public static Equity Transform(this Equity sourceEquity, PeriodOption targetPeriod)
{
if (sourceEquity.Period == targetPeriod)
{
return(sourceEquity);
}
if (!IsTransformationValid(sourceEquity.Period, targetPeriod))
{
throw new InvalidTransformationException(sourceEquity.Period, targetPeriod);
}
var candles = new List <Candle>();
var periodInstance = targetPeriod.CreateInstance();
DateTime startTime = sourceEquity.First().DateTime;
while (startTime <= sourceEquity.Last().DateTime)
{
var nextStartTime = periodInstance.NextTimestamp(startTime);
if (periodInstance.IsTimestamp(startTime))
{
var candle = ComputeCandle(sourceEquity, startTime, nextStartTime);
if (candle != null)
{
candles.Add(candle);
}
}
startTime = nextStartTime;
}
return(new Equity(sourceEquity.Name, candles, targetPeriod));
}
private static bool IsTransformationValid(PeriodOption inputPeriod, PeriodOption outputPeriod)
{
var inputInstance = inputPeriod.CreateInstance();
var outputInstance = outputPeriod.CreateInstance();
if (inputInstance is IIntradayPeriod input)
{
return(!(outputInstance is IIntradayPeriod output) || (input.NumberOfSecond < output.NumberOfSecond));
}
var input2 = inputInstance as IInterdayPeriod;
if (outputInstance is IIntradayPeriod output2)
{
return(false);
}
var output3 = outputInstance as IInterdayPeriod;
if (input2.OrderOfTransformation >= output3.OrderOfTransformation)
{
return(false);
}
return(true);
}
public async Task <IReadOnlyList <IOhlcv> > ImportAsync(
string symbol,
DateTime?startTime = null,
DateTime?endTime = null,
PeriodOption period = PeriodOption.Daily,
CancellationToken token = default(CancellationToken))
=> await Task.Factory.StartNew(() =>
{
using (var fs = File.OpenRead(_path))
using (var sr = new StreamReader(fs))
using (var csvReader = new CsvReader(sr, new CsvConfiguration(_culture)
{
Delimiter = string.IsNullOrWhiteSpace(_delimiter) ? "," : _delimiter, HasHeaderRecord = _hasHeader
}))
{
var candles = new List <IOhlcv>();
bool isHeaderBypassed = false;
while (csvReader.Read())
{
// HasHeaderRecord is not working for CsvReader 6.0.2
if (_hasHeader && !isHeaderBypassed)
{
isHeaderBypassed = true;
continue;
}
var date = string.IsNullOrWhiteSpace(_format) ? csvReader.GetField <DateTime>(0) : DateTime.ParseExact(csvReader.GetField <string>(0), _format, _culture);
if ((!startTime.HasValue || date >= startTime) && (!endTime.HasValue || date <= endTime))
{
candles.Add(GetRecord(csvReader));
}
}
return(candles.OrderBy(c => c.Time).ToList());
}
}, token);
public static SelectList GetPeriodOptionsList(PeriodOption?defaultPeriodOption = null)
{
PeriodOption defaultOption = defaultPeriodOption ?? PeriodOption.None;
string selectedPeriodOption = ConvertPeriodOptionToString(defaultOption);
SelectList periodOptionsList = new SelectList(_optionsList, selectedPeriodOption);
return(periodOptionsList);
}
public TimeSeries(string name, IEnumerable <TTick> ticks, PeriodOption period)
{
Name = name;
Ticks = (ticks ?? new List <TTick>()).OrderBy(t => t.DateTime).ToList();
Period = period;
if (!IsTimeSeriesValid(out var errorTick))
{
throw new InvalidTimeFrameException(errorTick.DateTime);
}
}
public PeriodViewModel(PeriodBindingModel periodBinging, int?periodId)
{
Period = periodBinging;
PeriodId = periodId;
PeriodNumber number = PeriodNumbersHelper.ConvertStringToPeriodNumber(Period.Number);
PeriodOption option = PeriodOptionsHelper.ConvertStringToPeriodOption(Period.Option);
NumbersList = PeriodNumbersHelper.GetPeriodNumbersList(number);
