public StreamingStrategy(double outcomeCodePercent, long outcomeTimeframe, MarketModul mm, OrderMachine om, double minPercentThreshold, int learningIndicatorSteps, List <string> okayIndicators, string cachePath = null)
{
this.learningIndicatorSteps = learningIndicatorSteps;
this.outcomeCodePercent = outcomeCodePercent;
this.outcomeTimeframe = outcomeTimeframe;
this.minPercentThreshold = minPercentThreshold;
this.cachePath = cachePath;
if (cachePath != null && Directory.Exists(cachePath) == false)
{
Directory.CreateDirectory(cachePath);
Logger.log("Created log directory: " + cachePath);
}
this.okayIndicators = okayIndicators;
this.orderMachine = om;
}
public FirstOrderMachine(MarketModul mm, double outcomeCodePercentage, long outcomeCodeTimestpan) : base(mm)
{
this.outcomeCodePercentage = outcomeCodePercentage;
this.outcomeCodeTimestpan = outcomeCodeTimestpan;
}
private void button1_Click(object sender, EventArgs e)
{
DataLoader dl = new DataLoader(Config.DataPath + pair);
double[][] priceData = dl.getArray(0,
31l * 24l * 60l * 60l * 1000l * monthsToTest + updateLookback,
minTimestep);
MarketModul mm = new MarketModul(pair);
OrderMachine om = new FirstOrderMachine(mm, outcomeCodePercent, outcomeTimeframe);
List <string> okayIndicators;
string okayIndicatorsFile = "okayIndicators" + outcomeTimeframe + ".txt";
if (File.Exists(okayIndicatorsFile))
{
okayIndicators = File.ReadAllText(okayIndicatorsFile).Split(Environment.NewLine.ToCharArray(), StringSplitOptions.RemoveEmptyEntries).ToList <string>();
}
else
{
throw new Exception("Okay indicators not found!");
}
StreamingStrategy strategy = new StreamingStrategy(outcomeCodePercent, outcomeTimeframe, mm, om, minPercentThreshold, samplingSteps, okayIndicators, "#cache");
Logger.log("Getting market stopps...");
long lastStop = 0;
long lastSeenTimestamp = Convert.ToInt64(priceData[0][(int)PriceDataIndeces.Date]);
for (int i = 0; i < priceData.Length; i++)
{
long timestampNow = Convert.ToInt64(priceData[i][(int)PriceDataIndeces.Date]);
if (timestampNow - lastSeenTimestamp > 1000 * 60 * 60l)
{
Logger.log("Found stop: " + (lastSeenTimestamp - lastStop) / 1000 / 60 / 60 / 24l + " Days open");
strategy.addMarketStop(lastSeenTimestamp);
lastStop = lastSeenTimestamp;
}
lastSeenTimestamp = timestampNow;
}
Logger.log("Done");
string lastMessage = "";
long beginningTimestamp = Convert.ToInt64(priceData[0][(int)PriceDataIndeces.Date]);
long lastUpdateTimestamp = 0;
for (int i = 0; i < priceData.Length; i++)
{
long timestampNow = Convert.ToInt64(priceData[i][(int)PriceDataIndeces.Date]);
mm.pushPrice(priceData[i]);
strategy.pushPrice(priceData[i]);
if (lastUpdateTimestamp == 0)
{
lastUpdateTimestamp = timestampNow - updateFrequency + updateLookback;
}
if (timestampNow - updateFrequency > lastUpdateTimestamp)
{
Logger.log("Updateing indicators...");
strategy.updateIndicators(updateLookback,
indicatorInitTime,
new StDIndicatorSelector(indicatorsToChooseCount));
strategy.getSignalMachine().visualize(1500, 2).Save("SignalMachineVis" + timestampNow + ".png");
//Todo: save that somehow
lastUpdateTimestamp = timestampNow;
Logger.log("End updateing indicators.");
}
double percent = Convert.ToDouble(i) / priceData.Length * 100d;
string msg = "Progress: " + Math.Round(percent, 0) + "%";
if (lastMessage != msg)
{
this.Text = msg;
Logger.log(msg);
lastMessage = msg;
}
}
mm.flatAll(Convert.ToInt64(priceData[priceData.Length - 1][(int)PriceDataIndeces.Date]));
string report = mm.getStatisticsString() + Environment.NewLine
+ om.getStatistics() + Environment.NewLine
+ mm.getProfitabilityByInfoString();
Clipboard.SetText(report);
MessageBox.Show(report);
this.BackgroundImage = mm.getCapitalCurveVisualization(this.Width, this.Height);
}
public OrderMachine(MarketModul mm)
{
this.mm = mm;
}