static void CalculatePythonData(PythonBridge pb, string assetName, int timeframe, int barCount)
{
//do nothing if this timeframe is not listed as required
if (!pythonCalcTimeframes.Contains(timeframe))
{
return;
}
//get the relevant bars (whole lookback period) but not the zero index bar as this is incomplete
Bar[] bars = priceData[assetName][timeframe].Skip(1).ToArray();
//save a temporary binary file to disk for python to read (faster than sending all the data via the stdout
string tempData = @"C:\ForexData\ShareData\" + assetName + "_m" + timeframe + "_Share_live.bin";
DataBuilder.DatasetToBinary(tempData, bars, DataFeedType.Ask);
//Create the python bridge and run the calculation commands
string[] commands = new string[] { "whole", tempData, barCount.ToString(), pythonCalcCommands };
string[] results = pb.RunScript("build_features.py", commands);
PreCalculatedFeatures pcFeatures = new PreCalculatedFeatures();
try
{
pcFeatures.FillFromCsv(results, pythonCalcLabels);
}
catch (Exception e)
{
DisplayError(e.Message);
}
//add this data to the asset if it doesnt exist
if (!assetDetails[assetName].Data.ContainsKey(timeframe))
{
assetDetails[assetName].Data.Add(timeframe, pcFeatures);
}
else
{
//remove the oldest one to save on memory creep
assetDetails[assetName].Data[timeframe].RemoveOldest();
//we just add the data to the current set of data
assetDetails[assetName].Data[timeframe].Merge(pcFeatures);
}
}
public PythonBridgeTests()
{
pb = new PythonBridge(@"C:\Users\matth\Anaconda3\python");
}
public static void Start()
{
ProgramRunning = true;
controller = new MainController();
controller.MessageHandler = new MessageHandler(DisplayMessage);
controller.ErrorHandler = new ErrorHandler(DisplayError);
controller.ConnectionLostHandler = new ConnectionLostHandler(LostConnection);
controller.SymbolWriteMessageHandler = new SymbolWriteMessageHandler(DisplaySymbolWrite);
controller.SymbolTickRequestHandler = new SymbolTickRequestHandler(DisplayTickRequest);
controller.HeartBeatHandler = new HeartBeatHandler(HeartBeat);
controller.SymbolTickHandler = new SymbolTickHandler(TickReceived);
controller.OnAccountAuthorised = new AccountAuthorisationComplete(AccountAuthorised);
WriteConsole("Starting cTrader Trading Application");
//local directory will store all user relevant data
if (!System.IO.Directory.Exists("local"))
{
System.IO.Directory.CreateDirectory("local");
}
if (!System.IO.Directory.Exists("local//users"))
{
System.IO.Directory.CreateDirectory("local//users");
}
try
{
controller.Config = new Config(@"local/");
if (controller.Config.PythonPath != null)
{
PythonBridge = new PythonBridge(controller.Config.PythonPath);
}
}
catch (Exception ex)
{
//if the config file can't be loaded terminate the program
DisplayError("Unable to load required config file - " + ex.Message);
Console.ReadLine();
return;
}
//Load all the user config files (need at least 1 user)
string[] userFiles = System.IO.Directory.GetFiles(@"local/users/");
foreach (string filename in userFiles)
{
UserConfig config = new UserConfig(filename);
//store as a dictionary with access token as the key for easier referencing
if (config != null)
{
controller.Users.Add(config.Token, config);
}
}
//Hold all the price data here on the trading program - push this price data to each strategy
priceData = new Dictionary <string, Dictionary <int, Bar[]> >();
barIndices = new Dictionary <string, Dictionary <int, int> >();
//Load in the strategies
Strategy strategyMain = Strategy.Load("YenSquared", @"TestStrategy.dll");
//Load in the asset details and set this strategy asset, a new strategy object is created for each asset
assetDetails = Asset.LoadAssetFile("Assets.csv"); // NOTE normally this is got from the strategy but quick fix here for Linux compatible
//setup each strategy
foreach (string assetName in new string[] { "EURUSD", "EURJPY", "GBPJPY" })
{
Strategy strategy = Strategy.Load("YenSquared", @"TestStrategy.dll");
strategy.IsTesting = false;
strategy.Assets.Add(assetName, assetDetails[assetName]);
strategy.Asset = assetDetails[assetName];
//check the required data for each strategy and update the price data to the maximum lookback required for all strategies
if (!priceData.ContainsKey(assetName))
{
priceData.Add(assetName, new Dictionary <int, Bar[]>());
priceData[assetName].Add(1, new Bar[5]); //add at a minimum a 1 minute bar with 5 bar lookback
barIndices.Add(assetName, new Dictionary <int, int>());
barIndices[assetName].Add(1, 0);
}
foreach (KeyValuePair <int, int> lookbacks in strategy.RequiredData)
{
//if price data isn't setup for this timeframe, add it.
if (!priceData[assetName].ContainsKey(lookbacks.Key))
{
priceData[assetName].Add(lookbacks.Key, new Bar[lookbacks.Value + 1]);
barIndices[assetName].Add(lookbacks.Key, 0);
}
//overwrite any existing setup with the higher lookback
else if (lookbacks.Value > priceData[assetName][lookbacks.Key].Length)
{
priceData[assetName][lookbacks.Key] = new Bar[lookbacks.Value + 1];
}
}
//Pass a reference of the datasets to the strategy
strategy.Datasets = priceData[assetName];
strategy.BarIndices = barIndices[assetName];
liveStrategies.Add(strategy);
}
if (controller.Users.Count == 0)
{
DisplayError("Must have atleast 1 user config.txt file in the local/users/ directory");
}
else
{
//remove any symbols that are not required by the strategies
SymbolCollection symbolDetails = controller.Users.FirstOrDefault().Value.Symbols;
Symbol[] notRequired = symbolDetails.Where(p => !priceData.Keys.Any(p2 => p2 == p.Name)).ToArray();
foreach (Symbol symbol in notRequired)
{
symbolDetails.Remove(symbol);
}
//build an required python calculation commands and labels based on the requirements of the loaded strategies
pythonCalcTimeframes = new int[] { 60 };
pythonCalcCommands = "ATR(3,close,high,low);ATR(4,close,high,low);ATR(5,close,high,low);ATR(100,close,high,low);VOLATILITY_LOG_MA(12,high,low);VOLUME_LOG_MA(12,volume);BBANDS(20,1.8,1,close);BBANDS(20,1.8,2,close)";
pythonCalcLabels = new string[] { "ATR_3", "ATR_4", "ATR_5", "ATR_100",
"VOLATILITY_LOG_MA_12", "VOLUME_LOG_MA_12",
"BBANDS_UP", "BBANDS_LOW" };
//Start the Connection
WriteConsole(controller.Config.ToString());
controller.OpenConnection();
//Use a seperate thread to write from a message queue
//This should be the only thread to Dequeue from the message queus
Thread t = new Thread(() => {
//make sure this thread exits when the program exits
Thread.CurrentThread.IsBackground = true;
try
{
WriteMessages();
}
catch (Exception ex)
{
WriteConsole("No more messages or errors will be recorded. Message thread has failed: " + ex.Message);
}
});
t.Start();
}
}