OptionsList = PeriodOptionsHelper.GetPeriodOptionsList(option);
}
public static IPeriod CreateInstance(this PeriodOption period, Country?country = null)
{
string periodName = Enum.GetName(typeof(PeriodOption), period);
var periodType = Type.GetType($"Trady.Core.Period.{periodName}");
if (!country.HasValue || periodType is IIntradayPeriod)
{
return((IPeriod)Activator.CreateInstance(periodType));
}
else
{
return((IPeriod)Activator.CreateInstance(periodType, new object[] { country.Value }));
}
}
/// <summary>
/// Imports the async. endTime stock history inclusive
/// </summary>
/// <returns>The async.</returns>
/// <param name="symbol">Symbol.</param>
/// <param name="startTime">Start time.</param>
/// <param name="endTime">End time.</param>
/// <param name="period">Period.</param>
/// <param name="token">Token.</param>
public async Task <IReadOnlyList <IOhlcv> > ImportAsync(
string symbol,
DateTime?startTime = default(DateTime?),
DateTime?endTime = default(DateTime?),
PeriodOption period = PeriodOption.Daily,
CancellationToken token = default(CancellationToken))
{
if (period != PeriodOption.Daily && period != PeriodOption.Monthly && period != PeriodOption.Weekly)
{
throw new ArgumentException("This importer only supports daily, weekly & monthly data");
}
var candles = await StooqApi.Stooq.GetHistoricalAsync(symbol, PeriodMap[period], startTime, endTime, SkipOption.None, false, token);
return(candles.Select(c => new ES.Domain.Models.CandleTrade(c.DateTime, c.Open, c.High, c.Low, c.Close, c.Volume)).OrderBy(c => c.Time).ToList());
}
public async Task <IReadOnlyList <IOhlcv> > ImportAsync(
string symbol,
DateTime?startTime = null,
DateTime?endTime = null,
PeriodOption period = PeriodOption.Daily,
CancellationToken token = default(CancellationToken))
{
if (period != PeriodOption.Daily && period != PeriodOption.Weekly && period != PeriodOption.Monthly)
{
throw new ArgumentException("This importer only supports daily, weekly & monthly data");
}
var response = await _client.Timeseries.GetDataAsync(_databaseCode, symbol, startDate : startTime, endDate : endTime, token : token, collapse : PeriodMap[period]).ConfigureAwait(false);
return(response.DatasetData.Data.Where(r => !r.IsNullOrWhitespace()).Select(r => r.CreateIOhlcvData()).OrderBy(c => c.Time).ToList());
}
private static DateTime AddPeriod(DateTime dateTime, PeriodOption period)
{
switch (period)
{
case PeriodOption.Daily:
return(dateTime.AddDays(1));
case PeriodOption.Weekly:
return(dateTime.AddDays(7));
case PeriodOption.Monthly:
return(dateTime.AddMonths(1));
default:
return(dateTime);
}
}
/// <summary>
/// Imports the async. Endtime stock history exclusive
/// </summary>
/// <returns>The async.</returns>
/// <param name="symbol">Symbol.</param>
/// <param name="startTime">Start time.</param>
/// <param name="endTime">End time.</param>
/// <param name="period">Period.</param>
/// <param name="token">Token.</param>
public async Task <IReadOnlyList <IOhlcv> > ImportAsync(string symbol,
DateTime?startTime = default(DateTime?),
DateTime?endTime = default(DateTime?),
PeriodOption period = PeriodOption.Daily,
CancellationToken token = default(CancellationToken))
{
if (period != PeriodOption.Daily && period != PeriodOption.Weekly && period != PeriodOption.Monthly)
{
throw new ArgumentException("This importer only supports daily, weekly & monthly data");
}
var corrStartTime = (startTime < UnixMinDateTime ? UnixMinDateTime : startTime) ?? UnixMinDateTime;
var corrEndTime = (endTime > UnixMaxDateTime ? UnixMaxDateTime : endTime) ?? UnixMaxDateTime;
