/// <summary>
/// Get stock historical price from Yahoo Finance
/// </summary>
/// <param name="symbol">Stock ticker symbol</param>
/// <param name="start">Starting datetime</param>
/// <param name="end">Ending datetime</param>
/// <returns>List of history price</returns>
public async Task <StockReportDto> GetReportViaYahoo(string symbol, DateTime start, DateTime end, string eventCode)
{
var historyPrices = new List <StockBarDto>();
try
{
var csvData = GetRaw(symbol, start, end, eventCode);
if (csvData != null)
{
historyPrices = Parse(csvData);
}
}
catch (Exception ex)
{
this._consoleHubProxy.WriteLine(ConsoleWriteLineInput.Create($"Unable to retrieve bars for: {symbol}"));
return(new StockReportDto {
StartDate = start, EndDate = end, StockBars = historyPrices, FailedToRetrieveBars = true
});
}
return(new StockReportDto {
StartDate = start, EndDate = end, StockBars = historyPrices
});
}
public async Task <List <TosMarketDto> > LoadAndScrape(bool scrape = true)
{
List <TosMarketDto> markets = new List <TosMarketDto>();
try
{
using (TextReader reader = File.OpenText("Files\\TOS_AllFutures.csv"))
{
var csv = new CsvReader(reader);
csv.Configuration.RegisterClassMap <TosMarketDtoMap>();
markets = csv.GetRecords <TosMarketDto>().ToList();
markets.RemoveAll(x => x.Symbol == "GLB");
}
if (scrape)
{
await Task.WhenAll(markets.Select(x => Scrape(x)));
}
}
catch (Exception ex)
{
this._consoleHubProxy.WriteLine(ConsoleWriteLineInput.Create($"Exception: {ex.Message} {Environment.NewLine} Stacktrace: {ex.StackTrace}"));
}
return(markets);
}
private async Task <StockUpdatePriceAndDatesDto> ScrapePriceAndDates(Stock stock)
{
this._consoleHubProxy.WriteLine(ConsoleWriteLineInput.Create($"ScrapePriceAndDates for : {stock.Symbol}"));
StockUpdatePriceAndDatesDto dto = stock.MapTo <StockUpdatePriceAndDatesDto>();
using (WebClient webClient = new WebClient())
{
String html = await webClient.DownloadStringTaskAsync(String.Format(YahooUrl, stock.Symbol));
var matches = _regexExDividendDate.Matches(html);
dto.ExDividendDate = null;
DateTime exDividendDate = DateTime.MinValue;
if (matches.Count > 0 && DateTime.TryParse(matches[0].Groups["ExDividendDate"].Value, out exDividendDate))
{
dto.ExDividendDate = exDividendDate;
}
matches = _regexTargetPrice.Matches(html);
dto.TargetPrice = null;
Decimal targetPrice = 0m;
if (matches.Count > 0 && Decimal.TryParse(matches[0].Groups["TargetPrice"].Value, out targetPrice))
{
dto.TargetPrice = targetPrice;
}
matches = _regexNextEarningsDate.Matches(html);
dto.NextEarningsDate = null;
DateTime nextEarningsDate = DateTime.MinValue;
if (matches.Count > 0 && DateTime.TryParse(matches[0].Groups["NextEarningsDate"].Value, out nextEarningsDate))
{
dto.NextEarningsDate = nextEarningsDate;
}
matches = _regexPrice.Matches(html);
dto.Price = 0m;
Decimal price = 0m;
if (matches.Count > 0 && Decimal.TryParse(matches[0].Groups["Price"].Value, out price))
{
dto.Price = price;
}
matches = _regexAvgVolume.Matches(html);
dto.AvgVolume = 0;
int avgVolume = 0;
if (matches.Count > 0 && Int32.TryParse(matches[0].Groups["AvgVolume"].Value.Replace(",", String.Empty), out avgVolume))
{
dto.AvgVolume = avgVolume;
}
if (dto.AvgVolume.HasValue)
{
dto.ADV = dto.AvgVolume.Value * dto.Price;
}
}
return(dto);
}
public void UpdateCoveredStockPositions(TradeFromPasteDto dto)
{
try
{
List <TradeDto> trades;
using (var unitOfWork = this.UnitOfWorkManager.Begin())
{
trades = _objectMapper.Map <List <TradeDto> >(_repository.GetAllIncluding(x => x.CoveredCallOption, x => x.Stock).Where(x => x.TradingAccountId == dto.TradingAccountId &&
