)
34 |         {
35 |             Condition.Requires(price, "price")
36 |                 .IsNotEmpty();
37 | 
38 |             var fastSma = SMA.Calculate(price, 5);
39 |             var slowSma = SMA.Calculate(price, 34);
40 |             var ao = new double[price.Length];
41 | 
42 |             for (int i = 0; i < price.Length; i++)
43 |             {
44 |                 ao[i] = fastSma[i] - slowSma[i];
45 |             }
46 | 
47 |             return ao;
48 |         }
49 |     }
50 | }
51 | 


--------------------------------------------------------------------------------
/MgFx.Indicators/BOP.cs:
--------------------------------------------------------------------------------
 1 | // --------------------------------------------------------------------------------------------------------------------
 2 | // <copyright file="BOP.cs" company="Mariusz Gumowski">
 3 | //   Copyright (c) 2003-2015 Mariusz Gumowski. All rights reserved.
 4 | // </copyright>
 5 | // <summary>
 6 | //   Balance Of Power Indicator.
 7 | // </summary>
 8 | // --------------------------------------------------------------------------------------------------------------------
 9 | 
10 | namespace MgFx.Indicators
11 | {
12 |     using CuttingEdge.Conditions;
13 | 
14 |     using MgFx.History;
15 | 
16 |     /// <summary>
17 |     /// Balance Of Power Indicator.
18 |     /// </summary>
19 |     public class BOP : Indicator
20 |     {
21 |         /// <summary>
22 |         /// Initializes a new instance of the <see cref="BOP"/> class. 
23 |         /// </summary>
24 |         public BOP()
25 |         {
26 |             this.Name = "Balance Of Power";
27 |             this.ShortName = "BOP";
28 |         }
29 | 
30 |         /// <summary>
31 |         /// Calculates indicator.
32 |         /// </summary>
33 |         /// <param name="timeSeries">Instrument <c>ohlc</c> time series.</param>
34 |         /// <returns>Calculated indicator series.</returns>
35 |         public static double[] Calculate(TimeSeries timeSeries)
36 |         {
37 |             Condition.Requires(timeSeries, "timeSeries")
38 |                 .IsNotNull();
39 | 
40 |             var bop = new double[timeSeries.Open.Length];
41 |             for (var i = 0; i < timeSeries.Open.Length; i++)
42 |             {
43 |                 if (timeSeries.High[i].AlmostEqual(timeSeries.Low[i]))
44 |                 {
45 |                     bop[i] = 0;
46 |                 }
47 |                 else
48 |                 {
49 |                     bop[i] = (timeSeries.Close[i] - timeSeries.Open[i]) / (timeSeries.High[i] - timeSeries.Low[i]);
50 |                 }
51 |             }
52 | 
53 |             return bop;
54 |         }
55 |     }
56 | }
57 | 


--------------------------------------------------------------------------------
/MgFx.Indicators/BearsPower.cs:
--------------------------------------------------------------------------------
 1 | // --------------------------------------------------------------------------------------------------------------------
 2 | // <copyright file="BearsPower.cs" company="Mariusz Gumowski">
 3 | //   Copyright (c) 2003-2015 Mariusz Gumowski. All rights reserved.
 4 | // </copyright>
 5 | // <summary>
 6 | //   Bears Power Indicator.
 7 | // </summary>
 8 | // --------------------------------------------------------------------------------------------------------------------
 9 | 
10 | namespace MgFx.Indicators
11 | {
12 |     using CuttingEdge.Conditions;
13 | 
14 |     using MgFx.History;
15 | 
16 |     /// <summary>
17 |     /// Bears Power Indicator.
18 |     /// </summary>
19 |     public class BearsPower : Indicator
20 |     {
21 |         /// <summary>
22 |         /// Initializes a new instance of the <see cref="BearsPower"/> class. 
23 |         /// </summary>
24 |         public BearsPower()
25 |         {
26 |             this.Name = "Dr. Alexander Elder's Bulls/Bears Power (Elder-Rays)";
27 |             this.ShortName = "BearsPower";
28 |         }
29 | 
30 |         /// <summary>
31 |         /// Calculates indicator.
32 |         /// </summary>
33 |         /// <param name="price">Price series.</param>
34 |         /// <param name="period">Indicator period.</param>
35 |         /// <param name="timeSeries">Instrument <c>ohlc</c> time series.</param>
36 |         /// <returns>Calculated indicator series.</returns>
37 |         public static double[] Calculate(double[] price, int period, TimeSeries timeSeries)
38 |         {
39 |             Condition.Requires(price, "price")
40 |                 .IsNotEmpty();
41 |             Condition.Requires(period, "period")
42 |                 .IsGreaterThan(0)
43 |                 .IsLessOrEqual(price.Length);
44 |             Condition.Requires(timeSeries, "timeSeries")
45 |                 .IsNotNull();
46 | 
47 |             var bears = new double[price.Length];
48 | 
49 |             var ema = EMA.Calculate(price, period);
50 |             for (var i = 0; i < price.Length; i++)
51 |             {
52 |                 bears[i] = timeSeries.Low[i] - ema[i];
53 |             }
54 | 
55 |             return bears;
56 |         }
57 |     }
58 | }
59 | 


--------------------------------------------------------------------------------
/MgFx.Indicators/BullsPower.cs:
--------------------------------------------------------------------------------
 1 | // --------------------------------------------------------------------------------------------------------------------
 2 | // <copyright file="BullsPower.cs" company="Mariusz Gumowski">
 3 | //   Copyright (c) 2003-2015 Mariusz Gumowski. All rights reserved.
 4 | // </copyright>
 5 | // <summary>
 6 | //   Bulls Power Indicator.
 7 | // </summary>
 8 | // --------------------------------------------------------------------------------------------------------------------
 9 | 
10 | namespace MgFx.Indicators
11 | {
12 |     using CuttingEdge.Conditions;
13 | 
14 |     using MgFx.History;
15 | 
16 |     /// <summary>
17 |     /// Bulls Power Indicator.
18 |     /// </summary>
19 |     public class BullsPower : Indicator
20 |     {
21 |         /// <summary>
22 |         /// Initializes a new instance of the <see cref="BullsPower"/> class. 
23 |         /// </summary>
24 |         public BullsPower()
25 |         {
26 |             this.Name = "Dr. Alexander Elder's Bulls/Bears Power (Elder-Rays)";
27 |             this.ShortName = "BullsPower";
28 |         }
29 | 
30 |         /// <summary>
31 |         /// Calculates indicator.
32 |         /// </summary>
33 |         /// <param name="price">Price series.</param>
34 |         /// <param name="period">Indicator period.</param>
35 |         /// <param name="timeSeries">Instrument <c>ohlc</c> time series.</param>
36 |         /// <returns>Calculated indicator series.</returns>
37 |         public static double[] Calculate(double[] price, int period, TimeSeries timeSeries)
38 |         {
39 |             Condition.Requires(price, "price")
40 |                 .IsNotEmpty();
41 |             Condition.Requires(period, "period")
42 |                 .IsGreaterThan(0)
43 |                 .IsLessOrEqual(price.Length);
44 |             Condition.Requires(timeSeries, "timeSeries")
45 |                 .IsNotNull();
46 | 
47 |             var bulls = new double[price.Length];
48 | 
49 |             var ema = EMA.Calculate(price, period);
50 |             for (var i = 0; i < price.Length; i++)
51 |             {
52 |                 bulls[i] = timeSeries.High[i] - ema[i];
53 |             }
54 | 
55 |             return bulls;
56 |         }
57 |     }
58 | }
59 | 


