Utilities and helpers

for historical quotes
for indicator results
for numerical analysis

Utilities for historical quotes

Use alternate price

quotes.Use() can be used before most indicator calls to specify which price element to analyze. It cannot be used for indicators that require the full OHLCV quote profile.

// example: use HL2 price instead of
// the standard Close price for RSI
var results = quotes
  .Use(CandlePart.HL2)
  .GetRsi(14);

CandlePart options

type	description
`CandlePart.Open`	`Open` price
`CandlePart.High`	`High` price
`CandlePart.Low`	`Low` price
`CandlePart.Close`	`Close` price
`CandlePart.Volume`	`Volume`
`CandlePart.HL2`	`(High+Low)/2`
`CandlePart.HLC3`	`(High+Low+Close)/3`
`CandlePart.OC2`	`(Open+Close)/2`
`CandlePart.OHL3`	`(Open+High+Low)/3`
`CandlePart.OHLC4`	`(Open+High+Low+Close)/4`

Using tuple quotes

quotes.ToTupleCollection() is a method for converting any TQuote collection to a simple tuple (DateTime, double) formatted Collection. Most indicators in our library will accept this tuple format. With that said, there are many indicators that also require the full OHLCV quote format, so it cannot be used universally.

Sort quotes

quotes.ToSortedCollection() sorts any collection of TQuote or tuple (DateTime, double) and returns it as a Collection sorted by ascending Date. You do not need to sort quotes before using library indicators; however, if you are creating custom indicators it’s important to analyze quotes in a proper sequence.

Resize quote history

quotes.Aggregate(newSize) is a tool to convert quotes to larger bar sizes. For example if you have minute bar sizes in quotes, but want to convert it to hourly or daily.

// aggregate into larger bars
IEnumerable<Quote> dayBarQuotes =
  minuteBarQuotes.Aggregate(PeriodSize.Day);

An alternate version of this utility is provided where you can use any native TimeSpan value that is greater than TimeSpan.Zero.

// alternate usage with TimeSpan
IEnumerable<Quote> dayBarQuotes =
  minuteBarQuotes.Aggregate(TimeSpan timeSpan);

PeriodSize options (for newSize)

PeriodSize.Month
PeriodSize.Week
PeriodSize.Day
PeriodSize.FourHours
PeriodSize.TwoHours
PeriodSize.OneHour
PeriodSize.ThirtyMinutes
PeriodSize.FifteenMinutes
PeriodSize.FiveMinutes
PeriodSize.ThreeMinutes
PeriodSize.TwoMinutes
PeriodSize.OneMinute

🚩 Warning: Partially populated period windows at the beginning, end, and market open/close points in quotes can be misleading when aggregated. For example, if you are aggregating intraday minute bars into 15 minute bars and there is a single 4:00pm minute bar at the end, the resulting 4:00pm 15-minute bar will only have one minute of data in it whereas the previous 3:45pm bar will have all 15 minutes of bars aggregated (3:45-3:59pm).

Extended candle properties

quote.ToCandle() and quotes.ToCandles() converts a quote class into an extended quote format with additional calculated candle properties.

// single quote
CandleProperties candle = quote.ToCandle();

// collection of quotes
IEnumerable<CandleProperties> candles = quotes.ToCandles();

CandleProperties

name	type	notes
`Timestamp`	DateTime	Close date
`Open`	decimal	Open price
`High`	decimal	High price
`Low`	decimal	Low price
`Close`	decimal	Close price
`Volume`	decimal	Volume
`Size`	decimal	`High-Low`
`Body`	decimal	`\\|Open-Close\\|`
`UpperWick`	decimal	Upper wick size
`LowerWick`	decimal	Lower wick size
`BodyPct`	double	`Body/Size`
`UpperWickPct`	double	`UpperWick/Size`
`LowerWickPct`	double	`LowerWick/Size`
`IsBullish`	bool	`Close>Open` direction
`IsBearish`	bool	`Close<Open` direction

Validate quote history

quotes.Validate() is an advanced check of your IEnumerable<TQuote> quotes. It will check for duplicate dates and other bad data and will throw an InvalidQuotesException if validation fails. This comes at a small performance cost, so we did not automatically add these advanced checks in the indicator methods. Of course, you can and should do your own validation of quotes prior to using it in this library. Bad historical quotes can produce unexpected results.

