public override void Init()
{
sb = base.StrategyBase;
//mm = strat.MarketManager;
//ms = sb.MetaStrategy;
Console.WriteLine("Mode {0}", sb.MetaStrategyBase.MetaStrategyMode);
TradeDB db = new TradeDB();
db.Open();
SqlCommand cmd;
SqlDataReader dr;
//DateTime inc;
Instrument instrument;
string sSymbol;
string s = "select symbol from ToTrade"
+ " where tradesystem = @tradesystem"
+ " and sixmonpossd < 0.97 * sixmonposmean"
+ " and sixmonnegsd < -0.97 * sixmonnegmean"
+ " and daycl > 10"
+ " and daycl < 125"
+ " and sixmonposmean > 0.12"
+ " and sixmonnegmean < -0.12"
+ " order by symbol";
cmd = new SqlCommand(s, db.Connection);
cmd.Parameters.Add("@tradesystem", SqlDbType.VarChar);
cmd.Parameters["@tradesystem"].Value = sTradeSystem;
int cnt = 0;
dr = cmd.ExecuteReader();
while (dr.Read())
{
cnt++;
sSymbol = dr.GetString(0);
instrument = InstrumentManager.Instruments[sSymbol];
AddInstrument(instrument);
//Console.WriteLine( "{0}.MarketManager", sSymbol );
}
db.Close();
//Console.WriteLine( "{0} symbols added.", cnt );
//dtCurrentDay = new DateTime( 0 );
//bRecordDayStartEquity = false;
//Portfolio.CompositionChanged += new EventHandler(Portfolio_CompositionChanged);
//Portfolio.ValueChanged += new PositionEventHandler(Portfolio_ValueChanged);
//Portfolio.TransactionAdded += new TransactionEventHandler(Portfolio_TransactionAdded);
}
public void requestNextWatch()
{
string sSymbol;
if (bMore)
{
if (drSelect.Read())
{
sSymbol = drSelect.GetString(0);
//Console.WriteLine( "get {0}:{1}", cnt, sSymbol );
htSymbols.Add(sSymbol, 1);
iq5009.startWatch(sSymbol);
cnt++;
}
else
{
// close up and finish up
bMore = false;
}
}
else
{
Console.WriteLine("Finishing counts:" + cnt + ", " + cntQ);
//if ( 1 < cnt ) {
// foreach ( string s in htSymbols.Keys ) Console.WriteLine( " remaining {0}", s );
//}
}
if (0 == cnt)
{
//foreach ( string s in htSymbolsNotFound.Keys ) Console.WriteLine( " Didn't find {0}", s );
Console.WriteLine("Done ");
iq5009.HandleFundamentalMessage -= new FundamentalMessageHandler(iq5009_HandleFundamentalMessage);
//iq5009.HandleSummaryMessage -= new SummaryMessageHandler(iq5009_HandleSummaryMessage);
iq5009.HandleWatchSymbolNotFound -= new WatchSymbolNotFoundHandler(iq5009_HandleWatchSymbolNotFound);
//iq5009.HandleFDel = new Buffer.LineHandler(processF);
//iq5009.HandleQDel = new Buffer.LineHandler( processQ );
drSelect.Close();
db1.Close();
db2.Close();
iq5009.Disconnect();
Pulse();
}
}
public Pivots(string Symbol, string TradeSystem)
{
TradeDB db1 = new TradeDB();
db1.Open();
string sql = "select dayhi, daylo, daycl, day3hi, day3lo, weekhi, weeklo, weekcl, monhi, monlo, moncl, "
+ " sma20day, sma200day, sixmonposmean, sixmonpossd, sixmonnegmean, sixmonnegsd"
+ " from totrade where tradesystem='" + TradeSystem + "' and symbol = '" + Symbol + "'";
SqlCommand cmd = new SqlCommand(sql, db1.Connection);
SqlDataReader dr;
dr = cmd.ExecuteReader();
if (dr.HasRows)
{
while (dr.Read())
{
dayhi = dr.GetDouble(0);
daylo = dr.GetDouble(1);
daycl = dr.GetDouble(2);
day3hi = dr.GetDouble(3);
day3lo = dr.GetDouble(4);
weekhi = dr.GetDouble(5);
weeklo = dr.GetDouble(6);
weekcl = dr.GetDouble(7);
monhi = dr.GetDouble(8);
monlo = dr.GetDouble(9);
moncl = dr.GetDouble(10);