--------------------------------------------------------------------------------
/MgFx.Indicators/COG.cs:
--------------------------------------------------------------------------------
 1 | // --------------------------------------------------------------------------------------------------------------------
 2 | // <copyright file="COG.cs" company="Mariusz Gumowski">
 3 | //   Copyright (c) 2003-2015 Mariusz Gumowski. All rights reserved.
 4 | // </copyright>
 5 | // <summary>
 6 | //   Center Of Gravity Indicator.
 7 | // </summary>
 8 | // --------------------------------------------------------------------------------------------------------------------
 9 | 
10 | namespace MgFx.Indicators
11 | {
12 |     using CuttingEdge.Conditions;
13 | 
14 |     /// <summary>
15 |     /// Center Of Gravity Indicator.
16 |     /// </summary>
17 |     public class COG : Indicator
18 |     {
19 |         /// <summary>
20 |         /// Initializes a new instance of the <see cref="COG"/> class. 
21 |         /// </summary>
22 |         public COG()
23 |         {
24 |             this.Name = "John Ehlers's Center of Gravity oscillator";
25 |             this.ShortName = "COG";
26 |         }
27 | 
28 |         /// <summary>
29 |         /// Calculates indicator.
30 |         /// </summary>
31 |         /// <param name="price">Price series.</param>
32 |         /// <param name="period">Indicator period.</param>
33 |         /// <returns>Calculated indicator series.</returns>
34 |         public static double[] Calculate(double[] price, int period)
35 |         {
36 |             Condition.Requires(price, "price")
37 |                 .IsNotEmpty();
38 |             Condition.Requires(period, "period")
39 |                 .IsGreaterThan(0)
40 |                 .IsLessOrEqual(price.Length);
41 | 
42 |             var cog = new double[price.Length];
43 |             for (int i = period - 1; i < price.Length; ++i)
44 |             {
45 |                 var weightedSum = 0.0;
46 |                 var sum = 0.0;
47 |                 for (int j = 0; j < period; ++j)
48 |                 {
49 |                     weightedSum += price[i - period + j + 1] * (period - j);
50 |                     sum += price[i - period + j + 1];
51 |                 }
52 | 
53 |                 cog[i] = -weightedSum / sum;
54 |             }
55 | 
56 |             return cog;
57 |         }
58 |     }
59 | }
60 | 


--------------------------------------------------------------------------------
/MgFx.Indicators/DmiMinus.cs:
--------------------------------------------------------------------------------
 1 | // --------------------------------------------------------------------------------------------------------------------
 2 | // <copyright file="DmiMinus.cs" company="Mariusz Gumowski">
 3 | //   Copyright (c) 2003-2015 Mariusz Gumowski. All rights reserved.
 4 | // </copyright>
 5 | // <summary>
 6 | //   Directional Movement Index Minus Indicator.
 7 | // </summary>
 8 | // --------------------------------------------------------------------------------------------------------------------
 9 | 
10 | namespace MgFx.Indicators
11 | {
12 |     using CuttingEdge.Conditions;
13 | 
14 |     using MgFx.History;
15 | 
16 |     /// <summary>
17 |     /// Directional Movement Index Minus Indicator.
18 |     /// </summary>
19 |     public class DmiMinus : Indicator
20 |     {
21 |         /// <summary>
22 |         /// Initializes a new instance of the <see cref="DmiMinus"/> class. 
23 |         /// </summary>
24 |         public DmiMinus()
25 |         {
26 |             this.Name = "Directional Movement Index Minus";
27 |             this.ShortName = "DMI-";
28 |         }
29 | 
30 |         /// <summary>
31 |         /// Calculates indicator.
32 |         /// </summary>
33 |         /// <param name="price">Price series.</param>
34 |         /// <param name="period">Indicator period.</param>
35 |         /// <param name="timeSeries">Instrument <c>ohlc</c> time series.</param>
36 |         /// <returns>Calculated indicator series.</returns>
37 |         public static double[] Calculate(double[] price, int period, TimeSeries timeSeries)
38 |         {
39 |             Condition.Requires(price, "price")
40 |                 .IsNotEmpty();
41 |             Condition.Requires(period, "period")
42 |                 .IsGreaterThan(0)
43 |                 .IsLessOrEqual(price.Length);
44 |             Condition.Requires(timeSeries, "timeSeries")
45 |                 .IsNotNull();
46 | 
47 |             var pdm = new double[price.Length];
48 |             pdm[0] = 0.0;
49 | 
50 |             for (int i = 1; i < price.Length; ++i)
51 |             {
52 |                 var plusDm = timeSeries.High[i] - timeSeries.High[i - 1];
53 |                 var minusDm = timeSeries.Low[i - 1] - timeSeries.Low[i];
54 | 
55 |                 if (plusDm < 0)
56 |                 {
57 |                     plusDm = 0;
58 |                 }
59 | 
60 |                 if (minusDm < 0)
61 |                 {
62 |                     minusDm = 0;
63 |                 }
64 | 
65 |                 if (plusDm.AlmostEqual(minusDm))
66 |                 {
67 |                     plusDm = 0;
68 |                 }
69 |                 else if (plusDm < minusDm)
70 |                 {
71 |                     plusDm = 0;
72 |                 }
73 | 
74 |                 var trueHigh = timeSeries.High[i] > price[i - 1] ? timeSeries.High[i] : price[i - 1];
75 |                 var trueLow = timeSeries.Low[i] < price[i - 1] ? timeSeries.Low[i] : price[i - 1];
76 |                 var tr = trueHigh - trueLow;
77 |                 if (tr.IsAlmostZero())
78 |                 {
79 |                     pdm[i] = 0;
80 |                 }
81 |                 else
82 |                 {
83 |                     pdm[i] = 100 * plusDm / tr;
84 |                 }
85 |             }
86 | 
87 |             var dmi = EMA.Calculate(pdm, period);
88 | 
89 |             return dmi;
90 |         }
91 |     }
92 | }
93 | 


