public LiveTradeEngine()
{
_session = new FXSession();
_opEngine = new OrderPlacementEngine(_session);
_priceEngine = new HistoricPriceEngine(_session);
_accountManager = new LiveAccountManager(_opEngine);
}
public static Quantum QuantumFromLiveData(string symbol, string timeframe, int ticks)
{
FXSession session = new FXSession();
session.InitializeSession();
HistoricPriceEngine h = new HistoricPriceEngine(session);
h.GetLongHistoricPrices(symbol, timeframe, ticks);
while (!h.Complete)
{
Thread.Sleep(100);
}
return(h.Data);
}
public void LoadData()
{
FXSession session = new FXSession();
session.InitializeSession();
foreach (string s in sList)
{
HistoricPriceEngine h = new HistoricPriceEngine(session);
h.GetLongHistoricPrices(symbol, s, ticks);
while (!h.Complete)
{
Thread.Sleep(100);
}
mData.Add(h.Data);
}
}
public void LoadDataLive(string symbol, string timeframe, int ticks)
{
var session = new FXSession();
session.InitializeSession();
while (!session.LoggedIn)
{
Thread.Sleep(100);
}
var price = new HistoricPriceEngine(session);
price.GetLongHistoricPrices(symbol, timeframe, ticks);
while (!price.Complete)
{
Thread.Sleep(100);
}
_dataSet.Add(price.Data);
session.EndSession();
}
public static void Process(FXSession session, string symbol1, string symbol2, string timeframe, int length)
{
HistoricPriceEngine h1 = new HistoricPriceEngine(session);
h1.GetLongHistoricPrices(symbol1, timeframe, length);
while (!h1.Complete)
{
Thread.Sleep(100);
}
HistoricPriceEngine h2 = new HistoricPriceEngine(session);
h2.GetLongHistoricPrices(symbol2, timeframe, length);
while (!h2.Complete)
{
Thread.Sleep(100);
}
//-----------------------
var dateTimeList = new SortedList<DateTime, int>();
Quantum q1 = h1.Data;
Quantum q2 = h2.Data;
var priceData = new DenseMatrix(2, q1.Data.Count);
for (int j = 0; j < ((q1.Data.Count <= q2.Data.Count)?q1.Data.Count:q2.Data.Count); j++ )
{
dateTimeList.Add(q1.Data.Values[j].Time, 1);
priceData[0, j] = q1.Data.Values[j].BidClose;
priceData[1, j] = q2.Data.Values[j].BidClose;
}
Vector<double> price1 = priceData.Row(0);
Vector<double> price2 = priceData.Row(1);
//Statistics.ApplyFunction((DenseVector)price1, Math.Log);
//Statistics.ApplyFunction((DenseVector)price2, Math.Log);
DenseVector norm1 = price1.ToArray().NormalizeZScore();
DenseVector norm2 = price2.ToArray().NormalizeZScore();
var newsym = new string[] {symbol1, symbol2, "spread"};
var m = new DenseMatrix(6, norm1.Count);
m.SetRow(0, norm1);
m.SetRow(1, norm2);
m.SetRow(2, (norm1 - norm2).ToArray().NormalizeZScore());
string filename = symbol1.Replace('/', '_') + "-" + symbol2.Replace('/', '_') + ".html";
Visualize.GenerateMultiPaneGraph(newsym, dateTimeList.Keys.ToArray(), m, QSConstants.DEFAULT_DATA_FILEPATH + filename,
new ChartOption[]{new ChartOption(), new ChartOption(){Layover = true, YPosition = 0}, new ChartOption(){YPosition = 1} }, null, filename + ".json");
FileUpload.UploadFileToFTP(QSConstants.DEFAULT_DATA_FILEPATH + filename, filename);
FileUpload.UploadFileToFTP(QSConstants.DEFAULT_DATA_FILEPATH + filename + ".json", filename + ".json");
double Spread = m[2, m.ColumnCount - 1];
if (Spread > 2.0 && m[2, m.ColumnCount - 2] <= 2.0)
Emailer.SendEmail(symbol1 + "-" + symbol2 + " Spread Above 2.0", "Test");
if (Spread < -2.0 && m[2, m.ColumnCount - 2] >= -2.0)
Emailer.SendEmail(symbol1 + "-" + symbol2 + " Spread Below -2.0", "Test");
}
public static void TestChannelLive(this AbstractChannel ind, string symbol, string timeframe, int length)
{
//------------grab data
FXSession session = new FXSession();
session.InitializeSession();
while (!session.LoggedIn)
{
Thread.Sleep(100);
}
HistoricPriceEngine h = new HistoricPriceEngine(session);
h.GetLongHistoricPrices(symbol, timeframe, length);
while (!h.Complete)
{
Thread.Sleep(100);
}
//-----------------------
var highList = new List <double>();
var medList = new List <double>();
var lowList = new List <double>();
var dataList = new List <double>();
var dateTimeList = new SortedList <DateTime, int>();
Quantum q = h.Data;
int count = 0;
foreach (Tick t in q)
{
try{
ind.HandleNextTick(t);
highList.Add(ind.HI(0));
medList.Add(ind.MID(0));
lowList.Add(ind.LOW(0));
dataList.Add(t.BidClose);
dateTimeList.Add(t.Time, 1);
}
catch (Exception e)
{
e.printStackTrace();
}
if (count++ > length)
{
break;
}
}
var dz = new DenseMatrix(4, medList.Count);
dz.SetRow(0, new DenseVector(dataList.ToArray()));
