// input the tick objects, convert them into strings
public static string SequenceString(Tick[] ticks)
{
string toReturn = "";
foreach (Tick tick in ticks)
{
toReturn += ((GenusTick)tick).degreeOfChange >= 0 ? "+" + ((GenusTick)tick).degreeOfChange : ((GenusTick)tick).degreeOfChange + "";
}
return toReturn;
}
// assisting recursive method for the above public method interface
private static void SequenceString(int numberOfGenus, int numberInSequence, int seqID, int[] intermidiate, List<string> resultList)
{
if (seqID == numberInSequence)
{
Tick[] ticks = new Tick[numberInSequence];
for (int i = 0; i < numberInSequence; i++)
{
ticks[i] = new GenusTick(intermidiate[i]);
}
resultList.Add(SequenceString(ticks));
}
else
{
for (int i = 0; i < numberOfGenus; i++)
{
intermidiate[seqID] = i - (int)Math.Floor(numberOfGenus / 2.0);
SequenceString(numberOfGenus, numberInSequence, seqID + 1, (int[])intermidiate.Clone(), resultList);
}
}
}
// stockList is the list of stocks which will be processed by this algorithm, stocks which has too little price ticks are omitted
// numberOfClusters is the number of clusters that you are willing to seperatate the stocks
// minNoOfTicks is the expected minimum number of ticks that the stock in stockList possess
// additionalArgs - number of ticks in a defined sequence
public static List<Cluster> Cluster(List<Stock> stockList, int numberOfClusters, int minTimeInterval, string additionalArgs)
{
int numberOfGenus = 0;
int numberInSequence = 0;
// check the number of genus
foreach (Stock eachStock in stockList)
{
foreach (Tick eachTick in eachStock.priceList)
{
numberOfGenus = ((GenusTick)eachTick).degreeOfChange > numberOfGenus ?
((GenusTick)eachTick).degreeOfChange : numberOfGenus;
}
if (numberOfGenus > 0) break;
}
if (numberOfGenus == 0)
{
return new List<Cluster>();
}
numberOfGenus = numberOfGenus * 2 + 1;
// eliminate the error of yahoo that extra data points may have been given
foreach (Stock eachStock in stockList)
{
int noOfExtraTicks = eachStock.priceList.Count - minTimeInterval;
for (int i = 0; i < noOfExtraTicks; i++)
{
// removing the front element, not removing the i-th element
eachStock.priceList.RemoveAt(0);
}
}
// additional question, number of ticks in a defined sequence
if (!int.TryParse(additionalArgs, out numberInSequence))
{
Console.WriteLine("\nNumber of ticks in a denfined sequence: ");
numberInSequence = int.Parse(Console.ReadLine());
}
// determine all possible combination in a sequence
List<string> possibleSequences = SequenceString(numberOfGenus, numberInSequence);
List<Dictionary<string, double>> clustersCenterList = null;
// count the occourance of sequences of each stocks
Dictionary<Stock, Dictionary<string, int>> masterDict1 = new Dictionary<Stock, Dictionary<string, int>>();
foreach (Stock eachStock in stockList)
{
Dictionary<string, int> stockSequenceDict = SeqListToIntDict(possibleSequences);
// count the occourance of sequences of each stocks
for (int i = 0; i < eachStock.priceList.Count - numberInSequence; i++)
{
Tick[] ticks = new Tick[numberInSequence];
for (int j = 0; j < numberInSequence; j++)
{
ticks[j] = eachStock.priceList.ElementAt(i + j);
}
// int count = 0;
// string sequence = SequenceString(ticks);
// stockSequenceDict.TryGetValue(sequence, out count);
// stockSequenceDict.Remove(sequence);
// stockSequenceDict.Add(sequence, count + 1);
stockSequenceDict[SequenceString(ticks)] += 1;
}
Console.WriteLine();
// output the result to sysout or log
foreach (KeyValuePair<string, int> eachKYP in stockSequenceDict)
{
if (eachKYP.Value != 0)
{
Console.WriteLine("SSEC: Stock " + eachStock.stockCode +
" has the sequence " + eachKYP.Key + " occurred " + eachKYP.Value + " times");
}
}
// add the the master table for future similarity calculations
masterDict1.Add(eachStock, stockSequenceDict);
}
// define the clusters with randomly defining a stock into each of them
Dictionary<Stock, int> masterDict2 = new Dictionary<Stock, int>(); // -- t
Dictionary<Stock, int> masterDict3 = null; // -- t-1
Dictionary<Stock, int> masterDict4 = null; // -- t-2
Random random = new Random();
int test = -1;