--------------------------------------------------------------------------------
/MgFx.Indicators/DmiPlus.cs:
--------------------------------------------------------------------------------
 1 | // --------------------------------------------------------------------------------------------------------------------
 2 | // <copyright file="DmiPlus.cs" company="Mariusz Gumowski">
 3 | //   Copyright (c) 2003-2015 Mariusz Gumowski. All rights reserved.
 4 | // </copyright>
 5 | // <summary>
 6 | //   Directional Movement Index Plus Indicator.
 7 | // </summary>
 8 | // --------------------------------------------------------------------------------------------------------------------
 9 | 
10 | namespace MgFx.Indicators
11 | {
12 |     using CuttingEdge.Conditions;
13 | 
14 |     using MgFx.History;
15 | 
16 |     /// <summary>
17 |     /// Directional Movement Index Plus Indicator.
18 |     /// </summary>
19 |     public class DmiPlus : Indicator
20 |     {
21 |         /// <summary>
22 |         /// Initializes a new instance of the <see cref="DmiPlus"/> class. 
23 |         /// </summary>
24 |         public DmiPlus()
25 |         {
26 |             this.Name = "Directional Movement Index Plus";
27 |             this.ShortName = "DMI+";
28 |         }
29 | 
30 |         /// <summary>
31 |         /// Calculates indicator.
32 |         /// </summary>
33 |         /// <param name="price">Price series.</param>
34 |         /// <param name="period">Indicator period.</param>
35 |         /// <param name="timeSeries">Instrument <c>ohlc</c> time series.</param>
36 |         /// <returns>Calculated indicator series.</returns>
37 |         public static double[] Calculate(double[] price, int period, TimeSeries timeSeries)
38 |         {
39 |             Condition.Requires(price, "price")
40 |                 .IsNotEmpty();
41 |             Condition.Requires(period, "period")
42 |                 .IsGreaterThan(0)
43 |                 .IsLessOrEqual(price.Length);
44 |             Condition.Requires(timeSeries, "timeSeries")
45 |                 .IsNotNull();
46 | 
47 |             var mdm = new double[price.Length];
48 |             mdm[0] = 0.0;
49 | 
50 |             for (int i = 1; i < price.Length; ++i)
51 |             {
52 |                 var plusDm = timeSeries.High[i] - timeSeries.High[i - 1];
53 |                 var minusDm = timeSeries.Low[i - 1] - timeSeries.Low[i];
54 | 
55 |                 if (plusDm < 0)
56 |                 {
57 |                     plusDm = 0;
58 |                 }
59 | 
60 |                 if (minusDm < 0)
61 |                 {
62 |                     minusDm = 0;
63 |                 }
64 | 
65 |                 if (plusDm.AlmostEqual(minusDm))
66 |                 {
67 |                     minusDm = 0;
68 |                 }
69 |                 else if (plusDm >= minusDm)
70 |                 {
71 |                     minusDm = 0;
72 |                 }
73 | 
74 |                 var trueHigh = timeSeries.High[i] > price[i - 1] ? timeSeries.High[i] : price[i - 1];
75 |                 var trueLow = timeSeries.Low[i] < price[i - 1] ? timeSeries.Low[i] : price[i - 1];
76 |                 var tr = trueHigh - trueLow;
77 |                 if (tr.IsAlmostZero())
78 |                 {
79 |                     mdm[i] = 0;
80 |                 }
81 |                 else
82 |                 {
83 |                     mdm[i] = 100 * minusDm / tr;
84 |                 }
85 |             }
86 | 
87 |             var dmi = EMA.Calculate(mdm, period);
88 | 
89 |             return dmi;
90 |         }
91 |     }
92 | }
93 | 


--------------------------------------------------------------------------------
/MgFx.Indicators/Ema.cs:
--------------------------------------------------------------------------------
 1 | // --------------------------------------------------------------------------------------------------------------------
 2 | // <copyright file="Ema.cs" company="Mariusz Gumowski">
 3 | //   Copyright (c) 2003-2015 Mariusz Gumowski. All rights reserved.
 4 | // </copyright>
 5 | // <summary>
 6 | //   Exponential Moving Average Indicator.
 7 | // </summary>
 8 | // --------------------------------------------------------------------------------------------------------------------
 9 | 
10 | namespace MgFx.Indicators
11 | {
12 |     using CuttingEdge.Conditions;
13 | 
14 |     /// <summary>
15 |     /// Exponential Moving Average Indicator.
16 |     /// </summary>
17 |     public class EMA : Indicator
18 |     {
19 |         /// <summary>
20 |         /// Initializes a new instance of the <see cref="EMA"/> class. 
21 |         /// </summary>
22 |         public EMA()
23 |         {
24 |             this.Name = "Exponential Moving Average";
25 |             this.ShortName = "EMA";
26 |         }
27 | 
28 |         /// <summary>
29 |         /// Calculates indicator.
30 |         /// </summary>
31 |         /// <param name="price">Price series.</param>
32 |         /// <param name="period">Indicator period.</param>
33 |         /// <returns>Calculated indicator series.</returns>
34 |         public static double[] Calculate(double[] price, int period)
35 |         {
36 |             Condition.Requires(price, "price")
37 |                 .IsNotEmpty();
38 |             Condition.Requires(period, "period")
39 |                 .IsGreaterThan(0)
40 |                 .IsLessOrEqual(price.Length);
41 | 
42 |             var ema = new double[price.Length];
43 |             double sum = price[0];
44 |             double coeff = 2.0 / (1.0 + period);
45 | 
46 |             for (int i = 0; i < price.Length; i++)
47 |             {
48 |                 sum += coeff * (price[i] - sum);
49 |                 ema[i] = sum;
50 |             }
51 | 
52 |             return ema;
53 |         }
54 |     }
55 | }
56 | 


--------------------------------------------------------------------------------
/MgFx.Indicators/Extensions.cs:
--------------------------------------------------------------------------------
 1 | // --------------------------------------------------------------------------------------------------------------------
 2 | // <copyright file="Extensions.cs" company="Mariusz Gumowski">
 3 | //   Copyright (c) 2003-2015 Mariusz Gumowski. All rights reserved.
 4 | // </copyright>
 5 | // <summary>
 6 | //   Contains various helpers functions
 7 | // </summary>
 8 | // --------------------------------------------------------------------------------------------------------------------
 9 | 
10 | namespace MgFx.Indicators
11 | {
12 |     using System;
13 | 
14 |     /// <summary>
15 |     /// Contains various helpers functions
16 |     /// </summary>
17 |     public static class Extensions
18 |     {
19 |         /// <summary>
20 |         /// Checks if the number is almost zero.
21 |         /// </summary>
22 |         /// <param name="value">Checked number.</param>
23 |         /// <returns>true if is almost zero</returns>
24 |         public static bool IsAlmostZero(this double value)
25 |         {
26 |             return Math.Abs(value) < double.Epsilon;
27 |         }
28 | 
29 |         /// <summary>
30 |         /// Compares the numbers.
31 |         /// </summary>
32 |         /// <param name="value">First number.</param>
33 |         /// <param name="compareTo">Second number.</param>
34 |         /// <returns>true if almost equal</returns>
35 |         public static bool AlmostEqual(this double value, double compareTo)
36 |         {
37 |             return Math.Abs(value - compareTo) < double.Epsilon;
38 |         }
39 | 
40 |         /// <summary>
41 |         /// Subtracts one series from another.
42 |         /// </summary>
43 |         /// <param name="src">Source series.</param>
44 |         /// <param name="dst">Subtracted series.</param>
45 |         public static void Subtract(this double[] src, double[] dst)
46 |         {
47 |             for (int i = 0; i < src.Length; i++)
48 |             {
49 |                 src[i] -= dst[i];
50 |             }
51 |         }
52 | 
53 |         /// <summary>
54 |         /// Subtracts one series from another and creates new series.
55 |         /// </summary>
56 |         /// <param name="src">Source series.</param>
57 |         /// <param name="dst">Subtracted series.</param>
58 |         /// <returns>New series.</returns>
59 |         public static double[] CreateSubstract(this double[] src, double[] dst)
60 |         {
61 |             var t = new double[src.Length];
62 |             for (int i = 0; i < src.Length; i++)
63 |             {
64 |                 t[i] = src[i] - dst[i];
65 |             }
66 | 
67 |             return t;
68 |         }
69 |     }
70 | }
71 | 


