private PricePoints GetPricePoints(OrderBookDao.Entity orderBook)
{
if (pricePointsCache == null)
{
pricePointsCache = new Dictionary <string, Dictionary <OrderBookDao.Entity, PricePoints> >();
}
if (pricePointsCache.ContainsKey(selectedInstrument.Name) == false)
{
pricePointsCache.Add(selectedInstrument.Name, new Dictionary <OrderBookDao.Entity, PricePoints>());
}
var orderBookPricePoints = pricePointsCache[selectedInstrument.Name];
if (orderBookPricePoints.ContainsKey(orderBook))
{
return(orderBookPricePoints[orderBook]);
}
PricePoints pricePoints = new PricePoints();
pricePoints.rate = orderBook.Rate;
pricePoints.price_points = new Dictionary <float, PricePoint>();
foreach (var pp in orderBook.GetPricePointsOrderByPrice())
{
pricePoints.price_points[pp.Price] = new PricePoint()
{
os = pp.Os,
ol = pp.Ol,
ps = pp.Ps,
pl = pp.Pl
};
}
orderBookPricePoints[orderBook] = pricePoints;
return(pricePoints);
}
private List <Candlestick> RetrieveS5Candles(OrderBookDao.Entity orderBook)
{
using (DBUtils.OpenThreadConnection()) {
DateTime firstDateTime = orderBook.DateTime;
DateTime startDateTime = new DateTime(
firstDateTime.Year, firstDateTime.Month, firstDateTime.Day, firstDateTime.Hour, firstDateTime.Minute, 0, DateTimeKind.Local);
return(new CandlesticksGetter()
{
Start = startDateTime,
End = startDateTime.AddMinutes(20),
Granularity = "S5",
Instrument = selectedInstrument.Name
}.Execute().ToList());
}
}
private static OrderBookPricePointDao.Entity GetRatePricePoint(OrderBookDao.Entity orderBook, float rate)
{
float min = float.MaxValue;
OrderBookPricePointDao.Entity closedPricePoint = null;
foreach (var pricePoint in orderBook.GetPricePointsOrderByPrice())
{
float d = Math.Abs(rate - pricePoint.Price);
if (d < min)
{
min = d;
closedPricePoint = pricePoint;
}
}
return(closedPricePoint);
}
private void LoadChart(Chart chart, int index)
{
var list = orderBooks[selectedInstrument.Name];
OrderBookDao.Entity orderBook = list[index];
OrderBookDao.Entity previousOrderBook = (index + 1 < list.Count()) ? list[index + 1] : null;
LoadChart(chart, orderBook.DateTime, orderBook, previousOrderBook, index == 0);
/* splitContainer1.Panel2.HorizontalScroll.Value = splitContainer1.Panel1.HorizontalScroll.Value
* = (int) chart.ChartAreas[0].AxisX.ValueToPixelPosition(orderBook.Rate);*/
// Console.WriteLine("ratePixel"+chart.ChartAreas[0].AxisX.ValueToPixelPosition(orderBook.Rate));
// Console.WriteLine("splitContainer1.Panel2.HorizontalScroll.Value" + splitContainer1.Panel2.HorizontalScroll.Value);
}
private void LoadChart(Chart chart, OrderBookDao.Entity orderBook)
{
PricePoints pricePoints = new PricePoints();
pricePoints.rate = orderBook.Rate;
pricePoints.price_points = new Dictionary <float, PricePoint>();
foreach (var pp in orderBook.GetPricePointsOrderByPrice())
{
pricePoints.price_points[pp.Price] = new PricePoint()
{
os = pp.Os,
ol = pp.Ol,
ps = pp.Ps,
pl = pp.Pl
};
}
LoadChart(chart, orderBook.DateTime, pricePoints);
}
