public void AddRangeReversed(ResizeableArray <T> data)
{
for (int i = data.Count - 1; i >= 0; i--)
{
Add(data[i]);
}
}
public static ResizeableArray <TimeBaseValue> CalculateByTime <T>(ResizeableArray <T> array, string timeField, TimeSpan interval)
{
if (array.Count == 0)
{
return(new ResizeableArray <TimeBaseValue>());
}
DateTime min = GetMinTime(array, timeField);
DateTime max = GetMaxTime(array, timeField);
int count = (int)((max - min).TotalMilliseconds / interval.TotalMilliseconds + 0.5);
ResizeableArray <TimeBaseValue> list = new ResizeableArray <TimeBaseValue>(count + 1);
PropertyInfo pi = array[0].GetType().GetProperty(timeField, BindingFlags.Instance | BindingFlags.Public);
double k = 1.0 / interval.TotalMilliseconds;
for (int i = 0; i < count + 1; i++)
{
list[i] = new TimeBaseValue()
{
Time = min.AddMilliseconds((int)i * interval.TotalMilliseconds)
};
}
for (int i = 0; i < array.Count; i++)
{
DateTime time = (DateTime)pi.GetValue(array[i]);
int index = (int)((time - min).TotalMilliseconds * k + 0.5);
list[index].Value++;
}
return(list);
}
public void AddRange(ResizeableArray <T> data)
{
for (int i = 0; i < data.Count; i++)
{
Add(data[i]);
}
}
public static ArgumentValue[] Calculate(ResizeableArray <TimeBaseValue> data, double clasterizationWidth)
{
double minX = GetMin(data);
double maxX = GetMax(data);
int count = (int)((maxX - minX) / clasterizationWidth) + 1;
return(Calculate(data, count));
}
private static DateTime GetMinTime <T>(ResizeableArray <T> dataSource, string field)
{
if (dataSource.Count == 0)
{
return(DateTime.MinValue);
}
PropertyInfo pi = dataSource[0].GetType().GetProperty(field, BindingFlags.Instance | BindingFlags.Public);
return(dataSource.Min(i => (DateTime)pi.GetValue(i)));
}
public static ResizeableArray <T> FromList(List <T> list)
{
ResizeableArray <T> res = new ResizeableArray <T>(list.Count);
foreach (T item in list)
{
res.Add(item);
}
return(res);
}
public static ArgumentValue[] Calculate(ResizeableArray <object> dataSource, string valueField, double clasterizationWidth)
{
double minX = GetMin(dataSource, valueField);
double maxX = GetMax(dataSource, valueField);
int count = 100;
if (clasterizationWidth != 0)
{
count = (int)((maxX - minX) / clasterizationWidth) + 1;
}
return(Calculate((ResizeableArray <object>)dataSource, valueField, count));
}
public static ResizeableArray <ArgumentValue> Calculate(ResizeableArray <object> data, string valueField, int count)
{
if (data.Count == 0)
{
return(null);
}
double minX = GetMin(data, valueField);
double maxX = GetMax(data, valueField);
double step = (maxX - minX) / count;
minX = ((int)(minX / step)) * step;
maxX = ((int)(maxX / step + 0.5)) * step;
count = (int)((maxX - minX) / step);
ResizeableArray <ArgumentValue> res = new ResizeableArray <ArgumentValue>(count + 1);
for (int i = 0; i < count + 1; i++)
{
res[i] = new ArgumentValue()
{
X = minX + i * step
};
}
PropertyInfo pi = data[0].GetType().GetProperty(valueField, BindingFlags.Instance | BindingFlags.Public);
foreach (var item in data)
{
double val = (double)pi.GetValue(item);
if (double.IsNaN(val))
{
continue;
}
int index = (int)((val - minX) / step + 0.5);
if (index >= res.Count)
{
continue;
}
res[index].Y += 1.0;
}
double del = 100.0 / data.Count;
for (int i = 0; i < count; i++)
{
res[i].Y *= del;
}
return(res);
}