var candles = await YahooFinanceApi.Yahoo.GetHistoricalAsync(symbol, corrStartTime, corrEndTime, PeriodMap[period], token);
return(candles.Select(c => new ES.Domain.Models.CandleTrade(c.DateTime, c.Open, c.High, c.Low, c.Close, c.Volume)).OrderBy(c => c.Time).ToList());
}
public static string ConvertPeriodOptionToString(PeriodOption periodOption)
{
switch (periodOption)
{
case PeriodOption.None:
return(None);
case PeriodOption.Once:
return(Once);
case PeriodOption.Since:
return(Since);
case PeriodOption.Until:
return(Until);
case PeriodOption.OnceDifferentCabinet:
return(OnceDifferentCabinet);
default:
throw new InvalidEnumArgumentException(nameof(periodOption), (int)periodOption,
typeof(PeriodOption));
}
}
public async Task <IReadOnlyList <Candle> > ImportAsync(string symbol, DateTime?startTime = null, DateTime?endTime = null, PeriodOption period = PeriodOption.Daily, CancellationToken token = default(CancellationToken))
{
List <Candle> cndls = new List <Candle>();
//Import Candles from Data.Candle5m, get more data from sqlite if needed:
if (endTime == null)
{
endTime = DateTime.UtcNow;
}
bool histLinesReady = BtrexData.Markets[symbol].TradeHistory.Candles5m != null && BtrexData.Markets[symbol].TradeHistory.Candles5m.Any();
if (histLinesReady)
{
List <HistDataLine> HistLines = new List <HistDataLine>();
HistLines.AddRange(BtrexData.Markets[symbol].TradeHistory.Candles5m);
if (startTime <= HistLines.First().T)
{
histLinesReady = false;
}
foreach (HistDataLine histLine in HistLines)
{
if (histLine.T >= startTime || histLine.T <= endTime)
{
cndls.Add(new Candle(histLine.T, histLine.O, histLine.H, histLine.L, histLine.C, histLine.V));
}
}
}
if (!histLinesReady)
{
//Call lines from SQLite and set cndls in correct order:
List <Candle> sqlCndls = new List <Candle>();
using (SQLiteConnection conn = new SQLiteConnection("Data Source=" + HistoricalData.dbName + ";Version=3;"))
{
conn.Open();
string startTimeString = startTime.Value.ToString("yyyy-MM-dd HH:mm:ss"),
endTimeString = endTime.Value.ToString("yyyy-MM-dd HH:mm:ss");
DataTable dt = new DataTable();
string commandString = "SELECT * FROM " + symbol.Replace('-', '_') +
" WHERE DateTime >= '" + startTimeString + "'" +
" AND DateTime <= '" + endTimeString + "'";
using (var sqlAdapter = new SQLiteDataAdapter(commandString, conn))
sqlAdapter.Fill(dt);
foreach (DataRow line in dt.Rows)
{
sqlCndls.Add(new Candle(Convert.ToDateTime(line["DateTime"]), Convert.ToDecimal(line["Open"]), Convert.ToDecimal(line["High"]), Convert.ToDecimal(line["Low"]), Convert.ToDecimal(line["Close"]), Convert.ToDecimal(line["Volume"])));
}
conn.Close();
}
cndls.InsertRange(0, sqlCndls);
}
return(cndls);
}
/// <summary>
/// Imports the async. endTime stock history inclusive
/// </summary>
/// <returns>The async.</returns>
/// <param name="symbol">Symbol.</param>
/// <param name="startTime">Start time.</param>
/// <param name="endTime">End time.</param>
/// <param name="period">Period.</param>
/// <param name="token">Token.</param>
public async Task <IReadOnlyList <IOhlcv> > ImportAsync(string symbol, DateTime?startTime = default(DateTime?), DateTime?endTime = default(DateTime?), PeriodOption period = PeriodOption.Daily, CancellationToken token = default(CancellationToken))
{
if (period == PeriodOption.PerSecond || period == PeriodOption.Per10Minute || period == PeriodOption.BiHourly)
{
throw new ArgumentException($"This importer does not support {period.ToString()}");
}
Client.BaseAddress = new Uri("https://www.alphavantage.co");