--------------------------------------------------------------------------------
/MgFx.Indicators/FIR.cs:
--------------------------------------------------------------------------------
 1 | // --------------------------------------------------------------------------------------------------------------------
 2 | // <copyright file="FIR.cs" company="Mariusz Gumowski">
 3 | //   Copyright (c) 2003-2015 Mariusz Gumowski. All rights reserved.
 4 | // </copyright>
 5 | // <summary>
 6 | //   Finite Impulse Response Moving Average Indicator.
 7 | // </summary>
 8 | // --------------------------------------------------------------------------------------------------------------------
 9 | 
10 | namespace MgFx.Indicators
11 | {
12 |     using CuttingEdge.Conditions;
13 |     
14 |     /// <summary>
15 |     /// Finite Impulse Response Moving Average Indicator.
16 |     /// Weights examples:
17 |     /// <c>Kalman</c> velocity component applied for lag reduction:
18 |     ///   new double[] { 2, 3, 2, 0, -1 }
19 |     ///   new double[] { 2, 3, 4, 3, 1, 0, -1 }
20 |     ///   new double[] { 2, 3, 4, 5, 4, 2, 1, 0, -1 }
21 |     ///   new double[] { 2, 3, 4, 5, 6, 5, 3, 2, 1, 0, -1 }
22 |     ///   new double[] { 2, 3, 4, 5, 6, 7, 6, 4, 3, 2, 1, 0, -1 }
23 |     /// FIR Smoother:
24 |     ///   new double[] { 2, 7, 9, 6, 1, -1, -3 }
25 |     /// IIR Smoother:
26 |     ///   new double[] { 2, 4, 0, 0, -1 }
27 |     /// Other filters:
28 |     ///   new double[] { 1, 2, 1 }
29 |     ///   new double[] { 1, 2, 2, 1 }
30 |     ///   new double[] { 1, 2, 3, 2, 1 }
31 |     ///   new double[] { 1, 2, 3, 3, 2, 1 }
32 |     ///   new double[] { 1, 2, 3, 4, 3, 2, 1 }
33 |     ///   new double[] { 1, 2, 3, 4, 4, 3, 2, 1 }
34 |     ///   new double[] { 1, 2, 3, 4, 5, 4, 3, 2, 1 }
35 |     ///   new double[] { 1, 2, 3, 4, 5, 5, 4, 3, 2, 1 }
36 |     ///   new double[] { 1, 2, 3, 4, 5, 6, 5, 4, 3, 2, 1 }
37 |     ///   new double[] { 1, 2, 3, 4, 5, 6, 6, 5, 4, 3, 2, 1 }
38 |     /// </summary>
39 |     public class FIR : Indicator
40 |     {
41 |         /// <summary>
42 |         /// Initializes a new instance of the <see cref="FIR"/> class.
43 |         /// </summary>
44 |         public FIR()
45 |         {
46 |             this.Name = "John F. Ehlers' Finite Impulse Response Moving Average";
47 |             this.ShortName = "FIR";
48 |         }
49 | 
50 |         /// <summary>
51 |         /// Calculates indicator.
52 |         /// </summary>
53 |         /// <param name="price">Price series.</param>
54 |         /// <param name="weights">Indicator weights.</param>
55 |         /// <returns>Calculated indicator series.</returns>
56 |         public static double[] Calculate(double[] price, double[] weights)
57 |         {
58 |             Condition.Requires(price, "price")
59 |                 .IsNotEmpty();
60 |             Condition.Requires(weights, "weights")
61 |                 .IsNotNull()
62 |                 .IsNotEmpty();
63 | 
64 |             var fir = new double[price.Length];
65 |             var divider = 0.0;
66 | 
67 |             for (int i = 0; i < weights.Length; ++i)
68 |             {
69 |                 fir[i] = 0;
70 |                 divider += weights[i];
71 |             }
72 | 
73 |             for (int i = weights.Length; i < price.Length; ++i)
74 |             {
75 |                 var sum = 0.0;
76 |                 for (int w = 0; w < weights.Length; w++)
77 |                 {
78 |                     sum += weights[w] * price[i - w];
79 |                 }
80 | 
81 |                 fir[i] = sum / divider;
82 |             }
83 | 
84 |             return fir;
85 |         }
86 |     }
87 | }
88 | 


--------------------------------------------------------------------------------
/MgFx.Indicators/Highest.cs:
--------------------------------------------------------------------------------
 1 | // --------------------------------------------------------------------------------------------------------------------
 2 | // <copyright file="Highest.cs" company="Mariusz Gumowski">
 3 | //   Copyright (c) 2003-2015 Mariusz Gumowski. All rights reserved.
 4 | // </copyright>
 5 | // <summary>
 6 | //   Lowest Value Indicator.
 7 | // </summary>
 8 | // --------------------------------------------------------------------------------------------------------------------
 9 | 
10 | namespace MgFx.Indicators
11 | {
12 |     using System;
13 | 
14 |     using CuttingEdge.Conditions;
15 | 
16 |     /// <summary>
17 |     /// Highest Value Indicator.
18 |     /// </summary>
19 |     public class Highest : Indicator
20 |     {
21 |         /// <summary>
22 |         /// Initializes a new instance of the <see cref="Highest"/> class. 
23 |         /// </summary>
24 |         public Highest()
25 |         {
26 |             this.Name = "Highest Value";
27 |             this.ShortName = "Highest";
28 |         }
29 | 
30 |         /// <summary>
31 |         /// Calculates indicator.
32 |         /// </summary>
33 |         /// <param name="price">Price series.</param>
34 |         /// <param name="period">Indicator period.</param>
35 |         /// <returns>Calculated indicator series.</returns>
36 |         public static double[] Calculate(double[] price, int period)
37 |         {
38 |             Condition.Requires(price, "price")
39 |                 .IsNotEmpty();
40 |             Condition.Requires(period, "period")
41 |                 .IsGreaterThan(0)
42 |                 .IsLessOrEqual(price.Length);
43 | 
44 |             var highest = new double[price.Length];
45 |             highest[0] = price[0];
46 |             for (int i = 1; i < period; ++i)
47 |             {
48 |                 if (price[i] > highest[i - 1])
49 |                 {
50 |                     highest[i] = price[i];
51 |                 }
52 |                 else
53 |                 {
54 |                     highest[i] = highest[i - 1];
55 |                 }
56 |             }
57 | 
58 |             int highestIdx = 0;
59 |             for (int i = period; i < price.Length; ++i)
60 |             {
61 |                 double highestHigh = double.MinValue;
62 |                 var start = Math.Max(i - period + 1, highestIdx);
63 |                 for (int s = start; s <= i; ++s)
64 |                 {
65 |                     if (price[s] > highestHigh)
66 |                     {
67 |                         highestHigh = price[s];
68 |                         highestIdx = s;
69 |                     }
70 |                 }
71 | 
72 |                 highest[i] = highestHigh;
73 |             }
74 | 
75 |             return highest;
76 |         }
77 |     }
78 | }
79 | 


--------------------------------------------------------------------------------
/MgFx.Indicators/IIR.cs:
--------------------------------------------------------------------------------
 1 | // --------------------------------------------------------------------------------------------------------------------
 2 | // <copyright file="IIR.cs" company="Mariusz Gumowski">
 3 | //   Copyright (c) 2003-2015 Mariusz Gumowski. All rights reserved.
 4 | // </copyright>
 5 | // <summary>
 6 | //   Infinite Impulse Response Moving Average Indicator.
 7 | // </summary>
 8 | // --------------------------------------------------------------------------------------------------------------------
 9 | 
10 | namespace MgFx.Indicators
11 | {
12 |     using CuttingEdge.Conditions;
13 | 
14 |     /// <summary>
15 |     /// Infinite Impulse Response Moving Average Indicator.
16 |     /// </summary>
17 |     public class IIR : Indicator
18 |     {
19 |         /// <summary>
20 |         /// Initializes a new instance of the <see cref="IIR"/> class.
21 |         /// </summary>
22 |         public IIR()
23 |         {
24 |             this.Name = "John F. Ehlers' Infinite Impulse Response Moving Average";
25 |             this.ShortName = "IIR";
26 |         }
27 | 
28 |         /// <summary>
29 |         /// Calculates indicator.
30 |         /// </summary>
31 |         /// <param name="price">Price series.</param>
32 |         /// <returns>Calculated indicator series.</returns>
33 |         public static double[] Calculate(double[] price)
34 |         {
35 |             Condition.Requires(price, "price")
36 |                 .IsNotEmpty();
37 | 
38 |             return FIR.Calculate(price, new double[] { 2, 4, 0, 0, -1 });
39 |         }
40 |     }
41 | }
42 | 


