private static void SaveZorroT1Data(string dirPath, Dukascopy dukascopy, string symbol, double pointValue)
{
for (int year = 2007; year <= DateTime.UtcNow.Year; ++year)
{
DateTime startDate = new DateTime(year, 1, 1);
DateTime endDate = startDate.AddYears(1);
var ticks = dukascopy.LoadTickFeed(symbol, pointValue, startDate, endDate, false).ToList();
if (ticks.Count != 0)
{
Zorro.SaveTicks($"{symbol}_{year}.t1", ticks);
var spread = new List <TickFeed.Tick>();
foreach (var t in ticks)
{
spread.Add(new TickFeed.Tick()
{
Timestamp = t.Timestamp, Bid = 0, Ask = t.Ask - t.Bid
});
}
Zorro.SaveTicks(Path.Combine(dirPath, $"{symbol}s_{year}.t1"), ticks);
}
}
}
public void Run()
{
var pointValues = new Dictionary <string, double>();
pointValues.Add("EURUSD", 0.00001);
pointValues.Add("AUDUSD", 0.00001);
pointValues.Add("GBPUSD", 0.00001);
pointValues.Add("NZDUSD", 0.00001);
pointValues.Add("USDCAD", 0.00001);
pointValues.Add("USDCHF", 0.00001);
pointValues.Add("USDJPY", 0.001);
pointValues.Add("AUDJPY", 0.001);
pointValues.Add("CHFJPY", 0.001);
pointValues.Add("EURCAD", 0.00001);
pointValues.Add("EURCHF", 0.00001);
pointValues.Add("EURGBP", 0.00001);
pointValues.Add("EURJPY", 0.001);
pointValues.Add("GBPCHF", 0.00001);
pointValues.Add("GBPJPY", 0.001);
pointValues.Add("NZDJPY", 0.001);
var symbols = new string[]
{
"EURUSD"
};
var dukascopy = new Dukascopy(@"E:\HistoricalData\Dukascopy");
foreach (var symbol in symbols)
{
DateTime fromDateTime = new DateTime(2001, 1, 1);
DateTime toDateTime = DateTime.UtcNow;
//////////////////////////////////////////////////
// Resample data
// Load bid prices and resample to M1 bars
Console.WriteLine($"Loading and resampling bid bars for {symbol}");
var resampler1 = new BarDataResampler(new TimeSpan(0, 1, 0));
resampler1.AddRange(dukascopy.LoadBars(symbol, pointValues[symbol], fromDateTime, toDateTime, bidPrices: true));
resampler1.Finish();
var bidBars = resampler1.Data;
// Load ask prices and resample to M1 bars
Console.WriteLine($"Loading and resampling ask bars for {symbol}");
var resampler2 = new BarDataResampler(new TimeSpan(0, 1, 0));
resampler2.AddRange(dukascopy.LoadBars(symbol, pointValues[symbol], fromDateTime, toDateTime, bidPrices: false));
resampler2.Finish();
var askBars = resampler2.Data;
// Compute spread
var spread = new List <BarData>();
for (int i = 0; i < bidBars.Count; i++)
{
double value = askBars[i].Close - bidBars[i].Close;
spread.Add(new BarData()
{
Timestamp = askBars[i].Timestamp, Open = value, High = value, Low = value, Close = value
});
}
//////////////////////////////////////////////////
// Save data to Zorro format
string zorroDir = @"E:\HistoricalData\Zorro";
Directory.CreateDirectory(zorroDir);
// Save to Zorro .bar format.
Console.WriteLine($"Saving Zorro .bar data for {symbol}");
Helper.SaveZorroBarData(zorroDir, symbol, askBars, Zorro.DataFormat.Bar);
// Save spread data to Zorro .bar format for special symbol.
Console.WriteLine($"Saving Zorro .bar spread data for {symbol}s");
Helper.SaveZorroBarData(zorroDir, symbol + "s", spread, Zorro.DataFormat.Bar);
//// Save to Zorro T1 format (price + spread)
//Console.WriteLine($"Saving Zorro T1 data for {symbol}");
//SaveZorroT1Data(dukascopy, symbol, pointValues[symbol]);
//////////////////////////////////////////////////
// Save data to ForexTester format
// Save to ForexTester format (can be easily loaded in MT4)
//Console.WriteLine($"Saving ForexTester M1 data for {symbol}");
//Directory.CreateDirectory("ForexTester");
//ForexTester.Save(Path.Combine("ForexTester", symbol + ".csv"), symbol, bidBars);
}
}