private void tickdataArrived(TickData data)
{
priceHistoryDatabase.setPrice(data);
insertedSets++;
if (prices.ContainsKey(data.instrument) == false)
{
prices.Add(data.instrument, data.getAvgPrice());
}
else
{
prices[data.instrument] = data.getAvgPrice();
}
lastUpdatedPair = data.instrument;
}
private void tickdataArrived(TickData data)
{
priceHistoryDatabase.setPrice(data);
insertedSets++;
if (prices.ContainsKey(data.instrument) == false)
{
prices.Add(data.instrument, data.getAvgPrice());
}
else
{
prices[data.instrument] = data.getAvgPrice();
}
lastUpdatedPair = data.instrument;
if (continueLiveTradingThread)
{
streamer.pushDataAndTrade(data);
}
}
void IDataminingDatabase.addOutcome(long timeframe, string instrument)
{
//Do in walker? Faster? Todo...
//{ outcome_max_1800: { $exists: true } }
List <Thread> threads = new List <Thread>();
long start = database.getFirstTimestamp();
long end = database.getLastTimestamp();
long oneThreadTimeframe = (end - start) / threadsCount;
int threadId = 0;
var collection = mongodb.getDB().GetCollection("prices");
while (threadId < threadsCount)
{
long threadBeginning = start + (oneThreadTimeframe * threadId);
long threadEnd = threadBeginning + oneThreadTimeframe;
Thread thread = new Thread(delegate()
{
string name = "outcome " + timeframe + " ID_" + threadBeginning + ":" + threadEnd;
progress.setProgress(name, 0);
int done = 0;
long count = 0;
var docs = collection.FindAs <BsonDocument>(Query.And(Query.EQ("instrument", instrument), Query.NotExists("outcome_max_" + timeframe), Query.LT("timestamp", threadEnd), Query.GTE("timestamp", threadBeginning))).SetSortOrder(SortBy.Ascending("timestamp"));
docs.SetFlags(QueryFlags.NoCursorTimeout);
count = docs.Count();
foreach (BsonDocument doc in docs)
{
done++;
progress.setProgress(name, Convert.ToInt32(Convert.ToDouble(done) / Convert.ToDouble(count) * 100d));
try
{
TickData inTimeframe = database.getPrice(doc["timestamp"].AsInt64 + timeframe, doc["instrument"].AsString);
var min_doc = collection.FindAs <BsonDocument>(Query.And(Query.EQ("instrument", doc["instrument"].AsString), Query.LT("timestamp", doc["timestamp"].AsInt64 + timeframe), Query.GT("timestamp", doc["timestamp"].AsInt64)))
.SetSortOrder(SortBy.Ascending("bid"))
.SetLimit(1)
.SetFields("bid")
.Single();
var max_doc = collection.FindAs <BsonDocument>(Query.And(Query.EQ("instrument", doc["instrument"].AsString), Query.LT("timestamp", doc["timestamp"].AsInt64 + timeframe), Query.GT("timestamp", doc["timestamp"].AsInt64)))
.SetSortOrder(SortBy.Descending("ask"))
.SetLimit(1)
.SetFields("ask")
.Single();
string s = max_doc["ask"].AsDouble.ToString();
s = s + "";
collection.FindAndModify(new FindAndModifyArgs()
{
Query = Query.EQ("_id", doc["_id"]),
Update = Update.Combine(
Update.Set("outcome_max_" + timeframe, max_doc["ask"]),
Update.Set("outcome_min_" + timeframe, min_doc["bid"]),
Update.Set("outcome_actual_" + timeframe, inTimeframe.getAvgPrice())
)
});
}
catch { }
}
progress.remove(name);
});
thread.Start();
threads.Add(thread);
threadId++;
}
waitForThreads(threads);
}