sma20day = dr.GetDouble(11);
sma200day = dr.GetDouble(12);
sixmonposmean = dr.GetDouble(13);
sixmonpossd = dr.GetDouble(14);
sixmonnegmean = dr.GetDouble(15);
sixmonnegsd = dr.GetDouble(16);
}
}
dr.Close();
db1.Close();
dayPv = (dayhi + daylo + daycl) / 3;
dayR1 = 2 * dayPv - daylo;
dayR2 = dayPv + (dayhi - daylo);
dayR3 = dayR1 + (dayhi - daylo);
dayS1 = 2 * dayPv - dayhi;
dayS2 = dayPv - (dayhi - daylo);
dayS3 = dayS1 - (dayhi - daylo);
psDay = new PivotSet("day", dayS3, dayS2, dayS1, dayPv, dayR1, dayR2, dayR3);
day3Pv = (day3hi + day3lo + daycl) / 3;
day3R1 = 2 * day3Pv - day3lo;
day3R2 = day3Pv + (day3hi - day3lo);
day3R3 = day3R1 + (day3hi - day3lo);
day3S1 = 2 * day3Pv - day3hi;
day3S2 = day3Pv - (day3hi - day3lo);
day3S3 = day3S1 - (day3hi - day3lo);
psDay3 = new PivotSet("day3", day3S3, day3S2, day3S1, day3Pv, day3R1, day3R2, day3R3);
weekPv = (weekhi + weeklo + weekcl) / 3;
weekR1 = 2 * weekPv - weeklo;
weekR2 = weekPv + (weekhi - weeklo);
weekR3 = weekR1 + (weekhi - weeklo);
weekS1 = 2 * weekPv - weekhi;
weekS2 = weekPv - (weekhi - weeklo);
weekS3 = weekS1 - (weekhi - weeklo);
psWeek = new PivotSet("week", weekS3, weekS2, weekS1, weekPv, weekR1, weekR2, weekR3);
monPv = (monhi + monlo + moncl) / 3;
monR1 = 2 * monPv - monlo;
monR2 = monPv + (monhi - monlo);
monR3 = monR1 + (monhi - monlo);
monS1 = 2 * monPv - monhi;
monS2 = monPv - (monhi - monlo);
monS3 = monS1 - (monhi - monlo);
psMonth = new PivotSet("mon", monS3, monS2, monS1, monPv, monR1, monR2, monR3);
// Pivot Information
if (pivotDraw)
{
pivot = (pivotHigh + pivotLow + pivotClose) / 3.0;
//dsPivot = new DoubleSeries( "Pivot" );
pivotR1 = 2.0 * pivot - pivotLow;
pivotS1 = 2.0 * pivot - pivotHigh;
pivotR2 = pivotR1 + pivot - pivotS1;
pivotS2 = pivot - pivotR1 - pivotS1;
Console.WriteLine("pivot {0} r1 {1} r2 {2} s1 {3} s2 {4}",
pivot, pivotR1, pivotR2, pivotS1, pivotS2);
}
}
public void Run(DateTime dtEnd, bool bDebug)
{
TradeDB db1;
TradeDB db2;
string sDel = "delete from SymbolStats";
//string sSelect = "select distinct top 5 symbol from iqRootOptionSymbols";
string sSelect = "select distinct symbol from iqRootOptionSymbols";
string sInsert = "insert into SymbolStats "
+ "( symbol, hi52wk, hi52wkdate, lo52wk, lo52wkdate, "
+ " hi26wk, hi26wkdate, lo26wk, lo26wkdate, "
+ " volatility, volume, calcdate ) values ( "
+ " @symbol, @hi52wk, @hi52wkdate, @lo52wk, @lo52wkdate, "
+ " @hi26wk, @hi26wkdate, @lo26wk, @lo26wkdate, "
+ " @volatility, @volume, @calcdate )";
SqlCommand cmdDel, cmdSelect, cmdInsert;
SqlDataReader dr;
//DateTime dtEnd = new DateTime( 2005, 08, 4 );
///DateTime dtEnd = DateTime.Today;
//string s= dtEnd.ToShortDateString(
TimeSpan ts52wk = new TimeSpan(52 * 7, 0, 0, 0);
DateTime dtStart52wk = dtEnd.Subtract(ts52wk);
TimeSpan ts26wk = new TimeSpan(26 * 7, 0, 0, 0);
DateTime dtStart26wk = dtEnd.Subtract(ts26wk);
TimeSpan ts20day = new TimeSpan(20, 0, 0, 0);
DateTime dtStart20day = dtEnd.Subtract(ts20day);
//DataManager.Init();
db1 = new TradeDB();
db1.Open();
db2 = new TradeDB();
db2.Open();
cmdDel = new SqlCommand(sDel, db1.Connection);
cmdSelect = new SqlCommand(sSelect, db1.Connection);
cmdInsert = new SqlCommand(sInsert, db2.Connection);