--------------------------------------------------------------------------------
/MgFx.Indicators/Indicator.cs:
--------------------------------------------------------------------------------
 1 | // --------------------------------------------------------------------------------------------------------------------
 2 | // <copyright file="Indicator.cs" company="Mariusz Gumowski">
 3 | //   Copyright (c) 2003-2015 Mariusz Gumowski. All rights reserved.
 4 | // </copyright>
 5 | // <summary>
 6 | //   The base class for all indicators.
 7 | // </summary>
 8 | // --------------------------------------------------------------------------------------------------------------------
 9 | 
10 | namespace MgFx.Indicators
11 | {
12 |     /// <summary>
13 |     /// The base class for all indicators.
14 |     /// </summary>
15 |     public abstract class Indicator
16 |     {
17 |         /// <summary>
18 |         /// Gets or sets the indicator name.
19 |         /// </summary>
20 |         public string Name { get; protected set; }
21 | 
22 |         /// <summary>
23 |         /// Gets or sets the indicator short name.
24 |         /// </summary>
25 |         public string ShortName { get; protected set; }
26 |     }
27 | }
28 | 


--------------------------------------------------------------------------------
/MgFx.Indicators/LWMA.cs:
--------------------------------------------------------------------------------
 1 | // --------------------------------------------------------------------------------------------------------------------
 2 | // <copyright file="LWMA.cs" company="Mariusz Gumowski">
 3 | //   Copyright (c) 2003-2015 Mariusz Gumowski. All rights reserved.
 4 | // </copyright>
 5 | // <summary>
 6 | //   Linearly Weighted Moving Average Indicator.
 7 | // </summary>
 8 | // --------------------------------------------------------------------------------------------------------------------
 9 | 
10 | namespace MgFx.Indicators
11 | {
12 |     using CuttingEdge.Conditions;
13 | 
14 |     /// <summary>
15 |     /// Linearly Weighted Moving Average Indicator.
16 |     /// </summary>
17 |     public class LWMA : Indicator
18 |     {
19 |         /// <summary>
20 |         /// Initializes a new instance of the <see cref="LWMA"/> class. 
21 |         /// </summary>
22 |         public LWMA()
23 |         {
24 |             this.Name = "Linearly Weighted Moving Average";
25 |             this.ShortName = "LWMA";
26 |         }
27 | 
28 |         /// <summary>
29 |         /// Calculates indicator.
30 |         /// </summary>
31 |         /// <param name="price">Price series.</param>
32 |         /// <param name="period">Indicator period.</param>
33 |         /// <returns>Calculated indicator series.</returns>
34 |         public static double[] Calculate(double[] price, int period)
35 |         {
36 |             Condition.Requires(price, "price")
37 |                 .IsNotEmpty();
38 |             Condition.Requires(period, "period")
39 |                 .IsGreaterThan(0)
40 |                 .IsLessOrEqual(price.Length);
41 | 
42 |             var lwma = new double[price.Length];
43 |             double avgsum = 0.0;
44 |             double sum = 0.0;
45 |             for (int i = 0; i < period - 1; i++)
46 |             {
47 |                 avgsum += price[i] * (i + 1);
48 |                 sum += price[i];
49 |             }
50 | 
51 |             var divider = period * (period + 1) / 2;
52 |             for (int i = period - 1; i < price.Length; i++)
53 |             {
54 |                 avgsum += price[i] * period;
55 |                 sum += price[i];
56 |                 lwma[i] = avgsum / divider;
57 |                 avgsum -= sum;
58 |                 sum -= price[i - period + 1];
59 |             }
60 | 
61 |             return lwma;
62 |         }
63 |     }
64 | }
65 | 


--------------------------------------------------------------------------------
/MgFx.Indicators/Lowest.cs:
--------------------------------------------------------------------------------
 1 | // --------------------------------------------------------------------------------------------------------------------
 2 | // <copyright file="Lowest.cs" company="Mariusz Gumowski">
 3 | //   Copyright (c) 2003-2015 Mariusz Gumowski. All rights reserved.
 4 | // </copyright>
 5 | // <summary>
 6 | //   Lowest Value Indicator.
 7 | // </summary>
 8 | // --------------------------------------------------------------------------------------------------------------------
 9 | 
10 | namespace MgFx.Indicators
11 | {
12 |     using System;
13 | 
14 |     using CuttingEdge.Conditions;
15 | 
16 |     /// <summary>
17 |     /// Lowest Value Indicator.
18 |     /// </summary>
19 |     public class Lowest : Indicator
20 |     {
21 |         /// <summary>
22 |         /// Initializes a new instance of the <see cref="Lowest"/> class. 
23 |         /// </summary>
24 |         public Lowest()
25 |         {
26 |             this.Name = "Lowest Value";
27 |             this.ShortName = "Lowest";
28 |         }
29 | 
30 |         /// <summary>
31 |         /// Calculates indicator.
32 |         /// </summary>
33 |         /// <param name="price">Price series.</param>
34 |         /// <param name="period">Indicator period.</param>
35 |         /// <returns>Calculated indicator series.</returns>
36 |         public static double[] Calculate(double[] price, int period)
37 |         {
38 |             Condition.Requires(price, "price")
39 |                 .IsNotEmpty();
40 |             Condition.Requires(period, "period")
41 |                 .IsGreaterThan(0)
42 |                 .IsLessOrEqual(price.Length);
43 | 
44 |             var lowest = new double[price.Length];
45 |             lowest[0] = price[0];
46 | 
47 |             for (int i = 1; i < period; ++i)
48 |             {
49 |                 if (price[i] < lowest[i - 1])
50 |                 {
51 |                     lowest[i] = price[i];
52 |                 }
53 |                 else
54 |                 {
55 |                     lowest[i] = lowest[i - 1];
56 |                 }
57 |             }
58 | 
59 |             int lowestIdx = 0;
60 |             for (int i = period; i < price.Length; ++i)
61 |             {
62 |                 double lowestLow = double.MaxValue;
63 |                 var start = Math.Max(i - period + 1, lowestIdx);
64 |                 for (int s = start; s <= i; ++s)
65 |                 {
66 |                     if (price[s] < lowestLow)
67 |                     {
68 |                         lowestLow = price[s];
69 |                         lowestIdx = s;
70 |                     }
71 |                 }
72 | 
73 |                 lowest[i] = lowestLow;
74 |             }
75 | 
76 |             return lowest;
77 |         }
78 |     }
79 | }
80 | 


