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regRangeBar.lua
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-- Glukk Inc ©
-- индикатор, выводящий диапазоны проторговки
--logfile=io.open(getWorkingFolder().."\\LuaIndicators\\regRangeBar.txt", "w")
min_price_step = 0
math.pow = math.pow or function(x, y) return x^y end
Settings=
{
Name = "*regRangeBar",
bars = 27,
ratioFactor = 0.7,
kstd = 1.8,
ATR_factor = 3.1,
line =
{
{
Name = "upRange",
Color = RGB(89, 213, 107),
Type = TYPET_BAR, --TYPE_DASHDOT,
Width = 2
},
{
Name = "downRange",
Color = RGB(251,82,0),
Type = TYPET_BAR,
Width = 2
},
{
Name = "signal",
Color = RGB(128,64,64),
Type = TYPE_POINT,
Width = 3
}
}
}
function Init()
myFunc = rangeBar()
return #Settings.line
end
function OnCalculate(index)
if index == 1 then
DSInfo = getDataSourceInfo()
min_price_step = getParamEx(DSInfo.class_code, DSInfo.sec_code, "SEC_PRICE_STEP").param_value
if tonumber(min_price_step) == 0 or min_price_step == nil then
min_price_step = 1
end
end
return myFunc(index, Settings)
end
--------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------
function FindExistCandle(I)
local out = I
while not CandleExist(out) and out > 0 do
out = out -1
end
return out
end
function dValue(i,param)
local v = param or "C"
if not CandleExist(i) then
return nil
end
if v == "O" then
return O(i)
elseif v == "H" then
return H(i)
elseif v == "L" then
return L(i)
elseif v == "C" then
return C(i)
elseif v == "V" then
return V(i)
elseif v == "M" then
return (H(i) + L(i))/2
elseif v == "T" then
return (H(i) + L(i)+C(i))/3
elseif v == "W" then
return (H(i) + L(i)+2*C(i))/4
elseif v == "ATR" then
local previous = i-1
if not CandleExist(previous) then
previous = FindExistCandle(previous)
end
if H(i)==nil or L(i) == nil or C(previous) == nil then return 0; end
return math.max(math.abs(H(i) - L(i)), math.abs(H(i) - C(previous)), math.abs(C(previous) - L(i)))
else
return C(i)
end
end
function rangeBar()
local upRange={}
local dwnRange={}
local cacheL={}
local cacheH={}
local cacheC={}
local sx={}
local ATR={}
local calculated_buffer={}
local prevRangeStart = {}
local rangeStart = {}
local lastRange = {}
local lastSignal = {}
return function(ind, Fsettings, ds)
local Fsettings=(Fsettings or {})
local index = ind
local bars = Fsettings.bars or 64
local ratioFactor = Fsettings.ratioFactor or 3
local kstd = Fsettings.kstd or 1
local ATR_factor = Fsettings.ATR_factor or 3
local degree = 1
local periodATR = bars
local out1 = nil
local out2 = nil
local out3 = nil
local p = 0
local n = 0
local f = 0
local qq = 0
local mm = 0
local tt = 0
local ii = 0
local jj = 0
local kk = 0
local ll = 0
local nn = 0
local sq = 0
local mi = 0
local ai={{1,2,3,4}, {1,2,3,4}, {1,2,3,4}, {1,2,3,4}}
local b={}
local x={}
local index = ind-1
index = math.max(index, 1)
p = bars
nn = degree+1
if index == 1 then
upRange = {}
upRange[index] = 0
dwnRange = {}
dwnRange[index] = 0
cacheL = {}
cacheL[index] = 0
cacheH = {}
cacheH[index] = 0
