/// <summary>
/// Gets the current values for all the algorithm securities (price/volatility)
/// </summary>
/// <returns>The insight target values for all the algorithm securities</returns>
public ReadOnlySecurityValuesCollection GetAllValues()
{
var values = new Dictionary <Symbol, SecurityValues>();
foreach (var kvp in _algorithm.Securities)
{
var security = kvp.Value;
var volume = security.Cache.GetData <TradeBar>()?.Volume ?? 0;
var value = new SecurityValues(security.Symbol, _algorithm.UtcTime, security.Exchange.Hours, security.Price, security.VolatilityModel.Volatility, volume, security.QuoteCurrency.ConversionRate);
values[security.Symbol] = value;
}
return(new ReadOnlySecurityValuesCollection(values));
}
public void RecordsPopulationAverageScoresOnInsightAnalysisCompleted()
{
var time = new DateTime(2000, 01, 01);
var stats = new StatisticsInsightManagerExtension(new TestAccountCurrencyProvider());
var insight = Insight.Price(Symbols.SPY, Time.OneDay, InsightDirection.Up);
var spySecurityValues = new SecurityValues(insight.Symbol, time, SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork), 100m, 1m, 125000, 1m);
var context = new InsightAnalysisContext(insight, spySecurityValues, insight.Period);
context.Score.SetScore(InsightScoreType.Direction, .55, time);
context.Score.SetScore(InsightScoreType.Magnitude, .25, time);
stats.OnInsightAnalysisCompleted(context);
Assert.AreEqual(context.Score.Direction, stats.Statistics.RollingAveragedPopulationScore.Direction);
Assert.AreEqual(context.Score.Magnitude, stats.Statistics.RollingAveragedPopulationScore.Magnitude);
}
public void IgnoresFlatInsightsWithScore(InsightScoreType scoreType, InsightType insightType, double?magnitude)
{
var time = new DateTime(2000, 01, 01);
var stats = new StatisticsInsightManagerExtension(new TestAccountCurrencyProvider());
var insight = new Insight(Symbols.SPY, TimeSpan.FromDays(1), insightType, InsightDirection.Flat, magnitude, null);
var spySecurityValues = new SecurityValues(insight.Symbol, time, SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork), 100m, 1m, 125000, 1m);
var context = new InsightAnalysisContext(insight, spySecurityValues, insight.Period);
context.Score.SetScore(InsightScoreType.Direction, .55, time);
context.Score.SetScore(InsightScoreType.Magnitude, .25, time);
stats.OnInsightAnalysisCompleted(context);
Assert.AreEqual(0.0, stats.Statistics.RollingAveragedPopulationScore.Direction);
Assert.AreEqual(0.0, stats.Statistics.RollingAveragedPopulationScore.Magnitude);
}
private void TryParse002(string dataFeedMsg)
{
try
{
string source = dataFeedMsg.Substring(0, 3);
string notSymbolData = dataFeedMsg.Substring(3, dataFeedMsg.Length - 3);
string[] svalues = Split(notSymbolData);
if (svalues.Length != 3)
{
HandleLog("Wrong 002 Message : " + dataFeedMsg);
return;
}
string id = svalues[0];
string origSymbol = svalues[1];
Security sec;
if (!SecurityValues.TryGetValue(origSymbol, out sec))
{
sec = new Security();
sec.OrgSecurity = origSymbol;
}
sec.Source = source;
sec.Id = id;
sec.OrgSecurity = origSymbol;
sec.IsDeleted = true;
sec.LastUpdate = DateTime.Now;
SecurityValues.AddOrUpdate(origSymbol, sec, (k, v) =>
{
v.IsDeleted = true;
return(v);
});
HandleSecurityChanged(new SecurityEventArgs(sec, dataFeedMsg));
}
catch (Exception ex)
{
TBYException tex = new TBYException(MethodInfo.GetCurrentMethod().GetFullName(), "Matrkiks symbol delete mesajı işlenirken hatası oluştu", ex);
HandleException(tex);
}
}
public List <ISecurityValues> ProcessFile(string responseFileName)
{
var SecuritiesValues = new List <ISecurityValues>();
var startReadingData = false;
var lineNumber = 0;
var lines = File.ReadLines(responseFileName);
var columnNames = new List <string>();
foreach (var line in lines)
{
if (line == "START-OF-DATA")
{
startReadingData = true;
}
if (line == "END-OF-DATA")
{
startReadingData = false;
}
if (startReadingData)
{
var securityValues = new SecurityValues()
{
RawValue = line
};
lineNumber++;
if (lineNumber == 1)
{
continue;
}
if (lineNumber == 2)
{
columnNames = line.Split(
Options.RequestFileDelimiter.ToCharArray()).ToList();
}
if (lineNumber > 2)
{
var columnValues = line.Split(Options.RequestFileDelimiter.ToCharArray()).ToList();
var securityName = columnValues[0];
securityValues.ProviderInternalSecurityName = securityName;
