/// <summary>
/// @"Token\Pair\BID\OFFER\HIGH\LOW\STATUS\NOTATION\DECIMALS\CLOSINGBID", @"\");
/// </summary>
/// <param name="data"></param>
/// <param name="dateTimeFormat"></param>
/// <returns></returns>
public Rate ToRateOnConnect(string data, ref TickTime origin)
{
if (System.String.IsNullOrEmpty(data) || data.Length < 10)
{
return(null);
}
//Ignore token, might be corrupted
string[] properties = Asmodat.Abbreviate.String.ToList(data, "\\");
if (properties.Length != 10)
{
return(null);
}
string status = properties[6];
string notation = properties[7];
if (status != "D" && status != "R")
{
return(null);
}
if (notation != "E" && notation != "A")
{
return(null);
}
Rate rate = new Rate();
try
{
rate.Pair = properties[1];
rate.DECIMALS = ForexConfiguration.GetDecimals(rate.Pair);
rate.BID = Doubles.Parse(properties[2], rate.DECIMALS);
rate.OFFER = Doubles.Parse(properties[3], rate.DECIMALS);
rate.HIGH = Doubles.Parse(properties[4], rate.DECIMALS);
rate.LOW = Doubles.Parse(properties[5], rate.DECIMALS);
rate.STATUS = status;
rate.NOTATION = notation;
rate.CLOSINGBID = Doubles.Parse(properties[8], rate.DECIMALS);
rate.ChartData.TickTime = (origin += 1);
//backtest
double pchange = RateInfo.ChangePercentage(rate.BID, rate.OFFER, rate.HIGH, rate.LOW);
if (pchange < 25)
{
return(null);
}
}
catch (Exception e)
{
Exceptions.Add(e);
return(null);
}
return(rate);
}
/// <summary>
/// @"DateTime\OPEN\HIGH\LOW\CLOSE"
/// Example: "2/18/2015 5:45:00 PM\\119.220\\119.228\\119.220\\119.227"
/// DateTime.ParseExact(SLDecodedData[i], "M/d/yyyy h:mm:ss tt", CultureInfo.InvariantCulture, System.Globalization.DateTimeStyles.None);
/// separator - \\
/// </summary>
/// <param name="data"></param>
/// <param name="decimals"></param>
/// <returns></returns>
public Rate ToRateChartData(string pair, string data, int decimals)
{
if (System.String.IsNullOrEmpty(data) || data.Length < 5)
{
return(null);
}
string[] properties = Asmodat.Abbreviate.String.ToList(data, "\\");
if (properties.Length != 5)
{
throw new Exception("ServiceCharting.DecodeRates Amount of separators don't match Rate Format !");
}
if (Asmodat.Abbreviate.String.IsNullOrEmpty(properties))
{
throw new Exception("ServiceCharting.DecodeRates Amount properties cannot be null !");
}
Rate rate = new Rate();
try
{
rate.Pair = pair;
rate.DateTime = DateTime.ParseExact(properties[0], "M/d/yyyy h:mm:ss tt", CultureInfo.InvariantCulture, System.Globalization.DateTimeStyles.None);
//"4/3/2015 12:00:00 AM\\16.76\\17.058\\16.683\\17.033"
rate.OPEN = Doubles.Parse(properties[1], decimals);
rate.HIGH = Doubles.Parse(properties[2], decimals);
rate.LOW = Doubles.Parse(properties[3], decimals);
rate.CLOSE = Doubles.Parse(properties[4], decimals);
//backtest
double pchange = RateInfo.ChangePercentage(rate.OPEN, rate.HIGH, rate.LOW, rate.CLOSE);
if (pchange < 1.5)
{
return(null);
}
if (pchange < 25)
{
pchange = 25;
}
}
catch (Exception e)
{
Exceptions.Add(e);
return(null);
}
return(rate);
}
public void MonteCarlo(string pair, ServiceConfiguration.TimeFrame frame, int span, int tests)
{
if (Methods.Count >= tests + 1)
{
return;
}
Rate[] Rates = ForexArchive.Data.GetValuesArray <ServiceConfiguration.TimeFrame, DateTime, Rate>(pair, frame); //Manager.ForexArchive.Data[pair][ServiceConfiguration.TimeFrame.DAILY].ValuesArray;// //
if (Objects.IsNullOrEmpty(Rates) || !ServiceConfiguration.IsSpan(frame))
{
return;
}
double[] data = Objects.ToArray <double>(RateInfo.Extract(Rates, RateInfo.Properties.CLOSE));
TestData = data;
Key = pair + frame + span;
int[] points = AMath.Random(Rates.Length / 2, Rates.Length - 2 - span, tests);
if (Objects.IsNullOrEmpty(points) && tests > 0)
{
return;
}
List <int> indexes = new List <int>();
indexes.Add(data.Length - 1);
if (points != null)
{
indexes.AddRange(points);
}
Indexes = indexes.ToArray();
if (Objects.IsNullOrEmpty(Indexes))
{
return;
}
StopSimulations = false;
foreach (int i in Indexes)
{
Methods.Run(() => this.MonteCarlo(data, Key + "idx" + i, span, i), Key + "idx" + i, true, false);
}
}
private double FixIt(Rate current_rate, double previous, double current)
{
//int ptl = Math.Truncate(previous).ToString().Length;
//int ctl = Math.Truncate(current).ToString().Length;
int decimals = current_rate.DECIMALS;
double pchange = RateInfo.ChangePercentage(previous, current);