private void 近傍ポジション変化_Click(object sender, EventArgs e)
{
RunTask(sender, report => {
report.Version = 3;
report.IsForceOverride = true;
report.Comment = "";
report.SetHeader("date_time", "pre_pl", "cur_pl", "pre_ps", "cur_ps", "low", "high", "close");
using (DBUtils.OpenThreadConnection()) {
OrderBookDao.Entity preOrderBook = null;
foreach (var orderBook in GetOrderBooks())
{
if (preOrderBook != null)
{
var candle = Candlestick.Aggregate(new CandlesticksGetter()
{
Granularity = "M10",
Start = orderBook.NormalizedDateTime.AddMinutes(-20),
Count = 2
}.Execute());
if (orderBook.NormalizedDateTime == new DateTime(2016, 2, 22, 10, 40, 0, DateTimeKind.Local))
{
int a = 1;
}
float prePl = 0, prePs = 0;
float curPl = 0, curPs = 0;
foreach (var pp in GetRangePricePoint(orderBook, candle.Low, candle.High))
{
curPl += pp.Pl;
curPs += pp.Ps;
}
foreach (var pp in GetRangePricePoint(preOrderBook, candle.Low, candle.High))
{
prePl += pp.Pl;
prePs += pp.Ps;
}
report.WriteLine(orderBook.DateTime, prePl, curPl, prePs, curPs, candle.Low, candle.High, candle.Close);
}
preOrderBook = orderBook;
}
}
});
}
private static IEnumerable <OrderBookPricePointDao.Entity> GetRangePricePoint(OrderBookDao.Entity orderBook, float min, float max)
{
float start = GetRoundPrice(min);
float end = GetRoundPrice(max);
foreach (var pricePoint in orderBook.GetPricePointsOrderByPrice())
{
if (start - 0.001f <= pricePoint.Price && pricePoint.Price <= end + 0.001f)
{
yield return(pricePoint);
}
}
}
private void LoadChart(Chart chart, DateTime dateTime, OrderBookDao.Entity orderBook, OrderBookDao.Entity previousOrderBook, bool isLatestChart)
{
PricePoints pricePoints = GetPricePoints(orderBook);
PricePoints previousPricePoints = previousOrderBook != null?GetPricePoints(previousOrderBook) : null;
chart.Series.Clear();
chart.ChartAreas.Clear();
chart.Titles.Clear();
chart.Size = new Size(6000, 400);
ChartArea chartArea = new ChartArea();
chartArea.AxisX.Interval = selectedInstrument.GraphInterval;
chartArea.AxisX.Minimum = selectedInstrument.GraphMinPrice;
chartArea.AxisX.Maximum = selectedInstrument.GraphMaxPrice;
chartArea.AxisX.LabelStyle.Format = selectedInstrument.AxisLabelFormat;
chartArea.AxisX.MajorGrid.Enabled = true;
chartArea.AxisX.MajorGrid.Interval = selectedInstrument.GraphInterval * 2;
chartArea.AxisX.MinorGrid.Enabled = true;
chartArea.AxisX.MinorGrid.LineColor = Color.LightGray;
chartArea.AxisX.MinorGrid.Interval = selectedInstrument.GraphInterval;
/* chartArea.AxisX2.Enabled = AxisEnabled.True;
* chartArea.AxisX2.Minimum = chartArea.AxisX.Minimum;
* chartArea.AxisX2.Maximum = chartArea.AxisX.Maximum;*/
// chartArea.AxisX2.Interval = VOLUME_PRICE_GRANURALITY;
chartArea.AxisY.Maximum = 5.0f;
chartArea.AxisY.Minimum = 0f;
chartArea.AxisY.Interval = 1.0f;
chartArea.AxisY.MajorGrid.LineColor = Color.LightGray;
chartArea.AxisY2.Enabled = AxisEnabled.True;
chartArea.AxisY2.Maximum = 2.5f;
chartArea.AxisY2.Minimum = -2.5f;
chartArea.AxisY2.Interval = 1.0f;
chart.ChartAreas.Add(chartArea);
