private void ImportBtn_Click(object sender, RoutedEventArgs e)
{
Stopwatch sw = new Stopwatch();
sw.Start();
//check that we've got the relevant data needed
if (!Data.Columns.Contains("Date") && !Data.Columns.Contains("DateTime"))
{
MessageBox.Show("Must have a date column.");
return;
}
if ((BarSize)FrequencyComboBox.SelectedItem < BarSize.OneDay && !Data.Columns.Contains("DateTime") && !Data.Columns.Contains("Time"))
{
MessageBox.Show("Must have time column at this frequency");
return;
}
if (!Data.Columns.Contains("Open") ||
!Data.Columns.Contains("High") ||
!Data.Columns.Contains("Low") ||
!Data.Columns.Contains("Close"))
{
MessageBox.Show("Must have all OHLC columns.");
return;
}
//make sure the timezone is set, and get it
if (string.IsNullOrEmpty(_instrument.Exchange.Timezone))
{
MessageBox.Show("Instrument's exchange has no set timezone, can't import.");
return;
}
//todo make sure the user has picked the right frequency
var tzInfo = TimeZoneInfo.FindSystemTimeZoneById(_instrument.Exchange.Timezone);
//get the multipliers
decimal priceMultiplier;
int volumeMultiplier;
bool parseWorked = decimal.TryParse(PriceMultiplier.Text, out priceMultiplier);
if (!parseWorked) priceMultiplier = 1;
parseWorked = int.TryParse(VolumeMultiplier.Text, out volumeMultiplier);
if (!parseWorked) volumeMultiplier = 1;
//lines to skip
int toSkip;
parseWorked = int.TryParse(StartingLine.Text, out toSkip);
if(!parseWorked) toSkip = 1;
//get the frequency
var frequency = (BarSize)FrequencyComboBox.SelectedItem;
//separator
char[] separator = DelimiterBox.Text.ToCharArray();
List<OHLCBar> bars = new List<OHLCBar>();
string[] columns = new string[Data.Columns.Count];
for (int i = 0; i < Data.Columns.Count; i++)
{
columns[i] = Data.Columns[i].ColumnName;
}
//determining time: if the freq is >= one day, then the time is simply the session end for this day
Dictionary<int, TimeSpan> sessionEndTimes = new Dictionary<int, TimeSpan>();
//1 day and up: we can load it all in one go with no trouble, also may require adjustment
bool periodicSaving = frequency < BarSize.OneDay;
OHLCBar bar;
var barsCount = 0;
using (StreamReader sr = new StreamReader(FilePathTextBox.Text))
{
string line;
while ((line = sr.ReadLine()) != null)
{
barsCount++;
if (barsCount < toSkip) continue;
try
{
bar = ParseLine(line.Split(separator), columns, priceMultiplier, volumeMultiplier);
}
catch (Exception ex)
{
MessageBox.Show("Importing error: " + ex.Message);
return;
}
//only add the bar if it falls within the specified date range
if (bar.DT >= MinDT.Value && bar.DT <= MaxDT.Value)
{
bars.Add(bar);
}
if (periodicSaving && bars.Count > 1000)
{
//convert to exchange timezone
ConvertTimeZone(bars, tzInfo);
//low frequencies, < 1 day. No adjustment required and inserting data at intervals instead of all at once
using (var storage = new MySQLStorage())
{
try
{
storage.AddData(bars, _instrument, frequency, OverwriteCheckbox.IsChecked.HasValue && OverwriteCheckbox.IsChecked.Value, false);
}
catch (Exception ex)
{
MessageBox.Show("Error: " + ex.Message);
}
}
bars.Clear();
}
}
}
if (bars.Count == 0) return;
//convert to exchange timezone
ConvertTimeZone(bars, tzInfo);
//if only the date column is set, we need to get the session info and generate the closing time ourselves
if (frequency >= BarSize.OneDay && !Data.Columns.Contains("Time") && !Data.Columns.Contains("DateTime"))
{
//get the closing time for every day of the week
var dotwValues = MyUtils.GetEnumValues<DayOfTheWeek>();
foreach (DayOfTheWeek d in dotwValues)
{
if (_instrument.Sessions.Any(x => x.ClosingDay == d && x.IsSessionEnd))
{
var endTime = _instrument.Sessions.First(x => x.ClosingDay == d && x.IsSessionEnd).ClosingTime;
sessionEndTimes.Add((int)d, endTime);
}
else
{
sessionEndTimes.Add((int)d, TimeSpan.FromSeconds(0));
}
}
for (int i = 0; i < bars.Count; i++)
{
int dayOfWeek = bars[i].DT.DayOfWeek.ToInt();
bars[i].DT = bars[i].DT.Date + sessionEndTimes[dayOfWeek];
}
}
//if there are no dividends/splits, but there IS an adjclose column, use that to adjust data right here
//if there are divs/splits, adjustment will be done by the local storage
if (frequency >= BarSize.OneDay && !Data.Columns.Contains("Dividends") && !Data.Columns.Contains("Splits") && Data.Columns.Contains("AdjClose"))
{
//if we have an adjusted close to work off of, we just use the ratio to get the OHL
for (int i = 0; i < bars.Count; i++)
{
if (bars[i].AdjClose == null) continue;
decimal ratio = bars[i].AdjClose.Value / bars[i].Close;
bars[i].AdjOpen = bars[i].Open * ratio;
bars[i].AdjHigh = bars[i].High * ratio;
bars[i].AdjLow = bars[i].Low * ratio;
}
}
//sort by date
if(frequency >= BarSize.OneDay)
bars.Sort((x, y) => x.DT.CompareTo(y.DT));
//try to import
using (var storage = new MySQLStorage())
{
try
{
storage.AddData(bars,
_instrument,
frequency,
OverwriteCheckbox.IsChecked.HasValue && OverwriteCheckbox.IsChecked.Value,
frequency >= BarSize.OneDay);
}
catch (Exception ex)
{
MessageBox.Show("Error: " + ex.Message);
}
}
sw.Stop();
MessageBox.Show(string.Format("Imported {0} bars in {1} ms.", barsCount, sw.ElapsedMilliseconds));
}
