public static List<Price> GetHistoricalMINUTE_FromWEB(DateTime StartDate, DateTime EndDate, int TimeFrame, string ContractName)
{
string startdate = StartDate.ToString("yyyyMMdd");
string endddate = EndDate.ToString("yyyyMMdd");
string URL = "http://www.hisat.co.za/updater/minuteUpdate.aspx?Instrument=" + ContractName + "&StartDate=" + startdate + @"&EndDate=" + endddate + @"&Password=PieterF&Username=PFOUCHE&compression=" + TimeFrame;
Debug.WriteLine(URL);
List<Price> Data = new List<Price>();
List<string> rawData = new List<string>();
HttpWebRequest req = (HttpWebRequest)WebRequest.Create(URL);
req.AutomaticDecompression = DecompressionMethods.GZip;
WebResponse resp = req.GetResponse();
Stream s = resp.GetResponseStream();
StreamReader sr = new StreamReader(s, Encoding.ASCII);
while (sr.Peek() >= 0)
{
string _rawData = sr.ReadLine();
if (!rawData.Contains(_rawData)) rawData.Add(_rawData);
}
foreach (string ss in rawData)
{
Price p = new Price();
List<string> data = new List<string>(ss.Split(','));
string date = data[0];
int y = int.Parse(date.Substring(0, 4));
int mm = int.Parse(date.Substring(4, 2));
int d = int.Parse(date.Substring(6, 2));
string time = data[1];
int h = int.Parse(time.Substring(0, 2));
int m = int.Parse(time.Substring(3, 2));
p.TimeStamp = new DateTime(y, mm, d, h, m, 0);
p.Open = int.Parse(data[2]);
p.High = int.Parse(data[3]);
p.Low = int.Parse(data[4]);
p.Close = int.Parse(data[5]);
p.Volume = int.Parse(data[6]);
p.InstrumentName = ContractName;
Data.Add(p);
}
return Data.DistinctBy(t => t.TimeStamp).ToList();
}
private void stringtoPrice(string l)
{
var sp = l.Split(',');
int day = int.Parse(sp[0].ToString().Substring(0, 2));
int month = int.Parse(sp[0].ToString().Substring(3, 2));
int year = int.Parse(sp[0].ToString().Substring(6, 4));
int hour = int.Parse(sp[1].ToString().Substring(0, 2));
int min = int.Parse(sp[1].ToString().Substring(3, 2));
var open = double.Parse(sp[2].ToString());
var high = double.Parse(sp[3].ToString());
var low = double.Parse(sp[4].ToString());
var close = double.Parse(sp[5].ToString());
var vol = int.Parse(sp[6].ToString());
AlsiUtils.Price p = new Price();
DateTime dt = new DateTime(year, month, day, hour, min, 0);
p.TimeStamp = dt.AddMinutes(-1);
p.Open = open;
p.High = high;
p.Low = low;
p.Close = close;
p.Volume = vol;
p.InstrumentName = "Hist";
AllHisto.Add(p);
}
private void SetOHLC_IntraTrade_SingleTradePL()
{
var tpl = new List<ProfitAlgoLayer.TakeProfitTrade>();
StreamWriter sr = new StreamWriter(@"d:\ohlcPL2.csv");
int C = _CompletedTrades.Count;
double totProfit = 0;
double start = 0;
var dc = new AlsiDBDataContext();
var M = dc.OHLC_5_Minutes.ToList();
for (int i = 1; i < C; i++)
{
var pl5 = from x in _FullTradeList
where x.TimeStamp >= _CompletedTrades[i].OpenTrade.TimeStamp && x.TimeStamp <= _CompletedTrades[i].CloseTrade.TimeStamp
select x;
tpl = pl5.ToList();
if (tpl.Count > 1)
{
foreach (var v in tpl)
{
var f = M.Where(z => z.Stamp == v.TimeStamp).First();
