Initial commit
This commit is contained in:
Michael Schimmel
@@ -0,0 +1 @@
|
||||
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||||
@@ -0,0 +1,25 @@
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||||
|
||||
Microsoft Visual Studio Solution File, Format Version 12.00
|
||||
# Visual Studio Version 16
|
||||
VisualStudioVersion = 16.0.30011.22
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MinimumVisualStudioVersion = 10.0.40219.1
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Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "HmaSmaCrossoverSignal", "..\HmaSmaCrossoverSignal\HmaSmaCrossoverSignal\HmaSmaCrossoverSignal.csproj", "{e8c2d7a1-30b4-4506-8340-eb539cf7beb6}"
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EndProject
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Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "MultiTimeframeSignalAggregator", "MultiTimeframeSignalAggregator\MultiTimeframeSignalAggregator.csproj", "{14f3d6c2-2294-4116-a68c-4e6230c98b1c}"
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EndProject
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Global
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GlobalSection(SolutionConfigurationPlatforms) = preSolution
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Debug|Any CPU = Debug|Any CPU
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Release|Any CPU = Release|Any CPU
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EndGlobalSection
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GlobalSection(ProjectConfigurationPlatforms) = postSolution
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{14f3d6c2-2294-4116-a68c-4e6230c98b1c}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
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{14f3d6c2-2294-4116-a68c-4e6230c98b1c}.Debug|Any CPU.Build.0 = Debug|Any CPU
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{14f3d6c2-2294-4116-a68c-4e6230c98b1c}.Release|Any CPU.ActiveCfg = Release|Any CPU
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{14f3d6c2-2294-4116-a68c-4e6230c98b1c}.Release|Any CPU.Build.0 = Release|Any CPU
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EndGlobalSection
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GlobalSection(SolutionProperties) = preSolution
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HideSolutionNode = FALSE
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EndGlobalSection
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EndGlobal
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|
||||
+156
@@ -0,0 +1,156 @@
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using System;
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using cAlgo.API;
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using cAlgo.API.Indicators;
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// using cAlgo.API.Extensions; // Removed faulty namespace reference
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namespace cAlgo.Indicators
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{
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// Aggregates signals from HmaSmaCrossoverSignal on two timeframes
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[Indicator(IsOverlay = false, TimeZone = TimeZones.UTC, AccessRights = AccessRights.None)]
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public class MultiTimeframeSignalAggregator : Indicator
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{
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[Parameter("HTF TimeFrame (B)", DefaultValue = "m2")]
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public TimeFrame HtfTimeFrame { get; set; }
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[Parameter("HMA A Period (Fast)", DefaultValue = 20, Group = "Indicator Settings")]
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public int HmaAPeriod { get; set; }
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[Parameter("HMA B Period (Slow)", DefaultValue = 250, Group = "Indicator Settings")]
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public int HmaBPeriod { get; set; }
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[Parameter("SMA C Period (Base)", DefaultValue = 200, Group = "Indicator Settings")]
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public int SmaCPeriod { get; set; }
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// Output for final Buy signals
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[Output("Buy Signal", LineColor = "Yellow", PlotType = PlotType.Points, Thickness = 8)]
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public IndicatorDataSeries BuySignal { get; set; }
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// Output for final Sell signals
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[Output("Sell Signal", LineColor = "Red", PlotType = PlotType.Points, Thickness = 8)]
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public IndicatorDataSeries SellSignal { get; set; }
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// Indicator A (Current Chart)
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private HmaSmaCrossoverSignal _indicatorA;
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// Indicator B (Higher Timeframe)
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private HmaSmaCrossoverSignal _indicatorB;
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private Bars _htfBars;
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// State variables to track the last signal on the HTF
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private DateTime _lastHtfBuyTime = DateTime.MinValue;
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private DateTime _lastHtfSellTime = DateTime.MinValue;
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private int _lastHtfIndexChecked = -1;
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protected override void Initialize()
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{
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// Get the Bars for the higher timeframe
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_htfBars = MarketData.GetBars(HtfTimeFrame);
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// Initialize Indicator A (current timeframe)
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_indicatorA = Indicators.GetIndicator<HmaSmaCrossoverSignal>(HmaAPeriod, HmaBPeriod, SmaCPeriod);
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// Initialize Indicator B (higher timeframe)
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_indicatorB = Indicators.GetIndicator<HmaSmaCrossoverSignal>(_htfBars, HmaAPeriod, HmaBPeriod, SmaCPeriod);
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}
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public override void Calculate(int index)