--------------------------------------------------------------------------------
/MgFx.Indicators/MgFx.Indicators.csproj:
--------------------------------------------------------------------------------
 1 | <?xml version="1.0" encoding="utf-8"?>
 2 | <Project ToolsVersion="4.0" DefaultTargets="Build" xmlns="http://schemas.microsoft.com/developer/msbuild/2003">
 3 |   <Import Project="$(MSBuildExtensionsPath)\$(MSBuildToolsVersion)\Microsoft.Common.props" Condition="Exists('$(MSBuildExtensionsPath)\$(MSBuildToolsVersion)\Microsoft.Common.props')" />
 4 |   <PropertyGroup>
 5 |     <Configuration Condition=" '$(Configuration)' == '' ">Debug</Configuration>
 6 |     <Platform Condition=" '$(Platform)' == '' ">AnyCPU</Platform>
 7 |     <ProjectGuid>{56D38122-EC90-4FFE-8E41-23D1BC5213BA}</ProjectGuid>
 8 |     <OutputType>Library</OutputType>
 9 |     <AppDesignerFolder>Properties</AppDesignerFolder>
10 |     <RootNamespace>MgFx.Indicators</RootNamespace>
11 |     <AssemblyName>MgFx.Indicators</AssemblyName>
12 |     <TargetFrameworkVersion>v4.5.1</TargetFrameworkVersion>
13 |     <FileAlignment>512</FileAlignment>
14 |     <SolutionDir Condition="$(SolutionDir) == '' Or $(SolutionDir) == '*Undefined*'">..\</SolutionDir>
15 |     <RestorePackages>true</RestorePackages>
16 |   </PropertyGroup>
17 |   <PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Debug|AnyCPU' ">
18 |     <DebugSymbols>true</DebugSymbols>
19 |     <DebugType>full</DebugType>
20 |     <Optimize>false</Optimize>
21 |     <OutputPath>bin\Debug\</OutputPath>
22 |     <DefineConstants>DEBUG;TRACE</DefineConstants>
23 |     <ErrorReport>prompt</ErrorReport>
24 |     <WarningLevel>4</WarningLevel>
25 |   </PropertyGroup>
26 |   <PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Release|AnyCPU' ">
27 |     <DebugType>pdbonly</DebugType>
28 |     <Optimize>true</Optimize>
29 |     <OutputPath>bin\Release\</OutputPath>
30 |     <DefineConstants>TRACE</DefineConstants>
31 |     <ErrorReport>prompt</ErrorReport>
32 |     <WarningLevel>4</WarningLevel>
33 |   </PropertyGroup>
34 |   <ItemGroup>
35 |     <Reference Include="CuttingEdge.Conditions">
36 |       <HintPath>..\packages\CuttingEdge.Conditions.1.2.0.0\lib\NET35\CuttingEdge.Conditions.dll</HintPath>
37 |       <Private>True</Private>
38 |     </Reference>
39 |     <Reference Include="System" />
40 |     <Reference Include="System.Core" />
41 |     <Reference Include="System.Xml.Linq" />
42 |     <Reference Include="System.Data.DataSetExtensions" />
43 |     <Reference Include="Microsoft.CSharp" />
44 |     <Reference Include="System.Data" />
45 |     <Reference Include="System.Xml" />
46 |   </ItemGroup>
47 |   <ItemGroup>
48 |     <Compile Include="AC.cs" />
49 |     <Compile Include="ADX.cs" />
50 |     <Compile Include="AO.cs" />
51 |     <Compile Include="ATR.cs" />
52 |     <Compile Include="ATRP.cs" />
53 |     <Compile Include="BearsPower.cs" />
54 |     <Compile Include="BOP.cs" />
55 |     <Compile Include="BullsPower.cs" />
56 |     <Compile Include="COG.cs" />
57 |     <Compile Include="DmiMinus.cs" />
58 |     <Compile Include="DmiPlus.cs" />
59 |     <Compile Include="EMA.cs" />
60 |     <Compile Include="Extensions.cs" />
61 |     <Compile Include="FIR.cs" />
62 |     <Compile Include="Highest.cs" />
63 |     <Compile Include="IIR.cs" />
64 |     <Compile Include="Indicator.cs" />
65 |     <Compile Include="Lowest.cs" />
66 |     <Compile Include="LWMA.cs" />
67 |     <Compile Include="Momentum.cs" />
68 |     <Compile Include="RSI.cs" />
69 |     <Compile Include="SMA.cs" />
70 |     <Compile Include="Properties\AssemblyInfo.cs" />
71 |     <Compile Include="TRIX.cs" />
72 |     <Compile Include="WPR.cs" />
73 |   </ItemGroup>
74 |   <ItemGroup>
75 |     <ProjectReference Include="..\MgFx.History\MgFx.History.csproj">
76 |       <Project>{2a0e2923-69e5-473a-9c59-c31dd530cc74}</Project>
77 |       <Name>MgFx.History</Name>
78 |     </ProjectReference>
79 |   </ItemGroup>
80 |   <ItemGroup>
81 |     <None Include="packages.config" />
82 |   </ItemGroup>
83 |   <Import Project="$(MSBuildToolsPath)\Microsoft.CSharp.targets" />
84 |   <Import Project="$(SolutionDir)\.nuget\NuGet.targets" Condition="Exists('$(SolutionDir)\.nuget\NuGet.targets')" />
85 |   <Target Name="EnsureNuGetPackageBuildImports" BeforeTargets="PrepareForBuild">
86 |     <PropertyGroup>
87 |       <ErrorText>This project references NuGet package(s) that are missing on this computer. Enable NuGet Package Restore to download them.  For more information, see http://go.microsoft.com/fwlink/?LinkID=322105. The missing file is {0}.</ErrorText>
88 |     </PropertyGroup>
89 |     <Error Condition="!Exists('$(SolutionDir)\.nuget\NuGet.targets')" Text="$([System.String]::Format('$(ErrorText)', '$(SolutionDir)\.nuget\NuGet.targets'))" />
90 |   </Target>
91 |   <!-- To modify your build process, add your task inside one of the targets below and uncomment it. 
92 |        Other similar extension points exist, see Microsoft.Common.targets.
93 |   <Target Name="BeforeBuild">
94 |   </Target>
95 |   <Target Name="AfterBuild">
96 |   </Target>
97 |   -->
98 | </Project>


--------------------------------------------------------------------------------
/MgFx.Indicators/Momentum.cs:
--------------------------------------------------------------------------------
 1 | // --------------------------------------------------------------------------------------------------------------------
 2 | // <copyright file="Momentum.cs" company="Mariusz Gumowski">
 3 | //   Copyright (c) 2003-2015 Mariusz Gumowski. All rights reserved.
 4 | // </copyright>
 5 | // <summary>
 6 | //   Momentum Indicator.
 7 | // </summary>
 8 | // --------------------------------------------------------------------------------------------------------------------
 9 | 
10 | namespace MgFx.Indicators
11 | {
12 |     using CuttingEdge.Conditions;
13 | 
14 |     /// <summary>
15 |     /// Momentum Indicator.
16 |     /// </summary>
17 |     public class Momentum : Indicator
18 |     {
19 |         /// <summary>
20 |         /// Initializes a new instance of the <see cref="Momentum"/> class. 
21 |         /// </summary>
22 |         public Momentum()
23 |         {
24 |             this.Name = "Momentum";
25 |             this.ShortName = "Momentum";
26 |         }
27 | 
28 |         /// <summary>
29 |         /// Calculates indicator.
30 |         /// </summary>
31 |         /// <param name="price">Price series.</param>
32 |         /// <param name="period">Indicator period.</param>
33 |         /// <returns>Calculated indicator series.</returns>
34 |         public static double[] Calculate(double[] price, int period)
35 |         {
36 |             Condition.Requires(price, "price")
37 |                 .IsNotEmpty();
38 |             Condition.Requires(period, "period")
39 |                 .IsGreaterThan(0)
40 |                 .IsLessOrEqual(price.Length);
41 | 
42 |             var momentum = new double[price.Length];
43 |             for (int i = 0; i < period; i++)
44 |             {
45 |                 momentum[i] = 0;
46 |             }
47 | 
48 |             for (int i = period; i < price.Length; i++)
49 |             {
50 |                 momentum[i] = price[i] * 100 / price[i - period];
51 |             }
52 | 
53 |             return momentum;
54 |         }
55 |     }
56 | }
57 | 


