public void Basics()
{
// build a one symbol filter
TickFileFilter tff = new TickFileFilter(new[] { "GM" });
// get results from above data files
string[] result = tff.Allows(_filenames);
// make sure both files for this symbol match
Assert.Equal(2, result.Length);
// make sure the actual file names are the same
Assert.Equal(result[0], _filenames[0]);
Assert.Equal(result[1], _filenames[4]);
// build a new filter
tff = new TickFileFilter();
// request all matching files for a given year
tff.DateFilter(20070000, DateMatchType.Year);
tff.IsDateMatchUnion = true;
tff.IsSymbolDateMatchUnion = true;
// do the match
result = tff.Allows(_filenames);
// make sure we found 3 files from this year
Assert.Equal(3, result.Length);
// make sure the filename is the same
Assert.Equal(_filenames[3], result[2]);
}
private void monthCalendar1_DateSelected(object sender, DateRangeEventArgs e)
{
// create a new filter
TickFileFilter tff = new TickFileFilter();
// populate the filter from user's calendar
tff.DateFilter(Util.ToTLDate(monthCalendar1.SelectionEnd), DateMatchType.Day | DateMatchType.Month | DateMatchType.Year);
// set the filter on the simulator
h.FileFilter = tff;
}
static TickFileFilter getfilterdate(int date)
{
// create a new filter
TickFileFilter tff = new TickFileFilter();
// we dont' select any symbols, so just playback whatever we find on this day
tff.isSymbolDateMatchUnion = true;
// populate the filter from user's calendar
tff.DateFilter(date, DateMatchType.Day | DateMatchType.Month | DateMatchType.Year);
return(tff);
}
public void AndTest()
{
// build a filter with two stocks
TickFileFilter tff = new TickFileFilter(new string[] { "GM", "SPX" });
// add date file for year
tff.DateFilter(20070000, DateMatchType.Year);
// add another date filter for month
tff.DateFilter(600, DateMatchType.Month);
// set DateFilter to AND/intersection
tff.isDateMatchUnion = false;
// make sure three stocks match
string[] result = tff.Allows(filenames);
Assert.AreEqual(3, result.Length);
// set more exclusive filter
tff.isSymbolDateMatchUnion = false;
// make sure two stocks match
result = tff.Allows(filenames);
Assert.AreEqual(2, result.Length);
}
/// <summary>
/// Returns the TIK file filter based on the samples used in this backtest
/// </summary>
/// <param name="baseFolder"></param>
/// <param name="symbol"></param>
/// <param name="filter"></param>
/// <param name="startdate"></param>
/// <param name="enddate"></param>
/// <returns></returns>
private static string[] GetTIKFiles(string baseFolder, ISecurityTracker securities, out TickFileFilter filter, int startdate, int enddate)
{
List <string> files = new List <string>();
//Create filter with the symbols as requested
List <string> symbols = new List <string>();
foreach (var sec in securities.ToArray())
{
symbols.Add(sec.Name);
}
filter = new TickFileFilter(symbols);
//Add the initial timeperiod
DateTime ct = Util.Qld2Dt(startdate);
TimeSpan periodlenght = Util.Qld2Dt(enddate) - Util.Qld2Dt(startdate);
//Filter the period
for (int i = 0; i < periodlenght.TotalDays; i++)
{
filter.DateFilter(int.Parse(ct.AddDays(i).ToString("yyyyMMdd")), DateMatchType.Day);
}
//settings
filter.IsDateMatchUnion = true;
filter.DefaultDeny = true;
//Select tickfiles
foreach (var xdate in filter.DateList)
{
foreach (var symbol in filter.SymbolList)
{
//Check if file exists in the zip file
FileInfo fi = new FileInfo(baseFolder + string.Format("\\{0}.zip", symbol));
if (!fi.Exists)
{
throw new FileNotFoundException("Could not find tik archive");
}
using (ZipFile zip = ZipFile.Read(fi.FullName))
{
if (!zip.ContainsEntry(symbol.ToUpper() + xdate.Date + ".TIK"))
{
continue;
}
}
string file = fi.FullName + @"\" + symbol.ToUpper() + xdate.Date + ".TIK";
files.Add(file);
}
}
return(files.ToArray());
}
public void Basics()
{
TickFileFilter tff = new TickFileFilter(new string[] { "GM" });
string[] result = tff.Allows(filenames);
Assert.That(result.Length == 1);
Assert.That(result[0] == filenames[0]);
tff = new TickFileFilter();
tff.DateFilter(20070000, DateMatchType.Year);
result = tff.Allows(filenames);
Assert.That(result.Length == 3);
Assert.That(result[2] == filenames[3]);
}
public void SerializeDeserialize()
{
TickFileFilter tff = new TickFileFilter(new string[] { "IBM", "MHS", "T" });
tff.DateFilter(20070000, DateMatchType.Year);
tff.isDateMatchUnion = false;
tff.isSymbolDateMatchUnion = false;
string msg = TickFileFilter.Serialize(tff);
TickFileFilter f2 = TickFileFilter.Deserialize(msg);
string msg2 = TickFileFilter.Serialize(f2);
Assert.AreEqual(msg, msg2);
Assert.AreEqual(tff.isDateMatchUnion, f2.isDateMatchUnion);
Assert.AreEqual(tff.isSymbolDateMatchUnion, f2.isDateMatchUnion);
}
private void playbut_Click(object sender, EventArgs e)
{
if (!Directory.Exists(tickfolder))
{
status("Tick folder " + tickfolder + " doesn't exist, stopping.");
return;
}
highs = new Dictionary <string, decimal>();
lows = new Dictionary <string, decimal>();
TickFileFilter tff = new TickFileFilter();
tff.DateFilter(Util.ToTLDate(monthCalendar1.SelectionEnd), DateMatchType.Day | DateMatchType.Month | DateMatchType.Year);
h.FileFilter = tff;
_playback = new Playback(h);
_playback.RunWorkerCompleted += new RunWorkerCompletedEventHandler(_playback_RunWorkerCompleted);
_playback.ProgressChanged += new ProgressChangedEventHandler(_playback_ProgressChanged);
_playback.RunWorkerAsync(new PlayBackArgs((int)trackBar1.Value / 5, daystartpicker.Value));
status("Playback started...");
playbut.Enabled = false;
stopbut.Enabled = true;
trackBar1.Enabled = false;
}