/// <summary>
/// The lowest low for the barlist, considering so many bars back.
/// </summary>
/// <param name="b">The barlist.</param>
/// <param name="barsback">The barsback to consider.</param>
/// <returns></returns>
public static decimal LL(BarList b, int barsback)
{ // gets lowest low
if (barsback > b.Count) barsback = b.Count;
decimal ll = decimal.MaxValue;
for (int i = b.Last; i > (b.Count - barsback); i--) ll = (b.Get(i).Low < ll) ? b.Get(i).Low : ll;
return ll;
}
/// <summary>
/// Returns the highest-high of the barlist, for so many bars back.
/// </summary>
/// <param name="b">The barlist.</param>
/// <param name="barsback">The barsback to consider.</param>
/// <returns></returns>
public static decimal HH(BarList b, int barsback)
{// gets highest high
if (barsback > b.Count) barsback = b.Count;
decimal hh = decimal.MinValue;
for (int i = b.Last; i > (b.Count - barsback); i--) hh = (b.Get(i).High > hh) ? b.Get(i).High : hh;
return hh;
}
/// <summary>
/// The lowest low for the barlist, considering so many bars back.
/// </summary>
/// <param name="b">The barlist.</param>
/// <param name="barsback">The barsback to consider.</param>
/// <returns></returns>
public static decimal LL(BarList b, int barsback)
{ // gets lowest low
if (barsback > b.Count)
{
barsback = b.Count;
}
decimal ll = decimal.MaxValue;
for (int i = b.Last; i > (b.Count - barsback); i--)
{
ll = (b.Get(i).Low < ll) ? b.Get(i).Low : ll;
}
return(ll);
}
/// <summary>
/// Returns the highest-high of the barlist, for so many bars back.
/// </summary>
/// <param name="b">The barlist.</param>
/// <param name="barsback">The barsback to consider.</param>
/// <returns></returns>
public static decimal HH(BarList b, int barsback)
{// gets highest high
if (barsback > b.Count)
{
barsback = b.Count;
}
decimal hh = decimal.MinValue;
for (int i = b.Last; i > (b.Count - barsback); i--)
{
hh = (b.Get(i).High > hh) ? b.Get(i).High : hh;
}
return(hh);
}
public bool newBar(BarList bl)
{
if (!bl.isValid) return false;
Bar obar = bl.Get(bl.Last);
if (!isbarcons) throw new Exception("You can't call a newBar method without using the right constructor.");
if (bl.NewBar)
{
count++;
decimal open = obar.Open;
l.Add(open);
if (l.Count > lookback)
{
l.RemoveAt(0);
count--;
}
sum = 0;
sumsqtrade = 0;
foreach (decimal v in l)
{
sum += v;
sumsqtrade = sumsqtrade + v * v;
}
mean = sum / count;
devavg = (sumsqtrade - sum * sum / count) / count;
}
sd = Math.Sqrt((double)devavg);
ub = mean + sds * (decimal)sd;
lb = mean - sds * (decimal)sd;
return true;
}
public int Test(List<FileInfo> tf)
{
show("Starting run "+name+" containing "+ tf.Count + " symbols."+Environment.NewLine);
int totfills = 0;
int totalticks = approxticks(tf);
for (int i = 1; i <= tf.Count; i++) // loop through the list
{
FileInfo f = tf[i-1];
Match m = Regex.Match(f.Name, "([0-9]+)", RegexOptions.IgnoreCase);
int date = Convert.ToInt32(m.Result("$1"));
LoadIndexFiles(date);
TickFile(f.Name); // set current file
if (f.Length == 0) continue; // ignore if tick file is empty
show(Environment.NewLine);
show("Symbol " + this.symbol + " (" + i + " of " + tf.Count + ") ");
// reset per-symbol statistics
if (mybox!=null) mybox.Reset();
bl = new BarList((BarInterval)bint, symbol);
int fills = 0;
tick = new eSigTick(); // reset our tick
int itime = 0;
BoxInfo bi = new BoxInfo();
while (this.getTick() && tick.hasTick)
{ // process the ticks
line++;
if ((line % 5000) == 0) show(".");
if (((itime==0) || (itime!=tick.time)))
{
// load all the indicies for this time
List<Index> itix = FetchIdx(tick.time);
itime = tick.time;
// send them to the box (before we send the tix)
for (int id = 0; id < itix.Count; id++)
mybox.NewIndex(itix[id]);
}
if ((this.exfilter != "") &&
((!tick.isTrade && (!tick.be.Contains(exfilter) || !tick.oe.Contains(exfilter))) ||
(tick.isTrade && tick.ex.Contains(exfilter)))) continue;
if ((bi.Open == 0) && tick.isTrade)
bi.Open = tick.trade;
if (tick.trade > bi.High) bi.High = tick.trade;
if (tick.trade < bi.Low) bi.Low = tick.trade;
bl.AddTick(tick); // save our tick to a bar
if (bl.Has(2) && bl.Get(bl.Last-1).DayEnd)
{ // we hit a new day in the same file, reset day stuff and set our DayEndTime
bl.Reset();
bl.AddTick(tick); // put our tick back
if (mybox!=null) mybox.Reset();
SetDayClose(); // this has to be run after mybox.Reset!!!
