/// <summary>
/// Reads the specified data streams, and converts them into a basic stock data file
/// </summary>
/// <param name="sourceFiles">The legacy data files</param>
/// <returns>The new data file</returns>
public static StockDataFile Convert(List <string> sourceFiles, Stream destination)
{
StockDataFile newFile = new StockDataFile();
newFile.Interval = new TimeSpan(0, 1, 0);
Dictionary <string, List <StockDataSet <StockDataBase> > > segments = new Dictionary <string, List <StockDataSet <StockDataBase> > >();
foreach (string filename in sourceFiles)
{
// Parse the date from the filename
DateTime fileDate = GetDateFromFileName(filename);
DateTime fileStart = fileDate.AddHours(9.5);
DateTime fileEnd = fileDate.AddHours(16);
long delayedOffset = (filename.Contains("goog")) ? 0 : new TimeSpan(0, 15, 0).Ticks;
// Read the initial line of the file to learn which stocks are in the file
StreamReader s = new StreamReader(filename);
List <StockDataSet <StockDataBase> > fileData = new List <StockDataSet <StockDataBase> >();
string line = s.ReadLine();
string[] stockNamesStr = line.Split(new char[] { ',' });
for (int i = 1; i < stockNamesStr.Length; i++)
{
string symbol = stockNamesStr[i].ToUpper();
List <StockDataSet <StockDataBase> > sets;
// Check if a stock data set already exists for the symbol
if (!segments.TryGetValue(symbol, out sets))
{
sets = new List <StockDataSet <StockDataBase> >();
segments.Add(symbol, sets);
}
foreach (StockDataSet <StockDataBase> preExistingSet in sets)
{
// Add to an existing set if they are for the same day
if (preExistingSet.Start.Date == fileStart.Date)
{
fileData.Add(preExistingSet);
break;
}
}
if (fileData.Count <= (i - 1))
{
// No matching set was found, so create a new one
StockDataSet <StockDataBase> newSet = new StockDataSet <StockDataBase>(symbol, fileStart, newFile);
newSet.DataSet.Resize(391);
fileData.Add(newSet);
if (sets.Count > 0)
{
newSet.Previous = sets[sets.Count - 1];
}
sets.Add(newSet);
}
}
DateTime lineTime = fileStart;
while (!s.EndOfStream && (lineTime < fileEnd))
{
string[] stockPricesStr = s.ReadLine().Split(new char[] { ',' });
// Ensure the entry contains all of the stocks
if ((stockPricesStr.Length - 1) != fileData.Count)
{
continue;
}
// Get the time of the entry
DateTime newTime;
if (!DateTime.TryParse(stockPricesStr[0].Replace("\"", ""), out newTime))
{
continue;
}
newTime = fileStart.AddTicks((newTime.TimeOfDay.Ticks - fileStart.TimeOfDay.Ticks) - delayedOffset);
// Check if this new entry is valid
if ((newTime >= fileStart) && (newTime <= fileEnd))
{
// Update the prices of each of the stocks
for (int i = 0; i < (stockPricesStr.Length - 1); i++)
{
float price;
if (float.TryParse(stockPricesStr[i + 1], out price))
{
// Sometimes the first price is corrupted, so skip it
if ((newTime == fileStart)
//&& ((fileData[i].Previous != null) && (Math.Abs((price / fileData[i][-1].Price) - 1.0f) > 0.01f))
)
{
continue;
}
if ((price == 0.0f) || (newTime == fileEnd))
{
price = fileData[i][fileData[i].Count - 1].Price;
if (price == 0.0f)
{
continue;
}
}
while (fileData[i].End <= newTime)
{
fileData[i].DataSet.Add(new StockDataBase(price));
}
}
}
}
}
}
// Save the old file to disk
newFile.SetSegments(segments);
newFile.Save(destination, typeof(StockDataBase), segments);
return(newFile);