// advanced validation
IEnumerable<Quote> validatedQuotes = quotes.Validate();

// and can be used inline with chaining
var results = quotes
  .Validate()
  .Use(CandlePart.HL2)
  .GetRsi(14);

Utilities for indicator results

Condense

results.Condense() will remove non-essential results so it only returns meaningful data records. For example, when used on Candlestick Patterns, it will only return records where a signal is generated.

// example: only show Marubozu signals
IEnumerable<CandleResult> results
  = quotes.GetMarubozu(..).Condense();

🚩 Warning: In all cases, .Condense() will remove non-essential results and will produce fewer records than are in quotes.

Find indicator result by date

results.Find(lookupDate) is a simple lookup for your indicator results collection. Just specify the date you want returned.

// calculate indicator series
IEnumerable<SmaResult> results = quotes.GetSma(20);

// find result on a specific date
DateTime lookupDate = [..] // the date you want to find
SmaResult result = results.Find(lookupDate);

Remove warmup periods

results.RemoveWarmupPeriods() will remove the recommended initial warmup periods from indicator results. An alternative .RemoveWarmupPeriods(removePeriods) is also provided if you want to customize the pruning amount.

// auto remove recommended warmup periods
IEnumerable<AdxResult> results =
  quotes.GetAdx(14).RemoveWarmupPeriods();

// remove a specific quantity of periods
int n = 14;
IEnumerable<AdxResult> results =
  quotes.GetAdx(n).RemoveWarmupPeriods(n+100);

See individual indicator pages for information on recommended pruning quantities.

💡 Note: .RemoveWarmupPeriods() is not available on some indicators; however, you can still do a custom pruning by using the customizable .RemoveWarmupPeriods(removePeriods).

🚩 Warning: without a specified removePeriods value, this utility will reverse-engineer the pruning amount. When there are unusual results or when chaining multiple indicators, there will be an erroneous increase in the amount of pruning. If you want more certainty, use a specific number for removePeriods. Using this method on chained indicators without removePeriods is strongly discouraged.

Using tuple results

results.ToTupleCollection() converts results to a simpler (DateTime Date, double? Value) tuple Collection.

results.ToTupleNaN() converts results to simpler (DateTime Date, double Value) tuple Collection with null values converted to double.NaN.

results.ToTupleChainable() is a specialty converter used to prepare custom indicators for chaining by removing null warmup periods and converting all remaining null values to double.NaN.

🚩 Warning: warmup periods are pruned when using .ToTupleChainable(), resulting in fewer records.

Sort results

results.ToSortedCollection() sorts any collection of indicator results and returns it as a Collection sorted by ascending Date. Results from the library indicators are already sorted, so you’d only potentially need this if you’re creating custom indicators.

Utilities for numerical analysis

This library also includes several tools that we use internally to calculate indicator algorithms. These can be useful if you are creating your own custom indicators.

Numerical methods

| method | example usage | |——————–|—————| | Slope | double[] xValues = { 1, 2, 5, 4 };
double[] yValues = { 4, 7, 8, 1 };
double slope = Numerix.Slope(xValues, yValues); | | Standard deviation | double[] values = { 1, 2, 3, 4 };
double sd = values.StdDev(); |

NullMath

Most NullMath methods work exactly like the System.Math library in C#, except these will return null if a null is provided. The System.Math library infamously does not allow null values, so you’d always need to apply defensive code. This class does that defensive null handling for you.