public void DoExperiment()
{
string [,] event_table = ToolsIOCSV.ReadCSVFile(@"D:\GoogleDrive\TestData\Trading\events.csv", Delimiter.SemiColon);
//Load events
//ToolsTradingCalendarEvent.GetTradingCalendarEvents(new string[] { "EUR", "USD" }, start_date, end_date);
//Load candles
ToolsPrice.GetPriceCandles("EUR_USD", TimeScale.Minute1, start_date, end_date, 0.07);
//
}
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 void DoExperiment()
{
double commission = 7;
double spread = 5;
int lookAhead = 60;
//Load data
string[,] table = ToolsIOCSV.ReadCSVFile(@"D:\GoogleDrive\TestData\Trading\eurusddata.csv", Delimiter.Comma);
//Convert data to values
double[] ask = new double[table.GetLength(0)];
double[] bid = new double[table.GetLength(0)];
for (int i = 0; i < table.GetLength(0); i++)
{
bid[i] = 100000 * double.Parse(table[i, 2].Replace(".", ","));
ask[i] = bid[i] + spread;
}
double mean1 = ToolsMathStatistics.Mean(ask);
double mean2 = ToolsMathStatistics.Mean(bid);
double[] buyCurve = new double[table.GetLength(0) - lookAhead];
double[] sellCurve = new double[table.GetLength(0) - lookAhead];
string[] buyCurveString = new string[buyCurve.Length];
for (int i = 0; i < buyCurve.Length; i++)
{
double max = double.MinValue;
double min = double.MaxValue;
for (int j = 1; j < lookAhead; j++)
{
max = Math.Max(max, bid[i + j]);
min = Math.Min(min, ask[i + j]);
}
buyCurve[i] = max - ask[i] - commission;
buyCurveString[i] = bid[i] + ";" + buyCurve[i];
sellCurve[i] = bid[i] - min - commission;
}
double mean3 = ToolsMathStatistics.Mean(buyCurve);
double mean4 = ToolsMathStatistics.Mean(sellCurve);
File.AppendAllLines(@"D:\GoogleDrive\TestData\Trading\buyCurveOut.csv", buyCurveString);
/*
* Load data
* for each time point find optimal buy order
* create line of optimal buy orders
*/
}
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])));
}
}
static void Old0(string[] args)
{
// sample are 30 per second.
string [,] table = ToolsIOCSV.ReadCSVFile(@"D:\Dropbox\TestData\ML6\data_0.csv", Delimiter.Comma, Delimiter.None);
string [] row = table.Select1DIndex0(1);
double[] signal = new double[row.Length];
for (int element_index = 0; element_index < row.Length; element_index++)
{
signal[element_index] = double.Parse(row[element_index].Replace('.', ','), NumberStyles.Any);
}
double[] speed = RunRoy1(signal, 128);
ToolsPlotting.PlotLinesXY(@"D:\Dropbox\TestData\ML6\data_0.png", speed);
Console.ReadLine();
}
public void DoExperiment()
{
double commission = 7;
//Load data
string [,] table = ToolsIOCSV.ReadCSVFile(@"D:\GoogleDrive\TestData\Trading\spreads.csv", Delimiter.SemiColon);
//Convert data to values
double[] ask = new double [table.GetLength(0)];
double[] bid = new double [table.GetLength(0)];
for (int i = 0; i < table.GetLength(0); i++)
{
ask[i] = 10000 * double.Parse(table[i, 3].Replace(".", ","));
bid[i] = 10000 * double.Parse(table[i, 2].Replace(".", ","));
}
double mean1 = ToolsMathStatistics.Mean(ask);
double mean2 = ToolsMathStatistics.Mean(bid);
double[] buyCurve = new double[table.GetLength(0) - 3600];
double[] sellCurve = new double[table.GetLength(0) - 3600];
for (int i = 0; i < buyCurve.Length; i++)
{
double max = double.MinValue;
double min = double.MaxValue;
for (int j = 1; j < 3600; j++)
{
max = Math.Max(max, bid[i + j]);
min = Math.Min(min, ask[i + j]);
}
buyCurve[i] = max - ask[i] - commission;
sellCurve[i] = bid[i] - min - commission;
}
double mean3 = ToolsMathStatistics.Mean(buyCurve);
double mean4 = ToolsMathStatistics.Mean(sellCurve);
/*
* Load data
* for each time point find optimal buy order
* create line of optimal buy orders
*/
}
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));
}
private static Dictionary <string, List <Tuple <GeoLocationDecimalDegree, DateTime> > > ReadData(string file_path)