private static double GetMax(ResizeableArray <TimeBaseValue> dataSource)
{
if (dataSource.Count == 0)
{
return(0);
}
double min = double.NaN;
for (int i = 0; i < dataSource.Count; i++)
{
if (double.IsNaN(min) || min < dataSource[i].Value)
{
min = dataSource[i].Value;
}
}
return(min);
}
private static double GetMax(ResizeableArray <object> dataSource, string valueField)
{
if (dataSource.Count == 0)
{
return(0);
}
PropertyInfo pi = dataSource[0].GetType().GetProperty(valueField, BindingFlags.Instance | BindingFlags.Public);
return(dataSource.Max(i => {
double val = (double)pi.GetValue(i);
if (double.IsNaN(val))
{
return double.MinValue;
}
return val;
}));
}
private void CalculateTrendInfo(ResizeableArray <TickerTradeHistoryInfoItem> list, int index)
{
DateTime startTime = list[index].Time;
DateTime endTime = startTime.AddMinutes(TrendPeriodMin);
double maxDelta = 0;
double edgePrice = 0;
for (int i = index + 1; i < list.Count && list[i].Time < endTime; i++)
{
double delta = Math.Abs(list[i].Close - list[index].Close);
if (delta > maxDelta)
{
edgePrice = list[i].Close;
maxDelta = delta;
}
}
list[index].EdgePrice = edgePrice;
}
public bool Calculate()
{
if (Exchange == null)
{
LogManager.Default.Error("Exchange not specified");
return(false);
}
if (!Exchange.Connect())
{
LogManager.Default.Error("Exchange not connected");
return(false);
}
foreach (string baseCurr in BaseCurrencies)
{
List <Ticker> tickers = Exchange.Tickers.Where(t => t.BaseCurrency == baseCurr && (MarketCurrencies == null || MarketCurrencies.Contains(t.MarketCurrency))).ToList();
foreach (Ticker ticker in tickers)
{
ResizeableArray <CandleStickData> data = Utils.DownloadCandleStickData(ticker, CandleStickPeriodMin);
if (data == null)
{
LogManager.Default.Error("Cannot download candlesticks for " + ticker.Name);
continue;
}
LogManager.Default.Success("Downloaded candlesticks for " + ticker.Name);
ticker.CandleStickData.AddRange(data);
//foreach(var t in data)
// ticker.CandleStickData.Add(t);
//data.ForEach(i => ticker.CandleStickData.Add(i));
TickerVolatilityInfo info = new TickerVolatilityInfo()
{
Ticker = ticker
};
info.Calculate();
info.CalculateMath();
info.CalculateDev();
info.CalcHistogramm(HistogrammBarCount);
Result.Add(info);
Items.Add(info);
RaiseTickerAdded(info);
}
}
return(true);
}
public static bool DownloadCandlesticksHistory(Exchange e, string[] baseCurrFilter, string[] marketCurrency, int candleStickPeriodMin)
{
if (!e.Connect())
{
return(false);
}
foreach (string baseCurr in baseCurrFilter)
{
List <Ticker> tickers = e.Tickers.Where(t => t.BaseCurrency == baseCurr && (marketCurrency == null || marketCurrency.Contains(t.MarketCurrency))).ToList();
foreach (Ticker ticker in tickers)
{
ResizeableArray <CandleStickData> data = DownloadCandleStickData(ticker, candleStickPeriodMin);
if (data == null)
{
return(false);
}
}
}
return(true);
}
public static ResizeableArray <ArgumentValue> Calculate(ResizeableArray <TimeBaseValue> data, int count)
{
double minX = GetMin(data);
double maxX = GetMax(data);
if (double.IsNaN(minX) || double.IsNaN(maxX))
{
return(new ResizeableArray <ArgumentValue>());
}
double step = (maxX - minX) / count;
minX = ((int)(minX / step)) * step;
maxX = ((int)(maxX / step + 0.5)) * step;
count = (int)((maxX - minX) / step);
ResizeableArray <ArgumentValue> res = new ResizeableArray <ArgumentValue>(count + 1);
