/// <summary>
/// Loads a tick straight from an EPF file in the form of a StreamReader
/// </summary>
/// <param name="symbol">The symbol.</param>
/// <param name="sr">The sr.</param>
/// <returns></returns>
public static eSigTick FromStream(string symbol, System.IO.StreamReader sr)
{
eSigTick e = new eSigTick();
e.Load(sr.ReadLine());
e.sym = symbol;
return e;
}
/// <summary>
/// Loads a tick straight from an EPF file in the form of a StreamReader
/// </summary>
/// <param name="symbol">The symbol.</param>
/// <param name="sr">The sr.</param>
/// <returns></returns>
public static eSigTick FromStream(string symbol, System.IO.StreamReader sr)
{
eSigTick e = new eSigTick();
e.Load(sr.ReadLine());
e.sym = symbol;
return(e);
}
bool getTick()
{
string line = "";
t = new eSigTick();
try
{
line = this.inf.ReadLine();
}
catch (Exception ex) { show(ex.Message); }
return t.Load(line);
}
void Convert(string file)
{
StreamReader epf = new StreamReader(file);
Stock s = eSigTick.InitEpf(epf);
string symbol = s.Symbol.Replace("//", "");
if (symmap.ContainsKey(symbol))
symbol = symbol.Replace(symbol, symmap[symbol]);
string filename = symbol + s.Date + ".IDX";
d("Attempting to convert: "+file + " -> " + filename);
StreamWriter idx;
try
{
idx = new StreamWriter(filename,false);
}
catch (Exception ex) { d(ex.Message); return; }
decimal o = 0;
decimal h = 0;
decimal l = 100000000000;
while (!epf.EndOfStream)
{
eSigTick et = new eSigTick();
et.sym = prefix + symbol;
try
{
string line = epf.ReadLine(); // get our tick from EPF
et.Load(line);
if (et.FullQuote) continue;
}
catch (Exception ex) { d(ex.Message); continue; }
// set o/h/l/c
decimal v = et.trade;
if (o==0) o = v;
if (v>h) h = v;
if (v<l) l = v;
Index i = new Index(et.sym,v,o,h,l,v,et.date,et.time); // map to our index
idx.WriteLine(i.Serialize()); // write our index
}
idx.Close();
epf.Close();
d("Finished converting "+filename);
}
public bool getTick()
{
string line = "";
try
{
line = this.cf.ReadLine();
}
catch (Exception ex) { show(ex.Message+Environment.NewLine); }
tick = new eSigTick();
tick.factor = factorsize;
bool good = false;
try
{
good = tick.Load(line);
}
catch (AlreadySmallSizeException)
{
factorsize = 1; // fix it for this file
tick.factor = factorsize;
good = tick.Load(line);
}
tick.sym = symbol;
return good;
}
public int Test(List<FileInfo> tf)
{
show("Starting run "+name+" containing "+ tf.Count + " symbols."+Environment.NewLine);
int totfills = 0;
int totalticks = approxticks(tf);
for (int i = 1; i <= tf.Count; i++) // loop through the list
{
FileInfo f = tf[i-1];
Match m = Regex.Match(f.Name, "([0-9]+)", RegexOptions.IgnoreCase);
int date = Convert.ToInt32(m.Result("$1"));
LoadIndexFiles(date);
TickFile(f.Name); // set current file
if (f.Length == 0) continue; // ignore if tick file is empty
show(Environment.NewLine);
show("Symbol " + this.symbol + " (" + i + " of " + tf.Count + ") ");
// reset per-symbol statistics
if (mybox!=null) mybox.Reset();
bl = new BarList((BarInterval)bint, symbol);
int fills = 0;
tick = new eSigTick(); // reset our tick
int itime = 0;
BoxInfo bi = new BoxInfo();
while (this.getTick() && tick.hasTick)
{ // process the ticks
line++;
if ((line % 5000) == 0) show(".");
if (((itime==0) || (itime!=tick.time)))
{
// load all the indicies for this time
List<Index> itix = FetchIdx(tick.time);
itime = tick.time;
// send them to the box (before we send the tix)
for (int id = 0; id < itix.Count; id++)
mybox.NewIndex(itix[id]);
}
if ((this.exfilter != "") &&
((!tick.isTrade && (!tick.be.Contains(exfilter) || !tick.oe.Contains(exfilter))) ||
(tick.isTrade && tick.ex.Contains(exfilter)))) continue;
if ((bi.Open == 0) && tick.isTrade)
bi.Open = tick.trade;
if (tick.trade > bi.High) bi.High = tick.trade;
if (tick.trade < bi.Low) bi.Low = tick.trade;
bl.AddTick(tick); // save our tick to a bar
if (bl.Has(2) && bl.Get(bl.Last-1).DayEnd)
{ // we hit a new day in the same file, reset day stuff and set our DayEndTime
bl.Reset();
bl.AddTick(tick); // put our tick back
if (mybox!=null) mybox.Reset();
SetDayClose(); // this has to be run after mybox.Reset!!!
}
// execute any pending orders on this tick
if (mybroker.GetOrderList().Count>0) fills += mybroker.Execute(tick);
// trade box on this tick, if he generates any orders then send them
if (mybox != null)
{
mybroker.sendOrder(
mybox.Trade(tick, bl, mybroker.GetOpenPosition(this.symbol), bi));
// quit early if box shuts itself off and no pending orders
if (mybox.Off && (mybroker.GetOrderList().Count == 0)) break;
}
if (this.delay != 0)
{
System.Threading.Thread.Sleep(this.delay);
System.Threading.Thread.CurrentThread.Priority = System.Threading.ThreadPriority.Lowest;
}
this.ReportProgress((int)((100*line) / totalticks));
}
show(fills+" executions.");
totfills += fills;
this.cf.Close();
}
show(Environment.NewLine);
show(name+" complete: "+tf.Count+" symbols, "+ totfills + " executions."+Environment.NewLine);
return totfills;
}
