/// <summary>
/// Executes a run of processing the stock data
/// </summary>
/// <param name="session">The session configuration</param>
public static void Run(StockSession session)
{
// Set up the derived data sink
var sourceData = session.SourceFile.GetSegments <StockDataSource>();
var sinkData = StockDataSetDerived <StockDataSink, StockDataSource> .Derive(sourceData, session.SinkFile, (data, idx) =>
{
var point = new StockDataSink();
point.Update(data, idx);
return(point);
});
session.SinkFile.SetSegments(sinkData);
// Find when a stock increases by a certain amount
PriceMonitor priceMonitor = new PriceMonitor(0.025);
priceMonitor.MonitorDecrease = false;
sinkData["AA"][0].Load();
priceMonitor.Monitor("AA", sinkData["AA"][0][0].Price, (string stock, float startPrice, float endPrice, DateTime time) =>
{
System.Windows.Forms.MessageBox.Show(string.Format("{0} {1:C}->{2:C} @ {3}", stock, startPrice, endPrice, time));
return(true);
});
// Load the first set of data
foreach (var pair in sinkData)
{
foreach (var set in pair.Value)
{
set.Load();
priceMonitor.Process(set, 0);
}
}
}
/// <summary>
/// The main update function for the class
/// </summary>
/// <param name="data">The available source data</param>
/// <param name="updateIndex">The index into the data that should be used as the source for this</param>
partial void MovingAverage_Update(StockDataSetDerived <StockDataSink, StockDataSource, StockProcessingState> data, int updateIndex)
{
this.Average10Min = 0.0f;
int startIdx = Math.Max(0, updateIndex - 9);
for (int idx = startIdx; idx <= updateIndex; idx++)
{
this.Average10Min += data[idx].Price;
}
this.Average10Min /= ((updateIndex + 1) - startIdx);
}
public StockProcessor(StockSession session)
{
this.Session = session;
// Load the source file static information
Session.SourceFile.LoadStaticData(session);
// Create the derived data set
HistoricalData = StockDataSetDerived <StockDataSink, StockDataSource, StockProcessingState> .Derive(Session.SourceFile.GetSegments <StockDataSource>(), Session.SinkFile, CreateSink, GetProcessingState);
DerivedData = StockDataSetDerived <StockDataSink, StockDataSource, StockProcessingState> .CastToBase(HistoricalData);
Session.SinkFile.SetSegments <StockDataSink>(DerivedData);
}
/// <summary>
/// The main update function which sets all of the member variables based on other source data
/// </summary>
/// <param name="data">The available source data</param>
/// <param name="updateIndex">The index into the data that should be used as the source for this</param>
partial void DataSetReference_Update(StockDataSetDerived <StockDataSink, StockDataSource, StockProcessingState> data, int updateIndex)
{
this.DataSet = data;
this.DataSetIndex = data.ProcessingState.DataSetIndex;
this.DataPointIndex = updateIndex;
if (DataPointIndex == 0)
{
DataSetData = new DataPerSet();
}
else
{
DataSetData = data[0].DataSetData;
}
}
/// <summary>
/// Creates a derived set of data from the given source
/// </summary>
/// <param name="source">The source data</param>
/// <returns>The derived data</returns>
public static Dictionary <string, List <StockDataSetDerived <T, U, V> > > Derive(Dictionary <string, List <StockDataSet <U> > > source, StockDataFile file, StockDataCreator create, StockProcessingStateAccessor stateGetter)
{
var derived = new Dictionary <string, List <StockDataSetDerived <T, U, V> > >();
foreach (KeyValuePair <string, List <StockDataSet <U> > > pair in source)
{
StockDataSetDerived <T, U, V> prevSet = null;
derived[pair.Key] = new List <StockDataSetDerived <T, U, V> >(pair.Value.Count);
foreach (StockDataSet <U> srcSet in pair.Value)
{
var newSet = new StockDataSetDerived <T, U, V>(srcSet, file, create, stateGetter);
newSet.Previous = prevSet;
prevSet = newSet;
derived[pair.Key].Add(newSet);
}
}
return(derived);
}
/// <summary>
/// Adds a new processing target
/// </summary>
/// <param name="target">The target point to add</param>
public void Add(ProcessingTarget target)
{
Targets.Add(target);
// If live, set up a subscription
if (Live && !LiveData.ContainsKey(target.Symbol))
{
var sourceList = new StockDataSet <StockDataSource>(target.Symbol, DateTime.Now, Session.SourceFile);
var data = new StockDataSetDerived <StockDataSink, StockDataSource, StockProcessingState>(sourceList, Session.SinkFile, CreateSink, GetProcessingState);
var sub = DataAccessor.Subscribe(target.Symbol, LiveInterval);
sub.Notify += (DataAccessor.Subscription s) =>
{
LiveData[s.Symbol].Item1.Add(StockDataSource.CreateFromPrice((float)s.Price));
LiveProcessingQueue.Add(target);
};
LiveData[target.Symbol] = new Tuple <StockDataSetDerived <StockDataSink, StockDataSource, StockProcessingState>, DataAccessor.Subscription>(data, sub);