Series volumeSeries = new Series();
volumeSeries.ChartType = SeriesChartType.Column;
// volumeSeries.XAxisType = AxisType.Secondary;
volumeSeries.Color = Color.LightGray;
volumeSeries.SetCustomProperty("PixelPointWidth", "2");
// volumeSeries.SetCustomProperty("PointWidth", "0.5");
chart.Series.Add(volumeSeries);
var UISyncContext = TaskScheduler.FromCurrentSynchronizationContext();
if (isLatestChart)
{
if (latestS5Candles == null)
{
latestVolumeSeries = volumeSeries;
retriveVolumeQueue.Add(() => {
var candlesticks = RetrieveS5Candles(orderBook);
Invoke(new Action(() => {
latestS5Candles = candlesticks.ToList();
LoadVolumeSeries(volumeSeries, latestS5Candles);
}));
});
}
// , UISyncContext);
/*
* lock (volumeCandlesLock) {
* if (latestS5Candles != null) {
* LoadVolumeSeries(latestVolumeSeries,latestS5Candles);
* }
* }*/
}
else
{
retriveVolumeQueue.Add(() => {
var candlesticks = RetrieveS5Candles(orderBook);
Invoke(new Action(() => {
LoadVolumeSeries(volumeSeries, candlesticks);
}));
});
/*
* new TaskFactory().StartNew(() => RetrieveS5Candles(orderBook)).ContinueWith(candlesticks => {
* latestS5Candles = candlesticks.Result.ToList();
* LoadVolumeSeries(volumeSeries, latestS5Candles);
* }, UISyncContext);*/
/*
* if (gettingVolumes == false) {
* gettingVolumes = true;
* RetrieveS5CandlesAsync(orderBook).ContinueWith(candlesticks => {
* LoadVolumeSeries(volumeSeries, candlesticks.Result);
* gettingVolumes = false;
* }, UISyncContext);
* }*/
}
Series seriesDeltaPos = new Series();
chart.Series.Add(seriesDeltaPos);
seriesDeltaPos.YAxisType = AxisType.Secondary;
seriesDeltaPos.ChartType = SeriesChartType.StackedColumn;
seriesDeltaPos.LegendText = "buy - sell position";
seriesDeltaPos.SetCustomProperty("PixelPointWidth", "14");
seriesDeltaPos.Color = Color.FromArgb(100, 0, 255, 0);
Series seriesPreviousDeltaPos = new Series();
chart.Series.Add(seriesPreviousDeltaPos);
seriesPreviousDeltaPos.YAxisType = AxisType.Secondary;
seriesPreviousDeltaPos.ChartType = SeriesChartType.StackedColumn;
seriesPreviousDeltaPos.SetCustomProperty("PixelPointWidth", "14");
seriesPreviousDeltaPos.Color = Color.FromArgb(100, 0, 255, 0);
float totalPl = 0;
float totalPs = 0;
foreach (var price in pricePoints.price_points.Keys.OrderBy(k => k))
{
var dprice = (double)price;
var p = pricePoints.price_points[price];
var curD = p.pl - p.ps;
totalPl += p.pl;
totalPs += p.ps;
if (previousPricePoints != null)
{
if (previousPricePoints.price_points.ContainsKey(price))
{
var pre = previousPricePoints.price_points[price];
var preD = pre.pl - pre.ps;
if (preD < 0 && curD > 0)
{
seriesDeltaPos.Points.Add(new DataPoint(dprice, curD)
{
Color = Color.FromArgb(100, 255, 0, 0)
});
seriesPreviousDeltaPos.Points.Add(new DataPoint(dprice, preD)
{
Color = Color.FromArgb(100, 255, 0, 0)
});
}
else if (preD > 0 && curD < 0)
{
seriesDeltaPos.Points.Add(new DataPoint(dprice, curD)
{
Color = Color.FromArgb(100, 0, 0, 255)
});
seriesPreviousDeltaPos.Points.Add(new DataPoint(dprice, preD)