securityValues.SecurityName = SecuritiesList.FirstOrDefault(
p => p.ProviderInternalName == securityName)?.Name;
securityValues.ErrorCode = columnValues[1];
if (securityValues.ErrorCode == "0")
{
for (int colindex = 3; colindex < columnValues.Count; colindex++)
{
var fieldValue = new FieldValue()
{
Name = columnNames[colindex],
Value = columnValues[colindex]
};
if (!string.IsNullOrWhiteSpace(fieldValue.Name))
{
securityValues.FieldValues.Add(fieldValue);
}
}
}
SecuritiesValues.Add(securityValues);
}
}
}
Console.WriteLine("File was processed");
return(SecuritiesValues);
}
private void TryParse060(string dataFeedMsg)//Genel veri update paketi
{
try
{
string source = dataFeedMsg.Substring(0, 3);
string tmp1 = dataFeedMsg.Substring(3, 1);
int tmpInt1;
string notSymbolData = dataFeedMsg.Substring(3, dataFeedMsg.Length - 3);
List <string> vals = new List <string>(notSymbolData.Split(MATRIKS_SEPERATOR));
string origSymbol = vals[0];
vals.RemoveAt(0);
if (int.TryParse(tmp1, out tmpInt1))
{
HandleLog("Wrong 060 Message : " + dataFeedMsg);
return;
}
if (string.IsNullOrEmpty(origSymbol))
{
HandleLog("Missing Symbol Field 060 Message : " + dataFeedMsg);
return;
}
Security sec;
if (!SecurityValues.TryGetValue(origSymbol, out sec))//if (sec == null)
{
sec = new Security();
sec.OrgSecurity = origSymbol;
}
SetSecuritySembol(sec, null, null);
sec.LastUpdate = DateTime.Now;
sec.Source = source;
for (int i = 0; i < vals.Count; i++)
{
if (i % 2 == 0)
{
string key = vals[i];
if (!string.IsNullOrEmpty(key))
{
string val = vals[i + 1];
SecurityPropertySetter.Set(sec, new KeyValuePair <string, string>(key, val));
sec.Dictionary.AddOrUpdate(key, val, (k, v) => { return(val); });
}
}
}
SecurityValues.AddOrUpdate(origSymbol, sec, (k, v) => { return(sec); });
HandleSecurityChanged(new SecurityEventArgs(sec, dataFeedMsg));
}
catch (Exception ex)
{
TBYException tex = new TBYException(MethodInfo.GetCurrentMethod().GetFullName(), "Matrkiks sembol verisi işlenirken hata oluştu", ex);
HandleException(tex);
}
}
private void TryParse001(string dataFeedMsg)
{
try
{
string source = dataFeedMsg.Substring(0, 3);
string notSymbolData = dataFeedMsg.Substring(3, dataFeedMsg.Length - 3);
string[] svalues = Split(notSymbolData);
if (svalues.Length != 12)
{
HandleLog("Wrong 001 Message : " + dataFeedMsg);
return;
}
string origSymbol = svalues[1];
if (string.IsNullOrEmpty(origSymbol))
{
HandleLog("Missing 001 Symbol Field 001 Message : " + dataFeedMsg);
return;
}
int symbolCount = origSymbol.Length;
if (symbolCount < 3)
{
HandleLog("Wrong 001 Symbol Count " + symbolCount + " 001 Message : " + dataFeedMsg);
return;
}
string id = svalues[0];
string description = svalues[2];
string exchangeID = svalues[3];
string marketCode = svalues[4];
string depth = svalues[5];
string sectorID = svalues[6];
string decimalPlace = svalues[7];
string endexes = svalues[8];
string symbol = svalues[9];
string sfx = svalues[10];
Security sec;
if (!SecurityValues.TryGetValue(origSymbol, out sec))
{
sec = new Security();
sec.OrgSecurity = origSymbol;
}
sec.Source = source;
sec.LastUpdate = DateTime.Now;
sec.Id = id;
sec.OrgSecurity = origSymbol;
sec.Description = description;
sec.ExchangeID = exchangeID;
SetSecuritySembol(sec, symbol, sfx);
Exchange exch;
if (ExchangeDefinitions.TryGetValue(exchangeID, out exch))
{
sec.ExchangeDescription = exch.Description;
}
sec.MarketCode = marketCode;
string mrktDef;
if (MarketDefinitions.TryGetValue(marketCode, out mrktDef))
{
sec.MarketDescription = mrktDef;
}
sec.Depth = short.Parse(depth);
sec.SectorID = sectorID;
sec.DecimalPlace = short.Parse(decimalPlace);
sec.Endexes = endexes;
char[] eList = endexes.ToCharArray();
if (eList[0] == '0')
{
sec.IsBist30 = false;
}
else
{
sec.IsBist30 = true;
}
if (eList[1] == '0')
{
sec.IsBist50 = false;
}
else
{
sec.IsBist50 = true;
}
if (eList[2] == '0')
{
sec.IsBist100 = false;
}
else
{
sec.IsBist100 = true;
}
sec.LastUpdate = DateTime.Now;
SecurityValues.AddOrUpdate(origSymbol, sec, (k, v) =>
{
sec.IsDeleted = v.IsDeleted;
return(sec);
});
HandleSecurityChanged(new SecurityEventArgs(sec, dataFeedMsg));
}
catch (Exception ex)
{
TBYException tex = new TBYException(MethodInfo.GetCurrentMethod().GetFullName(), "Matrkiks symbol create mesajı işlenirken hatası oluştu", ex);
HandleException(tex);
}
}