dz.SetRow(1, new DenseVector(highList.ToArray()));
dz.SetRow(2, new DenseVector(medList.ToArray()));
dz.SetRow(3, new DenseVector(lowList.ToArray()));
Visualize.GenerateMultiPaneGraph(new[] { "data", "high", ind.ToString(), "low" }, dateTimeList.Keys.ToArray(), dz, QSConstants.DEFAULT_DATA_FILEPATH + @"results.html"
, new ChartOption[]
{
new ChartOption()
{
Height = 500
},
new ChartOption()
{
Height = 0, Layover = true, YPosition = 0
},
new ChartOption()
{
Height = 0, Layover = true, YPosition = 0
},
new ChartOption()
{
Height = 0, Layover = true, YPosition = 0
}
});
Console.WriteLine("Done Generating Graph for " + ind.ToString());
}
public static void TestGraphLive(this AbstractIndicator ind, string timeframe, string symbol, int length)
{
//------------grab data
FXSession session = new FXSession();
session.InitializeSession();
HistoricPriceEngine h = new HistoricPriceEngine(session);
h.GetLongHistoricPrices(symbol, timeframe, length);
while (!h.Complete)
{
Thread.Sleep(100);
}
//-----------------------
Quantum q = h.Data;
var dz = new DenseMatrix(4 + 1 + ind.SubIndicatorSize, q.Data.Count);
List <string> names = new List <string>();
names.Add("symbol");
names.Add(ind.ToString());
foreach (var indicator in ind.SubIndicators)
{
names.Add(indicator.Key);
}
//chartoptions
ChartOption[] chartOptions = new ChartOption[names.Count];
chartOptions[0] = new ChartOption()
{
Height = 400, YPosition = 0
};
chartOptions[1] = new ChartOption()
{
Height = 200, YPosition = 1
};
for (int i = 2; i < chartOptions.Length; i++)
{
chartOptions[i] = new ChartOption()
{
Height = 0, YPosition = 1, Layover = true
}
}
;
int counter = 0;
foreach (Tick tick in q)
{
dz[0, counter] = tick.BidOpen;
dz[1, counter] = tick.BidHigh;
dz[2, counter] = tick.BidLow;
dz[3, counter] = tick.BidClose;
dz[4, counter] = ind.HandleNextTick(tick);
int icounter = 5;
foreach (var subind in ind.SubIndicators.Values)
{
dz[icounter, counter] = subind[0];
icounter++;
}
counter++;
}
Visualize.GenerateMultiPaneGraph(names.ToArray(), q.Data.Keys.ToArray(), dz, QSConstants.DEFAULT_DATA_FILEPATH + @"results.html",
chartOptions);
Console.WriteLine("Done Generating Graph for " + ind.ToString());
}
public static void Process(FXSession session, string symbol1, string symbol2, string timeframe, int length)
{
HistoricPriceEngine h1 = new HistoricPriceEngine(session);
h1.GetLongHistoricPrices(symbol1, timeframe, length);
while (!h1.Complete)
{
Thread.Sleep(100);
}
HistoricPriceEngine h2 = new HistoricPriceEngine(session);
h2.GetLongHistoricPrices(symbol2, timeframe, length);
while (!h2.Complete)
{
Thread.Sleep(100);
}
//-----------------------
var dateTimeList = new SortedList <DateTime, int>();
Quantum q1 = h1.Data;
Quantum q2 = h2.Data;
var priceData = new DenseMatrix(2, q1.Data.Count);
for (int j = 0; j < ((q1.Data.Count <= q2.Data.Count)?q1.Data.Count:q2.Data.Count); j++)
{
dateTimeList.Add(q1.Data.Values[j].Time, 1);
priceData[0, j] = q1.Data.Values[j].BidClose;
priceData[1, j] = q2.Data.Values[j].BidClose;
}
Vector <double> price1 = priceData.Row(0);
Vector <double> price2 = priceData.Row(1);
//Statistics.ApplyFunction((DenseVector)price1, Math.Log);
//Statistics.ApplyFunction((DenseVector)price2, Math.Log);
DenseVector norm1 = price1.ToArray().NormalizeZScore();
DenseVector norm2 = price2.ToArray().NormalizeZScore();
var newsym = new string[] { symbol1, symbol2, "spread" };
var m = new DenseMatrix(6, norm1.Count);
m.SetRow(0, norm1);
m.SetRow(1, norm2);
m.SetRow(2, (norm1 - norm2).ToArray().NormalizeZScore());
string filename = symbol1.Replace('/', '_') + "-" + symbol2.Replace('/', '_') + ".html";
Visualize.GenerateMultiPaneGraph(newsym, dateTimeList.Keys.ToArray(), m, QSConstants.DEFAULT_DATA_FILEPATH + filename,
new ChartOption[] { new ChartOption(), new ChartOption()
{
Layover = true, YPosition = 0
}, new ChartOption()
{
YPosition = 1
} }, null, filename + ".json");
FileUpload.UploadFileToFTP(QSConstants.DEFAULT_DATA_FILEPATH + filename, filename);
FileUpload.UploadFileToFTP(QSConstants.DEFAULT_DATA_FILEPATH + filename + ".json", filename + ".json");
double Spread = m[2, m.ColumnCount - 1];
if (Spread > 2.0 && m[2, m.ColumnCount - 2] <= 2.0)
{
Emailer.SendEmail(symbol1 + "-" + symbol2 + " Spread Above 2.0", "Test");
}
if (Spread < -2.0 && m[2, m.ColumnCount - 2] >= -2.0)
{
Emailer.SendEmail(symbol1 + "-" + symbol2 + " Spread Below -2.0", "Test");
}
}