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||||
{
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// Reset signals for the current bar (index) and the previous bar (index - 1)
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// This handles the repainting nature of the underlying signal
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BuySignal[index] = double.NaN;
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SellSignal[index] = double.NaN;
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||||
if (index > 0)
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||||
{
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BuySignal[index - 1] = double.NaN;
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||||
SellSignal[index - 1] = double.NaN;
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||||
}
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||||
|
||||
// Need at least 2 bars for index-1 signals
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||||
if (index < 2)
|
||||
{
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||||
return;
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||||
}
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||||
|
||||
// --- 1. Update HTF (Indicator B) State ---
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||||
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||||
// Manual replacement for GetIndexByTime
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int htfIndex = GetHtfIndex(Bars.OpenTimes[index]);
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||||
if (htfIndex == -1)
|
||||
{
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||||
// Not enough HTF data
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||||
return;
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||||
}
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||||
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||||
// Scan HTF bars from where we left off up to the current htfIndex
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||||
// We scan efficiently, only checking new bars
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||||
int scanFromIndex = Math.Max(0, _lastHtfIndexChecked + 1);
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int scanToIndex = htfIndex;
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||||
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||||
for (int i = scanFromIndex; i <= scanToIndex; i++)
|
||||
{
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||||
// The signal indicator needs at least 2 bars (i and i-1) to check for signals
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||||
if (i < 2) continue;
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||||
|
||||
// Check for confirmed signals at (i-1)
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||||
if (!double.IsNaN(_indicatorB.BuySignal[i - 1]))
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||||
{
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||||
_lastHtfBuyTime = _htfBars.OpenTimes[i - 1];
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||||
}
|
||||
if (!double.IsNaN(_indicatorB.SellSignal[i - 1]))
|
||||
{
|
||||
_lastHtfSellTime = _htfBars.OpenTimes[i - 1];
|
||||
}
|
||||
}
|
||||
// Remember how far we've scanned
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||||
_lastHtfIndexChecked = scanToIndex;
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||||
|
||||
// --- 2. Check Current TF (Indicator A) Signal ---
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||||
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||||
// Get the confirmed signal from the *previous* bar (index - 1)
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||||
double currentBuySignal = _indicatorA.BuySignal[index - 1];
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||||
double currentSellSignal = _indicatorA.SellSignal[index - 1];
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||||
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||||
bool hasCurrentBuy = !double.IsNaN(currentBuySignal);
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||||
bool hasCurrentSell = !double.IsNaN(currentSellSignal);
|
||||
|
||||
if (!hasCurrentBuy && !hasCurrentSell)
|
||||
{
|
||||
// No signal on current TF
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||||
return;
|
||||
}
|
||||
|
||||
// --- 3. Apply Aggregation Logic ---
|
||||
|
||||
// Buy signal: Current TF shows Buy AND the last HTF signal was also a Buy
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||||
if (hasCurrentBuy && (_lastHtfBuyTime > _lastHtfSellTime))
|
||||
{
|
||||
// Place the signal at index - 1, using the value from Indicator A
|
||||
BuySignal[index - 1] = currentBuySignal;
|
||||
}
|
||||
|
||||
// Sell signal: Current TF shows Sell AND the last HTF signal was also a Sell
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||||
if (hasCurrentSell && (_lastHtfSellTime > _lastHtfBuyTime))
|
||||
{
|
||||
// Place the signal at index - 1, using the value from Indicator A
|
||||
SellSignal[index - 1] = currentSellSignal;
|
||||
}
|
||||
}
|
||||
|
||||
// Manual implementation of GetIndexByTime
|
||||
// Finds the index of the bar that was open at the specified time
|
||||
private int GetHtfIndex(DateTime time)
|
||||
{
|
||||
// Loop backwards for efficiency, assuming time is recent
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||||
for (int i = _htfBars.Count - 1; i >= 0; i--)
|
||||
{
|
||||
// If the bar's open time is at or before the requested time, this is the bar
|
||||
if (_htfBars.OpenTimes[i] <= time)
|
||||
{
|
||||
return i;
|
||||
}
|
||||
}
|
||||
// Time is before the first bar
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||||
return -1;
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||||
}
|
||||
}
|
||||
}
|
||||
+12
@@ -0,0 +1,12 @@
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||||
<?xml version="1.0" encoding="utf-8"?>
|
||||
<Project Sdk="Microsoft.NET.Sdk">
|
||||
<PropertyGroup>
|
||||
<TargetFramework>net6.0</TargetFramework>
|
||||
</PropertyGroup>
|
||||
<ItemGroup>
|
||||
<PackageReference Include="cTrader.Automate" Version="*" />
|
||||
</ItemGroup>
|
||||
<ItemGroup>
|
||||
<ProjectReference Include="..\..\HmaSmaCrossoverSignal\HmaSmaCrossoverSignal\HmaSmaCrossoverSignal.csproj" />
|
||||
</ItemGroup>
|
||||
</Project>
|
||||
+4
@@ -0,0 +1,4 @@
|
||||
// <autogenerated />
|
||||
using System;
|
||||
using System.Reflection;
|
||||
[assembly: global::System.Runtime.Versioning.TargetFrameworkAttribute(".NETCoreApp,Version=v10.0", FrameworkDisplayName = "")]
|
||||
+22
@@ -0,0 +1,22 @@
|
||||
//------------------------------------------------------------------------------
|
||||
// <auto-generated>
|
||||
// This code was generated by a tool.
