public static void TestGraph(this AbstractIndicator ind, string filename, int length)
{
Quantum q = Quantum.ExcelToQuantum(filename, "symbol", 0);
var dz = new DenseMatrix(4 + 1 + ind.SubIndicatorSize, q.Data.Count);
List <string> names = new List <string>();
names.Add("symbol");
names.Add(ind.ToString());
foreach (var indicator in ind.SubIndicators)
{
names.Add(indicator.Key);
}
//chartoptions
ChartOption[] chartOptions = new ChartOption[names.Count];
chartOptions[0] = new ChartOption()
{
Height = 400, YPosition = 0
};
chartOptions[1] = new ChartOption()
{
Height = 200, YPosition = 1
};
for (int i = 2; i < chartOptions.Length; i++)
{
chartOptions[i] = new ChartOption()
{
Height = 0, YPosition = 1, Layover = true
}
}
;
int counter = 0;
foreach (Tick tick in q)
{
dz[0, counter] = tick.BidOpen;
dz[1, counter] = tick.BidHigh;
dz[2, counter] = tick.BidLow;
dz[3, counter] = tick.BidClose;
dz[4, counter] = ind.HandleNextTick(tick);
int icounter = 5;
foreach (var subind in ind.SubIndicators.Values)
{
dz[icounter, counter] = subind[0];
icounter++;
}
counter++;
}
Visualize.GenerateMultiPaneGraph(names.ToArray(), q.Data.Keys.ToArray(), dz, QSConstants.DEFAULT_DATA_FILEPATH + @"results.html",
chartOptions);
Console.WriteLine("Done Generating Graph for " + ind.ToString());
}
public override double HandleNextTick(Tick t)
{
if (indicator != null)
{
return(HandleNextTick(indicator.HandleNextTick(t)));
}
return(HandleNextTick(t.BidClose));
}
public void FinishAndProcess()
{
for (int i = 0; i < symbols.Length; i++)
{
SortedList <DateTime, Tick> d = mktData[i].data.Data;
for (int j = 0; j < numTicks; j++)
{
graphData[i, j] = indicator.HandleNextTick(d.Values[j]);
}
}
Visualize.GenerateMultiSymbolGraph(symbols, graphData, mktData[0].data.Data.Values[0].Time,
DateTimeUtils.TimeFrameToTimeSpan(timeframe), "C:\\Users\\Ethan\\Work\\QuantSysdata.html");
Console.WriteLine("Done Processing symbol set.");
}
public override double HandleNextTick(Tick t)
{
double value = double.NaN;
MA.HandleNextTick(t);
indicator.HandleNextTick(t);
if (!MA[0].Equals(double.NaN))
{
double[] MAArray = MA.ToArray();
double[] indArray = indicator.ToArray();
SortedList <double, double> tickHighs = new SortedList <double, double>();
SortedList <double, double> tickLows = new SortedList <double, double>();
SortedList <double, double> indHighs = new SortedList <double, double>();
SortedList <double, double> indLows = new SortedList <double, double>();
for (int i = 2; i < MAArray.Length; i++)
{
//high
if (MAArray[i] < MAArray[i - 1] && MAArray[i - 1] > MAArray[i - 2])
{
tickHighs.Add(i - 1, MAArray[i - 1]);
}
if (indArray[i] < indArray[i - 1] && indArray[i - 1] > indArray[i - 2])
{
indHighs.Add(i - 1, indArray[i - 1]);
}
//low
if (MAArray[i] > MAArray[i - 1] && MAArray[i - 1] < MAArray[i - 2])
{
tickLows.Add(i - 1, MAArray[i - 1]);
}
if (indArray[i] > indArray[i - 1] && indArray[i - 1] < indArray[i - 2])
{
indLows.Add(i - 1, indArray[i - 1]);
}
}
if (tickHighs.Count > 0 && indHighs.Count > 0 &&
tickLows.Count > 0 && indLows.Count > 0)
{
LinearRegression lrTickHighs = new LinearRegression();
LinearRegression lrTickLows = new LinearRegression();
LinearRegression lrindkHighs = new LinearRegression();
LinearRegression lrindLows = new LinearRegression();
lrTickHighs.Model(tickHighs.Keys.ToArray(), tickHighs.Values.ToArray());
lrTickLows.Model(tickLows.Keys.ToArray(), tickLows.Values.ToArray());
lrindkHighs.Model(indHighs.Keys.ToArray(), indHighs.Values.ToArray());
lrindLows.Model(indLows.Keys.ToArray(), indLows.Values.ToArray());
if (lrTickHighs.X2 > 0 && lrindkHighs.X2 < 0)
{
value = 1;
}
else if (lrTickLows.X2 < 0 && lrindLows.X2 > 0)
{
value = -1;
}
else
{
value = 0;
}
value = lrindkHighs.Fit(indArray[0]);
}
}
indicatorData.Enqueue(value);
return(value);
}
public static void TestGraphLive(this AbstractIndicator ind, string timeframe, string symbol, int length)
{
//------------grab data
FXSession session = new FXSession();
session.InitializeSession();
HistoricPriceEngine h = new HistoricPriceEngine(session);
h.GetLongHistoricPrices(symbol, timeframe, length);
while (!h.Complete)
{
Thread.Sleep(100);
}
//-----------------------
Quantum q = h.Data;
var dz = new DenseMatrix(4 + 1 + ind.SubIndicatorSize, q.Data.Count);
List <string> names = new List <string>();
names.Add("symbol");
names.Add(ind.ToString());
foreach (var indicator in ind.SubIndicators)
{
names.Add(indicator.Key);
}
//chartoptions
ChartOption[] chartOptions = new ChartOption[names.Count];
chartOptions[0] = new ChartOption()
{
Height = 400, YPosition = 0
};
chartOptions[1] = new ChartOption()
{
Height = 200, YPosition = 1
};
for (int i = 2; i < chartOptions.Length; i++)
{
chartOptions[i] = new ChartOption()
{
Height = 0, YPosition = 1, Layover = true
}
}
;
int counter = 0;
foreach (Tick tick in q)
{
dz[0, counter] = tick.BidOpen;
dz[1, counter] = tick.BidHigh;
dz[2, counter] = tick.BidLow;
dz[3, counter] = tick.BidClose;
dz[4, counter] = ind.HandleNextTick(tick);
int icounter = 5;
foreach (var subind in ind.SubIndicators.Values)
{
dz[icounter, counter] = subind[0];
icounter++;
}
counter++;
}
Visualize.GenerateMultiPaneGraph(names.ToArray(), q.Data.Keys.ToArray(), dz, QSConstants.DEFAULT_DATA_FILEPATH + @"results.html",
chartOptions);
Console.WriteLine("Done Generating Graph for " + ind.ToString());
}