cacheC = {}
cacheC[index] = 0
rangeStart = {}
rangeStart[index] = nil
prevRangeStart = {}
prevRangeStart[index] = nil
ATR = {}
ATR[index] = 0
calculated_buffer = {}
lastRange = {}
lastRange[index] = {0, 0}
lastSignal = {}
lastSignal[index] = {index, 0, nil}
--- sx
sx={}
sx[1] = p+1
for mi=1, nn*2-2 do
sum=0
for n=1, p do
sum = sum + math.pow(n,mi)
end
sx[mi+1]=sum
end
return nil
end
if calculated_buffer[index] == nil then
upRange[index] = upRange[index-1]
dwnRange[index] = dwnRange[index-1]
cacheL[index] = cacheL[index-1]
cacheH[index] = cacheH[index-1]
cacheC[index] = cacheC[index-1]
rangeStart[index] = rangeStart[index-1]
prevRangeStart[index] = prevRangeStart[index-1]
lastRange[index] = lastRange[index-1]
lastSignal[index] = lastSignal[index-1]
end
ATR[index] = ATR[index-1]
if not CandleExist(index) then
return nil
end
if index<periodATR then
ATR[index] = 0
elseif index==periodATR then
local sum=0
for i = 1, periodATR do
if CandleExist(i) then
sum = sum + dValue(i, 'ATR')
end
end
ATR[index]=sum / periodATR
elseif index>periodATR then
ATR[index]=(ATR[index-1] * (periodATR-1) + dValue(index, 'ATR')) / periodATR
--ATR[index] = kawg*dValue(index)+(1-kawg)*ATR[index-1]
end
if index <= Size()-500 then
return nil
end
cacheH[index] = H(index)
cacheL[index] = L(index)
cacheC[index] = C(index)
if calculated_buffer[index] == nil then
--WriteLog ("---------------------------------")
--WriteLog ("OnCalc() ".."CandleExist("..index.."): "..tostring(CandleExist(index)).."; T("..index.."); "..isnil(toYYYYMMDDHHMMSS(T(index))," - "))
--WriteLog ("C(index) "..tostring(C(index)).." H(index) "..tostring(H(index)).." L(index) "..tostring(L(index)))
previous = rangeStart[index] or index-bars
if not CandleExist(previous) then
previous = FindExistCandle(previous)
end
local maxC = cacheC[math.max(previous, 1)]
local minC = cacheC[math.max(previous, 1)]
for i=math.max(previous, 1)+1,index-1 do
maxC = math.max(cacheC[i], maxC)
minC = math.min(cacheC[i], minC)
end
local fx_buffer={}
--- syx
for mi = 1, nn do
sum = 0
for n=0, p do
if CandleExist(index+n-bars) then
if mi==1 then
sum = sum + C(index+n-bars)
else
sum = sum + C(index+n-bars)*math.pow(n,mi-1)
end
end
end
b[mi]=sum
end
--- Matrix
for jj=1, nn do
for ii=1, nn do
kk=ii+jj-1
ai[ii][jj]=sx[kk]
end
end
--- Gauss
for kk=1, nn-1 do
ll=0
mm=0
for ii=kk, nn do
if math.abs(ai[ii][kk])>mm then
mm=math.abs(ai[ii][kk])
ll=ii
end
end
if ll==0 then
return nil
end
if ll~=kk then
for jj=1, nn do
tt=ai[kk][jj]
ai[kk][jj]=ai[ll][jj]
ai[ll][jj]=tt
end
tt=b[kk]
b[kk]=b[ll]
b[ll]=tt
end
for ii=kk+1, nn do
qq=ai[ii][kk]/ai[kk][kk]
for jj=1, nn do
if jj==kk then
ai[ii][jj]=0
else
ai[ii][jj]=ai[ii][jj]-qq*ai[kk][jj]
end
end
b[ii]=b[ii]-qq*b[kk]
end
end
x[nn]=b[nn]/ai[nn][nn]
for ii=nn-1, 1, -1 do
tt=0
for jj=1, nn-ii do
tt=tt+ai[ii][ii+jj]*x[ii+jj]
x[ii]=(1/ai[ii][ii])*(b[ii]-tt)
end
end
---
for n = 1, p do
sum=0
for kk=1, degree do
sum = sum + x[kk+1]*math.pow(n,kk)
end
fx_buffer[n]=x[1]+sum
end