|
||||
//
|
||||
// Changes to this file may cause incorrect behavior and will be lost if
|
||||
// the code is regenerated.
|
||||
// </auto-generated>
|
||||
//------------------------------------------------------------------------------
|
||||
|
||||
using System;
|
||||
using System.Reflection;
|
||||
|
||||
[assembly: System.Reflection.AssemblyCompanyAttribute("MultiTimeframeSignalAggregator")]
|
||||
[assembly: System.Reflection.AssemblyConfigurationAttribute("Debug")]
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[assembly: System.Reflection.AssemblyFileVersionAttribute("1.0.0.0")]
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[assembly: System.Reflection.AssemblyInformationalVersionAttribute("1.0.0")]
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[assembly: System.Reflection.AssemblyProductAttribute("MultiTimeframeSignalAggregator")]
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[assembly: System.Reflection.AssemblyTitleAttribute("MultiTimeframeSignalAggregator")]
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[assembly: System.Reflection.AssemblyVersionAttribute("1.0.0.0")]
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// Von der MSBuild WriteCodeFragment-Klasse generiert.
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+1
@@ -0,0 +1 @@
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6f0108d5c6b0163cb6f7beb9819d3362ef1dbdcd
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@@ -0,0 +1,10 @@
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is_global = true
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build_property.TargetFramework = net10.0
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build_property.TargetPlatformMinVersion =
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build_property.UsingMicrosoftNETSdkWeb =
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build_property._SupportedPlatformList = Linux,macOS,Windows
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build_property.ProjectDir = c:\Users\Brummel\Documents\cAlgo\Sources\Indicators\MultiTimeframeSignalAggregator\MultiTimeframeSignalAggregator\
|
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+8
@@ -0,0 +1,8 @@
|
||||
// <auto-generated/>
|
||||
global using global::System;
|
||||
global using global::System.Collections.Generic;
|
||||
global using global::System.IO;
|
||||
global using global::System.Linq;
|
||||
global using global::System.Net.Http;
|
||||
global using global::System.Threading;
|
||||
global using global::System.Threading.Tasks;
|
||||
+4
@@ -0,0 +1,4 @@
|
||||
// <autogenerated />
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using System;
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using System.Reflection;
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[assembly: global::System.Runtime.Versioning.TargetFrameworkAttribute(".NETCoreApp,Version=v6.0", FrameworkDisplayName = "")]
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+22
@@ -0,0 +1,22 @@
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//------------------------------------------------------------------------------
|
||||
// <auto-generated>
|
||||
// This code was generated by a tool.
|
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//
|
||||
// Changes to this file may cause incorrect behavior and will be lost if
|
||||
// the code is regenerated.
