public void populateChartAnalysis(final PriceAnalysisData currentPrice) {
if (currentPrice == null
|| currentPrice.getPrice() == null
|| currentPrice.getPrice().getDateType() != TradeDateType.TRADING_DATE
|| currentPrice.getPrice().getVolume() == null
|| currentPrice.getPrice().getVolume() == 0) {
return;
}
if (currentPrice.getPrice().getPriceDate().after(cal.getTime())) {
System.err.print("");
}
final BigDecimal atr = atrHelper.processTick(currentPrice.getPrice());
if (prevPrice == null) {
prevPrice = currentPrice;
return;
}
try {
if (currentPrice.getPrice().getLow().doubleValue()
<= prevPrice.getPrice().getHigh().doubleValue()) {
return;
}
double threshold = 0.01;
if (atr != null) {
threshold = atr.doubleValue();
} else {
threshold = atrHelper.getRollingATR();
}
PriceAnalysisElementData pae = null;
if (currentPrice.getPrice().getLow().doubleValue()
>= prevPrice.getPrice().getHigh().doubleValue() + threshold) {
pae = new PriceAnalysisElementData();
pae.setAnalysisType(ChartAnalysisType.GAP_UP);
pae.setElementType(ChartElementType.PRICE);
} else if (currentPrice.getPrice().getHigh().doubleValue()
<= prevPrice.getPrice().getLow().doubleValue() - threshold) {
pae = new PriceAnalysisElementData();
pae.setAnalysisType(ChartAnalysisType.GAP_DOWN);
pae.setElementType(ChartElementType.PRICE);
}
if (pae != null) {
currentPrice.getPriceAnalysisElements().add(pae);
}
} finally {
prevPrice = currentPrice;
}
}
public static List<PriceAnalysisData> analyzeDailyPrices(final List<InstrumentPriceModel> pvList)
throws ApplicationException {
if (pvList == null || pvList.size() <= 2) {
return null;
}
if (pvList.get(0).getPriceDate().after(pvList.get(1).getPriceDate())) {
Collections.reverse(pvList);
}
final List<PriceAnalysisData> analyzedPrices = new ArrayList<PriceAnalysisData>();
final PriceMovingAverageHelper pMAHelper10dEma =
new PriceMovingAverageHelper(10, false); // 10 EMA
final PriceMovingAverageHelper pMAHelper20dEma =
new PriceMovingAverageHelper(20, false); // 20 EMA
final PriceMovingAverageHelper pMAHelper50dSma =
new PriceMovingAverageHelper(50, true); // 50 SMA
final PriceMovingAverageHelper pMAHelper200dSma =
new PriceMovingAverageHelper(200, true); // 200 SMA
final VolumeMovingAverageHelper vMAHelper = new VolumeMovingAverageHelper(50, true); // 50 SMA
final MAAnalysisHelper ma10AnalysisHelper = new MAAnalysisHelper(ChartElementType.PRICE_MA_10);
final MAAnalysisHelper ma20AnalysisHelper = new MAAnalysisHelper(ChartElementType.PRICE_MA_20);
final MAAnalysisHelper ma50AnalysisHelper = new MAAnalysisHelper(ChartElementType.PRICE_MA_50);
final MAAnalysisHelper ma200AnalysisHelper =
new MAAnalysisHelper(ChartElementType.PRICE_MA_200);
final GapAnalysisHelper gapAnalysisHelper = new GapAnalysisHelper();
final ATRHelper atr14Helper = new ATRHelper(14);
final HighAnalysisHelper highAnalysisHelper = new HighAnalysisHelper();
BigDecimal lastPriceMA10 = null;
BigDecimal lastPriceMA20 = null;
BigDecimal lastPriceMA50 = null;
BigDecimal lastPriceMA200 = null;
BigDecimal lastVolMA = null;
for (final InstrumentPriceModel aPrice : pvList) {
if (aPrice == null
|| aPrice.getDateType() == null
|| TradeDateType.TRADING_DATE != aPrice.getDateType()
|| aPrice.getVolume() == null
|| aPrice.getClose() == null
|| aPrice.getVolume() <= 0) {
continue;
}
final PriceAnalysisData analyzedPrice = new PriceAnalysisData();
analyzedPrice.setPrice(aPrice);
// first calculate moving averages because we would need it in checking the signals
final BigDecimal priceMA10 = pMAHelper10dEma.processTick(aPrice, lastPriceMA10);
final BigDecimal priceMA20 = pMAHelper20dEma.processTick(aPrice, lastPriceMA20);
final BigDecimal priceMA50 = pMAHelper50dSma.processTick(aPrice, lastPriceMA50);
final BigDecimal priceMA200 = pMAHelper200dSma.processTick(aPrice, lastPriceMA200);
final BigDecimal volMA = vMAHelper.processTick(aPrice, lastVolMA);
final BigDecimal atr14 = atr14Helper.processTick(aPrice);
// set the MA and other analyzed data now..
analyzedPrice.setPrice10dEma(priceMA10);
analyzedPrice.setPrice20dEma(priceMA20);
analyzedPrice.setPrice50dSma(priceMA50);
analyzedPrice.setPrice200dSma(priceMA200);
analyzedPrice.setVol50dSma(volMA);
analyzedPrice.setAtr14d(atr14);
lastPriceMA10 = priceMA10;
lastPriceMA20 = priceMA20;
lastPriceMA50 = priceMA50;
lastPriceMA200 = priceMA200;
lastVolMA = volMA;
// analyze for signals now..
ma200AnalysisHelper.populateChartAnalysis(analyzedPrice);
ma50AnalysisHelper.populateChartAnalysis(analyzedPrice);
ma20AnalysisHelper.populateChartAnalysis(analyzedPrice);
ma10AnalysisHelper.populateChartAnalysis(analyzedPrice);
gapAnalysisHelper.populateChartAnalysis(analyzedPrice);
// analyze new-highs
highAnalysisHelper.populateChartAnalysis(analyzedPrice);
analyzedPrices.add(analyzedPrice);
if (analyzedPrice.getPriceAnalysisElements().size() > 0) {
StringBuffer buffy = new StringBuffer(analyzedPrice.getPrice().getPriceDate() + " : ");
for (PriceAnalysisElementData pae : analyzedPrice.getPriceAnalysisElements()) {
buffy.append(pae.getElementType() + " " + pae.getAnalysisType() + ",");
}
// System.err.println(buffy.toString());
}
}
return analyzedPrices;
}