string query = string.Empty;
string function = "TIME_SERIES_DAILY";
string format = "yyyy-MM-dd";
switch (period)
{
case PeriodOption.PerMinute:
format = "yyyy-MM-dd HH:mm:ss";
function = "function=TIME_SERIES_INTRADAY&interval=1min";
break;
case PeriodOption.Per5Minute:
format = "yyyy-MM-dd HH:mm:ss";
function = "function=TIME_SERIES_INTRADAY&interval=5min";
break;
case PeriodOption.Per15Minute:
format = "yyyy-MM-dd HH:mm:ss";
function = "function=TIME_SERIES_INTRADAY&interval=15min";
break;
case PeriodOption.Per30Minute:
format = "yyyy-MM-dd HH:mm:ss";
function = "function=TIME_SERIES_INTRADAY&interval=30min";
break;
case PeriodOption.Hourly:
format = "yyyy-MM-dd HH:mm:ss";
function = "function=TIME_SERIES_INTRADAY&interval=60min";
break;
case PeriodOption.Daily:
function = "function=TIME_SERIES_DAILY";
break;
case PeriodOption.Weekly:
function = "function=TIME_SERIES_WEEKLY";
break;
case PeriodOption.Monthly:
function = "function=TIME_SERIES_MONTHLY";
break;
default:
break;
}
query = $"/query?{function}&symbol={symbol}&apikey={ApiKey}&outputsize={OutputSize.ToString()}&datatype=csv";
var csvStream = await client.GetStreamAsync(query);
TextReader textReader = new StreamReader(csvStream);
var culture = "en-US";
var cultureInfo = new CultureInfo(culture);
var candles = new List <IOhlcv>();
using (var csvReader = new CsvReader(textReader, new Configuration()
{
CultureInfo = cultureInfo, Delimiter = ",", HasHeaderRecord = true
}))
{
bool isHeaderBypassed = false;
while (csvReader.Read())
{
// HasHeaderRecord is not working for CsvReader 6.0.2
if (!isHeaderBypassed)
{
isHeaderBypassed = true;
continue;
}
var date = string.IsNullOrWhiteSpace(format) ? csvReader.GetField <DateTime>(0) : DateTime.ParseExact(csvReader.GetField <string>(0), format, cultureInfo);
if ((!startTime.HasValue || date >= startTime) && (!endTime.HasValue || date <= endTime))
{
candles.Add(GetRecord(csvReader, format, cultureInfo));
}
}
}
return(candles.OrderBy(c => c.DateTime).ToList());
}
public Equity(string name, IEnumerable <Candle> candles, PeriodOption period)
: base(name, candles, period)
{
}
public static Equity ToEquity(this IEnumerable <Candle> candles, string name, PeriodOption period) => new Equity(name, candles, period);
public async Task <IReadOnlyList <Core.Candle> > ImportAsync(string symbol, DateTime?startTime = default(DateTime?), DateTime?endTime = default(DateTime?), PeriodOption period = PeriodOption.Daily, CancellationToken token = default(CancellationToken))
{
if (!PeriodMap.TryGetValue(period, out int frequency))
{
throw new ArgumentException("This importer only supports second, minute, hourly & daily data");
}
if (!symbol.Contains(SymbolSeparator.ToString()))
{
throw new ArgumentException("The input symbol should be in the form of \'{Market}/{Symbol}\'");
}
string[] syms = symbol.Split(SymbolSeparator);
var candles = await Task.Run(() => _lqs.GetValues(syms[0].ToUpper(), syms[1], PeriodMap[period], startTime, endTime));
return(candles.Select(c => new Core.Candle(c.Date, c.Open, c.High, c.Low, c.Close, c.Volume)).OrderBy(c => c.DateTime).ToList());
}
public async Task <IReadOnlyList <IOhlcv> > ImportAsync(string symbol, DateTime?startTime = null,
DateTime?endTime = null, PeriodOption period = PeriodOption.Daily,
CancellationToken token = default(CancellationToken))
=> await Task.Factory.StartNew(() =>
{
using (var stream = File.Open(_path, FileMode.Open, FileAccess.Read))
{
using (var reader = ExcelReaderFactory.CreateReader(stream))
{
var candles = new List <IOhlcv>();