}
}
public StockProcessor(StockSession session)
{
this.Session = session;
// Load the source file static information
Session.SourceFile.LoadStaticData(session);
// Create the derived data set
HistoricalData = StockDataSetDerived <StockDataSink, StockDataSource, StockProcessingState> .Derive(Session.SourceFile.GetSegments <StockDataSource>(), Session.SinkFile, CreateSink, GetProcessingState);
DerivedData = StockDataSetDerived <StockDataSink, StockDataSource, StockProcessingState> .CastToInterface(HistoricalData);
Session.Data = DerivedData;
Session.SinkFile.SetSegments <StockDataSink>(StockDataSetDerived <StockDataSink, StockDataSource, StockProcessingState> .CastToBase(HistoricalData));
foreach (var pair in HistoricalData)
{
var state = new StockProcessingState();
state.DataSet = pair.Value;
ProcessingStates[pair.Key] = new Dictionary <TimeSpan, StockProcessingState>()
{
};
}
}
/// <summary>
/// Creates a new instance of a StockDataSink based on a StockDataSource
/// </summary>
/// <param name="data">Source data</param>
/// <param name="idx">Index in the source data to base the new point off of</param>
public static void CreateSink(StockDataSetDerived <StockDataSink, StockDataSource, StockProcessingState> data, int idx)
{
data.DataSet.InternalArray[idx].Update(data, idx);
}
/// <summary>
/// Task for processing live data
/// </summary>
private void ProcessLive()
{
foreach (var target in LiveProcessingQueue.GetConsumingEnumerable())
{
StockDataSetDerived <StockDataSink, StockDataSource, StockProcessingState> set = LiveData[target.Symbol].Item1;
if (target.Reference.Price == 0)
{
target.Reference = set[0];
}
for (; (target.ProcessedLiveIdx < set.Count); target.ProcessedLiveIdx++)
{
if (Evaluator.Evaluate(set, target.ProcessedLiveIdx, target))
{
Action.Do(this, target, set.Time(target.ProcessedLiveIdx));
}
}
}
}
/// <summary>
/// Processes the specified data using the evaluator and resulting action
/// <param name="multithreaded">Indicates if the processing should be done multithreaded</param>
/// <param name="keep">Indicates if the processed data should remain in memory,
/// or should be cleared once processing is complete.</param>
/// </summary>
public virtual void Process(bool multithreaded = false, MemoryScheme keep = MemoryScheme.MEM_KEEP_NONE)
{
System.Action <ProcessingTarget> processFunc = (ProcessingTarget target) =>
{
List <StockDataSetDerived <StockDataSink, StockDataSource, StockProcessingState> > sets = HistoricalData[target.Symbol];
var processingState = new StockProcessingState();
for (; target.ProcessedSetIdx < sets.Count; target.ProcessedSetIdx++)
{
// Process all of the data sets for the target
StockDataSetDerived <StockDataSink, StockDataSource, StockProcessingState> set = sets[target.ProcessedSetIdx];
set.Load(Session);
for (; (target.ProcessedDataIdx < set.Count); target.ProcessedDataIdx++)
{
if (Evaluator.Evaluate(set, target.ProcessedDataIdx, target))
{
Action.Do(this, target, set.Time(target.ProcessedDataIdx));
}
}
// Clean up the memory after processing has completed
if (keep == MemoryScheme.MEM_KEEP_NONE)
{
set.Clear();
}
else if (keep == MemoryScheme.MEM_KEEP_SOURCE)
{
set.ClearDerived();
}
}
};
// Process each of the targets
if (multithreaded)
{
System.Threading.Tasks.Parallel.ForEach(Targets, processFunc);
}
else
{
foreach (ProcessingTarget target in Targets)
{
processFunc(target);
}
}
// Indicate processing has completed
if (Complete != null)
{
Complete();
}
}
/// <summary>
/// The main update function which sets all of the member variables based on other source data
/// </summary>
/// <param name="data">The available source data</param>
/// <param name="updateIndex">The index into the data that should be used as the source for this</param>
partial void DataSetReference_Update(StockDataSetDerived <StockDataSink, StockDataSource, StockProcessingState> data, int updateIndex)
{
this.DataSet = data;
this.DataSetIndex = data.ProcessingState.DataSetIndex;
this.DataPointIndex = updateIndex;
}
///= Members ///
#endregion
#region Prototypes
///= PartialPrototypes ///
#endregion
/// <summary>
/// The main update function which sets all of the member variables based on other source data
/// </summary>
/// <param name="data">The available source data</param>
/// <param name="updateIndex">The index into the data that should be used as the source for this</param>
public void Update(StockDataSetDerived <StockDataSink, StockDataSource, StockProcessingState> data, int updateIndex)
{
this.Price = data.SourceData.DataSet.InternalArray[data.GetSourceIndex(updateIndex)].Price;
///= PartialUpdates ///
}
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();
}
}
