public void buildAndTest()
{
mainThread = System.Threading.Thread.CurrentThread;
expert = new Expert("Эксперт Easy 1", this);
expert.AddAlgorithm((new Easy(this, "Easy[0]").Open(@"E:\Anton\Desktop\MAIN\Экспертная система\Экспертная система\Алгоритмы прогнозирования\Easy\h.json")));
// expert.Add(new CNN_1(this, "CNN_1[0]"));
// expert.algorithms[0].Open(@"E:\Anton\Desktop\MAIN\Эксперт 1\CNN_1[0]\h.json");
// expert.algorithms[0].Open(pathPrefix + @"Optimization\LSTM_1\LSTM_1[0]\h.json");
// expert.algorithms[1].Open(pathPrefix + @"Optimization\LSTM_2\LSTM_2[0]\h.json");
// expert.algorithms[2].Open(pathPrefix + @"Optimization\ANN_1\ANN_1[0]\h.json");
/* expert.H.setValueByName("start_point", "0.5");
* expert.H.setValueByName("normalize", "true");
* expert.H.add("input_file", pathPrefix + @"Временные ряды\USD_RUB_exmo-dataset.txt");
* expert.H.add("path_prefix", pathPrefix);
* expert.H.add("drop_columns:<local_time>");
* expert.H.add("predicted_column_index:1");
* expert.H.add("name:show_train_charts,value:True");*/
// expert.H.add("normalize:true");
// expert.H.add("input_file", pathPrefix + @"Временные ряды\85123A-dataset.txt");
// expert.H.add("path_prefix", pathPrefix);
//expert.H.add("name:show_train_charts,value:False");
// expert.H.add("predicted_column_index:0");
/* expert.copyExpertParametersToAlgorithms();
* expert.trainAllAlgorithms(false);
*
* expert.copyHyperparametersFromAlgorithmsToExpert();
* expert.H.draw(0, picBox, this, 20, 150);
* expert.Save();
*/
expert.copyHyperparametersFromAlgorithmsToExpert();
expert.H.add("drop_columns:<DATE>");
expert.H.setValueByName("normalize", "true");
expert.Save();
sourceDataFile = pathPrefix + @"Временные ряды\LD2011_2014-250 столбец-dataset+date.txt";
expert.test_prediction(new DateTime(2011, 10, 01), sourceDataFile);
}
public void TEST()
{
mainThread = System.Threading.Thread.CurrentThread;
double balance_BTC = 0;
double balance_USD = 100;
double lot = 0.001;
Hyperparameters order_book;
var api = new ExmoApi("k", "s");
string responce = "";
string s = "";
vis.addParameter("BTC_USD", Color.White, 1000);
vis.parameters[0].showLastNValues = true;
vis.enableGrid = true;
vis.parameters[0].window = 360;
//наименьшая цена, по которой можно покупать
vis.parameters[0].functions.Add(new Function("bid_top", Color.Blue));
//наивысшая цена, по которой можно продать
vis.parameters[0].functions.Add(new Function("ask_top", Color.Red));
expert = new Expert("Expert_Flex", this);
algorithm = new BidAsk(this, "BidAsk");
algorithm.Open(@"E:\Anton\Desktop\MAIN\Экспертная система\Экспертная система\Алгоритмы прогнозирования\BidAsk\h.json");
expert.AddAlgorithm(algorithm);
int window = int.Parse(algorithm.h.getValueByName("window_size"));
int step = 60000;
string[] input;
double[] predictions = null;
List <string> rawInput = new List <string>();
// List<string> spreads = new List<string>();
rawInput.Add("<DATE_TIME>;<bid_top>;<bid_quantity>;<bid_amount>;<ask_top>;<ask_quantity>;<ask_amount>");
//ЗАПУСК СКРИПТОВ ПОТОЧНОГО ПРОГНОЗИРОВНИЯ
Task[] RunTasks = new Task[expert.algorithms.Count];
foreach (Algorithm algorithm in expert.algorithms)
{
RunTasks[expert.algorithms.IndexOf(algorithm)] = Task.Run(() => algorithm.runGetPredictionScript());
}
//ОЖИДАНИЕ ЗАВЕРШЕНИЯ ЗАПУСКА
foreach (var task in RunTasks)
{
task.Wait();
}
List <double> positions = new List <double>();
while (true)
{
vis.parameters[0].window = 20;
try
{
responce = api.ApiQuery("order_book", new Dictionary <string, string> {
{ "pair", "BTC_USD" }
});
if (responce.Length > 400)
{
responce = responce.Substring(0, 400);
}
if (!responce.Contains("maintenance"))
{
order_book = new Hyperparameters(responce, this);
