double TechUtils::CalulateWMA(const std::vector<TickWrapper>& data, const TickWrapper& current, size_t seconds)
{
//datetime to timestamp
size_t n = seconds * 2;
double totalExchangeLastPrice = current.LastPrice() * n;
long long count = n--;
long long leftedge = current.toTimeStamp() - seconds * 2;
for (auto it = data.rbegin(); it != data.rend(); it++)
{
if (it->toTimeStamp() > leftedge){
totalExchangeLastPrice += (it->LastPrice() * n);
--n;
count += n;
}
else{
break;
}
}
//assert(totalVolume != 0);
//assert(totalExchangePrice >= 0.0);
return totalExchangeLastPrice / count;
}
void DoubleMAStrategy::Run()
{
if (fast_ma->Count() <= 1 || slow_ma->Count() <= 1)
return;
double fv1 = fast_ma->get(1);
double fv0 = fast_ma->get(0);
double sv1 = slow_ma->get(1);
double sv0 = slow_ma->get(0);
if (fv1 < sv1 && fv0 > sv0)
{
cout << "Up Cross" << endl;
SendOrder(inst, Order::Buy, 1, LastPrice());
}
if (fv1 > sv1 && fv0 < sv0)
{
cout << "Down Cross" << endl;
SendOrder(inst, Order::Sell, 1, LastPrice());
}
}
double TechUtils::CalulateMA(const std::vector<KData>& data, const KData& current, size_t mins){
//datetime to timestamp
double totalExchangeLastPrice = current.LastPrice();
long long count = 1;
long long leftedge = current.Timestamp() - mins * 60 - 1;
for (auto it = data.rbegin(); it != data.rend(); it++)
{
if (it->Timestamp() > leftedge){
totalExchangeLastPrice += it->LastPrice();
++count;
}
else{
break;
}
}
//assert(totalVolume != 0);
//assert(totalExchangePrice >= 0.0);
return totalExchangeLastPrice / count;
}
double TechUtils::CalulateMA(const std::list<TickWrapper>& data, const TickWrapper& current, size_t seconds)
{
//datetime to timestamp
double totalExchangeLastPrice = current.LastPrice();
long long count = 1;
long long leftedge = current.toTimeStamp() - seconds * 2;
for (auto it = data.begin(); it != data.end(); it++)
{
if (it->toTimeStamp() > leftedge){
totalExchangeLastPrice += it->LastPrice();
++count;
}
else{
break;
}
}
//assert(totalVolume != 0);
//assert(totalExchangePrice >= 0.0);
return totalExchangeLastPrice / count;
}