/// <summary>
/// Refines the market data
/// </summary>
void RefineData()
{
// Fill In data gaps
if (Configs.FillInDataGaps)
{
for (int bar = 1; bar < Bars; bar++)
{
aBar[bar].Open = aBar[bar - 1].Close;
if (aBar[bar].Open > aBar[bar].High || aBar[bar].Close > aBar[bar].High)
aBar[bar].High = aBar[bar].Open > aBar[bar].Close ? aBar[bar].Open : aBar[bar].Close;
if (aBar[bar].Open < aBar[bar].Low || aBar[bar].Close < aBar[bar].Low)
aBar[bar].Low = aBar[bar].Open < aBar[bar].Close ? aBar[bar].Open : aBar[bar].Close;
}
}
// Cuts off the bad data
if (Configs.CutBadData)
{
int maxConsecutiveBars = 0;
int maxConsecutiveBar = 0;
int consecutiveBars = 0;
int lastBar = 0;
for (int bar = 0; bar < Bars; bar++)
{
if (Math.Abs(aBar[bar].Open - aBar[bar].Close) < Data.InstrProperties.Point / 2)
{
if (lastBar == bar - 1 || lastBar == 0)
{
consecutiveBars++;
lastBar = bar;
if (consecutiveBars > maxConsecutiveBars)
{
maxConsecutiveBars = consecutiveBars;
maxConsecutiveBar = bar;
}
}
}
else
{
consecutiveBars = 0;
}
}
if (maxConsecutiveBars < 10)
maxConsecutiveBar = 0;
int firstBar = Math.Max(maxConsecutiveBar, 1);
for (int bar = firstBar; bar < Bars; bar++)
if ((Time(bar) - Time(bar - 1)).Days > 5 && period < 10080)
firstBar = bar;
if (firstBar == 1)
firstBar = 0;
if (firstBar > 0)
{
Bar[] aBarCopy = new Bar[bars];
aBar.CopyTo(aBarCopy, 0);
aBar = new Bar[bars - firstBar];
for (int bar = firstBar; bar < bars; bar++)
aBar[bar - firstBar] = aBarCopy[bar];
bars = bars - firstBar;
isCut = true;
}
}
return;
}
/// <summary>
/// Data Horizon - Cuts some data
/// </summary>
int DataHorizon()
{
if (bars < Configs.MIN_BARS) return 0;
int startBar = 0;
int endBar = bars - 1;
DateTime startDate = new DateTime(startYear, startMonth, startDay);
DateTime endDate = new DateTime(endYear, endMonth, endDay);
// Set the starting date
if (useStartDate && aBar[0].Time < startDate)
{
for (int bar = 0; bar < bars; bar++)
{
if (aBar[bar].Time >= startDate)
{
startBar = bar;
break;
}
}
}
// Set the end date
if (useEndDate && aBar[bars - 1].Time > endDate)
{ // We need to cut out the newest bars
for (int bar = 0; bar < bars; bar++)
{
if (aBar[bar].Time >= endDate)
{
endBar = bar - 1;
break;
}
}
}
if (endBar - startBar > maxBars - 1)
{
startBar = endBar - maxBars + 1;
}
if (endBar - startBar < Configs.MIN_BARS)
{
startBar = endBar - Configs.MIN_BARS + 1;
if (startBar < 0)
{
startBar = 0;
endBar = Configs.MIN_BARS - 1;
}
}
// Cut the data
if (startBar > 0 || endBar < bars - 1)
{
Bar[] aBarCopy = new Bar[bars];
aBar.CopyTo(aBarCopy, 0);
int newBars = endBar - startBar + 1;
aBar = new Bar[newBars];
for (int bar = startBar; bar <= endBar; bar++)
aBar[bar - startBar] = aBarCopy[bar];
bars = newBars;
timeUpdate = aBar[newBars - 1].Time;
isCut = true;
}
return 0;
}
/// <summary>
/// Refines the market data
/// </summary>
private void RefineData()
{
// Fill In data gaps
if (Configs.FillInDataGaps)
{
for (int bar = 1; bar < Bars; bar++)
{
_aBar[bar].Open = _aBar[bar - 1].Close;
if (_aBar[bar].Open > _aBar[bar].High || _aBar[bar].Close > _aBar[bar].High)
_aBar[bar].High = _aBar[bar].Open > _aBar[bar].Close ? _aBar[bar].Open : _aBar[bar].Close;
if (_aBar[bar].Open < _aBar[bar].Low || _aBar[bar].Close < _aBar[bar].Low)
_aBar[bar].Low = _aBar[bar].Open < _aBar[bar].Close ? _aBar[bar].Open : _aBar[bar].Close;
}
}
// Cuts off the bad data
if (Configs.CutBadData)
{
int maxConsecutiveBars = 0;
int maxConsecutiveBar = 0;
int consecutiveBars = 0;
int lastBar = 0;
for (int bar = 0; bar < Bars; bar++)
{
if (Math.Abs(_aBar[bar].Open - _aBar[bar].Close) < Data.InstrProperties.Point/2)
{
if (lastBar == bar - 1 || lastBar == 0)
{
consecutiveBars++;
lastBar = bar;
if (consecutiveBars > maxConsecutiveBars)
{
maxConsecutiveBars = consecutiveBars;
maxConsecutiveBar = bar;
}
}
}
else
{
consecutiveBars = 0;
}
}
if (maxConsecutiveBars < 10)
maxConsecutiveBar = 0;
int firstBar = Math.Max(maxConsecutiveBar, 1);
for (int bar = firstBar; bar < Bars; bar++)
if ((Time(bar) - Time(bar - 1)).Days > 5 && Period < 10080)
firstBar = bar;
if (firstBar == 1)
firstBar = 0;
if (firstBar > 0)
{
var aBarCopy = new Bar[Bars];
_aBar.CopyTo(aBarCopy, 0);
_aBar = new Bar[Bars - firstBar];
for (int bar = firstBar; bar < Bars; bar++)