for (int i = 0; i < count + 1; i++)
{
res[i] = new ArgumentValue()
{
X = minX + i * step
};
}
foreach (var item in data)
{
if (double.IsNaN(item.Value))
{
continue;
}
int index = (int)((item.Value - minX) / step + 0.5);
res[index].Y += 1.0;
}
double del = 100.0 / data.Count;
for (int i = 0; i < count; i++)
{
res[i].Y *= del;
}
return(res);
}
public TickerTradeHistoryInfo DownloadItem(Ticker ticker)
{
SimulationStrategyDataProvider provider = new SimulationStrategyDataProvider();
provider.DownloadProgressChanged += DownloadProgressChanged;
TickerInputInfo info = new TickerInputInfo()
{
Exchange = ticker.Exchange.Type, KlineIntervalMin = 5, Ticker = ticker, TickerName = ticker.Name
};
ResizeableArray <CandleStickData> kline = provider.DownloadCandleStickData(info);
if (kline == null)
{
LogManager.Default.Error("Cannot download candlesticks for " + ticker.Name);
return(null);
}
LogManager.Default.Success("Downloaded candlesticks for " + ticker.Name);
ticker.CandleStickData.AddRange(kline);
ResizeableArray <TradeInfoItem> trades = provider.DownloadTradeHistory(info, ticker.CandleStickData.First().Time);
if (trades == null)
{
LogManager.Default.Error("Cannot download trade history for " + ticker.Name);
return(null);
}
LogManager.Default.Success("Downloaded trade history for " + ticker.Name);
ticker.TradeHistory.AddRange(trades);
TickerTradeHistoryInfo tradeInfo = new TickerTradeHistoryInfo()
{
Ticker = ticker
};
tradeInfo.HistogrammIntervalSec = HistogrammIntervalSec;
return(tradeInfo);
}
public static ResizeableArray <CandleStickData> DownloadCandleStickData(TickerInputInfo info)
{
CachedCandleStickData savedData = new CachedCandleStickData()
{
Exchange = info.Exchange, TickerName = info.TickerName, IntervalMin = info.KlineIntervalMin
};
CachedCandleStickData cachedData = CachedCandleStickData.FromFile(CachedCandleStickData.Directory + "\\" + ((ISupportSerialization)savedData).FileName);
if (cachedData != null)
{
return(cachedData.Items);
}
DateTime start = DateTime.UtcNow;
int intervalInSeconds = info.KlineIntervalMin * 60;
int candleStickCount = 10000;
start = start.AddSeconds(-intervalInSeconds * candleStickCount);
ResizeableArray <CandleStickData> res = new ResizeableArray <CandleStickData>();
List <ResizeableArray <CandleStickData> > splitData = new List <ResizeableArray <CandleStickData> >();
int deltaCount = 500;
for (int i = 0; i < candleStickCount / deltaCount; i++)
{
ResizeableArray <CandleStickData> data = info.Ticker.GetCandleStickData(info.KlineIntervalMin, start, intervalInSeconds * deltaCount);
if (data == null || data.Count == 0)
{
continue;
}
res.AddRange(data);
Thread.Sleep(300);
start = start.AddSeconds(intervalInSeconds * deltaCount);
}
cachedData = savedData;
cachedData.Items = res;
cachedData.Save();
return(res);
}
public TickerDownloadData DownloadItem(TickerInputInfo info, bool downloadCandle)
{
Ticker ticker = info.Ticker;
SimulationStrategyDataProvider provider = new SimulationStrategyDataProvider();
provider.DownloadProgressChanged += DownloadProgressChanged;
if (downloadCandle)
{
ResizeableArray <CandleStickData> kline = provider.DownloadCandleStickData(info);
if (kline == null)
{
LogManager.Default.Error("Cannot download candlesticks for " + ticker.Name);
return(null);
}
LogManager.Default.Success("Downloaded candlesticks for " + ticker.Name);
ticker.CandleStickData.AddRange(kline);
