private void AddNewDataPoint(bool refresh = true)
{
double open = Rand.NextDouble() * 50 + 100;
double close = open + (Rand.NextDouble() - .5) * 10;
double low = Math.Min(open, close) - Rand.NextDouble() * 5;
double high = Math.Max(open, close) + Rand.NextDouble() * 5;
double volume = Rand.NextDouble() * 500 + 100;
TimeSpan span = TimeSpan.FromDays(1);
DateTime date = CandlePlot.OHLCs.Any() ? CandlePlot.OHLCs.Last().DateTime + span : new DateTime(1985, 09, 24);
OHLC ohlc = new OHLC(open, high, low, close, date, span, volume);
CandlePlot.Add(ohlc);
if (refresh)
{
formsPlot1.Plot.AxisAuto();
BarPlot.Replace(
positions: CandlePlot.OHLCs.Select(x => x.DateTime.ToOADate()).ToArray(),
values: CandlePlot.OHLCs.Select(x => x.Volume).ToArray());
formsPlot2.Plot.AxisAuto();
formsPlot2.Plot.SetAxisLimits(yMin: 0);
formsPlot1.Refresh();
formsPlot2.Refresh();
}
}
/// <summary>
/// Read already downloaded OHLC data
/// </summary>
/// <param name="curPair"></param>
/// <param name="freq"></param>
/// <param name="item"></param>
/// <returns></returns>
private GetOHLCResult ReadOHLC(CurrencyPair curPair, Frequency freq, string item = "Close")
{
string pathLib = GetOHLCLibraryPath(curPair, freq);
GetOHLCResult res = new GetOHLCResult
{
Pairs = new Dictionary <string, List <OHLC> > {
{ curPair.GetRequestID(), new List <OHLC> {
} }
}
};
List <string[]> csv = StaticLibrary.LoadCsvFile(pathLib);
bool isHeaders = true;
string[] headers = null;
foreach (string[] array in csv)
{
if (isHeaders)
{
headers = array; isHeaders = false;
}
else
{
OHLC ohlc = DataLibraryStaticLibrary.ReadOHLCItems(array, headers);
res.Pairs[curPair.GetRequestID()].Add(ohlc);
}
}
return(res);
}
private void Analyze(OHLC quote)
{
lock (_lock)
{
_analyzer.Analyze(quote);
}
}
public override void Start()
{
currentIndex = 0;
historyData.Clear();
if (File.Exists(fileName))
{
foreach (var line in File.ReadAllLines(fileName))
{
var flds = line.Split(',');
var dateComponents = flds[0].Split('.').Select(i => Convert.ToInt32(i)).ToList();
dateComponents.AddRange(flds[1].Split(':').Select(i => Convert.ToInt32(i)));
var date = new System.DateTime(dateComponents[0], dateComponents[1], dateComponents[2], dateComponents[3], dateComponents[4], 0);
var ohlc = new OHLC()
.SetTime(date)
.SetOpen(Convert.ToDouble(flds[2]))
.SetHigh(Convert.ToDouble(flds[3]))
.SetLow(Convert.ToDouble(flds[4]))
.SetClose(Convert.ToDouble(flds[5]))
.SetVolume(Convert.ToInt32(flds[6]));
historyData.Add(ohlc);
dataIndex.Add(date, ohlc);
}
}
base.Start();
}
public static List <OHLC> Extract(string fileName)
{
var lines = File.ReadLines(fileName);
var ohlcList = new List <OHLC>();
decimal lastClose = 0;
foreach (var line in lines)
{
var data = line.Split('\t');
//have to replace \N with last close
var open = data[3] == "\\N" ? lastClose : decimal.Parse(data[3]);
var high = decimal.Parse(data[4]);
var low = decimal.Parse(data[5]);
var close = decimal.Parse(data[6]);
var ohlc = new OHLC(open, high, low, close);
ohlc.Volume = double.Parse(data[7]);
ohlc.Start = DateTime.ParseExact(data[8], "yyyy-MM-dd HH:mm:ss", CultureInfo.InvariantCulture);
ohlc.End = DateTime.ParseExact(data[9], "yyyy-MM-dd HH:mm:ss", CultureInfo.InvariantCulture);
