public List <ForexDto> PrepareData(int splitPeriodSeconds)
{
var forexRecords = _forexCsvRepository.CsvLinesNormalized;
var firstRecord = forexRecords[0];
var options = ForexHelper.InitializeForexTrackData(firstRecord);
int index = 0;
var forexSplitData = new List <ForexDto>();
var currentDto = new ForexDto
{
FileName = index.ToString(),
ForexData = new List <ForexTreeData>()
};
DateTime differenceTime = DateTime.ParseExact(firstRecord.Date, "yyyyMMdd HH:mm:ss.fff", System.Globalization.CultureInfo.InvariantCulture);
for (var i = 0; i < forexRecords.Count; i++)
{
var record = forexRecords[i];
var dateTime = DateTime.ParseExact(record.Date, "yyyyMMdd HH:mm:ss.fff", System.Globalization.CultureInfo.InvariantCulture).Subtract(differenceTime);
var seconds = (int)dateTime.TotalSeconds;
if (seconds >= splitPeriodSeconds)
{
if (i < forexRecords.Count)
{
differenceTime = DateTime.ParseExact(forexRecords[i + 1].Date, "yyyyMMdd HH:mm:ss.fff", System.Globalization.CultureInfo.InvariantCulture);
}
options = ForexHelper.InitializeForexTrackData(record, options);
forexSplitData.Add(currentDto);
ForexHelper.SetCorrectMarketActions(currentDto);
index++;
currentDto = new ForexDto
{
FileName = index.ToString(),
ForexData = new List <ForexTreeData>()
};
}
var treeRecord = ForexHelper.BuildForexTreeRecord(record, options);
currentDto.ForexData.Add(treeRecord);
options.CurrentRecord++;
}
if (forexSplitData.Contains(currentDto))
{
return(forexSplitData);
}
forexSplitData.Add(currentDto);
ForexHelper.SetCorrectMarketActions(currentDto);
return(forexSplitData);
}
public static void SetCorrectMarketActions(ForexDto currentDto)
{
const int ticks = 30;
var forexData = currentDto.ForexData;
for (var i = 0; i < forexData.Count; i++)
{
var record = forexData[i];
if (record.Action != default(MarketAction))
{
continue;
}
var baseBid = record.Bid;
var maxDifference = 0.0;
var maxIndex = -1;
for (var j = 1; j < ticks; j++)
{
var index = i + j;
if (index >= forexData.Count)
{
continue;
}
var observableRecord = forexData[index];
var ask = observableRecord.Ask;
var difference = baseBid - ask;
if (observableRecord.Action == default(MarketAction) && difference > maxDifference)
{
maxDifference = difference;
maxIndex = index;
}
}
if (maxIndex > -1)
{
record.Action = MarketAction.Buy;
forexData[maxIndex].Action = MarketAction.Sell;
}
else
{
record.Action = MarketAction.Hold;
}
}
}
