public IndicatorCorrelation(IndicatorWMA wma, IndicatorWMA wmaRef)
: base("Cor_" + (wma.Period / 60) + "_" + wmaRef.SignalStock.Id + "_" + wma.SignalStock.Id, new List<MarketData> { wma.SignalStock })
{
_wma = wma;
_wmaRef = wmaRef;
_periodSeconds = wma.Period;
_periodMilliSeconds = _periodSeconds * 1000m;
if (Config.Settings.ContainsKey("TIME_DECAY_FACTOR"))
_timeDecayWeight = decimal.Parse(Config.Settings["TIME_DECAY_FACTOR"]) / 10.0m;
}
public IndicatorCorrelation(string id, IndicatorWMA wma, IndicatorWMA wmaRef, int periodMinutes)
: base(id, new List<MarketData> { wma.SignalStock })
{
_wma = wma;
_wmaRef = wmaRef;
_periodSeconds = periodMinutes * 60;
_periodMilliSeconds = _periodSeconds * 1000m;
if (Config.Settings.ContainsKey("TIME_DECAY_FACTOR"))
_timeDecayWeight = decimal.Parse(Config.Settings["TIME_DECAY_FACTOR"]) / 10.0m;
}
public override void Subscribe(string[] epics, IHandyTableListener tableListener)
{
Dictionary<string, List<CqlQuote>> priceData = GetReplayData(epics);
foreach (var epic in epics)
{
// for each quote, associate the observed gains in the near future
var mktData = new MarketData(epic);
var wmaLow = new IndicatorWMA(mktData, 10);
var wmaMid = new IndicatorWMA(mktData, 30);
var wmaHigh = new IndicatorWMA(mktData, 90);
var wmaDailyAvg = new IndicatorLevelMean(mktData);
foreach (var quote in priceData[epic])
mktData.TimeSeries.Add(quote.t, new Price(quote.MidPrice()));
foreach (var quote in ExpectedIndicatorData[wmaLow.Id])
wmaLow.TimeSeries.Add(quote.t, new Price(quote.ScaleValue(0, 1)));
foreach (var quote in ExpectedIndicatorData[wmaLow.Id])
wmaLow.TimeSeries.Add(quote.t, new Price(quote.ScaleValue(0, 1)));
var expectations = new Dictionary<DateTime, KeyValuePair<CqlQuote, decimal>>();
var gainDistribution = new SortedList<int, DateTime>();
KeyValuePair<int, DateTime> minProfit = new KeyValuePair<int, DateTime>(1000000, DateTime.MinValue);
KeyValuePair<int, DateTime> maxProfit = new KeyValuePair<int, DateTime>(-1000000, DateTime.MinValue);
var rnd = new Random(155);
var openPrice = priceData[epic][0];
foreach (var quote in priceData[epic])
{
if (quote.t.TimeOfDay < Config.ParseDateTimeLocal(Config.Settings["TRADING_START_TIME"]).TimeOfDay)
continue;
var futureVal = wmaLow.Average(quote.t.AddMinutes(2));
var profit = (int)Math.Round(futureVal.Mid() - quote.MidPrice());
expectations.Add(quote.t, new KeyValuePair<CqlQuote, decimal>(quote, profit));
if (gainDistribution.ContainsKey(profit))
{
if ((quote.t - gainDistribution[profit]).Hours > 3 && (rnd.Next(100) == 0))
gainDistribution[profit] = quote.t;
}
else
gainDistribution[profit] = quote.t;
if (profit < minProfit.Key)
minProfit = new KeyValuePair<int, DateTime>(profit, gainDistribution[profit]);
if (profit > maxProfit.Key)
maxProfit = new KeyValuePair<int, DateTime>(profit, gainDistribution[profit]);
quote.b -= openPrice.MidPrice();
quote.o -= openPrice.MidPrice();
}
int nbPoints = 10;
int idxProfit = 0;
KeyValuePair<int, DateTime> nextProfit = minProfit;
var selection = new SortedList<DateTime, KeyValuePair<int, CqlQuote>>();
while (idxProfit++ < nbPoints)
{
PublisherConnection.Instance.Insert(nextProfit.Value, epic, new Value(nextProfit.Key));
selection.Add(nextProfit.Value, new KeyValuePair<int, CqlQuote>(nextProfit.Key, expectations[nextProfit.Value].Key));
nextProfit = gainDistribution.First(keyVal => keyVal.Key >= ((decimal)minProfit.Key + (decimal)idxProfit * (decimal)(maxProfit.Key - minProfit.Key) / (decimal)nbPoints));
}
foreach (var profit in selection)
{
PublisherConnection.Instance.Insert(gainDistribution[profit.Value.Key], wmaLow, wmaLow.Average(gainDistribution[profit.Value.Key]).Mid() - openPrice.MidPrice());
PublisherConnection.Instance.Insert(gainDistribution[profit.Value.Key], wmaMid, wmaMid.Average(gainDistribution[profit.Value.Key]).Mid() - openPrice.MidPrice());
PublisherConnection.Instance.Insert(gainDistribution[profit.Value.Key], wmaHigh, wmaHigh.Average(gainDistribution[profit.Value.Key]).Mid() - openPrice.MidPrice());
PublisherConnection.Instance.Insert(gainDistribution[profit.Value.Key], wmaDailyAvg, wmaDailyAvg.Average().Mid() - openPrice.MidPrice());
}
priceData[epic] = selection.Values.Select(keyVal => keyVal.Value).ToList();
}
replay(priceData, tableListener);
}
