//Model list price
public PriceCandle(DateTimeUTC open_time, TimeScale time_scale, IList <PriceCandle> prices)
{
this.OpenTime = open_time;
this.CloseTime = GetCloseTime(open_time, time_scale);
this.TimeScale = TimeScale.Second1;
this.OpenBid = prices[0].OpenBid;
this.CloseBid = prices.Last().CloseBid;
this.OpenAsk = prices[0].OpenAsk;
this.CloseAsk = prices.Last().CloseAsk;
this.HighBid = Math.Max(OpenBid, CloseBid);
this.LowBid = Math.Min(OpenBid, CloseBid);
this.HighAsk = Math.Max(OpenAsk, CloseAsk);
this.LowAsk = Math.Min(OpenAsk, CloseAsk);
// skip first and last
for (int price_index = 0; price_index < prices.Count; price_index++)
{
this.HighBid = Math.Max(this.HighBid, prices[price_index].HighBid);
this.LowBid = Math.Min(this.LowBid, prices[price_index].LowBid);
this.HighAsk = Math.Max(this.HighAsk, prices[price_index].HighAsk);
this.LowAsk = Math.Min(this.LowAsk, prices[price_index].LowAsk);
}
this.Volume = 0;
this.RealVolume = 0;
}
//TODO make unit tests
private static List <Price> CreatePriceListClean(IReadOnlyList <Price> price_list_unclean)
{
//Build price
List <Price> clean_price_list = new List <Price>();
DateTimeUTC time = price_list_unclean[0].Time;
double bid = price_list_unclean[0].Bid;
double ask = price_list_unclean[0].Ask;
int price_index = 0;
while (price_index < price_list_unclean.Count)
{
if (time < price_list_unclean[price_index].Time)
{
//Create new price
clean_price_list.Add(new Price(time, bid, ask));
time = time.AddSeconds(1);
}
else
{
//Save and scroll
ask = price_list_unclean[price_index].Ask;
bid = price_list_unclean[price_index].Bid;
price_index++;
}
}
//TODO make last
clean_price_list.Add(new Price(time, bid, ask));
return(clean_price_list);
}
public MappingProfile()
{
// Current
CreateMap <OpenWeathermapCurrent, Weather>(MemberList.Destination)
.ForMember(x => x.DateTime, o =>
o.MapFrom(y => DateTimeUTC.FromSecondsSinceUnixEpoch(y.dt)))
.ForMember(x => x.CloudDescription, o => o.MapFrom(y => y.weather[0].description))
.ForMember(x => x.FeelsLikeTemperature, o => o.MapFrom(y => y.main.feels_like))
.ForMember(x => x.Humidity, o => o.MapFrom(y => y.main.humidity))
.ForMember(x => x.MaximumTemperature, o => o.MapFrom(y => y.main.temp_max))
.ForMember(x => x.MinimumTemperature, o => o.MapFrom(y => y.main.temp_min))
.ForMember(x => x.Pressure, o => o.MapFrom(y => y.main.pressure))
.ForMember(x => x.Temperature, o => o.MapFrom(y => y.main.temp))
.ForMember(x => x.WindDirection, o => o.MapFrom(y => y.wind.deg))
.ForMember(x => x.Windspeed, o => o.MapFrom(y => y.wind.speed))
.ForMember(x => x.Icon, o => o.MapFrom(y => y.weather[0].icon));
// Forecast
CreateMap <WeatherList, Weather>(MemberList.Destination)
.ForMember(x => x.DateTime, o =>
o.MapFrom(y => DateTimeUTC.FromSecondsSinceUnixEpoch(y.dt)))
.ForMember(x => x.CloudDescription, o => o.MapFrom(y => y.weather[0].description))
.ForMember(x => x.FeelsLikeTemperature, o => o.MapFrom(y => y.main.feels_like))
.ForMember(x => x.Humidity, o => o.MapFrom(y => y.main.humidity))
.ForMember(x => x.MaximumTemperature, o => o.MapFrom(y => y.main.temp_max))