var market = new Price(f.Stamp, f.O, f.H, f.L, f.C, f.Instrument);
start = tpl.First().TradedPrice;
double o = 0;
if (tpl[0].Reason == Trade.Trigger.OpenShort) o = (start - market.Open) ;
if (tpl[0].Reason == Trade.Trigger.OpenLong) o = (market.Open - start) ;
double h = 0;
if (tpl[0].Reason == Trade.Trigger.OpenShort) h = (start - market.High) ;
if (tpl[0].Reason == Trade.Trigger.OpenLong) h = (market.High - start) ;
double l = 0;
if (tpl[0].Reason == Trade.Trigger.OpenShort) l = (start - market.Low) ;
if (tpl[0].Reason == Trade.Trigger.OpenLong) l = (market.Low - start) ;
double c = 0;
if (tpl[0].Reason == Trade.Trigger.OpenShort) c = (start - market.Close) ;
if (tpl[0].Reason == Trade.Trigger.OpenLong) c = (market.Close - start) ;
var P = new Price();
P.TimeStamp = market.TimeStamp;
P.Open = o;
P.High = h;
P.Low = l;
P.Close = c;
if (v.TimeStamp == tpl.Last().TimeStamp)
{
totProfit += tpl.Last().RunningProfit;
}
OHLC_LIST.Add(P);
sr.WriteLine(P.TimeStamp.Date
+","+P.TimeStamp
+","+v.Reason
+ "," + P.Open
+ "," + P.High
+ "," + P.Low
+ "," + P.Close
+ "," + 0
+ "," + market.Open
+ "," + market.High
+ "," + market.Low
+ "," + market.Close
+ "," + totProfit
);
}
//Debug.WriteLine(P.Close);
// Debug.WriteLine(i + "," + (o + tpl[0].RunningTotalProfit_New) + "," + (h + tpl[0].RunningTotalProfit_New) + "," + (l + tpl[0].RunningTotalProfit_New) + "," + (c + tpl[0].RunningTotalProfit_New));
// Debug.WriteLine(i + "," + P.Open + "," + "," + P.High + "," + P.Low + "," + P.Close);
}
}
sr.Close();
}
private static List<Price> convertTickToMinute(List<RawTick> TickData)
{
DateTime start = DateTime.Now;
List<Price> minuteData = new List<Price>();
List<double> open = new List<double>();
List<double> close = new List<double>();
List<DateTime> minuteRawTime = new List<DateTime>();
List<double> low = new List<double>();
List<double> high = new List<double>();
//OPEN
//DateTime start_open = DateTime.Now;
foreach (var p in TickData)
{
int yearT = p.Stamp.Value.Year;
int monthT = p.Stamp.Value.Month;
int dayT = p.Stamp.Value.Day;
int hourT = p.Stamp.Value.Hour;
int minuteT = p.Stamp.Value.Minute;
DateTime d = new DateTime(yearT, monthT, dayT, hourT, minuteT, 0);
if (!minuteRawTime.Contains(d))
{
minuteRawTime.Add(d);
open.Add((double)p.Price);
}
}
//DateTime finish_open = DateTime.Now;
//TimeSpan duration_open = finish_open - start_open;
//Debug.WriteLine("[OPEN] Convertion Time Ticks to Minutes : " + duration_open.Seconds + ":" + duration_open.Milliseconds);
//CLOSE
//DateTime start_close = DateTime.Now;
TickData.Reverse();
minuteRawTime.Clear();
foreach (var p in TickData)
{
int yearT = p.Stamp.Value.Year;
int monthT = p.Stamp.Value.Month;
int dayT = p.Stamp.Value.Day;
int hourT = p.Stamp.Value.Hour;
int minuteT = p.Stamp.Value.Minute;
DateTime d = new DateTime(yearT, monthT, dayT, hourT, minuteT, 0);
if (!minuteRawTime.Contains(d))
{
minuteRawTime.Add(d);
close.Add((double)p.Price);
}
}
//DateTime finish_close = DateTime.Now;
//TimeSpan duration_close = finish_open - start_open;
