public List <ForexTimePeriodStats> GetSymbolTimePeriodStats(List <DateTime> dts, string symbol = "")
{
List <ForexTimePeriodStats> recs = new List <ForexTimePeriodStats>();
foreach (var dt in dts)
{
var fxp = new ForexPrices();
try
{
fxp.Read(dt, symbol);
}
catch (Exception ex)
{
Console.WriteLine(ex.Message);
continue;
}
fxp.PriceRecords = fxp.PriceRecords
.Where(r => r.PriceDateTime.TimeOfDay >= dt.TimeOfDay && r.PriceDateTime.TimeOfDay <= dt.AddMinutes(180).TimeOfDay)
.ToList();
if (fxp.SymbolTimeStats.Count() > 0)
{
recs.AddRange(fxp.SymbolTimeStats);
}
}
return(recs);
}
public List <string> GetSymbolListFromFiles()
{
var file = Directory
.GetFiles("I:\\ForexData\\Forexite\\ARCHIVE_PRICES\\ZIP_ORIGINAL", "*.zip")
.OrderByDescending(r => r)
.ToList().FirstOrDefault();
var fxp = new ForexPrices();
fxp.PriceRecords = fxp.PriceRecords.UnzipPrices(file).ToList();
var symbols = (from r in fxp.Symbols orderby r select r).Distinct().ToList();
return(symbols);
}
/// <summary>
/// convert all recs to pips from open
/// </summary>
/// <param name="recs"></param>
/// <returns></returns>
public static List <ForexPriceRecord> ToPips(this List <ForexPriceRecord> recs)
{
ForexPrices fxp = new ForexPrices()
{
PriceRecords = recs
};
List <ForexPriceRecord> pipsRecords = new List <ForexPriceRecord>();
List <string> symbols = fxp.Symbols;
foreach (var symbol in symbols)
{
pipsRecords.AddRange(recs.ToPips(symbol));
}
return(pipsRecords);
}
// not yest implimented
public static List <ForexPriceRecord> Compress(this List <ForexPriceRecord> recs, string symbol, Periodicity period)
{
if (period == Periodicity.OneMinute)
{
return(recs);
}
List <ForexPriceRecord> cp = recs.Where(r => r.Symbol.Equals(symbol)).OrderBy(p => p.PriceDateTime).ToList();
if (cp.Count < 2)
{
return(cp);
}
List <ForexPriceRecord> newRecs = new List <ForexPriceRecord>();
List <ForexPriceRecord> tempRecs = new List <ForexPriceRecord>();
ForexPriceRecord tempRec = new ForexPriceRecord();
ForexPriceRecord firstRec = cp.First();
ForexPriceRecord lastRec = cp.Last();
int minutes = (int)period;
double OpenPrice = firstRec.Open;
double BidOpenPrice = firstRec.BidOpen;
double AskOpenPrice = firstRec.AskOpen;
double mult = firstRec.PipMultiplier;
#region csv recs in 1 minute tf
/*
* AUDCAD 02/04/2009 12:00:00 AM +00:00 0 0 0 0 0.79936 0.79953 0.79932 0.79953 0.80073 0.80085 0.8005 0.80081
* AUDCAD 02/04/2009 12:01:00 AM +00:00 0 0 0 0 0.79953 0.79973 0.79945 0.79973 0.80081 0.80092 0.80081 0.80092
* AUDCAD 02/04/2009 12:02:00 AM +00:00 0 0 0 0 0.79973 0.79993 0.79925 0.79957 0.80092 0.80144 0.80064 0.80076
* AUDCAD 02/04/2009 12:03:00 AM +00:00 0 0 0 0 0.79957 0.79957 0.79905 0.79909 0.80076 0.80076 0.80016 0.80022
* AUDCAD 02/04/2009 12:04:00 AM +00:00 0 0 0 0 0.79909 0.79959 0.79909 0.79943 0.80022 0.8008 0.80022 0.80059
