/// <summary>
/// Gets a copy of this data from a date, to a date.
/// </summary>
/// <param name="start">Date to start from</param>
/// <param name="end">Date to end at</param>
/// <returns>New object with the data from the requested dates</returns>
public TickerData SubSet(DateTime start, DateTime end)
{
TickerData copyData = new TickerData(TickerAndExchange);
int copyStartIndex = -1;
int copyEndIndex = -1;
for (int i = 0; i < Dates.Count; i++)
{
if (copyStartIndex == -1 && Dates[i] >= start)
{
copyStartIndex = i;
}
if (copyEndIndex == -1 && Dates[i] >= end)
{
copyEndIndex = i;
}
if (copyStartIndex > -1 && copyEndIndex > -1)
{
break;
}
}
if (copyStartIndex != -1)
{
if (copyEndIndex == -1 && end > Dates.Last())
{
copyEndIndex = Dates.Count - 1;
}
int amountToCopy = (copyEndIndex - copyStartIndex) + 1;
copyData.Dates.AddRange(Dates.GetRange(copyStartIndex, amountToCopy));
copyData.Open.AddRange(Open.GetRange(copyStartIndex, amountToCopy));
copyData.Close.AddRange(Close.GetRange(copyStartIndex, amountToCopy));
copyData.High.AddRange(High.GetRange(copyStartIndex, amountToCopy));
copyData.Low.AddRange(Low.GetRange(copyStartIndex, amountToCopy));
copyData.Volume.AddRange(Volume.GetRange(copyStartIndex, amountToCopy));
// Extras
copyData.Typical.AddRange(Typical.GetRange(copyStartIndex, amountToCopy));
copyData.Median.AddRange(Median.GetRange(copyStartIndex, amountToCopy));
copyData.HigherTimeframeTrend.AddRange(HigherTimeframeTrend.GetRange(copyStartIndex, amountToCopy));
for (int i = 0; i < HigherTimeframeValueStrings.Length; i++)
{
string key = HigherTimeframeValueStrings[i];
copyData.HigherTimeframeValues[key].AddRange(HigherTimeframeValues[key].GetRange(copyStartIndex, amountToCopy));
}
copyData.Start = copyData.Dates[0];
copyData.End = copyData.Dates[copyData.Dates.Count - 1];
copyData.NumBars = copyData.Dates.Count;
copyData.SaveDates();
}
return(copyData);
}
/// <summary>
/// Creates an object of ticker data from the stream passed in.
/// </summary>
/// <param name="data">String of ticker data</param>
/// <param name="ticker">Ticker name for this data string</param>
/// <param name="isFromDisk">True if this string is loaded from our disk, saves a lot of calculation time</param>
/// <param name="start">Start date of the data</param>
/// <param name="end">End date of the data</param>
/// <returns>Returns an object created from the ticker data string</returns>
private TickerData CreateTickerDataFromString(string data, TickerExchangePair ticker, bool isFromDisk, DateTime start, DateTime end)
{
if (string.IsNullOrEmpty(data))
{
throw new Exception("No ticker data to parse.");
}
using (StringReader reader = new StringReader(data))
{
string line = string.Empty;
// Strip off the headers if the are present
if (reader.Peek() == 68) // "D"
{
reader.ReadLine();
}
TickerData tickerData = new TickerData(ticker);
// Value for an invalid date.
DateTime invalidDate = new DateTime(1970, 1, 1);
// Read each line of the string and convert it into numerical data and dates.
do
{
line = reader.ReadLine();
if (line != null)
{
string[] splitData = line.Split(new char[] { ',' });
DateTime lineDate = DateTime.MaxValue;
long lineDateDigit = 0;
if (long.TryParse(splitData[0], out lineDateDigit))
{
lineDate = UtilityMethods.ConvertFromUnixTimestamp(splitData[0]);
}
else
{
lineDate = DateTime.Parse(splitData[0]);
}
// Because of the way google returns data, we don't always get our exact dates.
// What we get is an interval of dates containing the ones we asked for, so
// we'll filter that data down to just the dates we want.
if (start != invalidDate && lineDate < start)
{
continue;
}
if (end != invalidDate && lineDate > end)
{
break;
}
// Sometimes google has random 0's or 0.01 values for things so we'll just skip those bars.
if (!IsDataFieldValid(splitData, 1) ||
!IsDataFieldValid(splitData, 2) ||
!IsDataFieldValid(splitData, 3) ||
!IsDataFieldValid(splitData, 4) ||
!IsDataFieldValid(splitData, 5))
{
continue;
}
// Add the data to our object.
double open = Convert.ToDouble(splitData[1]);
double high = Convert.ToDouble(splitData[2]);
double low = Convert.ToDouble(splitData[3]);
double close = Convert.ToDouble(splitData[4]);
long volume = Convert.ToInt64(splitData[5]);
tickerData.Dates.Add(lineDate);
tickerData.Open.Add(open);
tickerData.High.Add(high);
tickerData.Low.Add(low);
tickerData.Close.Add(close);
tickerData.Volume.Add(volume);
tickerData.NumBars = tickerData.Dates.Count;
// If this data is from the disk we don't need to calculate the extra fields since
// we've already saved them in the file.
if (isFromDisk)
{
tickerData.Typical.Add(Convert.ToDouble(splitData[(int)DataFields.Typical]));
tickerData.Median.Add(Convert.ToDouble(splitData[(int)DataFields.Median]));
tickerData.HigherTimeframeTrend.Add(Convert.ToDouble(splitData[(int)DataFields.HigherState]));
for (int i = 0; i < TickerData.HigherTimeframeValueStrings.Length; i++)
{
string key = TickerData.HigherTimeframeValueStrings[i];
List <double> higherValues = tickerData.HigherTimeframeValues[key];
higherValues.Add(Convert.ToDouble(splitData[(int)DataFields.HigherValuesStart + i]));
}
}
else
{
// Extra non-downloaded data.
high = tickerData.High[tickerData.NumBars - 1];
low = tickerData.Low[tickerData.NumBars - 1];
close = tickerData.Close[tickerData.NumBars - 1];
tickerData.Typical.Add((high + low + close) / 3);
tickerData.Median.Add((high + low) / 2);
// Calculate the higher momentum state for this bar. This is a pretty
// time consuming function since it has to loop back through all the
// bars before (and including) this one.
double lastValue = tickerData.HigherTimeframeTrend.Count > 0 ? tickerData.HigherTimeframeTrend[tickerData.HigherTimeframeTrend.Count - 1] : Order.OrderType.Long;
tickerData.HigherTimeframeTrend.Add(GetHigherTimerframeExtras(tickerData, lastValue));
}
}
} while (line != null);
tickerData.Start = tickerData.Dates[0];
tickerData.End = tickerData.Dates[tickerData.Dates.Count - 1];
tickerData.SaveDates();
return(tickerData);
}
}