|
||||
// </auto-generated>
|
||||
//------------------------------------------------------------------------------
|
||||
|
||||
using System;
|
||||
using System.Reflection;
|
||||
|
||||
[assembly: System.Reflection.AssemblyCompanyAttribute("MultiTimeframeSignalAggregator")]
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[assembly: System.Reflection.AssemblyConfigurationAttribute("Debug")]
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[assembly: System.Reflection.AssemblyFileVersionAttribute("1.0.0.0")]
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[assembly: System.Reflection.AssemblyInformationalVersionAttribute("1.0.0")]
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[assembly: System.Reflection.AssemblyProductAttribute("MultiTimeframeSignalAggregator")]
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[assembly: System.Reflection.AssemblyTitleAttribute("MultiTimeframeSignalAggregator")]
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[assembly: System.Reflection.AssemblyVersionAttribute("1.0.0.0")]
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||||
<ProjectAssetsFile Condition=" '$(ProjectAssetsFile)' == '' ">$(MSBuildThisFileDirectory)project.assets.json</ProjectAssetsFile>
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||||
<NuGetPackageRoot Condition=" '$(NuGetPackageRoot)' == '' ">$(UserProfile)\.nuget\packages\</NuGetPackageRoot>
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||||
<NuGetPackageFolders Condition=" '$(NuGetPackageFolders)' == '' ">C:\Users\Brummel\.nuget\packages\</NuGetPackageFolders>
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||||
<NuGetProjectStyle Condition=" '$(NuGetProjectStyle)' == '' ">PackageReference</NuGetProjectStyle>
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<NuGetToolVersion Condition=" '$(NuGetToolVersion)' == '' ">6.1.0</NuGetToolVersion>
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||||
</PropertyGroup>
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||||
<ItemGroup Condition=" '$(ExcludeRestorePackageImports)' != 'true' ">
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||||
<SourceRoot Include="C:\Users\Brummel\.nuget\packages\" />
|
||||
</ItemGroup>
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||||
<ImportGroup Condition=" '$(ExcludeRestorePackageImports)' != 'true' ">
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||||
<Import Project="$(NuGetPackageRoot)ctrader.automate\1.0.14\build\cTrader.Automate.props" Condition="Exists('$(NuGetPackageRoot)ctrader.automate\1.0.14\build\cTrader.Automate.props')" />
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||||
</ImportGroup>
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||||
<PropertyGroup Condition=" '$(ExcludeRestorePackageImports)' != 'true' ">
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||||
<PkgcTrader_Automate Condition=" '$(PkgcTrader_Automate)' == '' ">C:\Users\Brummel\.nuget\packages\ctrader.automate\1.0.14</PkgcTrader_Automate>
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||||
</PropertyGroup>
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||||
</Project>
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+6
@@ -0,0 +1,6 @@
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||||
<?xml version="1.0" encoding="utf-8" standalone="no"?>
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||||
<Project ToolsVersion="14.0" xmlns="http://schemas.microsoft.com/developer/msbuild/2003">
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||||
<ImportGroup Condition=" '$(ExcludeRestorePackageImports)' != 'true' ">
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<Import Project="$(NuGetPackageRoot)ctrader.automate\1.0.14\build\cTrader.Automate.targets" Condition="Exists('$(NuGetPackageRoot)ctrader.automate\1.0.14\build\cTrader.Automate.targets')" />
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||||
</ImportGroup>
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</Project>
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||||
+162
@@ -0,0 +1,162 @@
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||||
{
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||||
"version": 3,
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"targets": {
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||||
"net6.0": {
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"cTrader.Automate/1.0.14": {
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||||
"type": "package",
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||||
"compile": {
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"lib/net6.0/cAlgo.API.dll": {}
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||||
},
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"lib/net6.0/cAlgo.API.dll": {}
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},
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"build": {
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"build/cTrader.Automate.props": {},
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"build/cTrader.Automate.targets": {}
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}
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},
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"HmaSmaCrossoverSignal/1.0.0": {
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"type": "project",
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"framework": ".NETCoreApp,Version=v6.0",
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"dependencies": {
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"cTrader.Automate": "0.0.0"
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||||
},
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"compile": {
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"bin/placeholder/HmaSmaCrossoverSignal.dll": {}
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||||
},
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||||
"runtime": {
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||||
"bin/placeholder/HmaSmaCrossoverSignal.dll": {}
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}
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}
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}
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},
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"libraries": {
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"cTrader.Automate/1.0.14": {
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"sha512": "eNwE7WL90MGBKb5MuLAtZLdQy0vxkI5EVhLWAQ9S83EAdYkGAzdccvGFLk2oqmtSGBtD+gEpyrJUW/ej4dI4jw==",
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||||
"type": "package",
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||||
"path": "ctrader.automate/1.0.14",
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||||
"hasTools": true,
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||||
"files": [
|
||||
".nupkg.metadata",
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||||
".signature.p7s",