cmdInsert.Parameters.Add("@symbol", SqlDbType.VarChar, 12);
cmdInsert.Parameters.Add("@hi52wk", SqlDbType.Float);
cmdInsert.Parameters.Add("@hi52wkdate", SqlDbType.DateTime);
cmdInsert.Parameters.Add("@lo52wk", SqlDbType.Float);
cmdInsert.Parameters.Add("@lo52wkdate", SqlDbType.DateTime);
cmdInsert.Parameters.Add("@hi26wk", SqlDbType.Float);
cmdInsert.Parameters.Add("@hi26wkdate", SqlDbType.DateTime);
cmdInsert.Parameters.Add("@lo26wk", SqlDbType.Float);
cmdInsert.Parameters.Add("@lo26wkdate", SqlDbType.DateTime);
cmdInsert.Parameters.Add("@volatility", SqlDbType.Float);
cmdInsert.Parameters.Add("@volume", SqlDbType.Float);
cmdInsert.Parameters.Add("@calcdate", SqlDbType.DateTime);
cmdDel.ExecuteNonQuery();
dr = cmdSelect.ExecuteReader();
string sSymbol;
Instrument instrument;
DailySeries ds52;
DailySeries ds26;
DateTime dtNewHigh52;
DateTime dtNewHigh26;
//DateTime dtNewLow52;
//DateTime dtNewLow26;
int cntNewHigh52 = 0;
int cntNewHigh26 = 0;
int cntNewLow52 = 0;
int cntNewLow26 = 0;
while (dr.Read())
{
sSymbol = dr.GetString(0);
if (bDebug)
{
Console.Write("Starting {0}", sSymbol);
}
instrument = InstrumentManager.Instruments[sSymbol];
if (null != instrument)
{
try {
ds52 = DataManager.GetDailySeries(instrument, dtStart52wk, dtEnd);
ds26 = DataManager.GetDailySeries(instrument, dtStart26wk, dtEnd);
if (null != ds26)
{
dtNewHigh52 = ds52.HighestHighBar(dtStart52wk, dtEnd).DateTime;
dtNewHigh26 = ds26.HighestHighBar(dtStart26wk, dtEnd).DateTime;
//dtNewLow52 = ds52.LowestLowBar( dtStart52wk, dtEnd ).DateTime;
//dtNewLow26 = ds52.LowestLowBar( dtStart26wk, dtEnd ).DateTime;
if (dtNewHigh52 == dtEnd)
{
cntNewHigh52++;
}
if (dtNewHigh26 == dtEnd)
{
cntNewHigh26++;
}
//if ( dtNewLow52 == dtEnd ) cntNewLow52++;
//if ( dtNewLow26 == dtEnd ) cntNewLow26++;
cmdInsert.Parameters["@symbol"].Value = sSymbol;
cmdInsert.Parameters["@hi52wk"].Value = ds52.HighestHigh(dtStart52wk, dtEnd);
//cmdInsert.Parameters[ "@hi52wk" ].Value = 0.0;
cmdInsert.Parameters["@hi52wkdate"].Value = dtNewHigh52;
//cmdInsert.Parameters[ "@hi52wkdate" ].Value = dtEnd;
//cmdInsert.Parameters[ "@lo52wk" ].Value = ds52.LowestLow( dtStart52, dtEnd );
cmdInsert.Parameters["@lo52wk"].Value = 0.0;
//cmdInsert.Parameters[ "@lo52wkdate" ].Value = dtNewLow52;
cmdInsert.Parameters["@lo52wkdate"].Value = dtEnd;
cmdInsert.Parameters["@hi26wk"].Value = ds26.HighestHigh(dtStart26wk, dtEnd);
cmdInsert.Parameters["@hi26wkdate"].Value = dtNewHigh26;
//cmdInsert.Parameters[ "@lo26wk" ].Value = ds52.LowestLow( dtStart26, dtEnd );
cmdInsert.Parameters["@lo26wk"].Value = 0.0;
//cmdInsert.Parameters[ "@lo26wkdate" ].Value = dtNewLow26;
cmdInsert.Parameters["@lo26wkdate"].Value = dtEnd;
//try {
// cmdInsert.Parameters[ "@volatility" ].Value = ds52.GetVariance( dtStart20, dtEnd );
//}
//catch {
cmdInsert.Parameters["@volatility"].Value = 0.0;
//cmdInsert.Parameters[ "@volatility" ].Value = instrument.Volatility();
//}
cmdInsert.Parameters["@volume"].Value = ds26.GetVolumeSeries(dtStart20day, dtEnd).GetMean();
cmdInsert.Parameters["@calcdate"].Value = dtEnd;
cmdInsert.ExecuteNonQuery();
}
}
catch (Exception e) {
if (bDebug)
{
Console.WriteLine();
Console.WriteLine("Error: {0} {1}", e.Message, e.StackTrace);
}
}
}
if (bDebug)
