public void Basics()
{
// build a one symbol filter
TickFileFilter tff = new TickFileFilter(new[] { "GM" });
// get results from above data files
string[] result = tff.Allows(_filenames);
// make sure both files for this symbol match
Assert.Equal(2, result.Length);
// make sure the actual file names are the same
Assert.Equal(result[0], _filenames[0]);
Assert.Equal(result[1], _filenames[4]);
// build a new filter
tff = new TickFileFilter();
// request all matching files for a given year
tff.DateFilter(20070000, DateMatchType.Year);
tff.IsDateMatchUnion = true;
tff.IsSymbolDateMatchUnion = true;
// do the match
result = tff.Allows(_filenames);
// make sure we found 3 files from this year
Assert.Equal(3, result.Length);
// make sure the filename is the same
Assert.Equal(_filenames[3], result[2]);
}
/// <summary>
/// returns true if sim event binding is needed
/// </summary>
/// <param name="sim"></param>
/// <param name="ga"></param>
bool prepsim_needsbind(ref HistSim sim, GauntArgs ga)
{
// see if filter or folder has changed
string thistff = TickFileFilter.Serialize(ga.Filter) + ga.Folder;
bool fullreset = lasttff != thistff;
if ((sim == null) || fullreset)
{
if (_portfoliosim.Checked)
{
if (_siminmemory.Checked)
{
sim = new HistSimMemory(ga.Folder, ga.Filter);
}
else
{
debug("Using portfolio simulation. (realistic)");
sim = new MultiSimImpl(ga.Folder, ga.Filter);
}
}
else
{
debug("Using sequential symbol simulation. (faster)");
sim = new SingleSimImpl(ga.Folder, ga.Filter);
}
lasttff = thistff;
return(true);
}
else
{
sim.Reset();
}
return(false);
}
private void monthCalendar1_DateSelected(object sender, DateRangeEventArgs e)
{
// create a new filter
TickFileFilter tff = new TickFileFilter();
// populate the filter from user's calendar
tff.DateFilter(Util.ToTLDate(monthCalendar1.SelectionEnd), DateMatchType.Day | DateMatchType.Month | DateMatchType.Year);
// set the filter on the simulator
h.FileFilter = tff;
}
static TickFileFilter getfilterdate(int date)
{
// create a new filter
TickFileFilter tff = new TickFileFilter();
// we dont' select any symbols, so just playback whatever we find on this day
tff.isSymbolDateMatchUnion = true;
// populate the filter from user's calendar
tff.DateFilter(date, DateMatchType.Day | DateMatchType.Month | DateMatchType.Year);
return(tff);
}
void fupdate(object sender, bool setunions)
{
// set default search options
if (setunions)
{
// if they have both dates and symbols selected, default
// to intersection of both sets
if (usedates.Checked && usestocks.Checked)
{
_symdateand.Checked = true;
}
else
{
_symdateand.Checked = false;
}
// if there are more than one year, more than one month,
// or more than one day selected... default to a union of sets
if ((yearlist.SelectedIndices.Count > 1) ||
(monthlist.SelectedIndices.Count > 1) ||
(daylist.SelectedIndices.Count > 1))
{
_dateor.Checked = true;
}
// otherwise if dates are enabled, default to intersection only
else if (yearlist.Enabled)
{
_dateand.Checked = true;
}
}
// if we're watching files
if (_dw.Visible)
{
// clear window
_dw.Clear();
// get current filter
TickFileFilter tff = GetFilter();
// get matching files
string [] files = tff.Allows(TikUtil.GetFiles());
// display in window
foreach (string file in files)
{
_dw.GotDebug(System.IO.Path.GetFileNameWithoutExtension(file));
}
}
// notify listeners
if (FilterUpdate != null)
{
FilterUpdate(sender, new EventArgs());
}
}
/// <summary>
/// Create a historical simulator
/// </summary>
/// <param name="tickFolder">tick folder to use</param>
/// <param name="tff">filter to determine what tick files from folder to use</param>
public SingleSimImpl(string tickFolder, TickFileFilter tff)
{
_folder = tickFolder;
if (tff != null)
{