var result = reader.AsDataSet();
for (int i = 1; i < result.Tables[0].Rows.Count; i++)
{
var row = result.Tables[0].Rows[i];
var date = GetDate(row.Field <double>(2));
if ((!startTime.HasValue || date >= startTime) && (!endTime.HasValue || date <= endTime))
{
candles.Add(GetRecord(row));
}
}
return(candles.OrderBy(c => c.DateTime).ToList());
}
}
}, token);
public async Task <IReadOnlyList <IOhlcv> > ImportAsync(string symbol, DateTime?startTime = null, DateTime?endTime = null, PeriodOption period = PeriodOption.Daily, CancellationToken token = default(CancellationToken))
=> await Task.Factory.StartNew(() =>
{
using (var fs = File.OpenRead(_path))
using (var sr = new StreamReader(fs))
using (var csvReader = new CsvReader(sr, new CsvConfiguration()
{
CultureInfo = _culture
}))
{
var candles = new List <IOhlcv>();
while (csvReader.Read())
{
var date = csvReader.GetField <DateTime>(0);
if ((!startTime.HasValue || date >= startTime) && (!endTime.HasValue || date <= endTime))
{
candles.Add(GetRecord(csvReader));
}
}
return(candles.OrderBy(c => c.DateTime).ToList());
}
});
public async Task <Equity> ImportAsync(string symbol, DateTime?startTime = default(DateTime?), DateTime?endTime = default(DateTime?), PeriodOption period = PeriodOption.Daily, CancellationToken token = default(CancellationToken))
{
if (period != PeriodOption.Daily && period != PeriodOption.Weekly && period != PeriodOption.Monthly)
{
throw new ArgumentException("This importer only supports daily, weekly & monthly data");
}
var yahooCandles = await Yahoo.GetHistoricalAsync(symbol, startTime, endTime, _periodMap[period], false, token);
var output = new List <Core.Candle>();
foreach (var yahooCandle in yahooCandles)
{
output.Add(new Core.Candle(yahooCandle.DateTime, yahooCandle.Open, yahooCandle.High, yahooCandle.Low, yahooCandle.Close, yahooCandle.Volume));
}
return(output.ToEquity(symbol, period));
}
public async Task <Equity> ImportAsync(string symbol, DateTime?startTime = null, DateTime?endTime = null, PeriodOption period = PeriodOption.Daily, CancellationToken token = default(CancellationToken))
{
if (period != PeriodOption.Daily && period != PeriodOption.Weekly && period != PeriodOption.Monthly)
{
throw new ArgumentException("This importer only supports daily, weekly & monthly data");
}
var response = await _client.Dataset.GetAsync(_databaseCode, symbol, startDate : startTime, endDate : endTime, token : token, collapse : _periodMap[period]).ConfigureAwait(false);
var candles = response.DatasetData.Data.Where(r => !r.IsNullOrWhitespace()).Select(r => r.CreateCandle()).ToList();
return(candles.ToEquity(symbol, period));
}
public async Task <Equity> ImportAsync(string symbol, DateTime?startTime = null, DateTime?endTime = null, PeriodOption period = PeriodOption.Daily, CancellationToken token = default(CancellationToken))
{
return(await Task.Factory.StartNew(() =>
{
using (var fs = File.OpenRead(_path))
using (var sr = new StreamReader(fs))
using (var csvReader = new CsvReader(sr))
{
var candles = new List <Candle>();
while (csvReader.Read())
{
var record = csvReader.CurrentRecord;
var recordDatetime = Convert.ToDateTime(record[0]);
if (startTime.HasValue && recordDatetime < startTime.Value || endTime.HasValue && recordDatetime >= endTime.Value)
{
continue;
}
candles.Add(record.CreateCandle());
}
return candles.ToEquity(symbol, period);
}
}));
}
public InvalidTransformationException(PeriodOption sourcePeriod, PeriodOption targetPeriod)
{
_sourcePeriod = sourcePeriod;
_targetPeriod = targetPeriod;
}