//Debug.WriteLine("[Close] Convertion Time Ticks to Minutes : " + duration_close.Seconds + ":" + duration_close.Milliseconds);
//HIGH+LOW
DateTime start_HL = DateTime.Now;
close.Reverse();
minuteRawTime.Reverse();
TickData.Reverse();
int ind = minuteRawTime.Count - 1;
for (int x = 0; x <= ind; x++)
{
int yy = minuteRawTime[x].Year;
int mm = minuteRawTime[x].Month;
int dy = minuteRawTime[x].Day;
int hh = minuteRawTime[x].Hour;
int mn = minuteRawTime[x].Minute;
int ss = minuteRawTime[x].Second;
DateTime dd = new DateTime(yy, mm, dy, hh, mn, ss);
double min = 100000;
double max = 1;
foreach (var p in TickData)
{
int yearT = p.Stamp.Value.Year;
int monthT = p.Stamp.Value.Month;
int dayT = p.Stamp.Value.Day;
int hourT = p.Stamp.Value.Hour;
int minuteT = p.Stamp.Value.Minute;
if (dd.Year == yearT && dd.Month == monthT && dd.Day == dayT && dd.Hour == hourT && dd.Minute == minuteT)
{
if (p.Price > max) max = (double)p.Price;
if (p.Price < min) min = (double)p.Price;
}
}
low.Add(min);
high.Add(max);
}
for (int x = 0; x <= ind; x++)
{
//Debug.WriteLine(minuteRawTime[x] + " Open " + open[x] + " Close " + close[x] + " High " + high[x] + " Low " + low[x]);
Price m = new Price();
m.Close = close[x];
m.Open = open[x];
m.High = high[x];
m.Low = low[x];
m.TimeStamp = minuteRawTime[x];
minuteData.Add(m);
}
//DateTime finish_HL = DateTime.Now;
//TimeSpan duration_HL = finish_HL - start_HL;
//Debug.WriteLine("[HIGH LOW] Convertion Time Ticks to Minutes : " + duration_HL.Seconds + ":" + duration_HL.Milliseconds);
//Debug.WriteLine(minuteData[0].TimeStamp + " Open : {0} High : {1} Low : {2} Close : {3}", minuteData[0].Open, minuteData[0].High, minuteData[0].Low, minuteData[0].Close);
DateTime finish = DateTime.Now;
TimeSpan duration = finish - start;
Debug.WriteLine("Convertion Time Ticks to Minutes : " + duration.Seconds + ":" + duration.Milliseconds);
return minuteData;
}
private static bool GetTimestampForPrice(Price price)
{
if (price.TimeStamp >= DateTime.Now.AddSeconds(-DateTime.Now.Second)) return true;
return false;
}
private void TickDataToXMinData()
{
AlsiUtils.AlsiDBDataContext dc = new AlsiDBDataContext();
switch (_Interval)
{
case GlobalObjects.TimeInterval.Minute_2:
break;
case GlobalObjects.TimeInterval.Minute_5:
dc.OHLC_5_Temp();
break;
case GlobalObjects.TimeInterval.Minute_10:
break;
}
GlobalObjects.Points.Clear();
foreach (var p in dc.OHLC_Temps)
{
var P = new Price()
{
TimeStamp = p.Stamp,
Open = p.O,
High = p.H,
Low = p.L,
Close = p.C,
InstrumentName = _ContractName,
};
GlobalObjects.Points.Add(P);
}
}
static public List<Price> readDataFromDataBase_1_MIN_MasterMinute(int numberOfPeriods, bool reverseList)
{
try
{
List<Price> prices = new List<Price>();
AlsiDBDataContext dc = new AlsiDBDataContext();
dc.Connection.ConnectionString = AlsiUtils.Data_Objects.GlobalObjects.CustomConnectionString;
var count = (from p in dc.MasterMinutes
select (p.Stamp)).Count();
//Console.WriteLine("10 Minute Data Count : " + count);
