internal void ExportData(string timeframe, List <DataItem> dlist)
{
DataItem dataItem = dlist[0];
var symbol = dataItem.symbol;
dataFilename = symbol + "." + timeframe + ".BAR.CSV";
using (System.IO.StreamWriter file =
new System.IO.StreamWriter(dataFileDir + dataFilename))
{
string line = "Date,Timestamp,Volume,Open,High,Low,Close, " + symbol + ",MFI,Fpct";
file.WriteLine(line);
for (var i = 0; i < dlist.Count; i++)
{
dataItem = dlist[i];
var yearStr = dataItem.BarTime.Date.Year.ToString("d4");
var monthStr = dataItem.BarTime.Date.Month.ToString("d2");
var dayStr = dataItem.BarTime.Date.Day.ToString("d2");
var timeStr = dataItem.BarTime.TimeOfDay.ToString(@"hh\:mm\:ss");
var volStr = dataItem.volume.ToString("F6");
var openStr = dataItem.open.ToString("F6");
var highStr = dataItem.high.ToString("F6");
var lowStr = dataItem.low.ToString("F6");
var closeStr = dataItem.close.ToString("F6");
line = yearStr + monthStr + dayStr + ","
+ timeStr + ","
+ volStr + ","
+ openStr + ","
+ highStr + ","
+ lowStr + ","
+ closeStr + ","
+ symbol;
file.WriteLine(line);
}
}
}
public void LoadDataFile(string symbol, string timeframe, bool plugHoles = true)
{
lines = 0;
dataItems = new List <DataItem>();
if (dataFileDir.Length > 1 && symbol.Length > 1)
{
dataFilename = symbol + "." + timeframe + ".BAR.UTC.CSV";
LogPrint("EA: Data file = " + dataFileDir + dataFilename);
if (File.Exists(dataFileDir + dataFilename))
{
LogPrint("EA: Data file = " + dataFileDir + dataFilename + " exists !");
using (System.IO.StreamReader file =
new System.IO.StreamReader(dataFileDir + dataFilename))
{
string line = file.ReadLine();
if (line.Length < 1)
{
string msg = "Exception: Data file = " + dataFileDir + dataFilename + "is empty!!";
LogPrint(msg);
throw new Exception(msg);
}
CheckHeaderFormat(line);
LogPrint("Golden Strategy EA: Data file = " + dataFileDir + dataFilename + " first line format verified.");
dataItems.Clear();
int tf;
switch (timeframe)
{
case "M1":
tf = 1 * 60;
break;
case "M5":
tf = 5 * 60;
break;
case "M15":
tf = 15 * 60;
break;
case "M30":
tf = 30 * 60;
break;
case "H1":
tf = 60 * 60;
break;
case "H2":
tf = 2 * 60 * 60;
break;
case "H4":
tf = 4 * 60 * 60;
break;
case "S10":
tf = 10;
break;
default:
tf = 10;
break;
}
while (!file.EndOfStream)
{
lines++;
line = file.ReadLine();
DataItem dataItem = CheckDataFormat(line);
if (dataItem != null)
{
if (plugHoles && dataItems.Count > 0) // plug missing data holes
{
dataItem.wd = dataItem.BarTime.DayOfWeek;
dataItem.tod = dataItem.BarTime.TimeOfDay;
TimeSpan dur = dataItem.BarTime.Subtract(dataItems.Last().BarTime);
if (dur > TimeSpan.FromSeconds(tf) && dur < TimeSpan.FromHours(1))
{
DateTime newDate = dataItems.Last().BarTime + TimeSpan.FromSeconds(tf);
while (newDate < dataItem.BarTime)
{
DataItem newDataItem = new DataItem();
newDataItem.BarTime = newDate;
newDataItem.volume = 0;
newDataItem.open = dataItem.open;
newDataItem.high = dataItem.high;
newDataItem.low = dataItem.open;
newDataItem.close = dataItem.open;
newDataItem.symbol = dataItem.symbol;
newDate += TimeSpan.FromSeconds(tf);
newDataItem.typical = (double)(newDataItem.open + newDataItem.high + newDataItem.low + newDataItem.close) / 4.0;
newDataItem.wd = newDataItem.BarTime.DayOfWeek;
newDataItem.tod = newDataItem.BarTime.TimeOfDay;
dataItems.Add(newDataItem);
}
}
}
dataItem.typical = (double)(dataItem.open + dataItem.high + dataItem.low + dataItem.close) / 4.0;
dataItem.wd = dataItem.BarTime.DayOfWeek;
dataItem.tod = dataItem.BarTime.TimeOfDay;
dataItems.Add(dataItem);
}
}
LogPrint("Golden Strategy EA: Data file = " + dataFileDir + dataFilename + " All data read and loaded.");
LogPrint("Golden Strategy EA: Data file = " + dataFileDir + dataFilename + " contains " + dataItems.Count + " dataItems.");
}
}
else
{
string msg = "Exception: Data file = " + dataFileDir + dataFilename + " does not exist!!";
LogPrint(msg);
throw new Exception(msg);
}
}
else
{
string msg = "Exception: Data file = " + dataFileDir + dataFilename + " does not exist!!";
LogPrint(msg);
throw new Exception(msg);
}
}
DataItem CheckDataFormat(string line)
{
char[] delimiterChars = { ',', '\t' };
string[] words = line.Split(delimiterChars);
while (true)
{
if (words.Count() == 8 ||
(words.Count() == 9 && words[8].Trim().Length == 0))
{
DataItem dataItem = new DataItem();
int intDate;
TimeSpan interval;
double volume;
double open;
double high;
double low;
double close;
if (words[0].Length != 8)
{
break;
}
if (words[1].Length != 8)
{
break;
}
if (!Int32.TryParse(words[0], out intDate))
{
break;
}
if (!TimeSpan.TryParse(words[1], out interval))
{
break;
}
if (!double.TryParse(words[2], out volume))
{
break;
}
if (!double.TryParse(words[3], out open))
{
break;
}
if (!double.TryParse(words[4], out high))
{
break;
}
if (!double.TryParse(words[5], out low))
{
break;
}
if (!double.TryParse(words[6], out close))
{
break;
}
int year = intDate / 10000;
if (year < 1970 || year > DateTime.Now.Year)
{
break;
}
int month = (intDate / 100) % 100;
if (month < 1 || month > 12)
{
break;
}
int day = intDate % 100;
if (day < 1 || day > 31)
{
break;
}
DateTime date = new DateTime(year, month, day, interval.Hours, interval.Minutes, interval.Seconds);
if (date >= DateTime.Now)
{
break;
}
if (date < StartDate)
{
return(null);
}
if (date > EndDate)
{
return(null);
}
dataItem.startOfSession = false;
if (dataItems.Count == 0)
{
dataItem.startOfSession = true;
}
else // dataItems.Count > 0
{
DateTime last;
last = dataItems.Last().BarTime;
if (date <= last)
{
break;
}
if (date.Subtract(last).TotalHours > 24)
{
dataItem.startOfSession = true;
}
}
dataItem.BarTime = date;
dataItem.volume = (long)(volume * 1000);
dataItem.open = open;
dataItem.high = high;
dataItem.low = low;
dataItem.close = close;
dataItem.symbol = (words[7].Length > 0) ? words[7] : null;
dataItem.change = close - open;
return(dataItem);
}
else
{
break;
}
}
string msg = "Exception: Golden Strategy EA: Data file = " + dataFileDir + dataFilename + " data format error line " + lines + " !!";
LogPrint(msg);
throw new Exception(msg);
}
