public bool getTick()
{
string line = "";
try
{
line = this.cf.ReadLine();
}
catch (Exception ex) { show(ex.Message + Environment.NewLine); }
tick = new eSigTick();
tick.factor = factorsize;
bool good = false;
try
{
good = tick.Load(line);
}
catch (AlreadySmallSizeException)
{
factorsize = 1; // fix it for this file
tick.factor = factorsize;
good = tick.Load(line);
}
tick.sym = symbol;
return(good);
}
bool getTick()
{
string line = "";
t = new eSigTick();
try
{
line = this.inf.ReadLine();
}
catch (Exception ex) { show(ex.Message); }
return(t.Load(line));
}
public int Test(List <FileInfo> tf)
{
show("Starting run " + name + " containing " + tf.Count + " symbols." + Environment.NewLine);
int totfills = 0;
int totalticks = approxticks(tf);
for (int i = 1; i <= tf.Count; i++) // loop through the list
{
FileInfo f = tf[i - 1];
Match m = Regex.Match(f.Name, "([0-9]+)", RegexOptions.IgnoreCase);
int date = Convert.ToInt32(m.Result("$1"));
LoadIndexFiles(date);
TickFile(f.Name); // set current file
if (f.Length == 0)
{
continue; // ignore if tick file is empty
}
show(Environment.NewLine);
show("Symbol " + this.symbol + " (" + i + " of " + tf.Count + ") ");
// reset per-symbol statistics
if (mybox != null)
{
mybox.Reset();
}
bl = new BarList((BarInterval)bint, symbol);
int fills = 0;
tick = new eSigTick(); // reset our tick
int itime = 0;
BoxInfo bi = new BoxInfo();
while (this.getTick() && tick.hasTick)
{ // process the ticks
line++;
if ((line % 5000) == 0)
{
show(".");
}
if (((itime == 0) || (itime != tick.time)))
{
// load all the indicies for this time
List <Index> itix = FetchIdx(tick.time);
itime = tick.time;
// send them to the box (before we send the tix)
for (int id = 0; id < itix.Count; id++)
{
mybox.NewIndex(itix[id]);
}
}
if ((this.exfilter != "") &&
((!tick.isTrade && (!tick.be.Contains(exfilter) || !tick.oe.Contains(exfilter))) ||
(tick.isTrade && tick.ex.Contains(exfilter))))
{
continue;
}
if ((bi.Open == 0) && tick.isTrade)
{
bi.Open = tick.trade;
}
if (tick.trade > bi.High)
{
bi.High = tick.trade;
}
if (tick.trade < bi.Low)
{
bi.Low = tick.trade;
}
bl.AddTick(tick); // save our tick to a bar
if (bl.Has(2) && bl.Get(bl.Last - 1).DayEnd)
{ // we hit a new day in the same file, reset day stuff and set our DayEndTime
bl.Reset();
bl.AddTick(tick); // put our tick back
if (mybox != null)
{
mybox.Reset();
}
SetDayClose(); // this has to be run after mybox.Reset!!!
}
// execute any pending orders on this tick
if (mybroker.GetOrderList().Count > 0)
{
fills += mybroker.Execute(tick);
}
// trade box on this tick, if he generates any orders then send them
if (mybox != null)
{
mybroker.sendOrder(
mybox.Trade(tick, bl, mybroker.GetOpenPosition(this.symbol), bi));
// quit early if box shuts itself off and no pending orders
if (mybox.Off && (mybroker.GetOrderList().Count == 0))
{
break;
}
}
if (this.delay != 0)
{
System.Threading.Thread.Sleep(this.delay);
System.Threading.Thread.CurrentThread.Priority = System.Threading.ThreadPriority.Lowest;
}
this.ReportProgress((int)((100 * line) / totalticks));
}
show(fills + " executions.");
totfills += fills;
this.cf.Close();
}
show(Environment.NewLine);
show(name + " complete: " + tf.Count + " symbols, " + totfills + " executions." + Environment.NewLine);
return(totfills);
}
void Convert(string file)
{
StreamReader epf = new StreamReader(file);
Stock s = eSigTick.InitEpf(epf);
string symbol = s.Symbol.Replace("//", "");
if (symmap.ContainsKey(symbol))
{
symbol = symbol.Replace(symbol, symmap[symbol]);
}
string filename = symbol + s.Date + ".IDX";
d("Attempting to convert: " + file + " -> " + filename);
StreamWriter idx;
try
{
idx = new StreamWriter(filename, false);
}
catch (Exception ex) { d(ex.Message); return; }
decimal o = 0;
decimal h = 0;
decimal l = 100000000000;
while (!epf.EndOfStream)
{
eSigTick et = new eSigTick();
et.sym = prefix + symbol;
try
{
string line = epf.ReadLine(); // get our tick from EPF
et.Load(line);
if (et.FullQuote)
{
continue;
}
}
catch (Exception ex) { d(ex.Message); continue; }
// set o/h/l/c
decimal v = et.trade;
if (o == 0)
{
o = v;
}
if (v > h)
{
h = v;
}
if (v < l)
{
l = v;
}
Index i = new Index(et.sym, v, o, h, l, v, et.date, et.time); // map to our index
idx.WriteLine(i.Serialize()); // write our index
}
idx.Close();
epf.Close();
d("Finished converting " + filename);
}
