private static void ConvertAndResampleSymbol(string sourceDir, string destDir, string symbol, TimeSpan frequency)
{
string sourcePath = Path.Combine(sourceDir, $"{symbol}.txt");
var resampler = new BarDataResampler(frequency);
resampler.AddRange(Kibot.EnumerateBars(sourcePath));
resampler.Finish();
var barData = new List <BarData>();
foreach (var bar in resampler.Data)
{
if (barData.Count > 0 && bar.Timestamp.Year != barData[0].Timestamp.Year)
{
string destPath = Path.Combine(destDir, $"{symbol}_{barData[0].Timestamp.Year}.bar");
Zorro.Save(destPath, barData, Zorro.DataFormat.Bar);
barData.Clear();
}
barData.Add(bar);
}
if (barData.Count > 0)
{
var destPath = Path.Combine(destDir, $"{symbol}_{barData[0].Timestamp.Year}.bar");
Zorro.Save(destPath, barData, Zorro.DataFormat.Bar);
}
}
private static void ConvertSymbolDaily(string sourceDir, string destDir, string symbol)
{
string sourcePath = Path.Combine(sourceDir, $"{symbol}.txt");
string destPath = Path.Combine(destDir, $"{symbol}.t6");
var barData = Kibot.Load(sourcePath);
Zorro.Save(destPath, barData, Zorro.DataFormat.T6);
}
private static void ConvertForexTesterToZorro()
{
var symbols = new string[]
{
"AUDJPY",
"AUDUSD",
"CHFJPY",
"EURCAD",
"EURCHF",
"EURGBP",
"EURJPY",
"EURUSD",
"GBPCHF",
"GBPJPY",
"GBPUSD",
"NZDJPY",
"NZDUSD",
"USDCAD",
"USDCHF",
"USDJPY"
};
var majors = new string[] { "EURUSD", "AUDUSD", "GBPUSD", "NZDUSD", "USDCAD", "USDCHF", "USDJPY" };
Directory.CreateDirectory("Zorro");
foreach (var symbol in symbols)
{
Console.WriteLine($"Loading {symbol} data");
var bars = ForexTester.Load($"ForexTester/{symbol}.txt");
DateTime minDate = bars[0].Timestamp;
DateTime maxDate = bars[0].Timestamp;
foreach (var bar in bars)
{
if (bar.Timestamp < minDate)
{
minDate = bar.Timestamp;
}
if (bar.Timestamp > maxDate)
{
maxDate = bar.Timestamp;
}
}
Console.WriteLine($"Saving Zorro {symbol} data ({minDate} - {maxDate})");
for (int year = minDate.Year; year <= maxDate.Year; year++)
{
Zorro.Save($"Zorro/{symbol}_{year}.bar", bars.Where(x => x.Timestamp.Year == year), Zorro.DataFormat.Bar);
}
}
}
public static void SaveZorroBarData(string dirPath, string symbol, List <BarData> bars, Zorro.DataFormat format)
{
DateTime minDate = bars.First().Timestamp;
DateTime maxDate = bars.Last().Timestamp;
Console.WriteLine($"Saving Zorro {symbol} data ({minDate} - {maxDate})");
for (int year = minDate.Year; year <= maxDate.Year; year++)
{
var path = Path.Combine(dirPath, $"{symbol}_{year}.bar");
Zorro.Save(path, bars.Where(x => x.Timestamp.Year == year), format);
}
}
private static void ConvertSymbol(string sourceDir, string destDir, string symbol)
{
string sourcePath = Path.Combine(sourceDir, $"{symbol}.txt");
var barData = new List <BarData>();
foreach (var bar in Kibot.EnumerateBars(sourcePath))
{
if (barData.Count > 0 && bar.Timestamp.Year != barData[0].Timestamp.Year)
{
string destPath = Path.Combine(destDir, $"{symbol}_{barData[0].Timestamp.Year}.bar");
Zorro.Save(destPath, barData, Zorro.DataFormat.Bar);
barData.Clear();
}
barData.Add(bar);
}
if (barData.Count > 0)
{
var destPath = Path.Combine(destDir, $"{symbol}_{barData[0].Timestamp.Year}.bar");
Zorro.Save(destPath, barData, Zorro.DataFormat.Bar);
}
}