}
public void Run()
{
System.Windows.Forms.OpenFileDialog diag = new System.Windows.Forms.OpenFileDialog();
diag.Multiselect = true;
diag.Title = "Open Stock Data File...";
if (diag.ShowDialog() == System.Windows.Forms.DialogResult.OK)
{
List <string> script = new List <string>();
Directory.CreateDirectory("tmp");
// Get the source file
if (diag.FileName.EndsWith(".csv"))
{
System.Windows.Forms.SaveFileDialog saveDiag = new System.Windows.Forms.SaveFileDialog();
if (saveDiag.ShowDialog() != System.Windows.Forms.DialogResult.OK)
{
return;
}
SourceFile = StockDataFile.Convert(diag.FileNames.ToList(), new FileStream(saveDiag.FileName, FileMode.Create));
}
else
{
SourceFile = StockDataFile.Open(new FileStream(diag.FileName, FileMode.Open));
}
script.Add("tmp/" + SOURCE_CLASS + ".cs");
using (var file = new StreamWriter(new FileStream(script.Last(), FileMode.Create))) file.Write(SourceFile.GetSourceCode(SOURCE_CLASS));
// Create the sink file
//SinkFile = new StockDataFile(new List<string>() { }, new List<string>() { });
SinkFile = new StockDataFile(new List <string>()
{
"MovingAverage"
}, new List <string>()
{
File.ReadAllText(@"Script/Data/MovingAverage.cs")
});
script.Add("tmp/" + SINK_CLASS + ".cs");
using (var file = new StreamWriter(new FileStream(script.Last(), FileMode.Create))) file.Write(SinkFile.GetSourceCode(SINK_CLASS));
// Create the analyzer file (needs to be compiled in the script since it references StockDataSource)
var analyzerFilename = "RobinhoodDesktop.Script.StockAnalyzer.cs";
script.Add("tmp/StockAnalyzer.cs");
StringBuilder analyzerCode = new StringBuilder();
analyzerCode.Append(new StreamReader(Assembly.GetExecutingAssembly().GetManifestResourceStream(analyzerFilename)).ReadToEnd());
using (var file = new StreamWriter(new FileStream(script.Last(), FileMode.Create))) file.Write(StockDataFile.FormatSource(analyzerCode.ToString()));
// Add the user defined analyzers
string[] analyzerPaths = Directory.GetFiles(@"Script/Decision", "*.cs", SearchOption.AllDirectories);
foreach (string path in analyzerPaths)
{
script.Add(path);
}
// Get the code that will actually run the session
script.Add("tmp/StockSessionScript.cs");
var sessionFilename = "RobinhoodDesktop.Script.StockSessionScript.cs";
using (var file = new StreamWriter(new FileStream(script.Last(), FileMode.Create))) file.Write(new StreamReader(Assembly.GetExecutingAssembly().GetManifestResourceStream(sessionFilename)).ReadToEnd());
// Build and run the session
#if DEBUG
var isDebug = true;
#else
var isDebug = false;
#endif
#if true
try
{
var scriptInstance = CSScript.LoadFiles(script.ToArray(), null, isDebug);
var run = scriptInstance.GetStaticMethod("RobinhoodDesktop.Script.StockSessionScript.Run", this);
run(this);
}
catch (Exception ex)
{
System.Windows.Forms.MessageBox.Show(ex.ToString());
}
#else
// Set up the derived data sink
var sourceData = SourceFile.GetSegments <StockDataBase>();
var sinkData = StockDataSetDerived <StockDataBase, StockDataBase> .Derive(sourceData, SinkFile, (data, idx) =>
{
var point = new StockDataBase();
point.Update(data, idx);
return(point);
});
SinkFile.SetSegments(sinkData);
// Load the first set of data
foreach (var pair in sinkData)
{
foreach (var set in pair.Value)
{
set.Load();
}
}
#endif
// Cleanup
SourceFile.Close();
}
}