_aBar[bar - firstBar] = aBarCopy[bar];
Bars = Bars - firstBar;
Cut = true;
}
}
}
/// <summary>
/// Data Horizon - Cuts some data
/// </summary>
private void DataHorizon()
{
if (Bars < Configs.MinBars) return;
int startBar = 0;
int endBar = Bars - 1;
// Set the starting date
if (UseStartTime && _aBar[0].Time < StartTime)
{
for (int bar = 0; bar < Bars; bar++)
{
if (_aBar[bar].Time >= StartTime)
{
startBar = bar;
break;
}
}
}
// Set the end date
if (UseEndTime && _aBar[Bars - 1].Time > EndTime)
{
// We need to cut out the newest bars
for (int bar = 0; bar < Bars; bar++)
{
if (_aBar[bar].Time >= EndTime)
{
endBar = bar - 1;
break;
}
}
}
if (endBar - startBar > MaxBars - 1)
{
startBar = endBar - MaxBars + 1;
}
if (endBar - startBar < Configs.MinBars)
{
startBar = endBar - Configs.MinBars + 1;
if (startBar < 0)
{
startBar = 0;
endBar = Configs.MinBars - 1;
}
}
// Cut the data
if (startBar > 0 || endBar < Bars - 1)
{
var aBarCopy = new Bar[Bars];
_aBar.CopyTo(aBarCopy, 0);
int newBars = endBar - startBar + 1;
_aBar = new Bar[newBars];
for (int bar = startBar; bar <= endBar; bar++)
_aBar[bar - startBar] = aBarCopy[bar];
Bars = newBars;
Update = _aBar[newBars - 1].Time;
Cut = true;
}
}
/// <summary>
/// Parses the input data file.
/// </summary>
/// <param name="dataFile">The data file as string.</param>
/// <param name="regexDataFile">The compiled regex.</param>
/// <param name="barsCount">The count of bars of the data file.</param>
/// <returns>Returns a parsed bar array.</returns>
private Bar[] ParseInput(string dataFile, Regex regexDataFile, int barsCount)
{
var barList = new Bar[barsCount];
string line;
var bar = 0;
var stringReader = new StringReader(dataFile);
while ((line = stringReader.ReadLine()) != null)
{
var match = regexDataFile.Match(line);
if (!match.Success) continue;
var year = int.Parse(match.Groups["year"].Value);
year = CorrectProblemYear2000(year);
var month = int.Parse(match.Groups["month"].Value);
var day = int.Parse(match.Groups["day"].Value);
var hour = int.Parse(match.Groups["hour"].Value);
var min = int.Parse(match.Groups["min"].Value);
var seconds = match.Groups["sec"].Value;
var sec = (seconds == "" ? 0 : int.Parse(seconds));
barList[bar].Time = new DateTime(year, month, day, hour, min, sec);
barList[bar].Open = ParseDouble(match.Groups["open"].Value);
barList[bar].High = ParseDouble(match.Groups["high"].Value);
barList[bar].Low = ParseDouble(match.Groups["low"].Value);
barList[bar].Close = ParseDouble(match.Groups["close"].Value);
barList[bar].Volume = int.Parse(match.Groups["volume"].Value);
bar++;
}
stringReader.Close();
return barList;
}
/// <summary>
/// Parses the input data file.
/// </summary>
/// <param name="dataFile">The data file as string.</param>
/// <param name="regexDataFile">The compiled regex.</param>
/// <param name="period">The period of data file.</param>
/// <returns>Returns a parsed bar array.</returns>
private List<Bar> ParseInput(string dataFile, Regex regexDataFile, int period)
{
var barList = new List<Bar>();
string line;
var stringReader = new StringReader(dataFile);
while ((line = stringReader.ReadLine()) != null)
{
Match match = regexDataFile.Match(line);
if (!match.Success) continue;
int year = int.Parse(match.Groups["year"].Value);
year = CorrectProblemYear2000(year);
int month = int.Parse(match.Groups["month"].Value);
int day = int.Parse(match.Groups["day"].Value);
int hour = 0;
int min = 0;
int sec = 0;
if (!_isOptionalDataFile)
{
hour = int.Parse(match.Groups["hour"].Value);
min = int.Parse(match.Groups["min"].Value);
string seconds = match.Groups["sec"].Value;
sec = (seconds == "" ? 0 : int.Parse(seconds));
}
var time = new DateTime(year, month, day, hour, min, sec);
if (Configs.CutSatSunData && IsSatSun(time))
continue;
if(!CheckTimePeriod(time, period))
continue;
var bar = new Bar
{
Time = time,
Open = ParseDouble(match.Groups["open"].Value),
High = ParseDouble(match.Groups["high"].Value),
Low = ParseDouble(match.Groups["low"].Value),
Close = ParseDouble(match.Groups["close"].Value),
Volume = int.Parse(match.Groups["volume"].Value)
};
barList.Add(bar);
}
stringReader.Close();
if (barList.Count == 0)
throw new Exception(Language.T("Could not count the data bars!"));
return barList;
}
