public void DoExperiment()
{
PriceSet price_set = ToolsPrice.GetPriceSet(ToolsPrice.DefaultSymbolGBPUSD);
List <IIndicator> indicators = new List <IIndicator>();
indicators.Add(new IndicatorRunningAverage(4));
indicators.Add(new IndicatorRunningAverage(6));
indicators.Add(new IndicatorRunningAverage(8));
indicators.Add(new IndicatorRunningAverage(10));
indicators.Add(new IndicatorRunningAverage(12));
IIndicator feature_indicator = new IndicatorFusion(indicators);
IIndicator label_indicator = new IndicatorMagicProfit(60);
MarketModelSimulation market = new MarketModelSimulation(1000, price_set);
DataSet <double, double> dataset = ToolsTradingDataSet.CreateDataSet(market, feature_indicator, label_indicator);
ITemplateModelLabel <double, double> template = null;//new TemplateModelLibSVMCSVC();
IModelLabel <double, double> model = template.GenerateModel(dataset);
//TODO change everyting into templates
List <IIndicator> indicators_2 = new List <IIndicator>();
indicators_2.Add(new IndicatorRunningAverage(4));
indicators_2.Add(new IndicatorRunningAverage(6));
indicators_2.Add(new IndicatorRunningAverage(8));
indicators_2.Add(new IndicatorRunningAverage(10));
indicators_2.Add(new IndicatorRunningAverage(12));
IIndicator feature_indicator_2 = new IndicatorFusion(indicators_2);
//Build actual incator
IIndicator indicator_0 = new IndicatorMagicProfit(60);
IIndicator indicator_1 = new IndicatorMachineLearning(feature_indicator_2, model, "Profit_long_ml");
IList <Color> color_list = new Color[] { Color.Black };
IList <int> index_list = new int[] { 0 };
ToolsTradingPlotting.PlotIndicatorResult(ToolsTradingDataSet.GetPath() + "indicator_0.png", price_set, indicator_0, color_list, index_list, false);
ToolsTradingPlotting.PlotIndicatorResult(ToolsTradingDataSet.GetPath() + "indicator_1.png", price_set, indicator_1, color_list, index_list, false);
}
public void DoExperiment()
{
IReadOnlyList <PriceCandle> candles = ToolsPrice.GetPriceCandles(ToolsPrice.DefaultSymbolUSDEUR, TimeScale.Second1);
DictionaryCount <int> dic = new DictionaryCount <int>();
foreach (PriceCandle candle in candles)
{
dic.Increment((int)Math.Round((candle.OpenAsk - candle.OpenBid) / TradingConstants.POINT));
}
List <int> keys = new List <int>(dic.Keys);
keys.Sort();
string[,] spread_table = new string[keys.Count, 2];
for (int i = 0; i < keys.Count; i++)
{
Console.WriteLine(keys[i] + " " + dic[keys[i]]);
spread_table[i, 0] = keys[i].ToString(CultureInfo.InvariantCulture);
spread_table[i, 1] = dic[keys[i]].ToString(CultureInfo.InvariantCulture);
}
ToolsIOCSV.WriteCSVFile(@"D:\GoogleDrive\TestData\Trading\Spreads.csv", spread_table);
}
public void DoExperiment()
{
ToolsPrice.ComposeBinary(ToolsPrice.DefaultSymbolGBPUSD);
PriceSet price_set = ToolsPrice.GetPriceSet(ToolsPrice.DefaultSymbolGBPUSD).SubSet(new DateTimeUTC(2016, 10, 17), new DateTimeUTC(2016, 10, 20));
IIndicator indicator_feature = new IndicatorSuperBollinger();
IIndicator indicator_label = new IndicatorMagicProfit(60);
MarketModelSimulation market0 = new MarketModelSimulation(10000, price_set);
MarketModelSimulation market1 = new MarketModelSimulation(10000, price_set);
double[] time = new double[price_set.Prices.Count];
for (int price_index = 0; price_index < price_set.Prices.Count; price_index++)
{
time[price_index] = price_set.Prices[price_index].Time.Ticks;
}
Tuple <double[, ], bool[]> tuple0 = indicator_feature.ComputeAll(market0, price_set.Second1.Count);