calculated_buffer[index] = true
-- Std
sq=0.0
for n = 1, p do
if CandleExist(index+n-bars) then
sq = sq + math.pow(C(index+n-bars)-fx_buffer[n],2)
end
end
sq = math.sqrt(sq/(p-1))*kstd
lastSignal[index][3] = nil
local deltaRatio = math.abs(fx_buffer[#fx_buffer]-fx_buffer[1])*100/fx_buffer[1]
if deltaRatio < ratioFactor and fx_buffer[#fx_buffer] < maxC and
fx_buffer[#fx_buffer] > minC and math.abs(maxC-minC) < 2*sq and
((ATR_factor~=0 and math.abs(maxC-minC) <= ATR_factor*ATR[index]) or ATR_factor == 0)
then
if rangeStart[index] == nil then
if prevRangeStart[index]~=nil then
if previous - prevRangeStart[index] < bars then
if lastSignal[index][1] > previous and lastSignal[index][2]~=0 then
SetValue(lastSignal[index][1], 3, nil)
lastSignal[lastSignal[index][1]][3] = nil
end
previous = prevRangeStart[index]
maxC = cacheC[math.max(previous, 1)]
minC = cacheC[math.max(previous, 1)]
for i=math.max(previous, 1)+1,index-1 do
maxC = math.max(cacheC[i], maxC)
minC = math.min(cacheC[i], minC)
end
end
end
rangeStart[index] = previous
end
out1 = maxC
out2 = minC
lastRange[index] = {out1, out2}
for i=rangeStart[index],index do
SetValue(i, 1, out1)
SetValue(i, 2, out2)
end
lastSignal[index] = {index, 0, nil}
else
if rangeStart[index] ~=nil then
prevRangeStart[index] = rangeStart[index]
end
rangeStart[index] = nil
end
if lastRange[index]~=nil then
if (cacheC[index-1] > lastRange[index][1] and cacheC[index-2] <= lastRange[index][1] and lastSignal[index][2]~=1) then
lastSignal[index] = {index, 1, O(index)}
SetValue(lastSignal[index][1], 3, lastSignal[index][3])
end
if (cacheC[index-1] < lastRange[index][2] and cacheC[index-2] >= lastRange[index][2] and lastSignal[index][2]~=-1) then
lastSignal[index] = {index, -1, O(index)}
SetValue(lastSignal[index][1], 3, lastSignal[index][3])
end
end
end
return nil
end
end
function WriteLog(text)
logfile:write(tostring(os.date("%c",os.time())).." "..text.."\n");
logfile:flush();
LASTLOGSTRING = text;
end;
function round(num, idp)
if idp and num then
local mult = 10^(idp or 0)
if num >= 0 then return math.floor(num * mult + 0.5) / mult
else return math.ceil(num * mult - 0.5) / mult end
else return num end
end
function toYYYYMMDDHHMMSS(datetime)
if type(datetime) ~= "table" then
return ""
else
local Res = tostring(datetime.year)
if #Res == 1 then Res = "000"..Res end
local month = tostring(datetime.month)
if #month == 1 then Res = Res.."/0"..month; else Res = Res..'/'..month; end
local day = tostring(datetime.day)
if #day == 1 then Res = Res.."/0"..day; else Res = Res..'/'..day; end
local hour = tostring(datetime.hour)
if #hour == 1 then Res = Res.." 0"..hour; else Res = Res..' '..hour; end
local minute = tostring(datetime.min)
if #minute == 1 then Res = Res..":0"..minute; else Res = Res..':'..minute; end
local sec = tostring(datetime.sec);
if #sec == 1 then Res = Res..":0"..sec; else Res = Res..':'..sec; end;
return Res
end
end --toYYYYMMDDHHMMSS
function isnil(a,b)
if a == nil then
return b
else
return a
end;
end