if (pchange < 25)//ptl > ctl + 1 ||
{
//double parse = Doubles.Parse(value, decimals);
return(current);
}
return(current);
}
/// <summary>
/// This method loads specified pair-frame data from file in hard drive
/// </summary>
/// <param name="pair"></param>
/// <param name="frame"></param>
private void LoadRates(string pair, ServiceConfiguration.TimeFrame frame)
{
if (DataAssembler.ContainsKey(frame) && DataAssembler[frame].ContainsKey(pair))
{
Dictionary <DateTime, Rate> Rates = RateInfo.ParseRates(DataAssembler[frame][pair]);
if (Rates == null || Rates.Count <= 0)
{
return;
}
this.Data[pair][frame].AddRange(Rates);
lock (Locker.Get("DataAssembler")) SetUpToDate(pair, frame, this.Data[pair][frame].Keys.Last());
/*
* string data;
* lock (Locker.Get("DataAssembler")) data = DataAssembler[frame][pair];//.ToString();
* Dictionary<DateTime, Rate> Rates = RateInfo.ParseRates(data);
* this.Data[pair][frame].AddRange(Rates);
* lock (Locker.Get("DataAssembler")) SetUpToDate(pair, frame, this.Data[pair][frame].Keys.Last());
*/
}
}
/// <summary>
/// Converts string data into Rate property
/// Example rate: "EUR/USD\\1.17684\\1.17701\\D\\1.18485\\1.17619\\5\\A\\1.18385\\EUR/USD\\EUR/USD$"
/// Example data: "Pair\BID\OFFER\STATUS\HIGH\LOW\DECIMALS\NOTATION\CLOSINGBID\CONTRACTPAIR\COUNTERPAIR$"
/// @"Pair\BID\OFFER\STATUS\HIGH\LOW\DECIMALS\NOTATION\CLOSINGBID\CONTRACTPAIR\COUNTERPAIR\DateTime\Token\OPEN\CLOSE", @"\");
/// </summary>
/// <param name="getRateString">Sting formattes as: Pair\BID\OFFER\STATUS\HIGH\LOW\DECIMALS\NOTATION\CLOSINGBID\CONTRACTPAIR\COUNTERPAIR$ without $ char</param>
/// <returns>Rate based on string input.</returns>
private Rate ToRate(string data, ref TickTime origin)
{
if (System.String.IsNullOrEmpty(data) || data.Length < 11)
{
return(null);
}
data = data.Replace("$", "");
string[] properties = Asmodat.Abbreviate.String.ToList(data, "\\");
if (properties.Length != 11)
{
return(null);
}
string status = properties[3];
string notation = properties[7];
if (status != "D" && status != "R")
{
return(null);
}
if (notation != "E" && notation != "A")
{
return(null);
}
Rate rate = new Rate();
try
{
rate.Pair = properties[0];
rate.DECIMALS = int.Parse(properties[6]);
if (rate.DECIMALS != ForexConfiguration.GetDecimals(rate.Pair))
{
return(null);
}
rate.BID = Doubles.Parse(properties[1], rate.DECIMALS);
rate.OFFER = Doubles.Parse(properties[2], rate.DECIMALS);
rate.STATUS = status;
rate.NOTATION = notation;
//rate.HIGH = Doubles.Parse(properties[4], rate.DECIMALS);
//rate.LOW = Doubles.Parse(properties[5], rate.DECIMALS);
//rate.CLOSINGBID = Doubles.Parse(properties[8], rate.DECIMALS);
//rate.CONTRACTPAIR = properties[9];
//rate.COUNTERPAIR = properties[10];
rate.ChartData.TickTime = (origin += 1);
//backtest
double pchange = RateInfo.ChangePercentage(rate.BID, rate.OFFER);
if (pchange < 25)
{
return(null);
}
}
catch (Exception e)
{
Exceptions.Add(e);
return(null);
}
return(rate);
}
/// <summary>
/// @"Token\BID\OFFER\\\\\"
/// "R27\\89.514\\89.549\\D\\\\\\02/19/2015 09:25:55\\"
/// TimeZoneInfo.ConvertTime(DateTime.Now, TimeZoneInfo.FindSystemTimeZoneById("Eastern Standard Time"));
/// </summary>
/// <param name="data"></param>
/// <param name="dateTimeFormat"></param>
/// <returns></returns>
public Rate ToRateOnChange(string data, ref TickTime origin)
{
if (System.String.IsNullOrEmpty(data) || data.Length < 7)
{
return(null);
}
char cMessageType = data[0];
if (!Char.IsLetter(cMessageType))
{
return(null); //This is not RateChange frame
}
data = data.Substring(1, data.Length - 1); //Remove Message Type Rate
string[] properties = Asmodat.Abbreviate.String.ToList(data, "\\");
if (properties.Length != 7)
{
return(null);
}
string status = properties[3];
if (status != "D" && status != "R")
{
return(null);
}
Rate rate = new Rate();
try
{
rate.Token = int.Parse(properties[0]);
rate.Pair = ForexConfiguration.OrderPair[rate.Token];
rate.DECIMALS = ForexConfiguration.GetDecimals(rate.Pair);
rate.BID = Doubles.Parse(properties[1], rate.DECIMALS);
rate.OFFER = Doubles.Parse(properties[2], rate.DECIMALS);
rate.STATUS = status;
rate.ChartData.TickTime = (origin += 1);
//backtest
double pchange = RateInfo.ChangePercentage(rate.BID, rate.OFFER);
if (pchange < 50)
{
return(null);
}
}
catch (Exception e)
{
Exceptions.Add(e);
return(null);
}
return(rate);
}