{
Console.WriteLine();
}
}
db1.Close();
db2.Close();
//DataManager.Close();
Console.WriteLine("{0} 52 High={1}, 52 Low={2}, 26 High={3}, 26 Low={4}",
dtEnd, cntNewHigh52, cntNewLow52, cntNewHigh26, cntNewLow26);
dr.Close();
}
private void startSymbol()
{
string sSymbol;
Instrument instrument = null;
if (bSymbolsDone)
{
// do nothing
}
else
{
if (!bAbort && sdr.Read())
{
sSymbol = sdr.GetString(0); // get next symbol in list
cntSymbols++;
try {
instrument = new Instrument(sSymbol, st);
instrument.Currency = "USD";
instrument.SecurityExchange = "SMART";
//instrument.Exchange = "SMART";
FIXSecurityAltIDGroup altid;
altid = new FIXSecurityAltIDGroup();
altid.SecurityAltID = sSymbol;
altid.SecurityAltIDSource = "IB";
instrument.AddGroup(altid);
altid = null;
altid = new FIXSecurityAltIDGroup();
altid.SecurityAltID = sSymbol;
altid.SecurityAltIDSource = "IQFeed";
instrument.AddGroup(altid);
altid = null;
instrument.Save();
}
catch {
//Console.WriteLine( "Caught: Symbol {0} already exists", sSymbol );
instrument = InstrumentManager.Instruments[sSymbol];
}
Console.WriteLine("Starting {0}, {1}", sSymbol, cntSymbols);
//Console.WriteLine("Starting {0}, {1} {2} {3}", sSymbol, cntSymbols, hs.intUseCount, hs.intPlaceInQ);
if (bTick)
{
Send(sSymbol, "Trade", instrument, "HT," + sSymbol + "," + cntTick + ";", cntTick);
}
if (b1min)
{
Send(sSymbol, "Bar", instrument, "HM," + sSymbol + "," + cnt1min + ",1;", 60, cnt1min);
}
if (b3min)
{
Send(sSymbol, "Bar", instrument, "HM," + sSymbol + "," + cnt3min + ",3;", 180, cnt3min);
}
if (b10min)
{
Send(sSymbol, "Bar", instrument, "HM," + sSymbol + "," + cnt10min + ",10;", 600, cnt10min);
}
if (b30min)
{
Send(sSymbol, "Bar", instrument, "HM," + sSymbol + "," + cnt30min + ",30;", 1800, cnt30min);
}
if (b2hr)
{
Send(sSymbol, "Bar", instrument, "HM," + sSymbol + "," + cnt2hr + ",120;", 7200, cnt2hr);
}
if (bDaily)
{
//Console.WriteLine( "Starting {0}, {1} {2} {3}", sSymbol, cntSymbols, hs.intUseCount, hs.intPlaceInQ );
Send(sSymbol, "Daily", instrument, "HD," + sSymbol + "," + cntDaily + ";", cntDaily);
}
}
else
{
Console.WriteLine("All {0} symbols requested", cntSymbols);
bSymbolsDone = true;
sdr.Close();
db.Close();
}
}
}
public void Run()
{
//
// TODO: Add constructor logic here
//
// http://www.dtniq.com/product/mktsymbols.zip
// string sConn0 = "Integrated Security=SSPI;" +
// "Persist Security Info=False;Initial Catalog=Trade;" +
// "Data Source=localhost;" +
// "Packet Size=4096;" +
// "";
// string sConn = "Integrated Security=SSPI;" +
// "Persist Security Info=False;Initial Catalog=Trade;" +
// "Data Source=localhost;" +
// "Packet Size=4096;Workstation ID=I9100;" +
// "";
TradeDB db1;
db1 = new TradeDB();
db1.Open();
//string sConn = "Integrated Security=SSPI;Persist Security Info=False;Initial Catalog=Trade;Data Source=ARMOR01;Packet Size=4096;";
//SqlConnection connTrade = new SqlConnection();
//connTrade.ConnectionString = sConn;
//connTrade.ConnectionTimeout= 14400;
//connTrade.Open();
string sDelete;
SqlCommand cmdDelete;
sDelete = "delete from iqSymbols";
cmdDelete = new SqlCommand(sDelete, db1.Connection);
cmdDelete.CommandType = System.Data.CommandType.Text;
cmdDelete.CommandTimeout = 14400;