Tuple <double[, ], bool[]> tuple1 = indicator_label.ComputeAll(market1, price_set.Second1.Count);
List <string[]> list_string = new List <string[]>();
for (int index_0 = 0; index_0 < tuple0.Item2.Length; index_0++)
{
if (tuple0.Item2[index_0] && tuple1.Item2[index_0])
{
double[] array_double = ToolsCollection.Append(tuple0.Item1.Select1DIndex0(index_0), tuple1.Item1.Select1DIndex0(index_0));
string[] array_string = new string[array_double.Length];
for (int index_1 = 0; index_1 < array_double.Length; index_1++)
{
array_string[index_1] = array_double[index_1].ToString(CultureInfo.InvariantCulture);
}
list_string.Add(array_string);
}
}
ToolsIOCSV.WriteCSVFile(ToolsTradingDataSet.GetPath() + "data.csv", ToolsCollection.ConvertToArray2D(list_string));
}
public void DoExperiment()
{
PriceSet price_set = ToolsPrice.GetPriceSet(ToolsPrice.DefaultSymbolGBPUSD);
List <IPolicy> policies = new List <IPolicy>();
double long_threshold = 10 * Math.Pow(10, -6);
double short_threshold = -10 * Math.Pow(10, -6);
for (int index = 0; index < 1; index++)
{
policies.Add(new PolicyTemplateJaapBands().Instance());
}
MarketResult[] market_results = new MarketResult[policies.Count];
Parallel.For(0, policies.Count, index =>
{
MarketManagerSimulation exchange = new MarketManagerSimulation(10000, price_set);
market_results[index] = exchange.Run(policies[index]);
});
List <Tuple <MarketResult, IPolicy> > accepted_policy = new List <Tuple <MarketResult, IPolicy> >();
for (int index = 0; index < market_results.Length; index++)
{
// if(market_results[index].Market.ClosedOrders.Count > 9 && market_results[index].EndCash > 10000)
// {
accepted_policy.Add(new Tuple <MarketResult, IPolicy>(market_results[index], policies[index]));
// }
}
for (int index = 0; index < accepted_policy.Count; index++)
{
var xx = accepted_policy[index];
Console.WriteLine(xx.Item1.EndCash + " in: " + xx.Item1.Market.ClosedOrders.Count);
ToolsTradingPlotting.PlotMarketResult(ToolsTradingDataSet.GetPath() + "Trades" + index + ".png", xx.Item1);
}
}
public void TestSim40()
{
PriceSet price_set = ToolsPrice.GetPriceSet(ToolsPrice.DefaultSymbolGBPUSD);
IMarketModelTest.TestSpeed(10000, price_set, 40);
}
public void TestCreateMedium()
{
PriceSet price_set = new PriceSet(ToolsPrice.DefaultSymbolGBPUSD, ToolsCollection.Select(ToolsPrice.GetPriceList(ToolsPrice.DefaultSymbolGBPUSD), 0, 40));
List <IIndicator> indicators_features = new List <IIndicator>();
indicators_features.Add(new IndicatorRunningAverage(0));
indicators_features.Add(new IndicatorRunningAverage(1));
List <IIndicator> indicators_labels = new List <IIndicator>();
indicators_labels.Add(new IndicatorMagicProfit(0));
indicators_labels.Add(new IndicatorMagicProfit(1));
MarketModelSimulation market = new MarketModelSimulation(1000, price_set);
IDataSet <double, double> dataset = ToolsTradingDataSet.CreateDataSet(market, new IndicatorFusion(indicators_features), new IndicatorFusion(indicators_labels));
Assert.AreEqual(39, dataset.InstanceCount);
Assert.AreEqual(2, dataset.FeatureCount);
Assert.AreEqual(4, dataset.LabelCount);
}
public void TestGetPriceSet()
{
PriceSet price_set = ToolsPrice.GetPriceSet(ToolsPrice.DefaultSymbolGBPUSD);
}
public void TestGetPriceCandles()
{
ToolsPrice.GetPriceCandles(ToolsPrice.DefaultSymbolGBPUSD, TimeScale.Second1);
}
public void TestComposeBinary()
{
ToolsPrice.ComposeBinary(ToolsPrice.DefaultSymbolGBPUSD);
}
public void TestComposeSource()
{
ToolsPrice.ComposeSource();
}