if (ohlc.Start > DateTime.ParseExact("2017-08-26 12:33:00", "yyyy-MM-dd HH:mm:ss", CultureInfo.InvariantCulture))
{
ohlcList.Add(ohlc);
}
lastClose = close;
}
return(ohlcList);
}
private void DrawIncrease(OHLC lastItem)
{
int xNow = mDatas.Count();
//必选按照一个bar绘制的宽度来计算
if (10 * xNow >= mCurveContext.BWidth - 100)
{
ResizeCurveImage(mCurveContext.BWidth + 1000, mCurveContext.BHeight);
}
if (mCurveContext.YMinPoint < 200 || mCurveContext.YMaxPoint > mCurveContext.BHeight - 200)
{
ResizeCurveImage(mCurveContext.BWidth, mCurveContext.BHeight + 400);
mCurveContext.YMinPoint = mCurveContext.YMidPoint;
mCurveContext.YMaxPoint = mCurveContext.YMidPoint;
}
using (Graphics gr = Graphics.FromImage(mCurveContext.mCanvas))
{
gr.SmoothingMode = SmoothingMode.AntiAlias;
DrawOneBar(xNow, gr, lastItem);
}
FitScreen();
}
public void Test_Finance_ColorDown()
{
var plt = new ScottPlot.Plot();
var ohlcs = new OHLC[]
{
// open, high, low, close, time, timeSpan
new OHLC(273, 275, 264, 265, 1, 1),
new OHLC(267, 276, 265, 274, 2.5, 2),
new OHLC(277, 280, 275, 278, 4, 1),
};
// start with default settings
var op = new FinancePlot(ohlcs);
plt.Add(op);
var bmp1 = TestTools.GetLowQualityBitmap(plt);
// change the plottable
op.ColorDown = System.Drawing.Color.Blue;
var bmp2 = TestTools.GetLowQualityBitmap(plt);
// measure what changed
//TestTools.SaveFig(bmp1, "1");
//TestTools.SaveFig(bmp2, "2");
var before = new MeanPixel(bmp1);
var after = new MeanPixel(bmp2);
Console.WriteLine($"Before: {before}");
Console.WriteLine($"After: {after}");
Assert.That(after.IsMoreBlueThan(before));
}
private List <OHLC> LoadData()
{
var csvParser = new CsvParser.CsvParser(',');
IEnumerable <string[]> stockData = csvParser.ParseFile(@"D:\StockData\Maruti.csv", Encoding.Default);
//IEnumerable<string[]> stockData = csvParser.ParseFile(@"D:\StockData\Infy.csv", Encoding.Default);
//IEnumerable<string[]> stockData = csvParser.ParseFile(@"D:\StockData\Icicibank.csv", Encoding.Default);
//IEnumerable<string[]> stockData = csvParser.ParseFile(@"D:\StockData\sbin.csv", Encoding.Default);
//IEnumerable<string[]> stockData = csvParser.ParseFile(@"D:\StockData\MRF.csv", Encoding.Default);
List <OHLC> quotes = new List <OHLC>();
foreach (string[] record in stockData.Skip(1))
{
if (record.Length == 7 && record[1] != "null" && record[2] != "null" && record[3] != "null" && record[4] != "null")
{
OHLC quote = new OHLC()
{
//Date = Convert.ToDateTime(record[0]),
Open = Convert.ToDouble(record[1]),
Close = Convert.ToDouble(record[4]),
High = Convert.ToDouble(record[2]),
Low = Convert.ToDouble(record[3]),
//Volume = Convert.ToInt32(record[5]),
//AdjClose = Convert.ToDouble(record[6]),
};
quotes.Add(quote);
}
}
return(quotes);
}
private void LogsOHLC()
{
try
{
var barcodeOHCL = new List <OHLC>();
foreach (var item in barChartsResults)
{
var objOHLC = new OHLC();
objOHLC.o = 6538.8f;
objOHLC.h = 6538.8f;
objOHLC.l = 6537.9f;
objOHLC.c = 0;
objOHLC.events = "ohlc_notify";
objOHLC.symbol = item.sym;
objOHLC.bar_num = bar_number;
barcodeOHCL.Add(objOHLC);
}
var finalResults = JsonConvert.SerializeObject(barcodeOHCL);
Console.WriteLine("OHLC Logs {0}", finalResults);
}
catch (Exception ex)
{
_logger.Error(ex, "Error on LogsOHLC ");
}
}
private void DrawVolumnIncrease(OHLC newItem)