_filter = tff;
}
else
{
_filter.DefaultDeny = false;
}
}
/// <summary>
/// Returns the TIK file filter based on the samples used in this backtest
/// </summary>
/// <param name="baseFolder"></param>
/// <param name="symbol"></param>
/// <param name="filter"></param>
/// <param name="startdate"></param>
/// <param name="enddate"></param>
/// <returns></returns>
private static string[] GetTIKFiles(string baseFolder, ISecurityTracker securities, out TickFileFilter filter, int startdate, int enddate)
{
List <string> files = new List <string>();
//Create filter with the symbols as requested
List <string> symbols = new List <string>();
foreach (var sec in securities.ToArray())
{
symbols.Add(sec.Name);
}
filter = new TickFileFilter(symbols);
//Add the initial timeperiod
DateTime ct = Util.Qld2Dt(startdate);
TimeSpan periodlenght = Util.Qld2Dt(enddate) - Util.Qld2Dt(startdate);
//Filter the period
for (int i = 0; i < periodlenght.TotalDays; i++)
{
filter.DateFilter(int.Parse(ct.AddDays(i).ToString("yyyyMMdd")), DateMatchType.Day);
}
//settings
filter.IsDateMatchUnion = true;
filter.DefaultDeny = true;
//Select tickfiles
foreach (var xdate in filter.DateList)
{
foreach (var symbol in filter.SymbolList)
{
//Check if file exists in the zip file
FileInfo fi = new FileInfo(baseFolder + string.Format("\\{0}.zip", symbol));
if (!fi.Exists)
{
throw new FileNotFoundException("Could not find tik archive");
}
using (ZipFile zip = ZipFile.Read(fi.FullName))
{
if (!zip.ContainsEntry(symbol.ToUpper() + xdate.Date + ".TIK"))
{
continue;
}
}
string file = fi.FullName + @"\" + symbol.ToUpper() + xdate.Date + ".TIK";
files.Add(file);
}
}
return(files.ToArray());
}
/// <summary>
/// gets currently selected filter
/// </summary>
/// <returns></returns>
public TickFileFilter GetFilter()
{
TickFileFilter tff = new TickFileFilter();
// prepare date filter
List <TickFileFilter.TLDateFilter> datefilter = new List <TickFileFilter.TLDateFilter>();
if (usedates.Checked)
{
for (int j = 0; j < yearlist.SelectedIndices.Count; j++)
{
datefilter.Add(new TickFileFilter.TLDateFilter(Convert.ToInt32(yearlist.Items[yearlist.SelectedIndices[j]]) * 10000, DateMatchType.Year));
}
for (int j = 0; j < monthlist.SelectedItems.Count; j++)
{
datefilter.Add(new TickFileFilter.TLDateFilter(Convert.ToInt32(monthlist.Items[monthlist.SelectedIndices[j]]) * 100, DateMatchType.Month));
}
for (int j = 0; j < daylist.SelectedItems.Count; j++)
{
datefilter.Add(new TickFileFilter.TLDateFilter(Convert.ToInt32(daylist.Items[daylist.SelectedIndices[j]]), DateMatchType.Day));
}
}
// prepare symbol filter
List <string> symfilter = new List <string>();
if (usestocks.Checked)
{
for (int j = 0; j < stocklist.SelectedItems.Count; j++)
{
symfilter.Add(stocklist.Items[stocklist.SelectedIndices[j]].ToString());
}
}
// build consolidated filter
if (usestocks.Checked && usedates.Checked)
{
tff = new TickFileFilter(symfilter, datefilter);
}
else if (usestocks.Checked)
{
tff = new TickFileFilter(symfilter);
}
else if (usedates.Checked)
{
tff = new TickFileFilter(datefilter);
}
// set search options
tff.isDateMatchUnion = _dateor.Checked;
tff.isSymbolDateMatchUnion = !_symdateand.Checked;
tff.bUseCSV = bUseCSV;
//return filter
return(tff);
}
public void Basics()
{
TickFileFilter tff = new TickFileFilter(new string[] { "GM" });
string[] result = tff.Allows(filenames);
Assert.That(result.Length == 1);
Assert.That(result[0] == filenames[0]);
tff = new TickFileFilter();
tff.DateFilter(20070000, DateMatchType.Year);
result = tff.Allows(filenames);
Assert.That(result.Length == 3);
Assert.That(result[2] == filenames[3]);
}
bool SetFilter(string file)
{
if (File.Exists(file))
{
_filterloc = file;
_filter = TickFileFilter.FromFile(file);