var result = from q in dc.MasterMinutes
.Skip(count - numberOfPeriods)
.Take(numberOfPeriods)
select new { q.Stamp, q.O, q.H, q.L, q.C, q.Instrument };
foreach (var v in result)
{
Price p = new Price();
p.Close = v.C;
p.Open = v.O;
p.High = v.H;
p.Low = v.L;
p.TimeStamp = v.Stamp;
p.InstrumentName = v.Instrument;
prices.Add(p);
}
if (reverseList) prices.Reverse();
return prices;
}
catch (Exception ex)
{
Debug.WriteLine("readDataFromDataBase_10_MIN Database Busy : " + ex.Message);
return null;
}
}
static public List<Price> readDataFromDataBase(GlobalObjects.TimeInterval T, dataTable TD, DateTime Start, DateTime End, bool reverseList)
{
List<Price> prices = new List<Price>();
AlsiDBDataContext dc = new AlsiDBDataContext();
if (TD == dataTable.Temp)
{
var result = from q in dc.OHLC_Temps
where q.Stamp > Start && q.Stamp < End
select new { q.Stamp, q.O, q.H, q.L, q.C, };
foreach (var v in result)
{
Price p = new Price();
p.Close = v.C;
p.Open = v.O;
p.High = v.H;
p.Low = v.L;
p.TimeStamp = v.Stamp;
prices.Add(p);
}
dc.Clean_OHLC_Temp();
if (reverseList) prices.Reverse();
return prices;
}
if (TD == dataTable.AllHistory)
{
if (T == GlobalObjects.TimeInterval.Minute_2)
{
var firstinDB = dc.OHLC_2_Minutes.AsEnumerable().First().Stamp;
var lastinDB = dc.OHLC_2_Minutes.AsEnumerable().Last().Stamp;
if (firstinDB > Start) dc.OHLC_2_AllHistory();
if (lastinDB > End) dc.OHLC_2_AllHistory();
}
if (T == GlobalObjects.TimeInterval.Minute_5)
{
try
{
var firstinDB = dc.OHLC_5_Minutes.AsEnumerable().First().Stamp;
var lastinDB = dc.OHLC_5_Minutes.AsEnumerable().Last().Stamp;
if (firstinDB > Start) dc.OHLC_5_AllHistory();
if (lastinDB < End) dc.OHLC_5_AllHistory();
}
catch { dc.OHLC_5_AllHistory(); }
}
if (T == GlobalObjects.TimeInterval.Minute_10)
{
var firstinDB = dc.OHLC_10_Minutes.AsEnumerable().First().Stamp;
var lastinDB = dc.OHLC_10_Minutes.AsEnumerable().Last().Stamp;
if (firstinDB > Start) dc.OHLC_10_AllHistory();
if (lastinDB < End) dc.OHLC_10_AllHistory();
}
}
if (TD == dataTable.MasterMinute)
{
if (T == GlobalObjects.TimeInterval.Minute_2)
{
var min2 = dc.OHLC_2_Minutes;
if (min2.Count() == 0)
{
dc.OHLC_2();
}
else
{
var firstinDB = dc.OHLC_2_Minutes.AsEnumerable().First().Stamp;
var lastinDB = dc.OHLC_2_Minutes.AsEnumerable().Last().Stamp;
if (firstinDB > Start) dc.OHLC_2();
if (lastinDB < End) dc.OHLC_2();
}
}
if (T == GlobalObjects.TimeInterval.Minute_5)
{
var min5 = dc.OHLC_5_Minutes;
if (min5.Count() == 0)
{
dc.OHLC_5();
}
else
{
var firstinDB = min5.AsEnumerable().First().Stamp;
var lastinDB = min5.AsEnumerable().Last().Stamp;
if (firstinDB > Start) dc.OHLC_5();
if (lastinDB < End) dc.OHLC_5();
}
}
if (T == GlobalObjects.TimeInterval.Minute_10)
{
var min10 = dc.OHLC_10_Minutes;
if (min10.Count() == 0)
{
dc.OHLC_10();
}
else
{
var firstinDB = dc.OHLC_10_Minutes.AsEnumerable().First().Stamp;
var lastinDB = dc.OHLC_10_Minutes.AsEnumerable().Last().Stamp;
if (firstinDB > Start) dc.OHLC_10();
if (lastinDB < End) dc.OHLC_10();
}
}
if (T == GlobalObjects.TimeInterval.Hour_1)
