public RandomPriceBarsDataSource(
int candleIntervalMinutes,
bool simulateDateGap,
double timerInterval,
int updatesPerPrice,
int randomSeed,
double startingPrice,
DateTime startDate)
{
_candleIntervalMinutes = candleIntervalMinutes;
_simulateDateGap = simulateDateGap;
_updatesPerPrice = updatesPerPrice;
_timer = new Timer(timerInterval)
{
Enabled = false,
AutoReset = true,
};
_timer.Elapsed += TimerElapsed;
_initialPriceBar = new PriceBarInfo
{
Close = startingPrice,
DateTime = startDate
};
_lastPriceBar = new PriceBar(
_initialPriceBar.DateTime,
_initialPriceBar.Close,
_initialPriceBar.Close,
_initialPriceBar.Close,
_initialPriceBar.Close,
0L);
_random = new Random(randomSeed);
}
private PriceBar GetUpdatedData()
{
double num = _lastPriceBar.Close + ((_random.NextDouble() - 0.48) * (_lastPriceBar.Close / 100.0));
double high = (num > _lastPriceBar.High) ? num : _lastPriceBar.High;
double low = (num < _lastPriceBar.Low) ? num : _lastPriceBar.Low;
long volumeInc = (long)((_random.NextDouble() * 30000 + 20000) * 0.05);
_lastPriceBar = new PriceBar(_lastPriceBar.DateTime, _lastPriceBar.Open, high, low, num, _lastPriceBar.Volume + volumeInc);
return(_lastPriceBar);
}
public PriceSeries GetPriceData(string dataset)
{
if (_dataSets.ContainsKey(dataset))
{
return(_dataSets[dataset]);
}
// e.g. resource format: Abt.Controls.SciChart.Example.Resources.EURUSD_Daily.csv
string csvResource = $"{ResourceDirectory}.{Path.ChangeExtension(dataset, "csv")}";
var priceSeries = new PriceSeries
{
Symbol = dataset
};
Assembly assembly = typeof(DataManager).Assembly;
// Debug.WriteLine(string.Join(", ", assembly.GetManifestResourceNames()));
using (Stream stream = assembly.GetManifestResourceStream(csvResource))
{
Debug.Assert(stream != null, "stream != null");
using (var streamReader = new StreamReader(stream))
{
string line = streamReader.ReadLine();
while (line != null)
{
var priceBar = new PriceBar();
// Line Format:
// Date, Open, High, Low, Close, Volume
// 2007.07.02 03:30, 1.35310, 1.35310, 1.35280, 1.35310, 12
string[] tokens = line.Split(',');
priceBar.DateTime = DateTime.Parse(tokens[0], DateTimeFormatInfo.InvariantInfo);
priceBar.Open = double.Parse(tokens[1], NumberFormatInfo.InvariantInfo);
priceBar.High = double.Parse(tokens[2], NumberFormatInfo.InvariantInfo);
priceBar.Low = double.Parse(tokens[3], NumberFormatInfo.InvariantInfo);
priceBar.Close = double.Parse(tokens[4], NumberFormatInfo.InvariantInfo);
priceBar.Volume = long.Parse(tokens[5], NumberFormatInfo.InvariantInfo);
priceSeries.Add(priceBar);
line = streamReader.ReadLine();
}
}
}
_dataSets.Add(dataset, priceSeries);
return(priceSeries);
}
private PriceBar GetNextRandomPriceBar()
{
double close = _lastPriceBar.Close;
double num = (_random.NextDouble() - 0.9) * _initialPriceBar.Close / 30.0;
double num2 = _random.NextDouble();
double num3 = _initialPriceBar.Close + _initialPriceBar.Close / 2.0 * Math.Sin(7.27220521664304E-06 * _currentTime) + _initialPriceBar.Close / 16.0 * Math.Cos(7.27220521664304E-05 * _currentTime) + _initialPriceBar.Close / 32.0 * Math.Sin(7.27220521664304E-05 * (10.0 + num2) * _currentTime) + _initialPriceBar.Close / 64.0 * Math.Cos(7.27220521664304E-05 * (20.0 + num2) * _currentTime) + num;
double num4 = Math.Max(close, num3);
double num5 = _random.NextDouble() * _initialPriceBar.Close / 100.0;
double high = num4 + num5;
double num6 = Math.Min(close, num3);
double num7 = _random.NextDouble() * _initialPriceBar.Close / 100.0;
double low = num6 - num7;
long volume = (long)(_random.NextDouble() * 30000 + 20000);
DateTime openTime = _simulateDateGap ? EmulateDateGap(_lastPriceBar.DateTime) : _lastPriceBar.DateTime;
DateTime closeTime = openTime.AddMinutes(_candleIntervalMinutes);
PriceBar candle = new PriceBar(closeTime, close, high, low, num3, volume);
_lastPriceBar = new PriceBar(candle.DateTime, candle.Open, candle.High, candle.Low, candle.Close, volume);
_currentTime += _candleIntervalMinutes * 60;
return(candle);
}
private void OnTimerElapsed()
{
if (_currentUpdateCount < _updatesPerPrice)
{
_currentUpdateCount++;
PriceBar updatedData = GetUpdatedData();
if (UpdateData != null)
{
UpdateData(updatedData);
}
}
else
{
_currentUpdateCount = 0;
PriceBar nextData = GetNextData();
if (NewData != null)
{
NewData(nextData);
}
}
}
public PriceBar GetNextData()
{
PriceBar nextRandomPriceBar = GetNextRandomPriceBar();
return(nextRandomPriceBar);
}