cmdDelete.ExecuteNonQuery();
sDelete = "delete from iqRootOptionSymbols";
cmdDelete = new SqlCommand(sDelete, db1.Connection);
cmdDelete.CommandType = System.Data.CommandType.Text;
cmdDelete.CommandTimeout = 14400;
cmdDelete.ExecuteNonQuery();
string sInsert = "insert into iqSymbols ( symbol, descr, exchange, isindex, iscboeindex, isindicator, "
+ "ismutualfund, ismoneymarketfund ) "
+ "values ( @symbol, @descr, @exchange, @isindex, @iscboeindex, @isindicator, "
+ "@ismutualfund, @ismoneymarketfund )";
SqlCommand cmdInsert = new SqlCommand(sInsert, db1.Connection);
cmdInsert.CommandType = System.Data.CommandType.Text;
cmdInsert.Parameters.Add("@symbol", SqlDbType.VarChar);
cmdInsert.Parameters.Add("@descr", SqlDbType.VarChar);
cmdInsert.Parameters.Add("@exchange", SqlDbType.VarChar);
cmdInsert.Parameters.Add("@isindex", SqlDbType.Bit);
cmdInsert.Parameters.Add("@iscboeindex", SqlDbType.Bit);
cmdInsert.Parameters.Add("@isindicator", SqlDbType.Bit);
cmdInsert.Parameters.Add("@ismutualfund", SqlDbType.Bit);
cmdInsert.Parameters.Add("@ismoneymarketfund", SqlDbType.Bit);
Stream fsSymbols = new FileStream(dir, FileMode.Open);
StreamReader srSymbols = new StreamReader(fsSymbols, Encoding.ASCII);
string l;
int i = 0;
string [] items = null;
string sDelim = "\t";
char [] chDelim = sDelim.ToCharArray();
//string t;
string sSymbol;
string sExchange;
bool bMutual;
bool bMoneyMkt;
bool bIndex;
bool bCboe;
bool bIndicator;
Hashtable htExchange = new Hashtable();
//int cntLines = 0;
srSymbols.ReadLine();
//&& cntLines++ < 34
while (srSymbols.Peek() >= 0)
{
l = srSymbols.ReadLine();
//Console.WriteLine( l );
items = l.Split(chDelim);
//foreach ( string t in items ) {
//Console.Write( "'" + t + "'," );
//}
if (3 != items.GetLength(0))
{
Console.WriteLine("Missing an element: {0}", l);
continue;
}
sSymbol = items[0];
sExchange = items[2];
bMutual = Regex.IsMatch(sSymbol, ".{3}[^\\.]X$", RegexOptions.None) && 5 == sSymbol.Length;
bMoneyMkt = Regex.IsMatch(sSymbol, ".{3}XX$", RegexOptions.None) && 5 == sSymbol.Length;
bIndex = Regex.IsMatch(sSymbol, ".+\\.X$", RegexOptions.None);
bCboe = Regex.IsMatch(sSymbol, ".+\\.XO$", RegexOptions.None);
bIndicator = Regex.IsMatch(sSymbol, ".+\\.Z$", RegexOptions.None);
cmdInsert.Parameters[0].Value = sSymbol;
cmdInsert.Parameters[1].Value = items[1];
cmdInsert.Parameters[2].Value = items[2];
cmdInsert.Parameters[3].Value = bIndex;
cmdInsert.Parameters[4].Value = bCboe;
cmdInsert.Parameters[5].Value = bIndicator;
cmdInsert.Parameters[6].Value = bMutual;
cmdInsert.Parameters[7].Value = bMoneyMkt;
cmdInsert.ExecuteNonQuery();
//Console.WriteLine( htExchange[ sExchange ].GetType() );
if (htExchange.ContainsKey(sExchange))
{
}
else
{
htExchange[sExchange] = 0;
}
//htExchange[ sExchange ]++;
i = (int)htExchange[sExchange];
i++;
htExchange[sExchange] = i;
//i = (int) htExchange[ sExchange ];
//i++;
//htExchange[ sExchange ] = i;
//Console.WriteLine();
}
Console.WriteLine("{0}", DateTime.Now);
ArrayList aKeys = new ArrayList(htExchange.Keys);
aKeys.Sort();
foreach (string s in aKeys)
{
Console.WriteLine("{0} {1}", s, htExchange[s]);
}
//foreach ( string s in args ) {
//Console.WriteLine( s );
//}
srSymbols.Close();
fsSymbols.Close();
db1.Close();
}