{
dc.OHLC_Hour_1();
}
}
if (T == GlobalObjects.TimeInterval.Minute_2)
{
var result = from q in dc.OHLC_2_Minutes
where q.Stamp > Start && q.Stamp < End
select new { q.Stamp, q.O, q.H, q.L, q.C, q.Instrument };
foreach (var v in result)
{
Price p = new Price();
p.Close = v.C;
p.Open = v.O;
p.High = v.H;
p.Low = v.L;
p.TimeStamp = v.Stamp;
p.InstrumentName = v.Instrument;
prices.Add(p);
}
}
if (T == GlobalObjects.TimeInterval.Minute_5)
{
var result = from q in dc.OHLC_5_Minutes
where q.Stamp > Start && q.Stamp < End
select new { q.Stamp, q.O, q.H, q.L, q.C, q.Instrument };
foreach (var v in result)
{
Price p = new Price();
p.Close = v.C;
p.Open = v.O;
p.High = v.H;
p.Low = v.L;
p.TimeStamp = v.Stamp;
p.InstrumentName = v.Instrument;
prices.Add(p);
}
}
if (T == GlobalObjects.TimeInterval.Minute_10)
{
var result = from q in dc.OHLC_10_Minutes
where q.Stamp > Start && q.Stamp < End
select new { q.Stamp, q.O, q.H, q.L, q.C, q.Instrument };
foreach (var v in result)
{
Price p = new Price();
p.Close = v.C;
p.Open = v.O;
p.High = v.H;
p.Low = v.L;
p.TimeStamp = v.Stamp;
p.InstrumentName = v.Instrument;
prices.Add(p);
}
}
if (T == GlobalObjects.TimeInterval.Hour_1)
{
var result = from q in dc.OHLC_1_Hours
where q.Stamp > Start && q.Stamp < End
select new { q.Stamp, q.O, q.H, q.L, q.C, q.Instrument };
foreach (var v in result)
{
Price p = new Price();
p.Close = v.C;
p.Open = v.O;
p.High = v.H;
p.Low = v.L;
p.TimeStamp = v.Stamp;
p.InstrumentName = v.Instrument;
prices.Add(p);
}
}
if (reverseList) prices.Reverse();
return prices;
}
public static List<Price> GetHistoricalTICK_FromWEB(DateTime StartDate, DateTime EndDate, string ContractName)
{
List<Price> Data = new List<Price>();
try
{
string startdate = StartDate.ToString("yyyyMMdd");
string endddate = EndDate.ToString("yyyyMMdd");
string URL = "http://www.hisat.co.za/updater/tickUpdate.aspx?Instrument=" + ContractName + "&StartDate=" + startdate + @"&EndDate=" + endddate + @"&Password=PieterF&Username=PFOUCHE";
List<string> rawData = new List<string>();
HttpWebRequest req = (HttpWebRequest)WebRequest.Create(URL);
req.AutomaticDecompression = DecompressionMethods.GZip;
WebResponse resp = req.GetResponse();
Stream s = resp.GetResponseStream();
StreamReader sr = new StreamReader(s, Encoding.ASCII);
while (sr.Peek() >= 0)
{
string _rawData = sr.ReadLine();
if (!rawData.Contains(_rawData)) rawData.Add(_rawData);
}
for (int x = 0; x < rawData.Count; x++)
{
Price p = new Price();
List<string> data = new List<string>(rawData[x].Split(','));
string date = data[0];
int y = int.Parse(date.Substring(0, 4));
int mm = int.Parse(date.Substring(4, 2));
int d = int.Parse(date.Substring(6, 2));
string time = data[1];
int h = int.Parse(time.Substring(0, 2));
int m = int.Parse(time.Substring(3, 2));
int ss = int.Parse(time.Substring(6, 2));
p.TimeStamp = new DateTime(y, mm, d, h, m, ss, 0);
p.Close = int.Parse(data[2]);
p.Volume = int.Parse(data[3]);
Data.Add(p);
}
int countMili = 0;
