Ta-Lib ATR 函数始终返回 0
本文关键字:返回 ATR 函数 Ta-Lib | 更新日期: 2023-09-27 18:34:33
我在C#中使用Ta-Lib,在大多数情况下它工作得很好。我用它来计算许多移动平均线,它们计算得很好。
调用 ATR 函数时,它始终返回 0。我使用与 SMA 相同的参数(重叠的参数(,但仍然是 0。这是有问题的代码。成员变量 Period 是一个整数。我在队列中的数据比我要求它计算的时间段多,并且队列中的数据是干净的,我已经进行了三次检查。返回代码为"成功",但返回值为 0。
int outbegldx = 0;
int outnbelement = 0;
Queue<double> inputHigh = new Queue<double>();
Queue<double> inputLow = new Queue<double>();
Queue<double> inputClose = new Queue<double>();
//This is in a loop
inputHigh.Enqueue(Convert.ToDouble(rdr.GetDecimal(5)));
inputLow.Enqueue(Convert.ToDouble(rdr.GetDecimal(6)));
inputClose.Enqueue(Convert.ToDouble(rdr.GetDecimal(7)));
double[] outreal = new double[inputHigh.Count];
retCode = TicTacTec.TA.Library.Core.Atr(0, inputHigh.Count - 1, inputHigh.ToArray(), inputLow.ToArray(), inputClose.ToArray(), this.Period, out outbegldx, out outnbelement, outreal);
if (retCode == Core.RetCode.Success)
{
this.Output = new AverageTrueRangeOutput(this.Period, outreal[0], outbegldx, outnbelement);
}
好吧,我想通了,终于在很多很多小时之后。在我的循环中,我正在检查以确保数组具有与 Period 相同数量的元素,如果是这样,我执行了计算。事实上,数组需要 Period + 1 元素来执行计算。这是我的全部功能。
public override void Calculate()
{
int outbegldx = 0;
int outnbelement = 0;
int marketID = 0;
TicTacTec.TA.Library.Core.RetCode retCode;
//Queue<OHLC> input = new Queue<OHLC>();
Queue<double> inputHigh = new Queue<double>();
Queue<double> inputLow = new Queue<double>();
Queue<double> inputClose = new Queue<double>();
using (SqlConnection conn = new SqlConnection(Properties.Settings.Default.DB_CONNECTION_STRING))
{
using (SqlCommand cmd = new SqlCommand("[Data].[proc_GetHistoricalData]", conn))
{
cmd.CommandType = CommandType.StoredProcedure;
cmd.Parameters.Add("@StartIndex", SqlDbType.Int);
cmd.Parameters.Add("@EndIndex", SqlDbType.Int);
cmd.Parameters.Add("@Weekly", SqlDbType.Bit);
cmd.Parameters["@StartIndex"].Value = this.startIndex;
cmd.Parameters["@EndIndex"].Value = this.endIndex;
cmd.Parameters["@Weekly"].Value = (int)this.TimeFrame;
conn.Open();
using (SqlDataReader rdr = cmd.ExecuteReader())
{
while (rdr.Read())
{
Console.WriteLine(rdr.GetInt64(0));
if (marketID != rdr.GetInt32(2))
{
marketID = rdr.GetInt32(2);
inputHigh.Clear();
inputLow.Clear();
inputClose.Clear();
}
//input.Enqueue(new OHLC(rdr.GetDecimal(4), rdr.GetDecimal(5), rdr.GetDecimal(6), rdr.GetDecimal(7)));
inputHigh.Enqueue(Convert.ToDouble(rdr.GetDecimal(5)));
inputLow.Enqueue(Convert.ToDouble(rdr.GetDecimal(6)));
inputClose.Enqueue(Convert.ToDouble(rdr.GetDecimal(7)));
//We have enough data to calculate the ATR so do so
if (inputHigh.Count >= this.Period + 1)
{
double[] outreal = new double[inputHigh.Count - 1];
int lookBack = Core.AtrLookback(this.Period);
retCode = Core.Atr(0, inputHigh.Count - 1, inputHigh.ToArray(), inputLow.ToArray(), inputClose.ToArray(), lookBack, out outbegldx, out outnbelement, outreal);
//Calculated the ATR, now write it to the database
if (retCode == Core.RetCode.Success)
{
this.Output = new AverageTrueRangeOutput(this.Period, outreal[0], outbegldx, outnbelement);
//Now insert into db
using (SqlCommand cmdInsert = new SqlCommand("[Data].[proc_InsertHistoricalIndicator]", conn))
{
cmdInsert.CommandType = CommandType.StoredProcedure;
cmdInsert.Parameters.Add("@MarketID", SqlDbType.Int);
cmdInsert.Parameters.Add("@IndicatorID", SqlDbType.Int);
cmdInsert.Parameters.Add("@Date", SqlDbType.Date);
cmdInsert.Parameters.Add("@Value", SqlDbType.Xml);
cmdInsert.Parameters.Add("@Weekly", SqlDbType.Bit);
cmdInsert.Parameters["@MarketID"].Value = rdr.GetInt32(2);
cmdInsert.Parameters["@IndicatorID"].Value = this.Id;
cmdInsert.Parameters["@Weekly"].Value = (int)this.TimeFrame;
cmdInsert.Parameters["@Date"].Value = rdr.GetDateTime(3); //IBLib.Util.GetDate(
cmdInsert.Parameters["@Value"].Value = this.Output.toXML().OuterXml;
cmdInsert.ExecuteNonQuery();
}
}
inputHigh.Dequeue();
inputLow.Dequeue();
inputClose.Dequeue();
}
}
rdr.Close();
}
}
}
}
有问题的行是这样的 - "如果(inputHigh.Count>= this。句点 + 1(",而以前我只有"如果(输入高计数>= 这个。句号(">