for (int i = 0; i < numberOfClusters; i++)
{
Stock pointer = stockList.ElementAt(random.Next(stockList.Count));
Console.WriteLine("SSEC: Stock " + pointer.stockCode + " randomly selected for cluster " + i);
if (masterDict2.TryGetValue(pointer, out test))
{
i--;
continue;
}
else
{
masterDict2.Add(pointer, i);
}
}
foreach (Stock eachStock in stockList)
{
if (!masterDict2.TryGetValue(eachStock, out test))
{
masterDict2.Add(eachStock, -1);
}
}
int minimalDistanceCluster;
double minimalDistanceClusterDistance;
double thisRoundDistance;
bool clusterElementChanged = true;
// the comparison is performed iteratively until no more element migration between clusters are observed
for (int iteration = 1; clusterElementChanged; iteration++)
{
// initiation - to recalculate the means (centers) of each clusters
clusterElementChanged = false;
clustersCenterList = CalculateClusterCenter(possibleSequences, masterDict1, masterDict2, numberOfClusters);
// perform similarity calculations - for each stocks in the list
for (int i = 0; i < stockList.Count; i++)
{
minimalDistanceCluster = int.MaxValue;
minimalDistanceClusterDistance = double.MaxValue;
// compare with the center of each clusters
for (int j = 0; j < numberOfClusters; j++)
{
thisRoundDistance = CalculateDistance(possibleSequences, clustersCenterList[j], masterDict1[stockList[i]]);
Console.WriteLine("SSEC: Stock " + stockList[i].stockCode + " vs cluster " + j + ", iteration " + iteration + ", distance " + thisRoundDistance);
if (thisRoundDistance < minimalDistanceClusterDistance)
{
minimalDistanceCluster = j;
minimalDistanceClusterDistance = thisRoundDistance;
}
}
// if the result is different from the master table, that means the reuslts has been changed
if (masterDict2[stockList[i]] != minimalDistanceCluster)
{
masterDict2[stockList[i]] = minimalDistanceCluster;
clusterElementChanged = true;
}
}
// empty cluster check
for (int i = 0; i < numberOfClusters; i++)
{
if (DirtyHelper.CheckWetherClusterHasNoStock(masterDict2, i))
{
while (true)
{
int tobe = new Random().Next(stockList.Count);
if (!DirtyHelper.CheckWetherThisStockIsALonelyStock(masterDict2, masterDict2[stockList[tobe]]))
{
masterDict2[stockList[tobe]] = i;
break;
}
}
}
}
// infinite loop check
if (CompareDictionary(masterDict2, masterDict3) || CompareDictionary(masterDict2, masterDict4))
{
clusterElementChanged = false;
Console.WriteLine("\nSSEC: Infinite loop detected, will not go into next loop.");
}
else
{
// if clusters are ok, copy as temp and go to next iteration
masterDict4 = masterDict3;
masterDict3 = CloneDictionary(masterDict2);
}
if (iteration == 50)
{
throw new Exception("more than 100");
}
// **********
// Note: massive debug logging here, consider refactoring
// **********
Console.WriteLine("SSEC: Iteration " + iteration + " done");
if (iteration % 3 == 0 || !clusterElementChanged)
{
Console.WriteLine("\nSSEC: Iteration " + iteration + " result");
foreach (KeyValuePair<Stock, int> eachKYP in masterDict2)
{
Console.Write("SSEC: Stock " + eachKYP.Key.stockCode + ", cluster ");
if (masterDict4 != null)
{
Console.Write(masterDict4[eachKYP.Key] + "->");
}
if (masterDict3 != null)
{
Console.Write(masterDict3[eachKYP.Key] + "->");
}
Console.WriteLine(eachKYP.Value);
}
for (int i = 0; i < numberOfClusters; i++)
{
Console.WriteLine("SSEC: Cluster " + i + " has " + NumberofElements(masterDict2, i) + " stocks.");
}
}
Console.WriteLine();
}
// populate a list of clusters in returning format
List<Cluster> toReturn = new List<Cluster>();
for (int i = 0; i < numberOfClusters; i++)
{
Cluster thisCluster = new Cluster();
thisCluster.clusterCode = i + 1;
thisCluster.stockCodeList = new List<int>();
thisCluster.centroid = new List<Tick>();
// propulate the stock codes
foreach (KeyValuePair<Stock, int> eachStockClusterKYP in masterDict2)
{
if (eachStockClusterKYP.Value == i)
{
thisCluster.stockCodeList.Add(eachStockClusterKYP.Key.stockCode);
}
}
foreach (KeyValuePair<string, double> seqOccuranceKYP in clustersCenterList[i])
{
thisCluster.centroid.Add(new FakeTick(seqOccuranceKYP.Key, seqOccuranceKYP.Value));
}
toReturn.Add(thisCluster);
}
return toReturn;
}