{
int xNow = mDatas.Count();
float xOff = (xNow - 1) * 10;
using (Graphics gr = Graphics.FromImage(mVolumnContext.Canvas))
{
gr.SmoothingMode = SmoothingMode.AntiAlias;
float vRation = newItem.Volumn / mVolumnContext.MaxVolumn;
float barHeight = mVolumnContext.Height * vRation;
float y = mVolumnContext.Height - barHeight;
Brush cl = Brushes.White;
if (newItem.Open < newItem.Close)
{
cl = Brushes.Red;
}
else if (newItem.Open > newItem.Close)
{
cl = Brushes.Green;
}
//刷背景
gr.FillRectangle(Brushes.Black, xOff, 2, 10, mVolumnContext.Height);
gr.FillRectangle(cl, xOff + 2, y, 8, barHeight);
}
}
private string CreateOrder(OHLC ohlc, DateTime date, string type, string description = "")
{
var order = new Order()
{
Price = ohlc.Close,
Quantity = type == "Buy" ? (double)(Account.Euro / ohlc.Close) : (double)Account.BitCoin,
Date = date,
Type = type
};
Orders.Add(order);
if (bool.Parse(ConfigurationManager.AppSettings["EmailSignals"]))
{
SendEmail($"{order.Type} Signal", $"{order.Type} {order.Quantity} @ {order.Price} - {order.Date}");
}
//Settle the account as if the order is immediately executed
if (type == "Buy")
{
Account.BitCoin = (double)(Account.Euro / ohlc.Close);
Account.Euro = 0;
}
else
{
Account.Euro = (decimal)Account.BitCoin * ohlc.Close;
Account.BitCoin = 0;
}
var message = $"{date} {type} {order.Quantity} BTC at {order.Price}";
Events.Add(new Event(date, type, "@" + ohlc.Close + " " + description));
return(message);
}
/// <summary>
/// Add a single OHLC to the plot
/// </summary>
/// <param name="ohlc"></param>
public void Add(OHLC ohlc)
{
if (ohlc is null)
{
throw new ArgumentNullException();
}
OHLCs.Add(ohlc);
}
public Heiken_Ashi(OHLC parent)
{
input = parent;
opens = input.Open;
highs = input.High;
lows = input.Low;
closes = (input.Open + input.High + input.Low + input.Close) * 0.25;
}
public void Start()
{
OHLC.Wireup();
PriceBar.Wireup();
Candlesticks.Wireup();
HeikenAshi.Wireup();
Renko.Wireup();
}
private void MovingAverageStrategy(OHLC ohlc, DateTime date)
{
if (DataPoints.Count < 200)
{
return;
}
//Calculate indicators
var direction = CalculateMovingAverage(200);
var correction = CalculateMovingAverage(10);
//Long Entry
//When the price candle closes or is already above 200 day MA, then wait for price correction until price drops to 10 day MA,
//then when the candle closes above 10 day MA on the upside, the enter the trade. Stop loss would be when price closes below the 10 day MA.
if (State == TradingState.Initial)
{
if (ohlc.High > direction)
{
//wait for price correction
State = TradingState.WaitForUpTrendPriceCorrection;
}
}
else if (State == TradingState.WaitForUpTrendPriceCorrection)
{
if (ohlc.Low < correction)
{
State = TradingState.WaitingToBuy;
}
}
else if (State == TradingState.WaitingToBuy)
{
if (ohlc.Close > correction)
{
CreateOrder(ohlc, date, "Buy");
State = TradingState.MonitoringDownTrend;
}
}
else if (State == TradingState.MonitoringDownTrend)
{
//Stop loss
if (ohlc.Close < correction)
{
CreateOrder(ohlc, date, "Sell", "Stop loss");
State = TradingState.Initial;
}
//Limit profit
//Limit - Profit target would vary with each item. For day traders,
//I suggest profit target of 50 % of daily Average Trading Range of that item for the last month.