}
// execute any pending orders on this tick
if (mybroker.GetOrderList().Count>0) fills += mybroker.Execute(tick);
// trade box on this tick, if he generates any orders then send them
if (mybox != null)
{
mybroker.sendOrder(
mybox.Trade(tick, bl, mybroker.GetOpenPosition(this.symbol), bi));
// quit early if box shuts itself off and no pending orders
if (mybox.Off && (mybroker.GetOrderList().Count == 0)) break;
}
if (this.delay != 0)
{
System.Threading.Thread.Sleep(this.delay);
System.Threading.Thread.CurrentThread.Priority = System.Threading.ThreadPriority.Lowest;
}
this.ReportProgress((int)((100*line) / totalticks));
}
show(fills+" executions.");
totfills += fills;
this.cf.Close();
}
show(Environment.NewLine);
show(name+" complete: "+tf.Count+" symbols, "+ totfills + " executions."+Environment.NewLine);
return totfills;
}
void Chart_Paint(object sender, PaintEventArgs e)
{
if (bl != null)
{
highesth = BarMath.HH(bl);
lowestl = BarMath.LL(bl);
barc = bl.Count;
}
if ((bl == null) || (bl.Count == 0))
{
return;
}
Text = Title;
r = ClientRectangle;
pixperbar = (((decimal)r.Width - (decimal)border - ((decimal)border / 3)) / (decimal)barc);
pixperdollar = (((decimal)r.Height - (decimal)border * 2) / (highesth - lowestl));
Pen p = new Pen(Color.Black);
g = e.Graphics;
Form f = (Form)sender;
g.Clear(f.BackColor);
Color fgcol = (f.BackColor == Color.Black) ? Color.White : Color.Black;
// x-axis
g.DrawLine(new Pen(fgcol), (int)(border / 3), r.Height - border, r.Width - border, r.Height - border);
// y-axis
g.DrawLine(new Pen(fgcol), r.Width - border, r.Y + border, r.Width - border, r.Height - border);
const int minxlabelwidth = 15;
int lastlabelcoord = -500;
for (int i = 0; i < barc; i++)
{
Color bcolor = (bl.Get(i).Close > bl.Get(i).Open) ? Color.Green : Color.Red;
p = new Pen(bcolor);
// draw high/low bar
g.DrawLine(p, getX(i), getY(bl.Get(i).Low), getX(i), getY(bl.Get(i).High));
// draw open bar
g.DrawLine(p, getX(i), getY(bl.Get(i).Open), getX(i) - (int)(pixperbar / 3), getY(bl.Get(i).Open));
// draw close bar
g.DrawLine(p, getX(i), getY(bl.Get(i).Close), getX(i) + (int)(pixperbar / 3), getY(bl.Get(i).Close));
// draw time labels (time @30min and date@noon)
if (bl.Int != BarInterval.Day)
{
if ((i % 6) == 0)
{
g.DrawString(bl.Get(i).Bartime.ToString(), f.Font, new SolidBrush(fgcol), getX(i), r.Height - (f.Font.GetHeight() * 3));
}
if (bl.Get(i).Bartime == 1200)
{
g.DrawString(bl.Get(i).Bardate.ToString(), f.Font, new SolidBrush(fgcol), getX(i), r.Height - (float)(f.Font.GetHeight() * 1.5));
}
}
else
{
int[] date = BarMath.Date(bl.Get(i).Bardate);
int[] lastbardate = date;
if ((i - 1) > 0)
{
lastbardate = BarMath.Date(bl.Get(i - 1).Bardate);
}
if ((getX(lastlabelcoord) + minxlabelwidth) <= getX(i))
{
lastlabelcoord = i;
g.DrawString(date[2].ToString(), f.Font, new SolidBrush(fgcol), getX(i), r.Height - (f.Font.GetHeight() * 3));
}
if ((i == 0) || (lastbardate[1] != date[1]))
{
string ds = date[1].ToString();
if ((i == 0) || (lastbardate[0] != date[0]))
{
ds += '/' + date[0].ToString();
}
g.DrawString(ds, f.Font, new SolidBrush(fgcol), getX(i), r.Height - (float)(f.Font.GetHeight() * 1.5));
}
}
}
// DRAW YLABELS
// max number of even intervaled ylabels possible on yaxis
int numlabels = (int)((r.Height - border * 2) / (f.Font.GetHeight() * 1.5));
// nearest price units giving "pretty" even intervaled ylabels
decimal priceunits = NearestPrettyPriceUnits(highesth - lowestl, numlabels);
// starting price point from low end of range, including lowest low in barlist
decimal lowstart = lowestl - ((lowestl * 100) % (priceunits * 100)) / 100;
// original "non-pretty" price units calc
//decimal priceunits = (highesth-lowestl)/numlabels;
Pen priceline = new Pen(Color.BlueViolet);
priceline.DashStyle = System.Drawing.Drawing2D.DashStyle.Dot;
for (decimal i = 0; i <= numlabels; i++)
{
decimal price = lowstart + (i * priceunits);
g.DrawString(price.ToString("C"), f.Font, new SolidBrush(fgcol), r.Width - border, getY(price) - f.Font.GetHeight());
g.DrawLine(priceline, border / 3, getY(price), r.Width - border, getY(price));
}
DrawLabels();
}