Detects a strong price drop in a BTC/USD market.

AUT_DumpDetect.h

//==================================================================
/// AUT_DumpDetect.h
///
/// Created by Davide Pasca - 2019/08/25
/// See the file "license.txt" that comes with this project for
/// copyright info. 
//==================================================================

#ifndef AUT_DUMPDETECT_H
#define AUT_DUMPDETECT_H

#include "AlgoUtils.h"
#include "BTT_AUT_TATrend.h"

//==================================================================
class AUT_DumpDetect
{
    AUT_TATrend *mpTATask {};

    // average volume minute and body length
    double      mAvgMinVol = 0;

    // reference Time Data count to see if we need to recalc averages
    size_t      mLastCalcTDsN = 0;

    // 30 seconds trend of Trade Aggregates
    static constexpr size_t TATREND_SECS_N = 60;

    // reference scale of volume compared to average
    static constexpr double REF_VOL_COE = 50;

    // how many recent candles to skip, to have average values that are not
    //  already influenced by an ongoing dump
    static constexpr size_t EXCLUDE_RECENT_TDS_N = 60 * 2;

    // span of minutes to consider to calculate averages
    static constexpr size_t AVG_SPAN_N = 60 * 2;

public:
    AUT_DumpDetect( AlgoResources &res )
    {
        // Trade Aggregates indicator operating in the last 30 seconds
        mpTATask = res.AllocTATrend( TATREND_SECS_N );
    }

    //
    bool IsDumpingDD(
            const AlgoAnimPar &par,
            const DVecView<TimeData> &tds,
            const TradeAggListView &tas  )
    {
        // update the avergae volume and average candle body length figures
        updateAvgVals( tds );

        // have sme usable average volume ?
        if NOT( mAvgMinVol )
            return false;

        {
            // reference volume in scale of this TATrend
            //  (i.e. for TATrend of 30 secs we scale by 0.5, since avg vol is in minutes)
            c_auto refVol = mAvgMinVol * REF_VOL_COE * (double)TATREND_SECS_N / 60;

            // get a Trade Agg. indicator result if the current time span has volume
            //  activity that is at least 50 times that of the average volume
            c_auto task = mpTATask->CalcTATEntry( tas, refVol );
            if NOT( task.IsValidEntry() )
                return false;

            // trend must be down
            if ( task.mAngDeg > 0 )
                return false;
        }

        // we passed all checks, we are in a major dump
        return true;
    }

private:
    void updateAvgVals( const DVecView<TimeData> &tds )
    {
        // have new Time Datas ? (candle data)
        if ( tds.size() == mLastCalcTDsN )
            return;

        // start from 4 back (don't want recent minutes in it, because they
        //  could already be part of the drop and bias the average)
        c_auto i2 = std::max( tds.size(), EXCLUDE_RECENT_TDS_N ) - EXCLUDE_RECENT_TDS_N;
        c_auto i1 = std::max( i2, AVG_SPAN_N ) - AVG_SPAN_N;

        // have the right amount of TDs ?
        if ( (i2 - i1) != AVG_SPAN_N )
        {
            mAvgMinVol = 0;
            return;
        }

        // calc average volume
        mAvgMinVol = std::accumulate( tds.begin() + i1, tds.begin() + i2, 0.0,
                        []( c_auto acc, c_auto &val )
                        {
                            return acc + val.volume_base;
                        }) / (double)AVG_SPAN_N;
    }
};

#endif