/// <summary>
/// Executes a run of processing the stock data
/// </summary>
/// <param name="session">The session configuration</param>
public static void Run(StockSession session)
{
// Set up the derived data sink
var sourceData = session.SourceFile.GetSegments <StockDataSource>();
var sinkData = StockDataSetDerived <StockDataSink, StockDataSource> .Derive(sourceData, session.SinkFile, (data, idx) =>
{
var point = new StockDataSink();
point.Update(data, idx);
return(point);
});
session.SinkFile.SetSegments(sinkData);
// Find when a stock increases by a certain amount
PriceMonitor priceMonitor = new PriceMonitor(0.025);
priceMonitor.MonitorDecrease = false;
sinkData["AA"][0].Load();
priceMonitor.Monitor("AA", sinkData["AA"][0][0].Price, (string stock, float startPrice, float endPrice, DateTime time) =>
{
System.Windows.Forms.MessageBox.Show(string.Format("{0} {1:C}->{2:C} @ {3}", stock, startPrice, endPrice, time));
return(true);
});
// Load the first set of data
foreach (var pair in sinkData)
{
foreach (var set in pair.Value)
{
set.Load();
priceMonitor.Process(set, 0);
}
}
}
public ProcessingTarget(string symbol, DateTime referenceTime, StockDataSink reference)
{
this.Symbol = symbol;
this.ReferenceTime = referenceTime;
this.Reference = reference;
this.ProcessedSetIdx = 0;
this.ProcessedDataIdx = 0;
this.ProcessedLiveIdx = 0;
}
public ProcessingTarget(string symbol)
{
this.Symbol = symbol;
this.ReferenceTime = DateTime.Now;
this.Reference = new StockDataSink();
this.ProcessedSetIdx = 0;
this.ProcessedDataIdx = 0;
this.ProcessedLiveIdx = 0;
}
/// <summary>
/// Pulls the processed stock data, and puts it into a format that can be fed into the ML model
/// </summary>
/// <param name="src">The processed stock data</param>
/// <param name="dst">The array the features should be placed in</param>
/// <param name="labels">The array the expected outputs should be placed in</param>
/// <param name="dstIdx">Update the current postion within the arrays</param>
/// <param name="numFeatures">Output the number of features</param>
/// <param name="numLabels">Output the number of data labels</param>
public static void PopulateData(StockDataSet <StockDataSink> src, float[,] dst, int[,] labels, ref int dstIdx, out int numFeatures, out int numLabels)
{
numFeatures = 0;
numLabels = 0;
for (int srcIdx = 0; (srcIdx < src.Count) && (dstIdx < dst.GetLength(0)); srcIdx++, dstIdx++)
{
// Output features for the data point
numFeatures = 0;
StockDataSink s = src[srcIdx];
dst[dstIdx, numFeatures++] = s.Average10Min;
// Output the labels for the data point - the thing you are trying to predict
numLabels = 0;
labels[dstIdx, numLabels++] = ((s.Price > s.Average10Min) ? 1 : 0);
}
}