.ForMember(x => x.MinimumTemperature, o => o.MapFrom(y => y.main.temp_min))
.ForMember(x => x.Pressure, o => o.MapFrom(y => y.main.pressure))
.ForMember(x => x.Temperature, o => o.MapFrom(y => y.main.temp))
.ForMember(x => x.WindDirection, o => o.MapFrom(y => y.wind.deg))
.ForMember(x => x.Windspeed, o => o.MapFrom(y => y.wind.speed))
.ForMember(x => x.Icon, o => o.MapFrom(y => y.weather[0].icon));
}
public static List <string> GetTradingCalendarHTMLLines(DateTimeUTC week_start)
{
if (week_start.DayOfWeek != DayOfWeek.Monday)
{
throw new Exception("Day is not a monday");
}
string url = "http://www.forexfactory.com/calendar.php?week=" + IntToMonth(week_start.Month) + week_start.Day + "." + week_start.Year;
Console.WriteLine(url);
List <string> lines = new List <string>();
WebRequest web_request = WebRequest.Create(url);
ServicePointManager.SecurityProtocol = (SecurityProtocolType)3072; //This enables SSL
using (Stream stream = web_request.GetResponse().GetResponseStream())
{
StreamReader stream_reader = new StreamReader(stream);
string line = stream_reader.ReadLine();
while (line != null)
{
lines.Add(line);
line = stream_reader.ReadLine();
}
}
return(lines);
}
public void UpdateForexFactory()
{
List <DateTimeUTC> query_date_list = new List <DateTimeUTC>();
if (LastUpdateDateTime < ToolsForexFactory.InitialDate)
{
LastUpdateDateTime = ToolsForexFactory.InitialDate;
}
DateTimeUTC current_time = DateTimeUTC.Now;
query_date_list.Add(LastUpdateDateTime.GetDayEqualOrBefore(DayOfWeek.Monday));
while (query_date_list[query_date_list.Count - 1] <= current_time)
{
query_date_list.Add(query_date_list[query_date_list.Count - 1].AddDays(7));
}
foreach (DateTimeUTC query_date in query_date_list)
{
List <TradingCalenderEvent> trading_calendar_event_list = ToolsForexFactory.GetTradingCalendarEvents(query_date);
foreach (TradingCalenderEvent trading_calender_event in trading_calendar_event_list)
{
event_list.Add(trading_calender_event);
}
}
}
public void DoExperiment()
{
DateTimeUTC week_start = new DateTimeUTC(2007, 1, 1);
List <ForexFactoryEvent> all_event_list = new List <ForexFactoryEvent>();
while (week_start < DateTimeUTC.Now)
{
Console.WriteLine(week_start);
all_event_list.AddRange(ToolsForexFactory.GetForexFactoryEvents(week_start));
week_start = week_start.AddDays(7);
Thread.Sleep(1000);
}
string[,] table = new string[all_event_list.Count, 9];
for (int index = 0; index < all_event_list.Count; index++)
{
table[index, 0] = all_event_list[index].WeekStartDay.ToString();
table[index, 1] = all_event_list[index].DateString;
table[index, 2] = all_event_list[index].TimeString;
table[index, 3] = all_event_list[index].Symbol;
table[index, 4] = all_event_list[index].Impact;
table[index, 5] = all_event_list[index].Description;
table[index, 6] = all_event_list[index].Actual;
table[index, 7] = all_event_list[index].Forecast;
table[index, 8] = all_event_list[index].Previous;
}
ToolsIOCSV.WriteCSVFile(@"D:\GoogleDrive\TestData\Trading\events.csv", table, Delimiter.SemiColon);
}