//<bid_top>;<bid_quantity>;<bid_amount>;<ask_top>;<ask_quantity>;<ask_amount>
s = DateTime.Now.ToString() + ';'
+ order_book.nodes[0].getAttributeValue("bid_top") + ';' + order_book.nodes[0].getAttributeValue("bid_quantity") + ';' + order_book.nodes[0].getAttributeValue("bid_amount") + ';'
+ order_book.nodes[0].getAttributeValue("ask_top") + ';' + order_book.nodes[0].getAttributeValue("ask_quantity") + ';' + order_book.nodes[0].getAttributeValue("ask_amount");
s = s.Replace('.', ',');
double bid_top = Convert.ToDouble(order_book.nodes[0].getAttributeValue("bid_top").Replace('.', ','));
double ask_top = Convert.ToDouble(order_book.nodes[0].getAttributeValue("ask_top").Replace('.', ','));
/*
* double bid_quantity = Convert.ToDouble(order_book.nodes[0].getAttributeValue("bid_quantity").Replace('.', ','));
* double ask_quantity = Convert.ToDouble(order_book.nodes[0].getAttributeValue("ask_quantity").Replace('.', ','));
*
* double bid_amount = Convert.ToDouble(order_book.nodes[0].getAttributeValue("bid_amount").Replace('.', ','));
* double ask_amount = Convert.ToDouble(order_book.nodes[0].getAttributeValue("ask_amount").Replace('.', ','));*/
vis.addPoint(bid_top, "bid_top");
vis.addPoint(ask_top, "ask_top");
vis.refresh();
// log(s);
//запись входных данных
File.AppendAllText("BTC_USD_exmo.txt", s);
rawInput.Add(s);
// spreads.Add(String.Format("{0:0.#####}", bid_top - ask_top));
showInpOutp.fillTextBox1(rawInput);
//+1 для заголовка, +1 для нормализации i/(i-1)
if (rawInput.Count < window + 2)
{
File.AppendAllText("BTC_USD_exmo.txt", "\n");
}
else
{
input = expert.prepareDataset(rawInput.ToArray(), "<DATE_TIME>", true);
//шапка должна оставаться на месте, поэтому 1, а не 0
rawInput.RemoveAt(1);
showInpOutp.fillTextBox2(input);
if (input.Length == window + 1)
{
predictions = expert.getCommitteePrediction(input);
}
else
{
log("input.Length =/= window+1; input.Length = " + input.Length.ToString());
}
string action = expert.getDecision(predictions);
if (action == "error")
{
log("action = error", Color.Red);
}
if (action == "buy")
{
if (balance_USD > ask_top * lot)
{
balance_BTC = balance_BTC + lot;
balance_USD = balance_USD - (ask_top * lot);
positions.Add(ask_top);
log("BUY", Color.Blue);
log(ask_top.ToString());
log(" USD:" + balance_USD.ToString());
log(" BTC:" + balance_BTC.ToString());
vis.parameters[0].functions[2].points[vis.parameters[0].functions[1].points.Count - 1].mark = "BUY‾‾‾‾‾‾‾‾";
}
else
{
// log("Баланс USD: " + balance_USD.ToString() + " Невозможно купить " + (bid_top * lot).ToString() + " BTC");
action += " (fail)";
}
}
for (int i = 0; i < positions.Count; i++)
{
if (positions[i] < bid_top)
{
action = "sell";
positions.RemoveAt(i);
break;
}
}
if (action == "sell")
{
if (bid_top != 0)
{
if (balance_BTC >= lot)
{
balance_BTC = balance_BTC - lot;
balance_USD = balance_USD + (bid_top * lot);
log("SELL", Color.Red);
log(bid_top.ToString());
log(" USD:" + balance_USD.ToString());
log(" BTC:" + balance_BTC.ToString());
vis.parameters[0].functions[1].points[vis.parameters[0].functions[1].points.Count - 1].mark = "SELL‾‾‾‾‾‾‾‾";
}
else
{
// log("Баланс BTC: " + balance_BTC.ToString() + " Невозможно продать " + (lot).ToString() + " BTC");
action += " (fail)";
}
}
else
{
log("bid_top почему-то равно нулю!", Color.Red);
action += " (fail)";
}
}
log(DateTime.Now.ToString() + " " + action);
//запись состояния балансов и последнего действия
File.AppendAllText("BTC_USD_exmo.txt", balance_BTC.ToString() + ';' + balance_USD.ToString() + ';' + action + "\n");
}
}
else
{
log("Технические работы", Color.Red);
}
}
catch (Exception e)
{
log(e.Message, Color.Red);
// log(result);
}
Thread.Sleep(step);
}
}