StockSharp Algo.Analytics.FSharp

Overview

Algo.Analytics.FSharp contains a collection of analytic scripts written in F# for the StockSharp trading platform. Each script implements the IAnalyticsScript interface and can be executed inside any environment that provides an IAnalyticsPanel such as the S# Designer application. The scripts demonstrate how to read historical market data from IStorageRegistry, perform calculations, and render results using charts, grids, heatmaps, or 3‑D surfaces.

These scripts are examples for the Hydra analytics feature. Refer to the documentation for more information.

The project is distributed as a .NET 6 library and references the core Algo.Analytics project as well as MathNet.Numerics.FSharp for numerical calculations.

Project Structure

• Algo.Analytics.FSharp.fsproj – F# project file targeting .NET 6.
• EmptyAnalyticsScript.fs – template for custom analytics.
• PriceVolumeScript.fs – plots volume distribution by price levels.
• IndicatorScript.fs – demonstrates using the Rate Of Change indicator.
• TimeVolumeScript.fs – groups volume by hour and displays results in a grid.
• Chart3DScript.fs – renders hourly volume distribution for several securities in a 3‑D chart.
• ChartDrawScript.fs – showcases drawing of lines and histograms on charts.
• PearsonCorrelationScript.fs – calculates the Pearson correlation between securities and displays a heatmap.
• NormalizePriceScript.fs – normalizes close prices of different securities.
• BiggestCandleScript.fs – finds candles with the largest range and volume.

Scripts Overview

EmptyAnalyticsScript

A minimal implementation of IAnalyticsScript. It performs no analysis and can be used as a starting point for new scripts.

PriceVolumeScript

Processes candle data for a single instrument and builds a histogram showing how traded volume is distributed across price levels.

IndicatorScript

Loads candles for each selected security, calculates the Rate Of Change (ROC) indicator, and displays close prices together with ROC values on two separate charts.

TimeVolumeScript

Aggregates candle data by hour for the first selected instrument and fills a sortable grid with volumes. This highlights periods of the day with the most activity.

Chart3DScript

Extends the idea of TimeVolumeScript to multiple instruments. For every security it groups volumes by hour, then visualizes the result in a 3‑D surface chart where axes represent instruments and hours.

ChartDrawScript

Demonstrates different drawing styles available in IAnalyticsChart. For each security the script plots close prices as a dashed line and volumes as a histogram.

PearsonCorrelationScript

Uses MathNet.Numerics.Statistics to compute the Pearson correlation matrix of close prices between all selected securities. The resulting matrix is rendered as a heatmap via IAnalyticsPanel.

NormalizePriceScript

Shows how to normalize close prices by the first observed value so that several securities can be compared on the same scale in a single chart.

BiggestCandleScript

Loads candles for each security and identifies the candle with the greatest range and the candle with the highest volume. The results are displayed on two charts using bubble series.