public Cache()
{
foreach (GroupBy foo in Enum.GetValues(typeof(GroupBy)))
{
tbCache.Add(foo, TradeBucket.GetAllBuckets(foo));
}
}
private static List <TradeBucket> groupDataBy(GroupBy time, List <Trade> trades, TradeBucket lastBucket)
{
if (time == GroupBy.hour)
{
int x = 0;
}
List <TradeBucket> grouped = new List <TradeBucket>();
if (trades.Count > 0)
{
double cBucketTime = (trades[0].Time - (trades[0].Time % (int)time));
decimal cHigh = decimal.MinValue;
decimal cLow = decimal.MaxValue;
decimal cVolume = 0;
int cNumTrades = 0;
decimal cOpen = (decimal)0;
int tradeCount = 0;
for (int i = 0; i < trades.Count; i++)
{
tradeCount++;
if (trades[i].Time > (cBucketTime + (int)time) || tradeCount == trades.Count)
{
TradeBucket bucket = new TradeBucket();
bucket.Time = cBucketTime;
bucket.High = cHigh;
bucket.Low = cLow;
bucket.Volume = cVolume;
bucket.Open = cOpen;
bucket.Close = trades[i - 1].Price;
bucket.NumTrades = cNumTrades;
bucket.Group = time;
grouped.Add(bucket);
cBucketTime += (double)time;
cNumTrades = 0;
cHigh = decimal.MinValue;
cLow = decimal.MaxValue;
cVolume = 0;
}
cOpen = grouped.Count == 0 ? lastBucket != null ? lastBucket.Close : trades[0].Price : grouped[grouped.Count - 1].Close;
cNumTrades++;
cHigh = trades[i].Price > cHigh ? trades[i].Price : cHigh;
cLow = trades[i].Price < cLow ? trades[i].Price : cLow;
cVolume += trades[i].Amount;
}
}
grouped[0].Open = lastBucket == null ? trades[0].Price : lastBucket.Close;
return(grouped);
}
public override void Run()
{
//Fetch data From DB
while (true)
{
List <TradeBucket> lastBucket = TradeBucket.GetTwoLastKnownBucket((GroupBy)_process);
List <Trade> remainingTrades = Trade.GetTradesAfterTime(lastBucket.Count == 0 ? 0 : lastBucket[1].Time);
//Bucket the data
List <TradeBucket> buckets = groupDataBy((GroupBy)_process, remainingTrades, lastBucket.Count == 0 ? null : lastBucket[0]);
//Save Buckets
saveAllBuckets(buckets);
Thread.Sleep(60 * 3 * 1000);
}
}
private void runAlgorithm()
{
TradingAlgorithm tradeAlgo = (TradingAlgorithm)_process;
List <Advice> advices = new List <Advice>();
TradeBucket end = TradeBucket.GetTwoLastKnownBucket(tradeAlgo.Group)[0];
double lastKnownTime = Advice.GetLastKnownTime(tradeAlgo.Name, tradeAlgo.Group);
double start = lastKnownTime > 1293840000 ? lastKnownTime : _cache.GetByGroup(tradeAlgo.Group)[70].Time;
bool hasCash = true;
for (double i = start; i <= end.Time; i += (double)tradeAlgo.Group)
{
List <TradeBucket> tb = _cache.GetBucketsBeforeTime(tradeAlgo.Group, i);
Advice advice = tradeAlgo.GetActionForBuckets(tb);
if (hasCash == true && advice.Action == TradeAction.Buy)
{
advices.Add(advice);
hasCash = false;
}
else if (hasCash == false && advice.Action == TradeAction.Sell)
{
advices.Add(advice);
hasCash = true;
}
}
foreach (Advice advice in advices)
{
Advice ad = (Advice)advice.Exists();
if (ad == null && advice.Group == GroupBy.hour && (advice.AlgorithmName == "StochRSI" || advice.AlgorithmName == "ROC"))
{
if (bool.Parse(ConfigurationManager.AppSettings["enableEmailing"]))
{
sendEmailsFor(advice);
}
if (bool.Parse(ConfigurationManager.AppSettings["enableTwitter"]))
{
tweetFor(advice);
}
if (bool.Parse(ConfigurationManager.AppSettings["enableTrading"]))
{
mtgoxTrade(advice);
}
}
advice.SaveNew();
}
this._doneEvent.Set();
}
public void AddBucket(TradeBucket tb)
{
tbCache[tb.Group].Add(tb);
}