D("found filter: " + file);
return(true);
}
else
{
D("no filter found: " + file);
}
return(false);
}
public void SerializeDeserialize()
{
TickFileFilter tff = new TickFileFilter(new string[] { "IBM", "MHS", "T" });
tff.DateFilter(20070000, DateMatchType.Year);
tff.isDateMatchUnion = false;
tff.isSymbolDateMatchUnion = false;
string msg = TickFileFilter.Serialize(tff);
TickFileFilter f2 = TickFileFilter.Deserialize(msg);
string msg2 = TickFileFilter.Serialize(f2);
Assert.AreEqual(msg, msg2);
Assert.AreEqual(tff.isDateMatchUnion, f2.isDateMatchUnion);
Assert.AreEqual(tff.isSymbolDateMatchUnion, f2.isDateMatchUnion);
}
void export(object o, EventArgs e)
{
TickFileFilter tff = GetFilter();
SaveFileDialog sfd = new SaveFileDialog();
sfd.Filter = "Filter (*.txt)|*.txt|All files (*.*)|*.*";
sfd.AddExtension = true;
if (sfd.ShowDialog() == DialogResult.OK)
{
if (TickFileFilter.ToFile(tff, sfd.FileName))
{
_dw.GotDebug("saved filter as: " + sfd.FileName);
}
else
{
_dw.GotDebug("unable to save filter as: " + sfd.FileName);
}
}
}
public void AndTest()
{
// build a filter with two stocks
TickFileFilter tff = new TickFileFilter(new string[] { "GM", "SPX" });
// add date file for year
tff.DateFilter(20070000, DateMatchType.Year);
// add another date filter for month
tff.DateFilter(600, DateMatchType.Month);
// set DateFilter to AND/intersection
tff.isDateMatchUnion = false;
// make sure three stocks match
string[] result = tff.Allows(filenames);
Assert.AreEqual(3, result.Length);
// set more exclusive filter
tff.isSymbolDateMatchUnion = false;
// make sure two stocks match
result = tff.Allows(filenames);
Assert.AreEqual(2, result.Length);
}
bool getsimhints(string folder, TickFileFilter tff, ref int date, ref string[] syms)
{
date = 0;
syms = new string[0];
try
{
string wild_ext = _useCsvTicks.Checked ? "*_trades.csv" : TikConst.WILDCARD_EXT;
var searOpts = _useCsvTicks.Checked ? SearchOption.AllDirectories : SearchOption.TopDirectoryOnly;
string[] files = Directory.GetFiles(folder, wild_ext, searOpts);
var simfiles = tff.Allows(files);
List <string> simsyms = new List <string>(simfiles.Length);
Array.Sort(simfiles);
// get earliest date
var min = int.MaxValue;
foreach (var sf in simfiles)
{
var sec = _useCsvTicks.Checked ? ChimeraDataUtils.SecurityFromFileName(sf) : SecurityImpl.SecurityFromFileName(sf);
if (!string.IsNullOrWhiteSpace(sec.symbol) && !simsyms.Contains(sec.symbol))
{
simsyms.Add(sec.symbol);
}
if ((sec.Date > 0) && (sec.Date < min))
{
min = sec.Date;
}
}
if (min != int.MaxValue)
{
date = min;
}
syms = simsyms.ToArray();
return(true);
}
catch (Exception ex)
{
debug("error getting sim hints: " + ex.Message + ex.StackTrace);
return(false);
}
}
private void playbut_Click(object sender, EventArgs e)
{
if (!Directory.Exists(tickfolder))
{
status("Tick folder " + tickfolder + " doesn't exist, stopping.");
return;
}
highs = new Dictionary <string, decimal>();
lows = new Dictionary <string, decimal>();
TickFileFilter tff = new TickFileFilter();
tff.DateFilter(Util.ToTLDate(monthCalendar1.SelectionEnd), DateMatchType.Day | DateMatchType.Month | DateMatchType.Year);
h.FileFilter = tff;
_playback = new Playback(h);
_playback.RunWorkerCompleted += new RunWorkerCompletedEventHandler(_playback_RunWorkerCompleted);
_playback.ProgressChanged += new ProgressChangedEventHandler(_playback_ProgressChanged);
_playback.RunWorkerAsync(new PlayBackArgs((int)trackBar1.Value / 5, daystartpicker.Value));
status("Playback started...");
playbut.Enabled = false;
stopbut.Enabled = true;
trackBar1.Enabled = false;
}
private void monthCalendar1_DateSelected(object sender, DateRangeEventArgs e)
{
// set the filter on the simulator
FileFilter = getfilterdate(Util.ToTLDate(monthCalendar1.SelectionEnd));
}