private static void ParceEventRBA(DateTimeUTC week_start_day, string date_string, string event_html, List <ForexFactoryEvent> list)
{
int time_string_start = event_html.IndexOf("calendar__cell calendar__time time") + 36;
int time_string_end = event_html.IndexOf("</td>", time_string_start);
string time_string = event_html.Substring(time_string_start, time_string_end - time_string_start);
if (time_string.Contains("upnext"))
{
time_string_start = event_html.IndexOf("span class=", time_string_start) + 20;
time_string_end = event_html.IndexOf("</span>", time_string_start);
time_string = event_html.Substring(time_string_start, time_string_end - time_string_start);
}
if (time_string.Equals(""))
{
time_string = list[list.Count - 1].TimeString;
}
int symbol_start = event_html.IndexOf("calendar__cell calendar__currency currency") + 44;
int symbol_end = event_html.IndexOf("</td>", symbol_start);
string symbol = event_html.Substring(symbol_start, symbol_end - symbol_start);
if (symbol.Equals(""))
{
return;
}
int impact_start = event_html.IndexOf("calendar__impact-icon calendar__impact-icon--screen") + 67;
int impact_end = event_html.IndexOf("</span>", impact_start) - 14;
string impact = event_html.Substring(impact_start, impact_end - impact_start);
int description_start = event_html.IndexOf("calendar__event-title") + 23;
int description_end = event_html.IndexOf("</span>", description_start);
string description = event_html.Substring(description_start, description_end - description_start);
int actual_start = event_html.IndexOf("calendar__cell calendar__actual actual") + 40;
int actual_end = event_html.IndexOf("</td>", actual_start);
string actual = event_html.Substring(actual_start, actual_end - actual_start);
int forecast_start = event_html.IndexOf("calendar__cell calendar__forecast forecast") + 44;
int forecast_end = event_html.IndexOf("</td>", forecast_start);
string forecast = event_html.Substring(forecast_start, forecast_end - forecast_start);
int previous_start = event_html.IndexOf("calendar__cell calendar__previous previous") + 44;
int previous_end = event_html.IndexOf("</td>", previous_start);
string previous = event_html.Substring(previous_start, previous_end - previous_start);
if (previous.Contains("revised"))
{
previous_start = event_html.IndexOf("revised", previous_start) + 37;
previous_end = event_html.IndexOf("</span>", previous_start);
previous = event_html.Substring(previous_start, previous_end - previous_start);
}
list.Add(new ForexFactoryEvent(week_start_day, date_string, time_string, symbol, impact, description, actual, forecast, previous));
}
public TradingCalenderEvent(DateTimeUTC event_time_utc, string symbol, string description, bool is_all_day, Dictionary <string, string> tags)
{
EventTimeUTC = event_time_utc;
Symbol = symbol;
Description = description;
IsAllDay = is_all_day;
Tags = tags;
}
public static Price Read(BinaryReader reader)
{
DateTimeUTC time = reader.ReadDateTimeUTC();
double bid = reader.ReadDouble();
double ask = reader.ReadDouble();
return(new Price(time, bid, ask));
}
public void UpdateData()
{
//TODO update other?
