/// <summary>
/// Executes a run of processing the stock data
/// </summary>
/// <param name="session">The session configuration</param>
public static void Run(StockSession session)
{
// Create the stock processor
StockProcessor processor = new StockProcessor(session);
// Set the change percentages to monitor
StockDataSink.ChangePercentages = new float[] { -0.025f, -0.05f, -0.10f };
// Set the evaluator and resulting action
processor.Evaluator = new PriceEvaluator()
{
Percentage = 0.025f,
MonitorIncrease = true,
MonitorDecrease = false,
ReferencePrices = new Dictionary <string, float>()
{
{ "GNTX", 18.0f }
}
};
processor.Action = new StockAction();
processor.Action.Do += processor.Action.Notify;
// Add targets for the stocks to monitor
processor.Add(new StockProcessor.ProcessingTarget("GNTX"));
// Run the data through the processor
processor.Process(false, StockProcessor.MemoryScheme.MEM_KEEP_DERIVED);
}
/// <summary>
/// Buys shares of the stock
/// </summary>
/// <param name="processor">The processor triggering the action</param>
/// <param name="target">The processing target that triggered the action</param>
/// <param name="time">The time at which the action was triggered</param>
public void Buy(StockProcessor processor, StockProcessor.ProcessingTarget target, DateTime time)
{
Broker.Instance.SubmitOrder(new Broker.Order()
{
Symbol = target.Symbol,
BuySell = Broker.Order.BuySellType.BUY,
Type = Broker.Order.OrderType.MARKET,
Quantity = 1
});
}
/// <summary>
/// Buys shares of the stock
/// </summary>
/// <param name="processor">The processor triggering the action</param>
/// <param name="target">The processing target that triggered the action</param>
/// <param name="time">The time at which the action was triggered</param>
public void Sell(StockProcessor processor, StockProcessor.ProcessingTarget target, DateTime time)
{
Broker.Instance.GetPositionInfo(target.Symbol, (position) =>
{
Broker.Instance.SubmitOrder(new Broker.Order()
{
Symbol = target.Symbol,
BuySell = Broker.Order.BuySellType.SELL,
Type = Broker.Order.OrderType.MARKET,
Quantity = position.Shares
});
});
}
/// <summary>
/// Returns the stock processor instance, or creates one if there isn't one already
/// </summary>
/// <param name="session">The stock session to create the processor for</param>
/// <returns>The stock processor instance</returns>
public static StockProcessor GetInstance(StockSession session = null)
{
if (Instance == null)
{
if (session != null)
{
Instance = new StockProcessor(session);
}
else
{
throw new Exception("Must specify the session the first time the processor instance is accessed.");
}
}
return(Instance);
}
/// <summary>
/// Creates a stock data chart
/// </summary>
/// <param name="session">The session the chart is a part of</param>
/// <returns>The chart, as a generic control</returns>
public static Control CreateChart(StockSession session)
{
StockProcessor processor = new StockProcessor(session);
return((Control)(new DataChartGui <StockDataSink>(processor.DerivedData, session.SinkFile, session)).GuiPanel);
}
/// <summary>
/// Executes a run of processing the stock data
/// </summary>
/// <param name="session">The session configuration</param>
public static void Run(StockSession session)
{
// Create the stock processor
StockProcessor processor = new StockProcessor(session);
// Get the sizes of the features and labels
int dstIdx = 0;
int numDataPoints = 0;
int numFeatures, numLabels;
float[,] tmpDst = new float[1, 1024];
int[,] tmpLabels = new int[1, 1];
var tmpDataPoint = processor.DerivedData.First().Value[0];
tmpDataPoint.Load(session);
PopulateData(tmpDataPoint, tmpDst, tmpLabels, ref dstIdx, out numFeatures, out numLabels);
// Determine the total number of data points
List <string> symbols = new List <string>()
{
"GNTX"
};
foreach (var s in symbols)
{
List <StockDataSet <StockDataSink> > sources;
if (!processor.DerivedData.TryGetValue(s, out sources))
{
continue;
}
for (int i = 0; i < sources.Count; i++)
{
sources[i].Load(session);
numDataPoints += sources[i].Count;
}
}
// Allocate the feature and label arrays
float[,] features = new float[numDataPoints, numFeatures];
int[,] labels = new int[numDataPoints, numLabels];
// Load the data
dstIdx = 0;
foreach (var s in symbols)
{
List <StockDataSet <StockDataSink> > sources;
if (!processor.DerivedData.TryGetValue(s, out sources))
{
continue;
}
// Create a table of each data point in the specified range
for (int i = 0; i < sources.Count; i++)
{
sources[i].Load(session);
PopulateData(sources[i], features, labels, ref dstIdx, out numFeatures, out numLabels);
}
}
// Create the Machine Learning instance
MLInstance ml = new MLInstance();
ml.BuildFullyConnectedGraph(new int[] { numFeatures, numFeatures, numLabels });
ml.PrepareData(features, labels);
ml.Train();
}
/// <summary>
/// Buys shares of the stock
/// </summary>
/// <param name="processor">The processor triggering the action</param>
/// <param name="target">The processing target that triggered the action</param>
/// <param name="time">The time at which the action was triggered</param>
public void Notify(StockProcessor processor, StockProcessor.ProcessingTarget target, DateTime time)
{
StockList.Instance.Add(StockList.NOTIFICATIONS, target.Symbol, new StockList.NotificationSummary(DataAccessor.Subscribe(target.Symbol, DataAccessor.SUBSCRIBE_ONE_SEC)));
}