{
Color = Color.FromArgb(100, 0, 0, 255)
});
}
else if (preD > 0 && curD > 0)
{
seriesDeltaPos.Points.Add(new DataPoint(dprice, Math.Min(curD, preD))
{
Color = Color.FromArgb(100, 0, 255, 0)
});
seriesPreviousDeltaPos.Points.Add(new DataPoint(dprice, Math.Abs(curD - preD))
{
Color = curD > preD ? Color.FromArgb(100, 255, 0, 0) : Color.FromArgb(25, 0, 0, 255)
});
}
else
{
seriesDeltaPos.Points.Add(new DataPoint(dprice, Math.Max(curD, preD))
{
Color = Color.FromArgb(100, 0, 255, 0)
});
seriesPreviousDeltaPos.Points.Add(new DataPoint(dprice, -Math.Abs(curD - preD))
{
Color = curD > preD ? Color.FromArgb(25, 255, 0, 0) : Color.FromArgb(100, 0, 0, 255)
});
}
}
else
{
seriesDeltaPos.Points.Add(new DataPoint(dprice, curD));
seriesPreviousDeltaPos.Points.Add(new DataPoint(dprice, 0));
}
}
else
{
seriesDeltaPos.Points.Add(new DataPoint(dprice, curD));
}
}
Series[] lines = new Series[4];
string[] titles = new string[] { "order_long", "order_short", "pos_long", "pos_short" };
Color[] colors = new Color[] { Color.Pink, Color.LightBlue, Color.Red, Color.Blue };
for (int i = 0; i < 4; i++)
{
Series seriesLine = new Series();
chart.Series.Add(seriesLine);
seriesLine.ChartType = SeriesChartType.Line;
seriesLine.LegendText = titles[i];
seriesLine.BorderWidth = 1;
seriesLine.Color = colors[i];
seriesLine.MarkerStyle = MarkerStyle.Circle;
seriesLine.MarkerSize = 2;
lines[i] = seriesLine;
}
foreach (var price in pricePoints.price_points.Keys.OrderBy(k => k))
{
var dprice = decimal.ToDouble((decimal)price);
var p = pricePoints.price_points[price];
lines[0].Points.Add(new DataPoint(dprice, p.ol));
lines[1].Points.Add(new DataPoint(dprice, p.os));
lines[2].Points.Add(new DataPoint(dprice, p.pl));
lines[3].Points.Add(new DataPoint(dprice, p.ps));
}
Series seriesRate = new Series();
chart.Series.Add(seriesRate);
seriesRate.ChartType = SeriesChartType.Line;
// seriesRate.SetCustomProperty("PointWidth", "0.01");
seriesRate.Points.Add(new DataPoint(pricePoints.rate, 5.0f));
seriesRate.Points.Add(new DataPoint(pricePoints.rate, -1.0f));
seriesRate.Color = Color.Pink;
seriesRate.BorderWidth = 3;
if (isLatestChart)
{
streamPriceSeries = new Series();
chart.Series.Add(streamPriceSeries);
streamPriceSeries.ChartType = SeriesChartType.Line;
// streamPriceSeries.SetCustomProperty("PointWidth", "0.01");
streamPriceSeries.Points.Add(new DataPoint(latestPrice, 5.0f));
streamPriceSeries.Points.Add(new DataPoint(latestPrice, -1.0f));
streamPriceSeries.Color = Color.Red;
streamPriceSeries.BorderWidth = 3;
}
float pld = 0;
float psd = 0;
if (previousPricePoints != null)
{
float prevTotalPl = 0;
float prevTotalPs = 0;
foreach (var pp in previousPricePoints.price_points)
{
prevTotalPl += pp.Value.pl;
prevTotalPs += pp.Value.ps;
}
pld = totalPl - prevTotalPl;
psd = totalPs - prevTotalPs;
}
chart.Titles.Add(String.Format("{0} short position:{1:0.###}({2:+0.###;-0.###;0.###}) long position:{3:0.###}({4:+0.###;-0.###;0.###}) ", dateTime, totalPs, psd, totalPl, pld));
}