public static Dictionary <string, PriceData> ProcessVIXFile(string filename)
{
var lines = File.ReadLines(filename);
int ln = 0;
Stopwatch sw = Stopwatch.StartNew();
Console.WriteLine("Processing VIX File...");
Dictionary <string, PriceData> priceData = new Dictionary <string, PriceData>();
foreach (var line in lines)
{
string[] values = line.Split(',');
if (ln++ <= 1)
{
continue;
}
// VIX ONLY:
string date = values[0];
string[] dspl = date.Split('/');
int day = Int32.Parse(dspl[1]);
int mo = Int32.Parse(dspl[0]);
date = dspl[2] + "-" + mo.ToString("D2") + "-" + day.ToString("D2");
decimal open = Decimal.Parse(values[1]);
decimal high = Decimal.Parse(values[2]);
decimal low = Decimal.Parse(values[3]);
decimal close = Decimal.Parse(values[4]);
PriceData pd = new PriceData(date, ln, open, close, high, low);
priceData.Add(date, pd);
}
Console.WriteLine("Processed VIX File in " + sw.ElapsedMilliseconds + "ms");
sw.Stop();
return(priceData);
}
public static Dictionary <string, PriceData> ProcessDataFile(string symbol, string datafile)
{
var lines = File.ReadLines(datafile);
int ln = 0;
Stopwatch sw = Stopwatch.StartNew();
Console.WriteLine("Processing {0} Data File...", symbol);
Dictionary <string, PriceData> priceData = new Dictionary <string, PriceData>();
string dataOrder = "DOHLC";
foreach (var line in lines)
{
string[] values = line.Split(',');
if (ln++ == 0)
{
char[] order = new char[values.Length];
for (int i = 0; i < values.Length; i++)
{
string col = values[i].Trim(' ').ToUpper();
order[i] = col[0];
}
dataOrder = new string(order);
continue;
}
string date = values[dataOrder.IndexOf('D')];
decimal close = Decimal.Parse(values[dataOrder.IndexOf('C')]);
decimal open = dataOrder.Contains("O") ? Decimal.Parse(values[dataOrder.IndexOf('O')]) : close;
decimal high = dataOrder.Contains("H") ? Decimal.Parse(values[dataOrder.IndexOf('H')]) : Math.Max(open, close);
decimal low = dataOrder.Contains("L") ? Decimal.Parse(values[dataOrder.IndexOf('L')]) : Math.Min(open, close);
PriceData pd = new PriceData(date, ln, open, close, high, low);
priceData.Add(date, pd);
}
Console.WriteLine("Processed {0} Data File in {1}ms", symbol, sw.ElapsedMilliseconds);
sw.Stop();
return(priceData);
}