x.ExitReason == TradeExitReasons.None && x.CoveredCallOptionId.HasValue).ToList());
unitOfWork.Complete();
}
dto.ToUpdateCoveredCalls(trades);
foreach (TradeDto trade in trades)
{
using (var unitOfWork = this.UnitOfWorkManager.Begin())
{
SaveOptionTrade(trade, dto.Date);
unitOfWork.Complete();
}
}
}
catch (Exception ex)
{
this._consoleHubProxy.WriteLine(ConsoleWriteLineInput.Create($"Exception: {ex.Message} {Environment.NewLine} Stacktrace: {ex.StackTrace}"));
}
}
public void RecognizeText(int id)
{
Screenshot screenshot = this._repository.Get(id);
//var i = new System.Drawing.Bitmap(new MemoryStream(screenshot.Data));
//i.Save("image.bmp");
using (var engine = new TesseractEngine(@"./tessdata", "eng", EngineMode.Default))
{
using (var image = new System.Drawing.Bitmap(new MemoryStream(screenshot.Data)))
{
using (var pix = PixConverter.ToPix(image))
{
using (var page = engine.Process(pix))
{
var text = page.GetText();
Console.WriteLine("Mean confidence: {0}", page.GetMeanConfidence());
Console.WriteLine("Text (GetText): \r\n{0}", text);
Console.WriteLine("Text (iterator):");
using (var iter = page.GetIterator())
{
iter.Begin();
do
{
do
{
do
{
do
{
if (iter.IsAtBeginningOf(PageIteratorLevel.Block))
{
Console.WriteLine("<BLOCK>");
}
var t = iter.GetText(PageIteratorLevel.Word);
this._consoleHubProxy.WriteLine(ConsoleWriteLineInput.Create(t));
Console.Write(" ");
if (iter.IsAtFinalOf(PageIteratorLevel.TextLine, PageIteratorLevel.Word))
{
Console.WriteLine();
}
} while (iter.Next(PageIteratorLevel.TextLine, PageIteratorLevel.Word));
if (iter.IsAtFinalOf(PageIteratorLevel.Para, PageIteratorLevel.TextLine))
{
Console.WriteLine();
}
} while (iter.Next(PageIteratorLevel.Para, PageIteratorLevel.TextLine));
} while (iter.Next(PageIteratorLevel.Block, PageIteratorLevel.Para));
} while (iter.Next(PageIteratorLevel.Block));
}
}
}
}
}
}
private async Task <StockDto> ReportWrapper(Stock stock, DateTime date, int period, int lookback)
{
StockDto dto = stock.MapTo <StockDto>();
dto.StockReports = await GetReports(stock.Symbol, date, period, lookback);
this._consoleHubProxy.WriteLine(ConsoleWriteLineInput.Create($"Generating reports for : {stock.Symbol}"));
return(dto);
}
public void Simulate(List <Trade> sample, List <Market> markets, IConsoleHubProxy consoleHubProxy)
{
Random random = new Random(Clock.Now.Millisecond);
int sampleSize = sample.Count;
List <MonteCarloSimulationIteration> iterations = new List <MonteCarloSimulationIteration>();
for (int i = 0; i < this.NumberOfIterations; i++)
{
consoleHubProxy.WriteLine(ConsoleWriteLineInput.Create($"Simulation iteration {i+1} of {this.NumberOfIterations}"));
MonteCarloSimulationIteration iteration = new MonteCarloSimulationIteration();
for (int j = 0; j < this.NumberOfTradesPerIteration; j++)
{
MonteCarloSimulationTrade trade = new MonteCarloSimulationTrade {
NetProfit = sample[random.Next(sampleSize)].ProfitLossPerContract
};
iteration.Trades.Add(trade);
trade.CumulativeProfit = iteration.Trades.Sum(x => x.NetProfit);
trade.Drawdown = trade.CumulativeProfit - iteration.Trades.Max(x => x.CumulativeProfit);
if (trade.NetProfit < 0)
{
if (iteration.Trades.Count == 1)
{
trade.ConsecutiveLosses = 1;
}
else
{
trade.ConsecutiveLosses = iteration.Trades[iteration.Trades.Count - 2].ConsecutiveLosses + 1;
}
}
}
iteration.CumulativeProfit = iteration.Trades.Last().CumulativeProfit;
iteration.MaxDrawdown = iteration.Trades.Min(x => x.Drawdown);
iteration.ConsecutiveLosses = iteration.Trades.Max(x => x.ConsecutiveLosses);