var limit = 50; //50 EUR profit limit based on daily average trading range of BTC/EUR first week of last month
if (ohlc.Close > Orders.Last().Price + limit)
{
CreateOrder(ohlc, date, "Sell", "Profit limit");
State = TradingState.Initial;
}
}
}
public static OHLC createSecondary(OHLC parent,
SecondaryOHLC type, double arg)
{
OHLC ans = null;
switch (type)
{
case SecondaryOHLC.NONE:
ans = parent;
break;
case SecondaryOHLC.HEIKEN_ASHI:
ans = new Heiken_Ashi(parent);
break;
case SecondaryOHLC.DEXPMA:
ans = new SmoothedBars(parent, RWT_MA.MAType.DEXPMA, arg);
break;
case SecondaryOHLC.EMA:
ans = new SmoothedBars(parent, RWT_MA.MAType.EMA, arg);
break;
case SecondaryOHLC.HULL:
ans = new SmoothedBars(parent, RWT_MA.MAType.HULL, arg);
break;
case SecondaryOHLC.HULLEMA:
ans = new SmoothedBars(parent, RWT_MA.MAType.HULLEMA, arg);
break;
case SecondaryOHLC.KAMA210:
ans = new SmoothedBars(parent, RWT_MA.MAType.KAMA210, arg);
break;
case SecondaryOHLC.SMA:
ans = new SmoothedBars(parent, RWT_MA.MAType.SMA, arg);
break;
case SecondaryOHLC.WMA:
ans = new SmoothedBars(parent, RWT_MA.MAType.WMA, arg);
break;
case SecondaryOHLC.MEDIANFILT:
ans = new SmoothedBars(parent, RWT_MA.MAType.MEDIANFILT, arg);
break;
case SecondaryOHLC.TEMA:
ans = new SmoothedBars(parent, RWT_MA.MAType.TEMA, arg);
break;
case SecondaryOHLC.DELAY:
ans = new SmoothedBars(parent, RWT_MA.MAType.DELAY, arg);
break;
}
return(ans);
}
public static OHLC Accumulate(OHLC state, long price)
{
// Take the current values & apply the price update.
state.Open = state.Open ?? price;
state.High = state.High.HasValue ? state.High > price ? state.High : price : price;
state.Low = state.Low.HasValue ? state.Low < price ? state.Low : price : price;
state.Close = price;
return(state);
}
Task Publish(OHLC ohlc)
{
return(Task.Run(() =>
{
LastOHLC = ohlc;
_queueFanout.FanoutPublisher.Send(LastOHLC.ToByteArray());
//QueueConn?.Send(LastOHLC.SerializeToString_PB());
}));
}
public void ATR_TEST_2()
{
var res1 = raw.Do(x => ohlc = x).TR().WSMA(14).Select(x => new { OHLC = ohlc, ATR = x }).ToList().Wait();
var res2 = cnt.Do(x => ohlc = x).TR().WSMA(14).Select(x => new { OHLC = ohlc, ATR = x }).ToList().Wait();
for (var itr = 0; itr < res1.Count; itr++)
{
Trace.WriteLine($"{res1[itr].OHLC.Close.Security}\t{res1[itr].ATR.ToString("0.00")}\t{res2[itr].OHLC.Close.Security}\t{res2[itr].ATR.ToString("0.00")}\t{(res2[itr].ATR - res1[itr].ATR).ToString("0.00")}");
}
}
static void UpdateOHLC()
{
//If last OHLC date is 1 min older than the latest trade
//Then fill all the missing OHLC data by reading trades from database and grouping as OHLC
FreedomContextFactory factory = new FreedomContextFactory();
var context = factory.Create(ConfigurationManager.ConnectionStrings["marketdata-azure"].ConnectionString);
var latestOhlc = context.Set <OHLC>().OrderByDescending(x => x.Start).FirstOrDefault();
if (latestOhlc != null)
{
if (DateTime.Now.AddMinutes(-2) > latestOhlc.Start)
{
//Get trades newer than OHLC and convert them to 1m-OHLC
var trades = context.Set <DataAccessLayer.Trade>().Where(x => x.Time > latestOhlc.Start).OrderBy(x => x.Time);
var oneMinuteOhlcs = trades.ToList().GroupBy(x => x.Time.Minute());
//Save max 4 hours trades 240 minutes
var minCount = 0;
foreach (var oneMinuteOhlc in oneMinuteOhlcs)
{
if (minCount >= 240)
{
break;
}
if (oneMinuteOhlc.Any())
{
var ohlc = new OHLC()
{
Low = oneMinuteOhlc.Select(t => t.Price).Min(),
