public async Task GenerateClosePriceWithVolume(string symbol, string interval) { var instrument = await _instrumentRepository.GetInstrument(symbol); var chart = await _chartRepository.GetChartMonthlyAsync(symbol, interval, 6, instrument.Precision); var maxhour = chart.Quotations.Max(x => x.Time.Hour); var minhour = chart.Quotations.Min(x => x.Time.Hour); var maxMinute = chart.Quotations.Max(x => x.Time.Minute); var minMinute = chart.Quotations.Min(x => x.Time.Minute); var maxDay = chart.Quotations.Max(x => (int)x.Time.DayOfWeek); var minDay = chart.Quotations.Min(x => (int)x.Time.DayOfWeek); using (var textWriter = new StreamWriter(@"cloePriceOhlc.csv")) { var writer = new CsvWriter(textWriter, CultureInfo.CurrentCulture); writer.Configuration.Delimiter = ","; writer.WriteField("Hour"); writer.WriteField("Minute"); writer.WriteField("Day"); writer.WriteField("Close"); writer.WriteField("Open"); writer.WriteField("Low"); writer.WriteField("High"); writer.WriteField("Volume"); writer.WriteField("Time"); writer.NextRecord(); foreach (var item in chart.Quotations) { var hourNormalization = (item.Time.Hour - minhour) / (maxhour - minhour); var minuteNormalization = (item.Time.Minute - minMinute) / (maxMinute - minMinute); var dayNormalization = ((int)item.Time.DayOfWeek - minDay) / (maxDay - minDay); writer.WriteField(hourNormalization); writer.WriteField(minuteNormalization); writer.WriteField(dayNormalization); writer.WriteField(item.Close.ToString().Replace(",", ".")); writer.WriteField(item.Open.ToString().Replace(",", ".")); writer.WriteField(item.Low.ToString().Replace(",", ".")); writer.WriteField(item.High.ToString().Replace(",", ".")); writer.WriteField(item.Volume); writer.WriteField(item.Time); writer.NextRecord(); } } using (var textWriter = new StreamWriter(@"resultsOhlc.csv")) { var writer = new CsvWriter(textWriter, CultureInfo.CurrentCulture); writer.Configuration.Delimiter = ","; writer.WriteField("Buy"); writer.WriteField("Sell"); writer.WriteField("None"); writer.WriteField("Time"); writer.NextRecord(); for (var i = 120; i < chart.Quotations.Count - 15; i++) { var futurePrices = chart.Quotations.GetRange(i, 15).Select(x => new { x.Close, x.Low, x.High }).ToArray(); var futureFirst = futurePrices.First(); var futureMin = futurePrices.Min(x => x.Low); var futureMax = futurePrices.Max(x => x.High); //bad signal high pin var badSignal = false; foreach (var item in futurePrices) { if (item.High - item.Low > 40) { badSignal = true; } } for (int j = 0; j <= futurePrices.Count() - 2; j++) { if (Math.Abs(futurePrices[j].Close - futurePrices[j + 1].Close) > 40) { badSignal = true; } } var time = chart.Quotations[i].Time; if (badSignal) { writer.WriteField(false); writer.WriteField(false); writer.WriteField(true); writer.WriteField(time); writer.NextRecord(); continue; } if (futureMax - futureFirst.High > 20 && futureFirst.Low - futureMin < 10) { writer.WriteField(true); writer.WriteField(false); writer.WriteField(false); writer.WriteField(time); writer.NextRecord(); } else if (futureFirst.Low - futureMin > 20 && futureMax - futureFirst.High < 10) { writer.WriteField(false); writer.WriteField(true); writer.WriteField(false); writer.WriteField(time); writer.NextRecord(); } else { writer.WriteField(false); writer.WriteField(false); writer.WriteField(true); writer.WriteField(time); writer.NextRecord(); } } } }