TSAFunctorsGeo.h

/*  ===================================================================
*
*                 T R A D I N G   S Y S T E M   A P I ™
*    Copyright © 1999 - 2014 by Peter Ritter ( TradingSystemAPI.com )
*                A L L   R I G H T S   R E S E R V E D
*
*     Consult your license regarding permissions and restrictions.
*             You may obtain a copy of the License at:
*     http://www.TradingSystemAPI.com/licenses/LICENSE-TSAPI-3.0.html
*
*  ====================================================================
*/

#ifndef TSA_FUNCTOR_GEO__INCLUDED
#define TSA_FUNCTOR_GEO__INCLUDED

#include "TSASeriesTemplate.h"
#include "TSAString.h"
#include "TSAFunctorParent.h"

namespace tsa {

    //namespace functor {


    class swing_finder : public functor::parent<double>
    {
    public:
        struct point {
            date_time timestamp;
            bool    is_high;
            double  price;
            size_t  bar;
            size_t  strategy_bar_idx;
            point(void);
            point(const variant&);
            //IU
            operator variant(void);
            void operator=(const point& other);
            void print(std::ostream&)const;
        };
        basic_series<point> m_swing_points;
    private:
        bool        m_swing_value_is_in_percent = false;
        double      m_swing_size_pct;
        double      m_min_swing_size;
        bool        m_swing_info_init = false;
        size_t      m_num_swings_to_track = 100;
        bool        m_first_bar_processed = false;
        double      m_initial_low_price;
        double      m_initial_high_price;
        bool        m_initial_point_found = false;
        double      m_potential_point_price;
        size_t      m_potential_point_bar_id;
        date_time   m_potential_point_timestamp;
        bool        m_potential_point_is_high = false;
        size_t      m_strategy_bar_count = 0;

    public:
        swing_finder(void);
        swing_finder(double swing_size_pct, size_t num_swings_to_track);
        void num_swings_to_track(size_t);
        void swing_value_percent(double);
        void swing_value(double);
        void init(double swing_size_pct, size_t num_swings_to_track);
        void min_swing_size(double min_swing_size);
        void min_swing_size_pct(double min_swing_size_pct);
        size_t swing_count(void)const;
    public:
        swing_finder::point at(size_t);
        swing_finder::point operator[](size_t);
    public:
        void update(double bar_high,
            double bar_low,
            size_t strategy_bar_count,
            const date_time& bar_timestamp
            );
        void operator()(double bar_high,
            double bar_low,
            size_t strategy_bar_count,
            const date_time& bar_timestamp
            );
        void print_swings(std::ostream& s)const;
    };

    std::ostream& operator<<(std::ostream& s, const swing_finder::point&);




} // tsa
#endif