for (int x = 0; x < Data.Count - 1; x++)
{
if (Data[x + 1].TimeStamp.Second == Data[x].TimeStamp.Second)
{
countMili++;
Data[x].TimeStamp = Data[x].TimeStamp.AddMilliseconds(countMili);
}
else
{
countMili++;
Data[x].TimeStamp = Data[x].TimeStamp.AddMilliseconds(countMili);
countMili = -1;
}
}
Data[Data.Count - 1].TimeStamp = Data[Data.Count - 1].TimeStamp.AddMilliseconds(100);
return Data;
}
catch (Exception ex)
{
Debug.WriteLine(ex.Message);
return Data;
}
}
public Trade()
{
Extention = new Data_Objects.RegressionExt();
OHLC = new Price();
}
public static List<Price> getPriceFromXML(FileInfo file, string InstrumentCode)
{
List<DateTime> datum = new List<DateTime>();
List<int> open = new List<int>();
List<int> high = new List<int>();
List<int> low = new List<int>();
List<int> close = new List<int>();
List<int> volume = new List<int>();
List<Price> p = new List<Price>();
#region Messy
using (XmlReader reader = XmlReader.Create(file.FullName))
{
while (reader.Read())
{
// Only detect start elements.
if (reader.IsStartElement())
{
//Timestamp
if (reader.Name == "Date")
{
{
string attribute_date = reader["Date"];
if (attribute_date != null)
{
Debug.WriteLine(" Has attribute name: " + attribute_date);
}
// Next read will contain text.
if (reader.Read())
{
string ds = reader.Value.Trim();
DateTime d = DateTime.Parse(ds);
datum.Add(d);
}
}
}
//OPEN
if (reader.Name == "Open")
{
string attribute_open = reader["Open"];
if (attribute_open != null)
{
Debug.WriteLine(" Has attribute name: " + attribute_open);
}
// Next read will contain text.
if (reader.Read())
{
string o = reader.Value.Trim();
open.Add(int.Parse(o));
}
}
//HIGH
if (reader.Name == "High")
{
string attribute_high = reader["High"];
if (attribute_high != null)
{
Debug.WriteLine(" Has attribute name: " + attribute_high);
}
// Next read will contain text.
if (reader.Read())
{
string h = reader.Value.Trim();
high.Add(int.Parse(h));
}
}
//LOW
if (reader.Name == "Low")
{
string attribute_low = reader["Low"];
if (attribute_low != null)
{
Debug.WriteLine(" Has attribute name: " + attribute_low);
}
// Next read will contain text.
if (reader.Read())
{
string l = reader.Value.Trim();
low.Add(int.Parse(l));
}
}
//CLOSE
if (reader.Name == "Close")
{
string attribute_close = reader["Close"];
if (attribute_close != null)
{
Debug.WriteLine(" Has attribute name: " + attribute_close);
}
// Next read will contain text.
if (reader.Read())
{
string c = reader.Value.Trim();
close.Add(int.Parse(c));
}
}
//VOLUME
if (reader.Name == "Volume")
{
string attribute_vol = reader["Volume"];
if (attribute_vol != null)
{
Debug.WriteLine(" Has attribute name: " + attribute_vol);
}
// Next read will contain text.
if (reader.Read())
{
string v = reader.Value.Trim();
volume.Add(int.Parse(v));
}
}
}
}
}
#endregion
for (int x = 0; x < datum.Count; x++)
{
var pp = new Price
{
TimeStamp = datum[x],
Open = open[x],
High = high[x],
Low = low[x],
Close = close[x],
Volume = volume[x],
InstrumentName = InstrumentCode
};
p.Add(pp);
}
return p;
}