iterations.Add(iteration);
}
this.CumulativeProfit = Extensions.Percentile <Decimal>(iterations.Select(x => x.CumulativeProfit).ToList(), 1.0m - this.CumulativeProfitK);
this.TradingEdge = this.CumulativeProfit > 0;
this.ConsecutiveLosses = Extensions.Percentile <int>(iterations.Select(x => x.ConsecutiveLosses).ToList(), this.ConsecutiveLossesK);
this.MaxDrawdown = Extensions.Percentile <Decimal>(iterations.Select(x => x.MaxDrawdown).ToList(), 1.0m - this.MaxDrawdownK);
this.OneContractFunds = this.RuinPoint + (this.MaxDrawdownMultiple * Math.Abs(this.MaxDrawdown));
this.MaxContracts = (int)Math.Floor(this.AccountSize / this.OneContractFunds);
foreach (Market market in markets)
{
this.MarketMaxContractsList.Add(new MarketMaxContracts {
Symbol = market.Symbol, Size = (int)Math.Floor(this.AccountSize / (market.InitialMargin + 10m + (this.MaxDrawdownMultiple * Math.Abs(this.MaxDrawdown))))
});
}
}
public void WriteLine(ConsoleWriteLineInput consoleWriteLineInput)
{
//var client = new RestClient(this._settingManager.GetSettingValue("Path"));
var client = new RestClient(ConfigurationManager.AppSettings["Path"]);
var request = new RestRequest("ConsoleSignalR/WriteLine", Method.POST);
request.RequestFormat = DataFormat.Json;
request.AddJsonBody(new { input = consoleWriteLineInput });
RestResponse response = (RestResponse)client.Execute(request);
//});
}
/// <summary>
/// Get raw stock historical price from Yahoo Finance
/// </summary>
/// <param name="symbol">Stock ticker symbol</param>
/// <param name="start">Starting datetime</param>
/// <param name="end">Ending datetime</param>
/// <returns>Raw history price string</returns>
public string GetRaw(string symbol, DateTime start, DateTime end, string eventCode)
{
string csvData = null;
try
{
var url = "https://query1.finance.yahoo.com/v7/finance/download/{0}?period1={1}&period2={2}&interval=1d&events={3}&crumb={4}";
//if no token found, refresh it
if (string.IsNullOrEmpty(Token.Cookie) | string.IsNullOrEmpty(Token.Crumb))
{
if (!Token.Refresh(symbol))
{
return(GetRaw(symbol, start, end, eventCode));
}
}
url = string.Format(url, symbol, Math.Round(Time.DateTimeToUnixTimeStamp(start), 0), Math.Round(Time.DateTimeToUnixTimeStamp(end), 0), eventCode, Token.Crumb);
using (var wc = new WebClient())
{
wc.Headers.Add(HttpRequestHeader.Cookie, Token.Cookie);
csvData = wc.DownloadString(url);
}
}
catch (WebException webEx)
{
var response = (HttpWebResponse)webEx.Response;
//Re-fecthing token
if (response.StatusCode == HttpStatusCode.Unauthorized)
{
//Debug.Print(webEx.Message);
//Token.Reset();
//Debug.Print("Re-fetch");
return(GetRaw(symbol, start, end, eventCode));
}
throw;
}
catch (Exception ex)
{
this._consoleHubProxy.WriteLine(ConsoleWriteLineInput.Create($"Exception: {ex.Message} {Environment.NewLine} Stacktrace: {ex.StackTrace}"));
}
return(csvData);
}
public void AddTradeFromPaste(TradeFromPasteDto dto)
{
try
{
foreach (TradeDto trade in dto.ToFutureTradeDto(_marketRepository.GetAllList()))
{
using (var unitOfWork = this.UnitOfWorkManager.Begin())
{
Save(trade);
unitOfWork.Complete();
}
}
}
catch (Exception ex)
{
this._consoleHubProxy.WriteLine(ConsoleWriteLineInput.Create($"Exception: {ex.Message} {Environment.NewLine} Stacktrace: {ex.StackTrace}"));
}
}
public void OpenCoveredStockPositions(TradeFromPasteDto dto)
{
try
{
foreach (TradeDto trade in dto.ToOpenCoveredCalls(_stockRepository.GetAllList()))
{
using (var unitOfWork = this.UnitOfWorkManager.Begin())
{
SaveOptionTrade(trade, dto.Date);
unitOfWork.Complete();
}
}
}