UpdateForexFactory();
LastUpdateDateTime = DateTimeUTC.Now;
event_list.Sort();
SaveState();
}
private static IReadOnlyList <PriceCandle> CreateSecond1(DateTimeUTC open_time, DateTimeUTC final_time)
{
List <PriceCandle> candles = new List <PriceCandle>();
while (open_time < final_time)
{
candles.Add(new PriceCandle(open_time, 0, 0));
open_time = open_time.AddSeconds(1);
}
return(candles);
}
public PriceSet GetPrices(TradingSymbol symbol, DateTimeUTC lower_inclusive, DateTimeUTC upper_exclusive)
{
List <PriceSet> month_price_set_list = new List <PriceSet>();
//Move through months
DateTimeUTC initial_month = new DateTimeUTC(lower_inclusive.Year, lower_inclusive.Month, 1);
int year = 0;
int month = 0;
PriceSet price_set = GetPrices(symbol, year, month);
return(new PriceSet(month_price_set_list));// new PriceSet(List<PriceSet> month_price_set_list)
}
private static IReadOnlyList <Price> CreatePrices(DateTimeUTC open_time, DateTimeUTC final_time)
{
List <Price> price = new List <Price>();
while (open_time <= final_time)
{
price.Add(new Price(open_time, 0, 0));
open_time = open_time.AddSeconds(1);
}
return(price);
}
private IList <DateTimeUTC> CreateMonthRange(DateTimeUTC open, DateTimeUTC final_data_time)
{
open = new DateTimeUTC(open.Year, open.Month, 1);
List <DateTimeUTC> months = new List <DateTimeUTC>();
while (open < final_data_time)
{
months.Add(open);
open = open.AddMonths(1);
}
return(months);
}
public void TestUTCFromOpenWeathermap()
{
DateTime result = DateTimeUTC.FromSecondsSinceUnixEpoch(1596358800);
Assert.Equal(new DateTime(2020, 8, 2, 9, 0, 0), result);
result = DateTimeUTC.FromSecondsSinceUnixEpoch(1596369600);
Assert.Equal(new DateTime(2020, 8, 2, 12, 0, 0), result);
result = DateTimeUTC.FromSecondsSinceUnixEpoch(1596380400);
Assert.Equal(new DateTime(2020, 8, 2, 15, 0, 0), result);
}
public static void AddFileToPriceList(List <Price> price_list, string file)
{
string[,] table = ToolsIOCSV.ReadCSVFile(file);
for (int index_0 = 0; index_0 < table.GetLength(0); index_0++)
{
//TODO duplicate date_times can exist both on the server and on the client
DateTimeUTC date_time = ToolsTime.UnixTimeStampToDateTimeUTC(int.Parse(table[index_0, 1]));
double bid = double.Parse(table[index_0, 2], CultureInfo.InvariantCulture);
double ask = double.Parse(table[index_0, 3], CultureInfo.InvariantCulture);
price_list.Add(new Price(date_time, bid, ask));
}
}
public DatabaseTradingCalender()
{
event_list = new List <TradingCalenderEvent>();
if (File.Exists(database_path))
{
LoadState();
}
else
{
LastUpdateDateTime = new DateTimeUTC(2000, 1, 1); //Before forex actory
}
}
public IList <TradingCalenderEvent> GetEvents(DateTimeUTC lower_inclusive, DateTimeUTC upper_exclusive, string symbol, string decription, Dictionary <string, string> required_tags)
{
List <TradingCalenderEvent> selected_event_list = new List <TradingCalenderEvent>();
foreach (TradingCalenderEvent callender_event in event_list)
{
if (CheckMatch(callender_event, lower_inclusive, upper_exclusive, symbol, decription, required_tags))
{
selected_event_list.Add(callender_event);
}
}
return(selected_event_list);
}
public static string GetTradingCalendarHTMLLine(DateTimeUTC week_start)
{
List <string> lines = GetTradingCalendarHTMLLines(week_start);
foreach (string line in lines)
{
if (line.Contains("calendar__row calendar__row--day-breaker"))
{
return(line);
}
}
throw new Exception("html parce failure: table not found");
}
