public static DataTable LoadCovMatrix()
{
DateTime FolderDate;
string DirectoyRoot = DirectoryNames.GetDirectoryName("overnightCandlestick");
string FullFolderName;
DataTable CovMatrix = null;
for (int i = 1; i < 6; i++)
{
FolderDate = BusinessDays.GetBusinessDayShifted(-i);
FullFolderName = DirectoyRoot + DirectoryNames.GetDirectoryExtension(FolderDate);
double CovDataIntegrity = Convert.ToDouble(FromTxt2List.LoadFile(FullFolderName + "/covDataIntegrity.txt")[0]);
if (i > 1)
{
Console.WriteLine("Most recent covFile not available or lower quality! ");
}
if (CovDataIntegrity > 80)
{
CovMatrix = IOUtilities.ExcelDataReader.LoadFile(FullFolderName + "/cov_matrix.xlsx").Tables["cov_matrix"];
break;
}
}
return(CovMatrix);
}
public static IEnumerable <ContractVolume> GetContractVolumes()
{
DateTime folderDate = BusinessDays.GetBusinessDayShifted(-1);
return(GetContractVolumes(folderDate));
}
public static IEnumerable <ContractVolume> GetContractVolumes(DateTime folderDate)
{
ContractVolumeFolder = DirectoryNames.GetDirectoryName("ttapiContractVolume") + DirectoryNames.GetDirectoryExtension(BusinessDays.GetBusinessDayShifted(-1));
var sr = new StreamReader(ContractVolumeFolder + "/ContractList.csv");
var reader = new CsvHelper.CsvReader(sr);
reader.Configuration.RegisterClassMap(new MyClassMap());
ContractVolumeList = reader.GetRecords <ContractVolume>().ToList();
for (int i = 0; i < ContractVolumeList.Count(); i++)
{
string[] words = ContractVolumeList[i].instrumentName.Split();
ContractVolumeList[i].SeriesKey = words[words.Count() - 1];
}
return(ContractVolumeList);
}
/// <summary>
/// Primary constructor
/// </summary>
public MarketRecorder(string u, string p)
{
m_username = u;
m_password = p;
OutputFolder = TA.DirectoryNames.GetDirectoryName(ext: "ttapiBidAsk") + TA.DirectoryNames.GetDirectoryExtension(DateTime.Now.Date);
System.IO.Directory.CreateDirectory(OutputFolder);
PriceFileDictionary = new Dictionary <string, StreamWriter>();
FilteredList = new List <ttapiTicker>();
DateTime referanceDate = DateTime.Today;
EndTime = new DateTime(referanceDate.Year, referanceDate.Month, referanceDate.Day, 15, 45, 0);
ContractVolumeList = TA.LoadContractVolumeFile.GetContractVolumes(folderDate: BusinessDays.GetBusinessDayShifted(-1));
FilteredList = ContractVolumeList.Where(x => x.Volume > 100).ToList().OfType <ttapiTicker>().ToList();
string [] TickerHeadList = ContractUtilities.ContractMetaInfo.cmeFuturesTickerheadList.Union(ContractUtilities.ContractMetaInfo.iceFuturesTickerheadList).ToArray();
LiquidContractList = new ContractUtilities.ContractList(TickerHeadList);
//LiquidDbTickerList = LiquidContractList.dbTickerList;
LiquidDbTickerList = new List <string>();
for (int i = 0; i < FilteredList.Count; i++)
{
//Console.WriteLine(FilteredList[i].instrumentName);
PriceFileDictionary.Add(FilteredList[i].instrumentName, new StreamWriter(OutputFolder + "/" + FilteredList[i].instrumentName.Replace("/", "-").Replace(":", "-") + ".csv"));
}
TTAPISubs = new ttapiUtils.Subscription(m_username, m_password);
TTAPISubs.TTAPITickerList = FilteredList;
TTAPISubs.LiquidDbTickerList = LiquidDbTickerList;
TTAPISubs.ilsUpdateList = new List <EventHandler <InstrumentLookupSubscriptionEventArgs> > {
TTAPISubs.startPriceSubscriptions
};
TTAPISubs.AsuUpdateList = new List <EventHandler <AuthenticationStatusUpdateEventArgs> > {
TTAPISubs.startInstrumentLookupSubscriptionsFromTTAPITickers
};
TTAPISubs.priceUpdatedEventHandler = m_ps_FieldsUpdated;
}