catch (Exception ex)
{
this._consoleHubProxy.WriteLine(ConsoleWriteLineInput.Create($"Exception: {ex.Message} {Environment.NewLine} Stacktrace: {ex.StackTrace}"));
}
}
/// <summary>
/// Parse raw historical price data into list
/// </summary>
/// <param name="csvData"></param>
/// <returns></returns>
private List <StockBarDto> Parse(string csvData)
{
var hps = new List <StockBarDto>();
try
{
var rows = csvData.Split(Convert.ToChar(10));
//row(0) was ignored because is column names
//data is read from oldest to latest
for (var i = 1; i <= rows.Length - 1; i++)
{
var row = rows[i];
if (string.IsNullOrEmpty(row))
{
continue;
}
var cols = row.Split(',');
if (cols[1] == "null")
{
continue;
}
var hp = new StockBarDto
{
Date = DateTime.Parse(cols[0]),
Open = Convert.ToDecimal(cols[1]),
High = Convert.ToDecimal(cols[2]),
Low = Convert.ToDecimal(cols[3]),
//Close = Convert.ToDecimal(cols[4]),
Close = Convert.ToDecimal(cols[5])
};
hps.Add(hp);
}
}
catch (Exception ex)
{
this._consoleHubProxy.WriteLine(ConsoleWriteLineInput.Create($"Exception: {ex.Message} {Environment.NewLine} Stacktrace: {ex.StackTrace}"));
}
return(hps);
}
public async Task GenerateReports(GenerateStockReportsInput input)
{
try
{
//this._sqlExecuter.Execute("DELETE FROM [GuerillaTrader].[dbo].[StockReports]");
List <Stock> stocks = new List <Stock>();
using (var unitOfWork = this.UnitOfWorkManager.Begin())
{
stocks = this._repository.GetAllIncluding(x => x.StockReports.Select(y => y.StockBars)).ToList();
unitOfWork.Complete();
}
int pageSize = 50;
int pageCount = (int)Math.Ceiling(((Double)stocks.Count / (Double)pageSize));
for (int i = 0; i < pageCount; i++)
{
this._consoleHubProxy.WriteLine(ConsoleWriteLineInput.Create($"Page {i + 1} of {pageCount}..."));
using (var unitOfWork = this.UnitOfWorkManager.Begin())
{
List <StockDto> dtos = (await Task.WhenAll(stocks.Skip(i * pageSize).Take(pageSize).Select(x => ReportWrapper(x, input.StartDate, input.Period, input.Lookback)).ToArray())).ToList();
foreach (StockDto dto in dtos)
{
dto.SetStats(input.Period);
Save(dto);
}
unitOfWork.Complete();
}
this._consoleHubProxy.WriteLine(ConsoleWriteLineInput.Create($"Page {i + 1} of {pageCount} finished."));
}
}
catch (Exception ex)
{
this._consoleHubProxy.WriteLine(ConsoleWriteLineInput.Create($"Exception: {ex.Message} {Environment.NewLine} Stacktrace: {ex.StackTrace}"));
}
}
public void UpdateTaxProperties()
{
List <TaxRateStockDto> taxRateStocks = new List <TaxRateStockDto>();
using (TextReader reader = File.OpenText("Files\\SP500TaxRates.csv"))
{
var csv = new CsvReader(reader);
csv.Configuration.RegisterClassMap <TaxRateStockDtoMap>();
taxRateStocks = csv.GetRecords <TaxRateStockDto>().ToList();
}
List <Stock> stocks = _repository.GetAllList();
foreach (Stock stock in stocks)
{
TaxRateStockDto dto = taxRateStocks.FirstOrDefault(x => x.CompanyName.StartsWith(stock.Name, StringComparison.InvariantCulture));
if (dto == null)
{
this._consoleHubProxy.WriteLine(ConsoleWriteLineInput.Create($"{stock.Name}: {stock.Symbol}"));
}
}
}
public async Task UpdatePriceAndDates()
{
try
{
List <Stock> stocks = new List <Stock>();
using (var unitOfWork = this.UnitOfWorkManager.Begin())
{
//stocks = this._repository.GetAll().Where(x => x.Symbol == "GOOGL").ToList();
stocks = this._repository.GetAll().ToList();
unitOfWork.Complete();
}
int pageSize = 50;
int pageCount = (int)Math.Ceiling(((Double)stocks.Count / (Double)pageSize));
for (int i = 0; i < pageCount; i++)
{
this._consoleHubProxy.WriteLine(ConsoleWriteLineInput.Create($"Page {i + 1} of {pageCount}..."));
