public Optimization(string[] basket, string TimeFrame)
{
#region Initialize data
Symbol1 = basket[0];
Symbol2 = basket[0];
timeframe = TimeFrame;
n_data = Global.Instance.TotalBars[timeframe];
Date1 = new DateTime[n_data];
Date2 = new DateTime[n_data];
Pair1 = new double[n_data];
Pair2 = new double[n_data];
Ratio = new double[n_data];
resolution = new double[2];
resolution[0] = (Symbol1.Contains("JPY")) ? 0.01 : 0.0001;
resolution[1] = (Symbol2.Contains("JPY")) ? 0.01 : 0.0001;
#endregion
#region load data
using (StreamReader reader = new StreamReader(Global.Instance.data_folder_path + "\\" + timeframe + "\\" + Symbol1 + ".csv"))
{
string line = null;
int i = 0;
while ((line = reader.ReadLine()) != null)
{
string[] ext = line.Split(',');
Date1[i] = DateTime.Parse(ext[0] + " " + ext[1]);
Pair1[i] = double.Parse(ext[2]);
i++;
}
reader.Close();
}
using (StreamReader reader = new StreamReader(Global.Instance.data_folder_path + "\\" + timeframe + "\\" + Symbol2 + ".csv"))
{
string line = null;
int i = 0;
while ((line = reader.ReadLine()) != null)
{
string[] ext = line.Split(',');
Date2[i] = DateTime.Parse(ext[0] + " " + ext[1]);
Pair2[i] = double.Parse(ext[2]);
i++;
}
reader.Close();
}
for (int i = 0; i < n_data; i++)
{
Ratio[i] = Pair1[i] / Pair2[i];
}
#endregion
#region Work on pip costs
pipCostSeries = new double[Global.Instance.counterCurrencies.Count, n_data];
Symbol1CounterIndex = Global.Instance.counterCurrencies.IndexOf(Symbol1.Substring(3, 3));
Symbol2CounterIndex = Global.Instance.counterCurrencies.IndexOf(Symbol2.Substring(3, 3));
for (int i = 0; i < Global.Instance.counterCurrencies.Count; i++)
{
if (Global.Instance.counterCurrencies[i] == "USD") //For USD countercurrency, pip cost is always 1
{
for (int j = 0; j < n_data; j++)
{
pipCostSeries[i, j] = 1;
}
}
else
{
if (File.Exists(Global.Instance.data_folder_path + "\\" + timeframe + "\\" + Global.Instance.counterCurrencies[i] + "USD" + ".csv")) //If the currency is XXXUSD
{
using (StreamReader reader = new StreamReader(Global.Instance.data_folder_path + "\\" + timeframe + "\\" + Global.Instance.counterCurrencies[i] + "USD" + ".csv"))
{
string line = null;
int j = 0;
while ((line = reader.ReadLine()) != null)
{
string[] ext = line.Split(',');
pipCostSeries[i, j] = Math.Round(double.Parse(ext[2]), 1);
j++;
}
reader.Close();
}
}
else
{
using (StreamReader reader = new StreamReader(Global.Instance.data_folder_path + "\\" + timeframe + "\\USD" + Global.Instance.counterCurrencies[i] + ".csv"))
{
string line = null;
int j = 0;
while ((line = reader.ReadLine()) != null)
{
string[] ext = line.Split(',');
if (Global.Instance.counterCurrencies[i] == "JPY") //For XXXJPY based
{
pipCostSeries[i, j] = Math.Round(100 / double.Parse(ext[2]), 1);
}
else
{
pipCostSeries[i, j] = Math.Round(1 / double.Parse(ext[2]), 1);
}
j++;
}
reader.Close();
}
}
}
}
#endregion
}