* AUDCAD 02/04/2009 12:05:00 AM +00:00 0 0 0 0 0.79943 0.79953 0.79931 0.79948 0.80059 0.80073 0.80047 0.80068
* AUDCAD 02/04/2009 12:06:00 AM +00:00 0 0 0 0 0.79948 0.79954 0.79936 0.79936 0.80068 0.80075 0.80056 0.80056
* AUDCAD 02/04/2009 12:07:00 AM +00:00 0 0 0 0 0.79936 0.79961 0.79903 0.79959 0.80056 0.80091 0.80044 0.8008
* AUDCAD 02/04/2009 12:08:00 AM +00:00 0 0 0 0 0.79959 0.79959 0.79941 0.79948 0.8008 0.8008 0.80061 0.80068
* AUDCAD 02/04/2009 12:09:00 AM +00:00 0 0 0 0 0.79948 0.80004 0.79936 0.80004 0.80068 0.80123 0.80056 0.80123
* AUDCAD 02/04/2009 12:10:00 AM +00:00 0 0 0 0 0.80004 0.80039 0.8 0.80039 0.80123 0.80149 0.80117 0.80149
* AUDCAD 02/04/2009 12:11:00 AM +00:00 0 0 0 0 0.80039 0.80045 0.79989 0.80035 0.80149 0.80155 0.80136 0.80148
* AUDCAD 02/04/2009 12:12:00 AM +00:00 0 0 0 0 0.80035 0.80043 0.80029 0.80029 0.80148 0.80154 0.80142 0.80142
* AUDCAD 02/04/2009 12:13:00 AM +00:00 0 0 0 0 0.80029 0.80035 0.80018 0.8002 0.80142 0.80142 0.80136 0.80136
* AUDCAD 02/04/2009 12:14:00 AM +00:00 0 0 0 0 0.8002 0.80037 0.79963 0.79989 0.80136 0.80156 0.80107 0.80107
* AUDCAD 02/04/2009 12:15:00 AM +00:00 0 0 0 0 0.79989 0.80012 0.79965 0.79972 0.80107 0.80129 0.80085 0.80091
* AUDCAD 02/04/2009 12:16:00 AM +00:00 0 0 0 0 0.79972 0.80041 0.79972 0.79984 0.80091 0.80176 0.80091 0.80119
* AUDCAD 02/04/2009 12:17:00 AM +00:00 0 0 0 0 0.79984 0.80049 0.79984 0.80034 0.80119 0.80174 0.80119 0.80152
* AUDCAD 02/04/2009 12:18:00 AM +00:00 0 0 0 0 0.80034 0.80093 0.79982 0.80062 0.80152 0.80224 0.80151 0.80193
* AUDCAD 02/04/2009 12:19:00 AM +00:00 0 0 0 0 0.80062 0.80074 0.80019 0.80019 0.80193 0.80198 0.80147 0.80147
*/
#endregion
DateTimeOffset lastDto = lastRec.PriceDateTime;
DateTimeOffset currDto = firstRec.PriceDateTime;
bool hasBidAskPrices = firstRec.HasBidAskPrices;
ForexPriceRecord.ShowPriceOptionsEnum showPriceOpts = firstRec.ShowPriceOptions;
int symbolId = firstRec.SymbolId;
while (currDto <= lastDto)
{
DateTimeOffset endPeriodDto = currDto.AddMinutes(minutes);
if (endPeriodDto > lastDto)
{
endPeriodDto = lastDto.AddMinutes(10);
}
ForexPrices pr = new ForexPrices()
{
PriceRecords = (from r in recs
where r.PriceDateTime >= currDto & r.PriceDateTime < endPeriodDto
select r).ToList()
};
var ts = pr.SymbolTimeStats.FirstOrDefault() as ForexPriceRecordBase;
tempRecs.Add(new ForexPriceRecord()
{
BidOpen = ts.BidOpen,
BidHigh = ts.BidHigh,
BidLow = ts.BidLow,
BidClose = ts.BidClose,
AskOpen = ts.AskOpen,
AskHigh = ts.AskHigh,
AskLow = ts.AskLow,
AskClose = ts.AskClose,
Open = ts.Open,
High = ts.High,
Low = ts.Low,
Close = ts.Close,
HasBidAskPrices = hasBidAskPrices,
PriceDateTime = currDto,
ShowPriceOptions = showPriceOpts,
Symbol = symbol,
SymbolId = symbolId
});
currDto = endPeriodDto;
if (currDto >= lastDto)
{
break;
}
}
return(tempRecs);
}