High = oneMinuteOhlc.Select(t => t.Price).Max(),
Open = oneMinuteOhlc.First().Price,
Close = oneMinuteOhlc.Last().Price,
Volume = oneMinuteOhlc.Sum(t => t.Quantity),
Start = oneMinuteOhlc.First().Time.Minute(),
End = oneMinuteOhlc.First().Time.Minute().AddSeconds(59),
Market = "BTC/EUR",
Exchange = "CEX.IO"
};
context.Set <OHLC>().Add(ohlc);
minCount++;
}
}
//Save the OHLC-1m
context.SaveChanges();
}
}
}
private void CalculateNewEMA(OHLC currentQuote, int duration)
{
//if (EMAs[duration].Count == 0)
//{
// EMAs[duration].Add(TechnicalIndicators.CalculateMovingAverage(Data.Select(x => x.Close), duration, MovingAverage.Exponential).FirstOrDefault());
//}
//else
//{
// double previousEMA = EMAs[duration].LastOrDefault();
// EMAs[duration].Add(TechnicalIndicators.CalculateExponentialMovingAverage(previousEMA, currentQuote.Close, duration));
//}
}
/// <summary>
/// Directional Momentum
/// </summary>
/// <param name="source"></param>
/// <returns></returns>
internal static IObservable <(int hr, int tr, int lr)> DM(this IObservable <OHLC> source)
{
return(Observable.Create <(int, int, int)>(obs => {
OHLC prev = null;
return source.Subscribe(val => {
if (prev != null)
{
obs.OnNext(val.DM(prev));
}
prev = val;
}, obs.OnError, obs.OnCompleted);
}));
}
private void 从当前点开始播放ToolStripMenuItem_Click(object sender, EventArgs e)
{
//int x = contextMenuStrip_CandleStick.Left;
//int y =contextMenuStrip_CandleStick.Top;
OHLC oc = DrawImageService.Instance.mCandleContext.GetBarFromScreenPoint(RightMouseDownPoint.X, RightMouseDownPoint.Y);
if (oc != null)
{
DrawImageService.Instance.StartDraw();
DataService.Instance.StartPlayBySpecifyIndex(oc.Index);
}
}
/// <summary>
/// True Range between bars
/// http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:average_true_range_atr
/// </summary>
/// <param name="source"></param>
/// <returns></returns>
public static IObservable <double> TR(this IObservable <OHLC> source)
{
return(Observable.Create <double>(obs => {
OHLC prev = null;
return source.Subscribe(val => {
if (prev != null)
{
obs.OnNext(val.TR(prev));
}
prev = val;
}, obs.OnError, obs.OnCompleted);
}));
}
private void BollingerBandStrategy(OHLC ohlc, DateTime date, StrategyParameters parameters)
{
if (DataPoints.Count < 200)
{
return;
}
var rsiPeriod = parameters.RsiPeriod;
var rsiThreshold = parameters.RsiThreshold;
var stopLossRatio = parameters.StopLossRatio;
//Calculate indicators
var direction = CalculateMovingAverage(200);
var sellSignal = CalculateMovingAverage(5);
var rsi = CalculateRelativeStrengthIndex(rsiPeriod);
var bb = CalculateBollingerBands(20, 2);
var percentB = bb.PercentB;
var bandwidth = bb.Bandwidth;
//Long Entry
//When the price candle closes or is already above 200 day MA and RSI closes below 5 buy
//Sell when closes above 5-period moving average
if (State == TradingState.Initial)
{
if (ohlc.High > direction && percentB > 100)
{
CreateOrder(ohlc, date, "Buy", $"<br/> %b {percentB:N0} <br/> bandwidth {bandwidth:N0} <br/> upper {bb.UpperBand:N0} <br/> lower {bb.LowerBand:N0}");
State = TradingState.MonitoringDownTrend;
}
}
else if (State == TradingState.MonitoringDownTrend || State == TradingState.WaitingToSell)
{
//Stop loss when BUY order loses more than 2% of its value
var buyOrder = Orders.Last();
if ((double)((buyOrder.Price - ohlc.Close) / buyOrder.Price) > stopLossRatio)
{
