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, $"{symbol}_{barData[0].Timestamp.Year}.bar");
Zorro.Save(destPath, barData, Zorro.DataFormat.Bar);
}
}
public void Run()
{
var fileStream = File.Open(@"E:\HistoricalData\Bitcoin\bitstampUSD.csv.gz", FileMode.Open);
var gzipStream = new GZipStream(fileStream, CompressionMode.Decompress);
var reader = new StreamReader(gzipStream);
var resampler = new BarDataResampler(new TimeSpan(0, 1, 0));
while (!reader.EndOfStream)
{
string[] data = reader.ReadLine().Split(',');
var bar = new BarData();
bar.Timestamp = UnixTimeStampToDateTime(double.Parse(data[0], CultureInfo.InvariantCulture));
bar.Open = bar.High = bar.Low = bar.Close = double.Parse(data[1], CultureInfo.InvariantCulture);
bar.Volume = double.Parse(data[2], CultureInfo.InvariantCulture);
resampler.Add(bar);
}
string zorroDir = @"E:\HistoricalData\Zorro";
Directory.CreateDirectory(zorroDir);
Helper.SaveZorroBarData(zorroDir, "XBTUSD", resampler.Data, Zorro.DataFormat.Bar);
}
public void Run()
{
var pointValues = new Dictionary <string, double>();
pointValues.Add("EURUSD", 0.00001);
pointValues.Add("AUDUSD", 0.00001);
pointValues.Add("GBPUSD", 0.00001);
pointValues.Add("NZDUSD", 0.00001);
pointValues.Add("USDCAD", 0.00001);
pointValues.Add("USDCHF", 0.00001);
pointValues.Add("USDJPY", 0.001);
pointValues.Add("AUDJPY", 0.001);
pointValues.Add("CHFJPY", 0.001);
pointValues.Add("EURCAD", 0.00001);
pointValues.Add("EURCHF", 0.00001);
pointValues.Add("EURGBP", 0.00001);
pointValues.Add("EURJPY", 0.001);
pointValues.Add("GBPCHF", 0.00001);
pointValues.Add("GBPJPY", 0.001);
pointValues.Add("NZDJPY", 0.001);
var symbols = new string[]
{
"EURUSD"
};
var dukascopy = new Dukascopy(@"E:\HistoricalData\Dukascopy");
foreach (var symbol in symbols)
{
DateTime fromDateTime = new DateTime(2001, 1, 1);
DateTime toDateTime = DateTime.UtcNow;
//////////////////////////////////////////////////
// Resample data
// Load bid prices and resample to M1 bars
Console.WriteLine($"Loading and resampling bid bars for {symbol}");
var resampler1 = new BarDataResampler(new TimeSpan(0, 1, 0));
resampler1.AddRange(dukascopy.LoadBars(symbol, pointValues[symbol], fromDateTime, toDateTime, bidPrices: true));
resampler1.Finish();
var bidBars = resampler1.Data;
// Load ask prices and resample to M1 bars
Console.WriteLine($"Loading and resampling ask bars for {symbol}");
var resampler2 = new BarDataResampler(new TimeSpan(0, 1, 0));
resampler2.AddRange(dukascopy.LoadBars(symbol, pointValues[symbol], fromDateTime, toDateTime, bidPrices: false));
resampler2.Finish();
var askBars = resampler2.Data;
// Compute spread
var spread = new List <BarData>();
for (int i = 0; i < bidBars.Count; i++)
{
double value = askBars[i].Close - bidBars[i].Close;
spread.Add(new BarData()
{
Timestamp = askBars[i].Timestamp, Open = value, High = value, Low = value, Close = value
});
}
//////////////////////////////////////////////////
// Save data to Zorro format
string zorroDir = @"E:\HistoricalData\Zorro";
Directory.CreateDirectory(zorroDir);
// Save to Zorro .bar format.
Console.WriteLine($"Saving Zorro .bar data for {symbol}");
Helper.SaveZorroBarData(zorroDir, symbol, askBars, Zorro.DataFormat.Bar);
// Save spread data to Zorro .bar format for special symbol.
Console.WriteLine($"Saving Zorro .bar spread data for {symbol}s");
Helper.SaveZorroBarData(zorroDir, symbol + "s", spread, Zorro.DataFormat.Bar);
//// Save to Zorro T1 format (price + spread)
//Console.WriteLine($"Saving Zorro T1 data for {symbol}");
//SaveZorroT1Data(dukascopy, symbol, pointValues[symbol]);
//////////////////////////////////////////////////
// Save data to ForexTester format
// Save to ForexTester format (can be easily loaded in MT4)
//Console.WriteLine($"Saving ForexTester M1 data for {symbol}");
//Directory.CreateDirectory("ForexTester");
//ForexTester.Save(Path.Combine("ForexTester", symbol + ".csv"), symbol, bidBars);
}
}