}
ResizeableArray <TradeInfoItem> trades = provider.DownloadTradeHistory(info, info.StartDate);
if (trades == null)
{
LogManager.Default.Error("Cannot download trade history for " + ticker.Name);
return(null);
}
LogManager.Default.Success("Downloaded trade history for " + ticker.Name);
ticker.TradeHistory.AddRange(trades);
TickerDownloadData tradeInfo = new TickerDownloadData()
{
Ticker = ticker
};
tradeInfo.HistogrammIntervalSec = HistogrammIntervalSec;
return(tradeInfo);
}
public static ResizeableArray <ArgumentValue> Calculate(double[] data, int count)
{
double minX = data.Min();
double maxX = data.Max();
double step = (maxX - minX) / count;
minX = ((int)(minX / step)) * step;
maxX = ((int)(maxX / step + 0.5)) * step;
count = (int)((maxX - minX) / step);
ResizeableArray <ArgumentValue> res = new ResizeableArray <ArgumentValue>(count + 1);
for (int i = 0; i < count + 1; i++)
{
res[i] = new ArgumentValue()
{
X = minX + i * step
};
}
for (int i = 0; i < data.Length; i++)
{
if (double.IsNaN(data[i]))
{
continue;
}
int index = (int)((data[i] - minX) / step + 0.5);
res[index].Y += 1.0;
}
double del = 100.0 / data.Length;
for (int i = 0; i < count; i++)
{
res[i].Y *= del;
}
return(res);
}
public StackEnumeratorObject(ResizeableArray <T> owner)
{
Owner = owner;
CurrentIndex = -1;
}
ResizeableArray <TickerTradeHistoryInfoItem> CalcItems()
{
if (TradeHistory.Count == 0)
{
return(new ResizeableArray <TickerTradeHistoryInfoItem>());
}
DateTime min = TradeHistory[0].Time;
DateTime max = TradeHistory.Last().Time;
if (min > max)
{
DateTime tmp = min; min = max; max = tmp;
}
int interval = HistogrammIntervalSec * 1000;
int count = (int)((max - min).TotalMilliseconds / interval + 0.5);
ResizeableArray <TickerTradeHistoryInfoItem> list = new ResizeableArray <TickerTradeHistoryInfoItem>(count + 1);
double k = 1.0 / interval;
for (int i = 0; i < count + 1; i++)
{
list[i] = new TickerTradeHistoryInfoItem()
{
Time = min.AddMilliseconds(i * interval)
};
list[i].Low = double.MaxValue;
list[i].OpenTime = list[i].Time.AddMilliseconds(interval);
list[i].CloseTime = list[i].Time;
}
for (int i = 0; i < TradeHistory.Count; i++)
{
DateTime time = TradeHistory[i].Time;
int index = (int)((time - min).TotalMilliseconds * k);
TickerTradeHistoryInfoItem item = list[index];
TradeInfoItem trade = TradeHistory[i];
item.TradeCount++;
item.TradeVolume += trade.Amount;
if (TradeHistory[i].Type == TradeType.Sell)
{
item.SellCount--;
item.SellVolume -= trade.Amount;
}
else
{
item.BuyCount++;
item.BuyVolume += trade.Amount;
}
if (item.Low > trade.Rate)
{
item.Low = trade.Rate;
}
if (item.High < trade.Rate)
{
item.High = trade.Rate;
}
if (item.OpenTime >= trade.Time)
{
item.OpenTime = trade.Time;
item.Open = trade.Rate;
}
if (item.CloseTime <= trade.Time)
{
item.CloseTime = trade.Time;
item.Close = trade.Rate;
}
}
TickerTradeHistoryInfoItem last = null;
for (int i = 0; i < count + 1; i++)
{
if (list[i].TradeCount == 0)
{
if (last != null)
{
list[i].Open = list[i].Close = list[i].High = list[i].Low = last.Close;
}
else
{
list[i].Open = list[i].Close = list[i].High = list[i].Low = 0;
}
}
else
{
last = list[i];
}
}
for (int i = 0; i < list.Count; i++)
{
CalculateTrendInfo(list, i);
}
return(list);
}
public static double[] ToDouble(ResizeableArray <TimeBaseValue> list)
{
return(list.Select((i) => i.Value).ToArray());
}