CreateOrder(ohlc, date, "Sell", $"Stop Loss <br/> %b {percentB:N0} <br/> bandwidth {bandwidth:N0} <br/> upper {bb.UpperBand:N0} <br/> lower {bb.LowerBand:N0}");
State = TradingState.Initial;
return;//Otherwise might sell twice
}
//Limit profit on downward swing
if (percentB < 0)
{
CreateOrder(ohlc, date, "Sell", $"%b hit over 100 <br/> %b {percentB:N0} <br/> bandwidth {bandwidth:N0} <br/> upper {bb.UpperBand:N0} <br/> lower {bb.LowerBand:N0}");
State = TradingState.Initial;
return;
}
}
}
static OHLC GetTableDataFromDocument(HtmlDocument document, OHLC fillme)
{
var tbl = document.GetElementById("historicalquote");
if (tbl == null)
{
return(fillme);
}
dynamic myTable = tbl.DomElement;
fillme.close = myTable.rows[2].cells[1].innerText;
fillme.open = myTable.rows[3].cells[1].innerText;
fillme.high = myTable.rows[4].cells[1].innerText;
fillme.low = myTable.rows[5].cells[1].innerText;
return(fillme);
}
public SmoothedBars(OHLC parent, RWT_MA.MAType type, double len)
{
input = parent;
oma = RWT_MA.MAFactory.create(type, len);
hma = RWT_MA.MAFactory.create(type, len);
lma = RWT_MA.MAFactory.create(type, len);
cma = RWT_MA.MAFactory.create(type, len);
oma.init(input.Open);
hma.init(input.High);
lma.init(input.Low);
cma.init(input.Close);
opens = input.Open;
highs = input.High;
lows = input.Low;
closes = input.Close;
}
public static OHLC ReadOHLCItems(string[] array, string[] headers)
{
OHLC res = new OHLC();
for (int i = 0; i < headers.Length; i++)
{
string item = headers[i];
switch (item)
{
case "Time":
res.Time = Convert.ToInt32(Convert.ToDouble(array[i]));
break;
case "Open":
res.Open = Convert.ToDecimal(array[i]);
break;
case "High":
res.High = Convert.ToDecimal(array[i]);
break;
case "Low":
res.Low = Convert.ToDecimal(array[i]);
break;
case "Close":
res.Close = Convert.ToDecimal(array[i]);
break;
case "Volume":
res.Volume = Convert.ToDecimal(array[i]);
break;
case "Vwap":
res.Vwap = Convert.ToDecimal(array[i]);
break;
case "Count":
res.Count = Convert.ToInt32(array[i]);
break;
default:
break;
}
}
return(res);
}
/// <summary>
/// Create DataTimeSeries, DataTSOHLC, DataTSVolume objects add to DataBuilder collection
/// </summary>
/// <param name="tinterval">time interval of timeseries (in minutes)</param>
/// /// <param name="nrows">number of rows to allocate</param>
public void NewTimeSeriesOHLCVolume(int tinterval, int nrows = 2880)
{
// check if time interval already exist
foreach (DataTimeSeries ts0 in TimeSeries)
{
if (ts0.TimeInterval == tinterval)
{
return;
}
}
DataTimeSeries ts = new DataTimeSeries(tinterval, nrows);
TimeSeries.Add(ts);
OHLC.Add(new DataTSOHLC(ts));
Volume.Add(new DataTSVolume(ts));
}
/// <summary>
/// TODO: Work in Progress
/// </summary>
/// <param name="source"></param>
/// <returns></returns>
public static IObservable <int> Delta(this IObservable <OHLC> source)
{
return(Observable.Create <int>(obs => {
OHLC oldVal = null;
return source.Subscribe((newVal) => {
if (oldVal != null)
{
// Roll happened (either in middle or start of new bar.
// what to do ?
if (newVal.Offset != 0 || oldVal.Close.Security != newVal.Open.Security)
{
}
obs.OnNext((int)(newVal.Close.Price - oldVal.Close.Price));
}
oldVal = newVal;
}, obs.OnError, obs.OnCompleted);
}));
}
public override void OnClose(OHLC closing)
{
log.DebugFormat("{0} {1} S: {2} O: {3} H: {4} L: {5} C: {6}",
closing.Date, closing.Time, closing.Symbol, closing.Open, closing.High, closing.Low, closing.Close);
}