{
string [,] table = ToolsIOCSV.ReadCSVFile(file_path, Delimiter.Comma);
//for (int i = 0; i < table.GetLength(1); i++)
//{
// System.Console.WriteLine(i);
// System.Console.WriteLine(table[0, i]);
//}
Dictionary <string, List <Tuple <GeoLocationDecimalDegree, DateTime> > > data = new Dictionary <string, List <Tuple <GeoLocationDecimalDegree, DateTime> > >();
for (int i = 1; i < table.GetLength(0); i++)
{
string ship_id = table[i, 14];
double latitutde = Double.Parse(table[i, 5].Replace(".", ","));
double longitude = Double.Parse(table[i, 4].Replace(".", ","));
string[] date_time_utc_split = table[i, 11].Split(" ".ToCharArray());
string[] date_utc_split = date_time_utc_split[0].Split("/".ToCharArray());
DateTime time = DateTime.Parse(date_time_utc_split[1]);
DateTime date = new DateTime(Int32.Parse(date_utc_split[2]), Int32.Parse(date_utc_split[0]), Int32.Parse(date_utc_split[1]));
DateTime data_time = new DateTime(date.Year, date.Month, date.Day, time.Hour, time.Minute, time.Second, DateTimeKind.Utc);
System.Console.WriteLine(ship_id);
System.Console.WriteLine(latitutde);
System.Console.WriteLine(longitude);
System.Console.WriteLine(data_time);
if (!data.ContainsKey(ship_id))
{
data.Add(ship_id, new List <Tuple <GeoLocationDecimalDegree, DateTime> >());
}
data[ship_id].Add(new Tuple <GeoLocationDecimalDegree, DateTime>(new GeoLocationDecimalDegree((AngleDegree)latitutde, (AngleDegree)longitude), data_time));
}
List <string> ship_ids = new List <string>(data.Keys);
foreach (string ship_id in ship_ids)
{
data[ship_id] = new List <Tuple <GeoLocationDecimalDegree, DateTime> >(data[ship_id].OrderBy(tuple => tuple.Item2));
}
return(data);
}
private static void CreateEventCSV()
{
// read CSV
string[,] source = ToolsIOCSV.ReadCSVFile(ToolsTradingDataSet.GetPath() + "events.csv", Delimiter.SemiColon);
//Allocate new array
List <string[]> result_list = new List <string[]>();
string[] exclusion = new string[] { "day", "Day", "Data" };
//For each other column
for (int index_0 = 0; index_0 < source.GetLength(0); index_0++)
{
if (!ExtensionsString.ContainsAny(source[index_0, 2], exclusion))
{
string[] result = new string[3]; // Date symbol impact
//Find dat
DateTime week_start = DateTime.Parse(source[index_0, 0]);
int year = week_start.Year;
int month = ToolsForexFactory.MonthToInt(source[index_0, 1].Split(' ')[0]);
int day = int.Parse(source[index_0, 1].Split(' ')[1]);
if ((week_start.Month == 12) && (month == 1))
{
year++;
}
int hour = int.Parse(source[index_0, 2].Split(':')[0]);
int minute = int.Parse(source[index_0, 2].Split(':')[1].Substring(0, 2));
if (source[index_0, 2].Contains("pm"))
{
hour = hour + 12;
}
if (hour == 24)
{
hour = 0;
DateTime date_time = new DateTime(year, month, day, hour, minute, 0);
date_time = date_time.AddDays(1);
result[0] = ToolsTime.DateTimeToUnixTimestampInt32(date_time).ToString();
}
else
{
DateTime date_time = new DateTime(year, month, day, hour, minute, 0);
result[0] = ToolsTime.DateTimeToUnixTimestampInt32(date_time).ToString();
}
result[1] = source[index_0, 3];
switch (source[index_0, 4])
{
case "Non-Economic":
result[2] = "0"; // Impacs
break;
case "Low Impact Expected":
result[2] = "1"; // Impacs
break;
case "Medium Impact Expected":
result[2] = "2"; // Impacs
break;
case "High Impact Expected":
result[2] = "3"; // Impacs
break;
default:
throw new Exception("Unknown impact");
}
result_list.Add(result);
}
}
ToolsIOCSV.WriteCSVFile(ToolsTradingDataSet.GetPath() + "events_small.csv", ToolsCollection.ConvertToArray2D(result_list));
}
private static IDataSet <int> ReadCSVNominal(string file_path)
{
return(new DataSet <int, int>(ToolsIOCSV.ReadCSVFile(file_path, Delimiter.Comma, Delimiter.None)));
}