public ForexFactoryEvent(DateTimeUTC week_start_day, string date_string, string time_string, string symbol, string impact, string description, string actual, string forecast, string previous)
{
WeekStartDay = week_start_day;
DateString = date_string;
TimeString = time_string;
Symbol = symbol;
Impact = impact;
Description = description;
Actual = actual;
Forecast = forecast;
Previous = previous;
QueuryTimeStamp = DateTimeUTC.Now;
}
private static TradingOrder CloseOrder(TradingOrder trade_order, DateTimeUTC current_date_time, double current_bid, double current_ask)
{
switch (trade_order.OrderType)
{
case TradingOrderType.Long:
return(trade_order.Close(current_date_time, current_bid));
case TradingOrderType.Short:
return(trade_order.Close(current_date_time, current_ask));
default:
throw new NotImplementedException();
}
}
public void LoadState()
{
string [,] table = ToolsIOCSV.ReadCSVFile(database_path);
LastUpdateDateTime = DateTimeUTC.Parse(table[0, 0]);
for (int index_0 = 1; index_0 < table.GetLength(0); index_0++)
{
event_list.Add(new TradingCalenderEvent(
DateTimeUTC.Parse(table[index_0, 0]),
table[index_0, 1],
table[index_0, 2],
bool.Parse(table[index_0, 3]),
ToolsString.StringToDictionary(table[index_0, 4])));
}
}
public static List <ForexFactoryEvent> GetForexFactoryEvents(DateTimeUTC week_start)
{
List <string> day_html_list = GetTradingCalendarHTMLDays(week_start);
List <ForexFactoryEvent> event_list = new List <ForexFactoryEvent>();
foreach (string day_html in day_html_list)
{
Tuple <string, List <string> > tuple = GetTradingCalendarEventsHTML(day_html);
foreach (string event_html in tuple.Item2)
{
ParceEventRBA(week_start, tuple.Item1, event_html, event_list);
}
}
return(event_list);
}
private PriceSet ImportSecondData(string file_path)
{
string symbol = Path.GetFileName(file_path).Substring(0, 6);
TradingSymbol trading_symbol = new TradingSymbol("TradersWay", "MT4.VAR.DEMO", symbol, "The one we mine on the VM");
List <Price> price_list = new List <Price>();
string[,] table = ToolsIOCSV.ReadCSVFile(file_path);
for (int index_0 = 0; index_0 < table.GetLength(0); index_0++)
{
//TODO duplicate date_times can exist both on the server and on the client
DateTimeUTC date_time = ToolsTime.UnixTimeStampToDateTimeUTC(int.Parse(table[index_0, 0]));
double bid = double.Parse(table[index_0, 2], CultureInfo.InvariantCulture);
double ask = double.Parse(table[index_0, 3], CultureInfo.InvariantCulture);
price_list.Add(new Price(date_time, bid, ask));
}
return(new PriceSet(trading_symbol, price_list));
}
//Model Second1
public PriceCandle(DateTimeUTC date_time, double bid, double ask)
{
this.OpenTime = date_time;
this.CloseTime = GetCloseTime(date_time, TimeScale.Second1);
this.TimeScale = TimeScale.Second1;
this.OpenBid = bid;
this.HighBid = bid;
this.LowBid = bid;
this.CloseBid = bid;
this.OpenAsk = ask;
this.HighAsk = ask;
this.LowAsk = ask;
this.CloseAsk = ask;
this.Volume = 0;
this.RealVolume = 0;
}
private bool CheckMatch(TradingCalenderEvent callender_event, DateTimeUTC lower_inclusive, DateTimeUTC upper_exclusive, string required_symbol, string required_decription, Dictionary <string, string> required_tags)
{
if ((callender_event.EventTimeUTC < lower_inclusive) || (upper_exclusive <= callender_event.EventTimeUTC))
{
return(false);
}
if (!required_symbol.Equals("") && !required_symbol.Equals(callender_event.Symbol))
{
return(false);
}
if (!required_decription.Equals("") && !(callender_event.Description.Contains(required_decription)))
{
return(false);
}
return(true);
}