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||||
"build/cTrader.Automate.props",
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||||
"build/cTrader.Automate.targets",
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||||
"ctrader.automate.1.0.14.nupkg.sha512",
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||||
"ctrader.automate.nuspec",
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||||
"eula.md",
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"icon.png",
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"lib/net40/cAlgo.API.dll",
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||||
"lib/net40/cAlgo.API.xml",
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"lib/net6.0/cAlgo.API.dll",
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||||
"lib/net6.0/cAlgo.API.xml",
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||||
"tools/net472/Core.AlgoFormat.Compose.Reflection.dll",
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||||
"tools/net472/Core.AlgoFormat.Writer.dll",
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||||
"tools/net472/Core.AlgoFormat.dll",
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||||
"tools/net472/Core.Domain.Primitives.dll",
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||||
"tools/net472/Newtonsoft.Json.dll",
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||||
"tools/net472/System.Buffers.dll",
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||||
"tools/net472/System.Collections.Immutable.dll",
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||||
"tools/net472/System.Memory.dll",
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||||
"tools/net472/System.Numerics.Vectors.dll",
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||||
"tools/net472/System.Reflection.Metadata.dll",
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||||
"tools/net472/System.Reflection.MetadataLoadContext.dll",
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||||
"tools/net472/System.Runtime.CompilerServices.Unsafe.dll",
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||||
"tools/net472/cTrader.Automate.Sdk.Tasks.dll",
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||||
"tools/net6.0/Core.AlgoFormat.Compose.Reflection.dll",
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||||
"tools/net6.0/Core.AlgoFormat.Writer.dll",
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||||
"tools/net6.0/Core.AlgoFormat.dll",
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"tools/net6.0/Core.Connection.Protobuf.Common.dll",
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||||
"tools/net6.0/Core.Domain.Primitives.dll",
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||||
"tools/net6.0/Microsoft.Win32.SystemEvents.dll",
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"tools/net6.0/Newtonsoft.Json.dll",
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||||
"tools/net6.0/System.Drawing.Common.dll",
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||||
"tools/net6.0/System.Reflection.MetadataLoadContext.dll",
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||||
"tools/net6.0/System.Security.Permissions.dll",
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||||
"tools/net6.0/System.Windows.Extensions.dll",
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||||
"tools/net6.0/cTrader.Automate.Sdk.Tasks.dll",
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||||
"tools/net6.0/protobuf-net.Core.dll",
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||||
"tools/net6.0/protobuf-net.dll",
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||||
"tools/net6.0/runtimes/unix/lib/net6.0/System.Drawing.Common.dll",
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||||
"tools/net6.0/runtimes/win/lib/net6.0/Microsoft.Win32.SystemEvents.dll",
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||||
"tools/net6.0/runtimes/win/lib/net6.0/System.Drawing.Common.dll",
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||||
"tools/net6.0/runtimes/win/lib/net6.0/System.Windows.Extensions.dll"
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]
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||||
},
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"HmaSmaCrossoverSignal/1.0.0": {
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"type": "project",
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"path": "../../HmaSmaCrossoverSignal/HmaSmaCrossoverSignal/HmaSmaCrossoverSignal.csproj",
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"msbuildProject": "../../HmaSmaCrossoverSignal/HmaSmaCrossoverSignal/HmaSmaCrossoverSignal.csproj"
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}
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"projectFileDependencyGroups": {
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"net6.0": [
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"HmaSmaCrossoverSignal >= 1.0.0",
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"cTrader.Automate >= *"
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||||
]
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},
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"packageFolders": {
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"C:\\Users\\Brummel\\.nuget\\packages\\": {}
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},
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"project": {
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"version": "1.0.0",
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"restore": {
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"projectUniqueName": "C:\\Users\\Brummel\\Documents\\cAlgo\\Sources\\Indicators\\MultiTimeframeSignalAggregator\\MultiTimeframeSignalAggregator\\MultiTimeframeSignalAggregator.csproj",
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"projectName": "MultiTimeframeSignalAggregator",
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"projectPath": "C:\\Users\\Brummel\\Documents\\cAlgo\\Sources\\Indicators\\MultiTimeframeSignalAggregator\\MultiTimeframeSignalAggregator\\MultiTimeframeSignalAggregator.csproj",
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"targetAlias": "net6.0",
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"dependencies": {
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"net47",
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"net472",
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||||
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"assetTargetFallback": true,
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"warn": true,
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+10
@@ -0,0 +1,10 @@
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"success": true,
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|
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||||
],
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"logs": []
|
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}
|
||||
Reference in New Issue
Block a user