public static void Run(string symbol)
{
Initialize(symbol);
TicksFactory factory = CreateFactory(symbol);
List <KeyValuePair <DateTime, double> > bids = factory.Bids;
List <KeyValuePair <DateTime, double> > asks = factory.Asks;
UnilateralTickCollection <DateTime> ticks = new UnilateralTickCollection <DateTime>(asks);
RunTest(bids, asks, ticks, ProcessSell);
Save(symbol + " sell");
ticks = new UnilateralTickCollection <DateTime>(bids);
RunTest(bids, asks, ticks, ProcessBuy);
Save(symbol + " buy");
}
static TicksFactory CreateFactory(string symbol)
{
TicksFactory result = new TicksFactory();
string path = Config.QuoteDirectory + "\\" + symbol;
string[] files = Directory.GetFiles(path);
foreach (var element in files)
{
if (element.Contains("2010"))
{
result.LoadDukas(element);
Console.WriteLine("{0} has been loaded", element);
}
}
Console.WriteLine("factory is preparing...");
result.Prepare();
Console.WriteLine("factory is prepared...");
return(result);
}
private static void Run(string path, StreamWriter stream)
{
Console.WriteLine(path);
TicksFactory factory = new TicksFactory();
factory.LoadDukas(path);
factory.Prepare();
List <KeyValuePair <DateTime, double> > bids = factory.Bids;
List <KeyValuePair <DateTime, double> > asks = factory.Asks;
int count = bids.Count;
double average = 0;
for (int index = 0; index < count; ++index)
{
average += (bids[index].Value + asks[index].Value) / 2;
}
average /= count;
string name = Path.GetFileNameWithoutExtension(path);
string st = string.Format("{0} = {1}", name, average);
stream.WriteLine(st);
}
public TicksUnit()
{
TicksFactory factory = new TicksFactory();
factory.Parse(Resources.Ticks, cPattern, 1, 2, 3);
m_items = factory.Bids;
m_items.Sort(Compare);
m_from = m_items[0].Key;
m_to = m_items[m_items.Count - 1].Key;
m_ticks = new UnilateralTickCollection <DateTime>(m_items);
m_minimum = double.PositiveInfinity;
m_maximum = double.NegativeInfinity;
foreach (var element in m_items)
{
if (element.Value < m_minimum)
{
m_minimum = element.Value;
}
if (element.Value > m_maximum)
{
m_maximum = element.Value;
}
}
}