using (var unitOfWork = this.UnitOfWorkManager.Begin())
{
List <StockUpdatePriceAndDatesDto> dtos = (await Task.WhenAll(stocks.Skip(i * pageSize).Take(pageSize).Select(x => ScrapePriceAndDates(x)).ToArray())).ToList();
foreach (StockUpdatePriceAndDatesDto dto in dtos)
{
Save(dto);
}
unitOfWork.Complete();
}
this._consoleHubProxy.WriteLine(ConsoleWriteLineInput.Create($"Page {i + 1} of {pageCount} finished."));
}
}
catch (Exception ex)
{
this._consoleHubProxy.WriteLine(ConsoleWriteLineInput.Create($"Exception: {ex.Message} {Environment.NewLine} Stacktrace: {ex.StackTrace}"));
}
}
public ActionResult WriteLine(ConsoleWriteLineInput input)
{
this._consoleHub.WriteLine(input);
return(this.Json(new { success = true }));
}
public void WriteLine(ConsoleWriteLineInput input)
{
Clients.All.writeLine(input.Line);
}
private async Task <StockReportDto> GetReportViaGoogle(String symbol, DateTime start, DateTime end)
{
try
{
var startdate = ((ConvertMonths)start.Month).ToString()
+ @"+" + start.Day.ToString()
+ @"%2C+" + start.Year.ToString();
var enddate = ((ConvertMonths)end.Month).ToString()
+ @"+" + end.Day.ToString()
+ @"%2C+" + end.Year.ToString();
// Create the Google formatted URL.
var url = string.Format(UrlPrototypeDaily, symbol, startdate, enddate);
// Download the data from Google.
string[] lines;
using (var client = new WebClient())
{
var data = client.DownloadString(url);
lines = data.Split('\n');
}
// first line is header
var currentLine = 1;
List <StockBarDto> bars = new List <StockBarDto>();
while (currentLine < lines.Length - 1)
{
// Format: Date,Open,High,Low,Close,Volume
var columns = lines[currentLine].Split(',');
// date format: DD-Mon-YY, e.g. 27-Sep-16
var DMY = columns[0].Split('-');
// date = 20160927
var day = DMY[0].ToInt32();
var month = (int)Enum.Parse(typeof(ConvertMonths), DMY[1]);
var year = (DMY[2].ToInt32() > 70) ? 1900 + DMY[2].ToInt32() : 2000 + DMY[2].ToInt32();
var time = new DateTime(year, month, day, 0, 0, 0);
// occasionally, the columns will have a '-' instead of a proper value
List <Decimal?> ohlc = new List <Decimal?>()
{
columns[1] != "-" ? (Decimal?)columns[1].ToDecimal() : null,
columns[2] != "-" ? (Decimal?)columns[2].ToDecimal() : null,
columns[3] != "-" ? (Decimal?)columns[3].ToDecimal() : null,
columns[4] != "-" ? (Decimal?)columns[4].ToDecimal() : null
};
if (ohlc.Where(val => val == null).Count() > 0)
{
// let's try hard to fix any issues as good as we can
// this code assumes that there is at least 1 good value
if (ohlc[1] == null)
{
ohlc[1] = ohlc.Where(val => val != null).Max();
}
if (ohlc[2] == null)
{
ohlc[2] = ohlc.Where(val => val != null).Min();
}
if (ohlc[0] == null)
{
ohlc[0] = ohlc.Where(val => val != null).Average();
}
if (ohlc[3] == null)
{
ohlc[3] = ohlc.Where(val => val != null).Average();
}
//Log.Error(string.Format("Corrupt bar on {0}: {1},{2},{3},{4}. Saved as {5},{6},{7},{8}.",
// columns[0], columns[1], columns[2], columns[3], columns[4],
// ohlc[0], ohlc[1], ohlc[2], ohlc[3]));
}
//long volume = columns[5].ToInt64();
bars.Add(new StockBarDto {
Date = time, Open = (Decimal)ohlc[0], High = (Decimal)ohlc[1], Low = (Decimal)ohlc[2], Close = (Decimal)ohlc[3]
});
currentLine++;
}
return(new StockReportDto {
StartDate = start, EndDate = end, StockBars = bars
});
}
catch
{
this._consoleHubProxy.WriteLine(ConsoleWriteLineInput.Create($"Unable to retrieve bars for: {symbol}"));
return(new StockReportDto {
StartDate = start, EndDate = end, StockBars = new List <StockBarDto>(), FailedToRetrieveBars = true
});
}
}
