public static DataTable LoadCovMatrix() { DateTime FolderDate; string DirectoyRoot = DirectoryNames.GetDirectoryName("overnightCandlestick"); string FullFolderName; DataTable CovMatrix = null; for (int i = 1; i < 6; i++) { FolderDate = BusinessDays.GetBusinessDayShifted(-i); FullFolderName = DirectoyRoot + DirectoryNames.GetDirectoryExtension(FolderDate); double CovDataIntegrity = Convert.ToDouble(FromTxt2List.LoadFile(FullFolderName + "/covDataIntegrity.txt")[0]); if (i > 1) { Console.WriteLine("Most recent covFile not available or lower quality! "); } if (CovDataIntegrity > 80) { CovMatrix = IOUtilities.ExcelDataReader.LoadFile(FullFolderName + "/cov_matrix.xlsx").Tables["cov_matrix"]; break; } } return(CovMatrix); }
public static IEnumerable <ContractVolume> GetContractVolumes() { DateTime folderDate = BusinessDays.GetBusinessDayShifted(-1); return(GetContractVolumes(folderDate)); }
public static IEnumerable <ContractVolume> GetContractVolumes(DateTime folderDate) { ContractVolumeFolder = DirectoryNames.GetDirectoryName("ttapiContractVolume") + DirectoryNames.GetDirectoryExtension(BusinessDays.GetBusinessDayShifted(-1)); var sr = new StreamReader(ContractVolumeFolder + "/ContractList.csv"); var reader = new CsvHelper.CsvReader(sr); reader.Configuration.RegisterClassMap(new MyClassMap()); ContractVolumeList = reader.GetRecords <ContractVolume>().ToList(); for (int i = 0; i < ContractVolumeList.Count(); i++) { string[] words = ContractVolumeList[i].instrumentName.Split(); ContractVolumeList[i].SeriesKey = words[words.Count() - 1]; } return(ContractVolumeList); }
/// <summary> /// Primary constructor /// </summary> public MarketRecorder(string u, string p) { m_username = u; m_password = p; OutputFolder = TA.DirectoryNames.GetDirectoryName(ext: "ttapiBidAsk") + TA.DirectoryNames.GetDirectoryExtension(DateTime.Now.Date); System.IO.Directory.CreateDirectory(OutputFolder); PriceFileDictionary = new Dictionary <string, StreamWriter>(); FilteredList = new List <ttapiTicker>(); DateTime referanceDate = DateTime.Today; EndTime = new DateTime(referanceDate.Year, referanceDate.Month, referanceDate.Day, 15, 45, 0); ContractVolumeList = TA.LoadContractVolumeFile.GetContractVolumes(folderDate: BusinessDays.GetBusinessDayShifted(-1)); FilteredList = ContractVolumeList.Where(x => x.Volume > 100).ToList().OfType <ttapiTicker>().ToList(); string [] TickerHeadList = ContractUtilities.ContractMetaInfo.cmeFuturesTickerheadList.Union(ContractUtilities.ContractMetaInfo.iceFuturesTickerheadList).ToArray(); LiquidContractList = new ContractUtilities.ContractList(TickerHeadList); //LiquidDbTickerList = LiquidContractList.dbTickerList; LiquidDbTickerList = new List <string>(); for (int i = 0; i < FilteredList.Count; i++) { //Console.WriteLine(FilteredList[i].instrumentName); PriceFileDictionary.Add(FilteredList[i].instrumentName, new StreamWriter(OutputFolder + "/" + FilteredList[i].instrumentName.Replace("/", "-").Replace(":", "-") + ".csv")); } TTAPISubs = new ttapiUtils.Subscription(m_username, m_password); TTAPISubs.TTAPITickerList = FilteredList; TTAPISubs.LiquidDbTickerList = LiquidDbTickerList; TTAPISubs.ilsUpdateList = new List <EventHandler <InstrumentLookupSubscriptionEventArgs> > { TTAPISubs.startPriceSubscriptions }; TTAPISubs.AsuUpdateList = new List <EventHandler <AuthenticationStatusUpdateEventArgs> > { TTAPISubs.startInstrumentLookupSubscriptionsFromTTAPITickers }; TTAPISubs.priceUpdatedEventHandler = m_ps_FieldsUpdated; }