--------------------------------------------------------------------------------
/MgFx.Indicators/Properties/AssemblyInfo.cs:
--------------------------------------------------------------------------------
 1 | // --------------------------------------------------------------------------------------------------------------------
 2 | // <copyright file="AssemblyInfo.cs" company="Mariusz Gumowski">
 3 | //   Copyright (c) 2003-2015 Mariusz Gumowski. All rights reserved.
 4 | // </copyright>
 5 | // <summary>
 6 | //   AssemblyInfo.cs
 7 | // </summary>
 8 | // --------------------------------------------------------------------------------------------------------------------
 9 | 
10 | using System.Reflection;
11 | using System.Runtime.InteropServices;
12 | 
13 | // General Information about an assembly is controlled through the following 
14 | // set of attributes. Change these attribute values to modify the information
15 | // associated with an assembly.
16 | [assembly: AssemblyTitle("MgFx.Indicators")]
17 | [assembly: AssemblyDescription("")]
18 | [assembly: AssemblyConfiguration("")]
19 | [assembly: AssemblyCompany("Mariusz Gumowski")]
20 | [assembly: AssemblyProduct("MgFx.Indicators")]
21 | [assembly: AssemblyCopyright("Copyright ©  2014")]
22 | [assembly: AssemblyTrademark("")]
23 | [assembly: AssemblyCulture("")]
24 | 
25 | // Setting ComVisible to false makes the types in this assembly not visible 
26 | // to COM components.  If you need to access a type in this assembly from 
27 | // COM, set the ComVisible attribute to true on that type.
28 | [assembly: ComVisible(false)]
29 | 
30 | // The following GUID is for the ID of the typelib if this project is exposed to COM
31 | [assembly: Guid("8a688d63-8f52-4d3c-a21f-7b4a6331a3db")]
32 | 
33 | // Version information for an assembly consists of the following four values:
34 | //
35 | //      Major Version
36 | //      Minor Version 
37 | //      Build Number
38 | //      Revision
39 | //
40 | // You can specify all the values or you can default the Build and Revision Numbers 
41 | // by using the '*' as shown below:
42 | // [assembly: AssemblyVersion("1.0.*")]
43 | [assembly: AssemblyVersion("1.0.0.0")]
44 | [assembly: AssemblyFileVersion("1.0.0.0")]
45 | 


--------------------------------------------------------------------------------
/MgFx.Indicators/Rsi.cs:
--------------------------------------------------------------------------------
 1 | // --------------------------------------------------------------------------------------------------------------------
 2 | // <copyright file="Rsi.cs" company="Mariusz Gumowski">
 3 | //   Copyright (c) 2003-2015 Mariusz Gumowski. All rights reserved.
 4 | // </copyright>
 5 | // <summary>
 6 | //   Relative Strength Index Indicator.
 7 | // </summary>
 8 | // --------------------------------------------------------------------------------------------------------------------
 9 | 
10 | namespace MgFx.Indicators
11 | {
12 |     using CuttingEdge.Conditions;
13 | 
14 |     /// <summary>
15 |     /// Relative Strength Index Indicator.
16 |     /// </summary>
17 |     public class RSI : Indicator
18 |     {
19 |         /// <summary>
20 |         /// Initializes a new instance of the <see cref="RSI"/> class. 
21 |         /// </summary>
22 |         public RSI()
23 |         {
24 |             this.Name = "Relative Strength Index developed by J. Welles Wilder and published in a 1978 book, New Concepts in Technical Trading Systems";
25 |             this.ShortName = "RSI";
26 |         }
27 | 
28 |         /// <summary>
29 |         /// Calculates indicator.
30 |         /// </summary>
31 |         /// <param name="price">Price series.</param>
32 |         /// <param name="period">Indicator period.</param>
33 |         /// <returns>Calculated indicator series.</returns>
34 |         public static double[] Calculate(double[] price, int period)
35 |         {
36 |             Condition.Requires(price, "price")
37 |                      .IsNotEmpty();
38 |             Condition.Requires(period, "period")
39 |                      .IsGreaterThan(0)
40 |                      .IsLessOrEqual(price.Length);
41 | 
42 |             var rsi = new double[price.Length];
43 | 
44 |             double gain = 0.0;
45 |             double loss = 0.0;
46 | 
47 |             // first RSI value
48 |             rsi[0] = 0.0;
49 |             for (int i = 1; i <= period; ++i)
50 |             {
51 |                 var diff = price[i] - price[i - 1];
52 |                 if (diff >= 0)
53 |                 {
54 |                     gain += diff;
55 |                 }
56 |                 else
57 |                 {
58 |                     loss -= diff;
59 |                 }
60 |             }
61 | 
62 |             double avrg = gain / period;
63 |             double avrl = loss / period;
64 |             double rs = gain / loss;
65 |             rsi[period] = 100 - (100 / (1 + rs));
66 | 
67 |             for (int i = period + 1; i < price.Length; ++i)
68 |             {
69 |                 var diff = price[i] - price[i - 1];
70 | 
71 |                 if (diff >= 0)
72 |                 {
73 |                     avrg = ((avrg * (period - 1)) + diff) / period;
74 |                     avrl = (avrl * (period - 1)) / period;
75 |                 }
76 |                 else
77 |                 {
78 |                     avrl = ((avrl * (period - 1)) - diff) / period;
79 |                     avrg = (avrg * (period - 1)) / period;
80 |                 }
81 | 
82 |                 rs = avrg / avrl;
83 | 
84 |                 rsi[i] = 100 - (100 / (1 + rs));
85 |             }
86 | 
87 |             return rsi;
88 |         }
89 |     }
90 | }
91 | 


--------------------------------------------------------------------------------
/MgFx.Indicators/Settings.StyleCop:
--------------------------------------------------------------------------------
 1 | <StyleCopSettings Version="105">
 2 |   <GlobalSettings>
 3 |     <BooleanProperty Name="WriteCache">False</BooleanProperty>
 4 |   </GlobalSettings>
 5 |   <Analyzers>
 6 |     <Analyzer AnalyzerId="StyleCop.CSharp.DocumentationRules">
 7 |       <AnalyzerSettings>
 8 |         <StringProperty Name="CompanyName">Mariusz Gumowski</StringProperty>
 9 |         <StringProperty Name="Copyright">Copyright (c) 2003-2015 Mariusz Gumowski. All rights reserved.</StringProperty>
10 |       </AnalyzerSettings>
11 |     </Analyzer>
12 |   </Analyzers>
13 | </StyleCopSettings>


--------------------------------------------------------------------------------
/MgFx.Indicators/Sma.cs:
--------------------------------------------------------------------------------
 1 | // --------------------------------------------------------------------------------------------------------------------
 2 | // <copyright file="Sma.cs" company="Mariusz Gumowski">
 3 | //   Copyright (c) 2003-2015 Mariusz Gumowski. All rights reserved.
 4 | // </copyright>
 5 | // <summary>
 6 | //   Simple Moving Average Indicator.
 7 | // </summary>
 8 | // --------------------------------------------------------------------------------------------------------------------
 9 | 
10 | namespace MgFx.Indicators
11 | {
12 |     using CuttingEdge.Conditions;
13 | 
14 |     /// <summary>
15 |     /// Simple Moving Average Indicator.
16 |     /// </summary>
17 |     public class SMA : Indicator
18 |     {
19 |         /// <summary>
20 |         /// Initializes a new instance of the <see cref="SMA"/> class. 
21 |         /// </summary>
22 |         public SMA()
23 |         {
24 |             this.Name = "Simple Moving Average";
25 |             this.ShortName = "SMA";
26 |         }
27 | 
28 |         /// <summary>
29 |         /// Calculates indicator.
30 |         /// </summary>
31 |         /// <param name="price">Price series.</param>
32 |         /// <param name="period">Indicator period.</param>
33 |         /// <returns>Calculated indicator series.</returns>
34 |         public static double[] Calculate(double[] price, int period)
35 |         {
36 |             Condition.Requires(price, "price")
37 |                 .IsNotEmpty();
38 |             Condition.Requires(period, "period")
39 |                 .IsGreaterThan(0)
40 |                 .IsLessOrEqual(price.Length);
41 | 
42 |             var sma = new double[price.Length];
43 | 
44 |             double sum = 0;
45 | 
46 |             for (var i = 0; i < period; i++)
47 |             {
48 |                 sum += price[i];
49 |                 sma[i] = sum / (i + 1);
50 |             }
51 | 
52 |             for (var i = period; i < price.Length; i++)
53 |             {
54 |                 sum = 0;
55 |                 for (var j = i; j > i - period; j--)
56 |                 {
57 |                     sum += price[j];
58 |                 }
59 | 
60 |                 sma[i] = sum / period;
61 |             }
62 | 
63 |             return sma;
64 |         }       
65 |     }
66 | }
67 | 


