protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
if (bFirst)
{
bFirst = false;
Random rnd = new Random();
my_id = rnd.Next(1, 1000).ToString();
}
Description = "test";
Name = "KNN_Generator7";
DaysToLookBack = 1;
FutureValueDaysToLookAhead = 5;
TrainingStartDate = new DateTime(2017, 01, 01);
TrainingEndDate = new DateTime(2017, 09, 30);
TestingStartDate = new DateTime(2017, 10, 1);
TestingEndDate = new DateTime(2017, 12, 31);
//Custom params
indicator_to_use = IndicatorEnum.indicator_MACD;
KNN_num_neighbors = 3;
num_training_pts = 200;
num_groups = 20;
stagger_factor = 0;
window_size = 1;
avg_target = 1.0f;
good_target = 0.5f;
bad_target = 0.25f;
min_samples = 10;
thresh1 = 1.0f;
thresh2 = -1.0f;
output_folder = "C:\\temp\\knn\\";
Param1 = 12; //Defaults for MACD
Param2 = 26;
Param3 = 9;
Sanitize = false;
// This strategy has been designed to take advantage of performance gains in Strategy Analyzer optimizations
// See the Help Guide for additional information
IsInstantiatedOnEachOptimizationIteration = true;
//IsInstantiatedOnEachOptimizationIteration = false;
}
else if (State == State.Configure)
{
String debug_txt = "min_samples=" + min_samples.ToString();
Debug.WriteLine(debug_txt);
for (int i = 0; i < symbol_list.Length; i++)
{
//Don't add the dummy instrument (but we still need a placeholder list which is added below)
if (i != 0)
{
AddDataSeries(symbol_list[i], Data.BarsPeriodType.Day, 1);
}
list_Indicator_FutureValueChange_Training_ALL.Add(new List <Indicator_FutureValueChange_Pair>());
list_Indicator_FutureValueChange_Testing_ALL.Add(new List <Indicator_FutureValueChange_Pair>());
}
SetStopLoss(CalculationMode.Percent, 0.05);
// Sets a 20 tick trailing stop for an open position
//SetTrailStop(CalculationMode.Ticks, 20);
}
else if (State == State.DataLoaded)
{
//double input_param = 2.0;
//greg1 = GregIndicator1(input_param);
//AddChartIndicator(greg1);
bDataLoaded = true;
}
else if ((bDataLoaded == true) && ((State == State.Transition) || (State == State.Terminated))) //finished processing historical data (and ready for real-time)
{
//if (bExecutedPython == false)
//{
// bExecutedPython = true;
//System.Windows.Forms.MessageBox.Show("test");
Random rnd = new Random();
String unique_id = "_" + rnd.Next(100000, 999999).ToString(); // creates a number between 100k and 999k
String control_file_path = output_folder + "control_file" + unique_id + ".txt";
String consolidated_txt_file_path = output_folder + "consolidated_report" + unique_id + ".txt";
String consolidated_csv_file_path = output_folder + "consolidated_report" + unique_id + ".csv";
switch (indicator_to_use)
{
case IndicatorEnum.indicator_MACD:
if (Sanitize == false)
{
description = "MACD";
}
else
{
description = "M";
}
description = description + "(" + Param1.ToString() + "-" + Param2.ToString() + "-" + Param3.ToString() + ")";
break;
case IndicatorEnum.indicator_RSI:
if (Sanitize == false)
{
description = "RSI";
}
else
{
description = "R";
}
description = description + "(" + Param1.ToString() + "-" + Param2.ToString() + ")";
break;
default:
description = "Unknown";
break;
}
description = description + " - " + FutureValueDaysToLookAhead.ToString();
if (Sanitize == false)
{
description = description + " days";
}
description = description + " - " + unique_id.Substring(1); //remove preceding "_"
bool bFirstTime = true;
for (int i = 1; i < symbol_list.Length; i++) //Start at index=1 since we want to ignore the first primary/dummy instrument
{
String symbol_name = symbol_list[i];
if (Sanitize == true)
{
symbol_name = symbol_list[i][0].ToString();
}
String base_file_path_for_symbol = output_folder + symbol_name; //i.e. c:\temp\knn\AAPL
String training_file_path = base_file_path_for_symbol + "_training" + unique_id + ".csv";
String testing_file_path = base_file_path_for_symbol + "_testing" + unique_id + ".csv";
WriteListToCSV(list_Indicator_FutureValueChange_Training_ALL[i], training_file_path); //trying out +1!!!
WriteListToCSV(list_Indicator_FutureValueChange_Testing_ALL[i], testing_file_path);
String config_file_name = "";
config_file_name = GenerateConfigFile(base_file_path_for_symbol, symbol_name, training_file_path, testing_file_path, unique_id);
if (bFirstTime) //create new file
{
bFirstTime = false;
File.WriteAllText(control_file_path, config_file_name + "\r\n");
}
else // append to existing file
{
File.AppendAllText(control_file_path, config_file_name + "\r\n");
}
}
//Now we can call python for all symbols at once by passing in the control_file as cmd line arg
CallPythonScript(output_folder + "\\Data_Processing25.py", control_file_path + " " + consolidated_txt_file_path + " " + consolidated_csv_file_path + " true");
//bDataLoaded = false;
//}
}
}
public DataTable GetStepWiseActions(Param1 sMode)
{
return(SessionObjects.obj.RequestTypeMasterPropertiesObject.LeftNavigationLinks.Tables["Action"]);
}