//Model 400
public PriceCandle(DateTimeUTC date_time, TimeScale time_scale, double open_bid, double high_bid, double low_bid, double close_bid, double volume, double spread)
{
this.OpenTime = date_time;
this.CloseTime = GetCloseTime(date_time, time_scale);
this.TimeScale = time_scale;
this.OpenBid = open_bid;
this.HighBid = high_bid;
this.LowBid = low_bid;
this.CloseBid = close_bid;
this.OpenAsk = open_bid + spread;
this.HighAsk = high_bid + spread;
this.LowAsk = low_bid + spread;
this.CloseAsk = close_bid + spread;
this.Volume = (long)volume;
this.RealVolume = 0;
}
private static List <PriceCandle> ReadHST400(BinaryReader reader, long file_size, TimeScale time_scale, double spread)
{
// bars array(single-byte justification) . . . total 44 bytes
long line_count = (file_size - 148) / 44;
List <PriceCandle> data = new List <PriceCandle>();
for (int i = 0; i < line_count; i++)
{
reader.ReadBytes(4);
DateTimeUTC open_date_time = ToolsTime.UnixTimeStampToDateTimeUTC(reader.ReadInt32());
double open = reader.ReadDouble(); // open price 8 bytes
double low = reader.ReadDouble(); // lowest price 8 bytes
double high = reader.ReadDouble(); // highest price 8 bytes
double close = reader.ReadDouble(); // close price 8 bytes
double volume = reader.ReadDouble(); // tick count 8 bytes
data.Add(new PriceCandle(open_date_time, time_scale, open, high, low, close, volume, spread));
}
return(data);
}
public void DoExperiment()
{
List <PriceCandle> all_data = ToolsPrice.GetPriceCandles();
// new DateTime(2016, 9, 3)
PlotLine2D line_plot_2d = new PlotLine2D();
for (int month_index = 1; month_index < 9; month_index++)
{
DateTimeUTC nfp_date = null;// ToolsTradingCalendarEvent.GetNFPDatetime(2016, month_index);
DateTimeUTC nfp_date_begin = nfp_date.AddMinutes(-100);
DateTimeUTC nfp_date_end = nfp_date.AddMinutes(100);
List <double> nfp_time = new List <double>();
List <double> nfp_bid = new List <double>();
double candle_time = 0;
double subtract = 0;
foreach (PriceCandle candle in all_data)
{
if ((nfp_date_begin <= candle.OpenTime) && (candle.OpenTime < nfp_date_end))
{
if (candle_time == 0)
{
subtract = candle.OpenBid;
}
nfp_time.Add(candle_time);
nfp_time.Add(candle_time);
nfp_time.Add(candle_time);
nfp_time.Add(candle_time);
nfp_bid.Add(candle.OpenBid);
nfp_bid.Add(candle.LowBid);
nfp_bid.Add(candle.HighBid);
nfp_bid.Add(candle.CloseBid);
candle_time++;
}
}
line_plot_2d.AddSeries(nfp_time, nfp_bid, Color.Black);
}
ToolsPlotting.WriteToFile(ToolsTradingDataSet.GetPath() + "nfp.png", line_plot_2d, 800, 800);
}
private static List <PriceCandle> ReadHST401(BinaryReader reader, long file_size, TimeScale time_scale)
{
//then the bars array(single-byte justification) . . . total 60 bytes
long line_count = (file_size - 148) / 60;
List <PriceCandle> data = new List <PriceCandle>();
for (int i = 0; i < line_count; i++)
{
DateTimeUTC open_date_time = ToolsTime.UnixTimeStampToDateTimeUTC(reader.ReadInt64()); // bar start time 8 bytes
double open = reader.ReadDouble(); // open price 8 bytes
double high = reader.ReadDouble(); // highest price 8 bytes
double low = reader.ReadDouble(); // lowest price 8 bytes
double close = reader.ReadDouble(); // close price 8 bytes
long volume = reader.ReadInt64(); // tick count 8 bytes
int spread = reader.ReadInt32();; // spread 4 bytes
long real_volume = reader.ReadInt64(); // real volume 8 bytes
data.Add(new PriceCandle(open_date_time, time_scale, open, high, low, close, volume, spread, real_volume));
}
return(data);
}