--------------------------------------------------------------------------------
/MgFx.Indicators/Trix.cs:
--------------------------------------------------------------------------------
 1 | // --------------------------------------------------------------------------------------------------------------------
 2 | // <copyright file="Trix.cs" company="Mariusz Gumowski">
 3 | //   Copyright (c) 2003-2015 Mariusz Gumowski. All rights reserved.
 4 | // </copyright>
 5 | // <summary>
 6 | //   Triple-smoothed Exponential Moving Average Indicator.
 7 | // </summary>
 8 | // --------------------------------------------------------------------------------------------------------------------
 9 | 
10 | namespace MgFx.Indicators
11 | {
12 |     using CuttingEdge.Conditions;
13 | 
14 |     /// <summary>
15 |     /// Triple-smoothed Exponential Moving Average Indicator.
16 |     /// </summary>
17 |     public class TRIX : Indicator
18 |     {
19 |         /// <summary>
20 |         /// Initializes a new instance of the <see cref="TRIX"/> class. 
21 |         /// </summary>
22 |         public TRIX()
23 |         {
24 |             this.Name = "TRIX - Triple-smoothed Exponential Moving Average";
25 |             this.ShortName = "TRIX";
26 |         }
27 | 
28 |         /// <summary>
29 |         /// Calculates indicator.
30 |         /// </summary>
31 |         /// <param name="price">Price series.</param>
32 |         /// <param name="period">Indicator period.</param>
33 |         /// <returns>Calculated indicator series.</returns>
34 |         public static double[] Calculate(double[] price, int period)
35 |         {
36 |             Condition.Requires(price, "price")
37 |                 .IsNotEmpty();
38 |             Condition.Requires(period, "period")
39 |                 .IsGreaterThan(1)
40 |                 .IsLessOrEqual(price.Length);
41 | 
42 |             var trix = new double[price.Length];
43 |             var ema1 = EMA.Calculate(price, period);
44 |             var ema2 = EMA.Calculate(ema1, period);
45 |             var ema3 = EMA.Calculate(ema2, period);
46 |             trix[0] = 0.0;
47 |             for (int i = 1; i < price.Length; ++i)
48 |             {
49 |                 if (ema3[i].IsAlmostZero())
50 |                 {
51 |                     trix[i] = 0.0;
52 |                 }
53 |                 else
54 |                 {
55 |                     trix[i] = 100.0 * ((ema3[i] - ema3[i - 1]) / ema3[i]);
56 |                 }
57 |             }
58 | 
59 |             return trix;
60 |         }       
61 |     }
62 | }
63 | 


--------------------------------------------------------------------------------
/MgFx.Indicators/Wpr.cs:
--------------------------------------------------------------------------------
 1 | // --------------------------------------------------------------------------------------------------------------------
 2 | // <copyright file="Wpr.cs" company="Mariusz Gumowski">
 3 | //   Copyright (c) 2003-2015 Mariusz Gumowski. All rights reserved.
 4 | // </copyright>
 5 | // <summary>
 6 | //   Williams Percent Range Indicator.
 7 | // </summary>
 8 | // --------------------------------------------------------------------------------------------------------------------
 9 | 
10 | namespace MgFx.Indicators
11 | {
12 |     using CuttingEdge.Conditions;
13 | 
14 |     using MgFx.History;
15 | 
16 |     /// <summary>
17 |     /// Williams Percent Range Indicator.
18 |     /// </summary>
19 |     public class WPR : Indicator
20 |     {
21 |         /// <summary>
22 |         /// Initializes a new instance of the <see cref="WPR"/> class. 
23 |         /// </summary>
24 |         public WPR()
25 |         {
26 |             this.Name = "Williams Percent Range";
27 |             this.ShortName = "WPR";
28 |         }
29 | 
30 |         /// <summary>
31 |         /// Calculates indicator.
32 |         /// </summary>
33 |         /// <param name="price">Price series.</param>
34 |         /// <param name="period">Indicator period.</param>
35 |         /// <param name="timeSeries">Instrument <c>ohlc</c> time series.</param>
36 |         /// <returns>Calculated indicator series.</returns>
37 |         public static double[] Calculate(double[] price, int period, TimeSeries timeSeries)
38 |         {
39 |             Condition.Requires(price, "price")
40 |                 .IsNotEmpty();
41 |             Condition.Requires(period, "period")
42 |                 .IsGreaterThan(0)
43 |                 .IsLessOrEqual(price.Length);
44 |             Condition.Requires(timeSeries, "timeSeries")
45 |                 .IsNotNull();
46 | 
47 |             var wpr = new double[price.Length];
48 | 
49 |             for (var i = period; i < price.Length; i++)
50 |             {
51 |                 var highest = double.MinValue;
52 |                 var lowest = double.MaxValue;
53 | 
54 |                 for (int j = i - period + 1; j <= i; j++)
55 |                 {
56 |                     if (timeSeries.High[j] > highest)
57 |                     {
58 |                         highest = timeSeries.High[j];
59 |                     }
60 | 
61 |                     if (timeSeries.Low[j] < lowest)
62 |                     {
63 |                         lowest = timeSeries.Low[j];
64 |                     }
65 |                 }
66 | 
67 |                 wpr[i] = -100 * (highest - timeSeries.Close[i]) / (highest - lowest);
68 |             }
69 | 
70 |             return wpr;
71 |         }
72 |     }
73 | }
74 | 


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/MgFx.Indicators/packages.config:
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1 | <?xml version="1.0" encoding="utf-8"?>
2 | <packages>
3 |   <package id="CuttingEdge.Conditions" version="1.2.0.0" targetFramework="net451" />
4 | </packages>


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/README.md:
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 1 | Technical indicators
 2 | ==========
 3 | This is a collection of technical indicators use for stock trading written in C#
 4 | 
 5 | Currently implemented:
 6 | 
 7 | ShortName | Name
 8 | ------------ | -------------
 9 | AC | Accelerator/Decelerator Oscillator
10 | ADX | Average Directional Movement Index
11 | AO | Awesome Oscillator
12 | ATR | Average True Range
13 | ATRP | Average True Range Percentage
14 | Bears | Bears Power
15 | BOP | Balance Of Power
16 | Bulls | Bulls Power
17 | COG | John Ehlers's Center of Gravity
18 | DMI- | Directional Movement Index Minus
19 | DMI+ | Directional Movement Index Plus
20 | EMA | Exponential Moving Average
21 | FIR | Finite Impulse Response Moving Average
22 | Highest | Highest Value Indicator
23 | IIR | Infinite Impulse Response Moving Average
24 | Lowest | Lowest Value Indicator
25 | LWMA | Linearly Weighted Moving Average
26 | Momentum | Momentum Indicator
27 | RSI | Relative Strength Index
28 | SMA | Simple Moving Average
29 | TRIX | Triple Exponential Moving Average
30 | WPR | Williams Percent Range
31 | 


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