public static bool HasCandles(Sec sec, DateTime date)
{
var dateString = date.ToString(DATE_FORMAT);
var url = $"https://iss.moex.com/iss/engines/stock/markets/{sec.Market}/boards/{sec.Board}/securities/{sec.ID}/candles.json"
+ "?from=" + dateString
+ "&till=" + dateString;
return(JsonConvert.DeserializeObject <JObject>(CURL(url))["candles"]["data"].Count() > 0);
}
public static IEnumerable <Day> DownloadHistory(Sec sec, DateTime from, DateTime till)
{
var start = 0;
var limit = 100;
while (true)
{
var url = $"https://iss.moex.com/iss/history/engines/stock/markets/{sec.Market}/boards/{sec.Board}/securities/{sec.ID}.json"
+ "?from=" + from.ToString(DATE_FORMAT)
+ "&till=" + till.ToString(DATE_FORMAT)
+ "&start=" + start
+ "&limit=" + limit;
var obj = JsonConvert.DeserializeObject <JObject>(CURL(url));
var columns = obj["history"]["columns"].ToObject <string[]>();
var data = obj["history"]["data"];
if (data.Count() < 1)
{
break;
}
var dateIndex = Array.IndexOf(columns, "TRADEDATE");
var closeIndex = Array.IndexOf(columns, "CLOSE");
foreach (var line in data)
{
var close = line[closeIndex];
if (close.Type == JTokenType.Null)
{
continue;
}
yield return(new Day(
DateTime.ParseExact((string)line[dateIndex], DATE_FORMAT, null),
(decimal)close
));
}
if (data.Count() < limit)
{
break;
}
start += limit;
}
}
public static IReadOnlyList <Day> Read(Sec sec)
{
if (!Directory.Exists(CACHE_DIR))
{
Directory.CreateDirectory(CACHE_DIR);
}
var cacheFile = Path.Combine(CACHE_DIR, sec.ID + ".json");
if (!File.Exists(cacheFile) || (DateTime.Now - new FileInfo(cacheFile).LastWriteTime) > TimeSpan.FromHours(1))
{
var from = new DateTime(2015, 1, 1);
var till = DateTime.Today;
File.WriteAllText(cacheFile, JsonConvert.SerializeObject(MoexApi.DownloadHistory(sec, from, till)));
}
return(JsonConvert.DeserializeObject <Day[]>(File.ReadAllText(cacheFile)));
}
static void Main(string[] args)
{
var sec = new Sec("shares", "TQTF", "FXUS");
var history = RocEma.Calculate(HistoryCache.Read(sec));
//RunExperiment(history, new Thresholds(-1.1m, 2.2m), Console.WriteLine);
//Environment.Exit(1);
var tasks = SliceHistory(history)
.Select(slice => Task.Run(() => BruteThresholds(slice)))
.ToArray();
Task.WaitAll(tasks);
Console.Error.WriteLine();
var groups = tasks
.SelectMany(t => t.Result)
.GroupBy(r => r.Thresholds)
.Select(g => new {
Thresholds = g.Key,
Count = g.Count(),
AvgXIrr = g.Average(i => i.XIrr),
SdXIrr = g.StandardDeviation(i => i.XIrr),
AvgTradeCount = g.Average(i => i.TradeCount),
AvgSlipCount = g.Average(i => i.SlipCount)
})
.ToArray();
var countTolerance = groups.Max(g => g.Count) * 95 / 100;
groups = groups
.Where(g => g.Count >= countTolerance)
.OrderBy(g => g.SdXIrr)
.ThenByDescending(g => g.AvgXIrr)
.ThenBy(g => g.Thresholds.High)
.ThenByDescending(g => g.Thresholds.Low)
.ToArray();
var sdXIrrCents = Enumerable.Range(0, 100)
.Select(i => groups[groups.Length * i / 100].SdXIrr)
.ToArray();
Console.WriteLine(String.Join("\t", "t_lo", "t_hi", "count", "m_xirr", "sd_xirr", "m_trade", "m_slip"));
var bestAvgXIrr = -1d;
foreach (var g in groups)
{
if (g.AvgXIrr <= bestAvgXIrr)
{
continue;
}
else
{
bestAvgXIrr = g.AvgXIrr;
}
var sdXIrrCent = sdXIrrCents.TakeWhile(i => g.SdXIrr >= i).Count();
Console.WriteLine(String.Join("\t",
g.Thresholds.Low, g.Thresholds.High,
g.Count,
Math.Round(100 * g.AvgXIrr, 2),
("p" + sdXIrrCent).Pastel(CentToColor(sdXIrrCent)),
Math.Round(g.AvgTradeCount, 1),
Math.Round(g.AvgSlipCount, 1)
));
}
}