private void Insert()
{
{
try
{
var sw = Stopwatch.StartNew();
Time t = DateTime.Now;
Task.Run(
() =>
{
if (!System.IO.File.Exists(ConnectionString))
{
using (var tf = TeaFile <Tick> .Create(ConnectionString))
{
tf.Write(
Enumerable.Range(1, 100).Select(
i => new Tick
{
Time = t.AddDays(i),
Price = i * 101.0,
Volume = i * 1000
}));
}
}
else
{
using (var tf = TeaFile <Tick> .Append(ConnectionString))
{
tf.Write(
Enumerable.Range(1, 100).Select(
i => new Tick
{
Time = t.AddDays(i),
Price = i * 101.0,
Volume = i * 1000
}));
}
}
})
.ContinueWith(x =>
{
sw.Stop();
}).ContinueWith(x => ExecutionTime.Value = sw.ElapsedMilliseconds, TaskScheduler.FromCurrentSynchronizationContext());
sw.Stop();
}
catch (Exception ex)
{
Console.WriteLine(ex.Message);
}
}
}
public void Scan()
{
foreach (var underlying in _underlyings)
{
var contracts = OptionChainProvider.GetOptionContractList(underlying, Time);
var underlyingPrice = Portfolio[underlying].Price;
var specificContracts = (from contract in contracts
where contract.ID.OptionStyle == OptionStyle.American &&
contract.ID.OptionRight == OptionRight.Call &&
contract.ID.StrikePrice > underlyingPrice &&
contract.ID.Date > Time.AddDays(15) &&
contract.ID.Date < Time.AddDays(60) &&
contract.ID.Date == new DateTime(2017, 10, 20)
select contract).OrderBy(c => c.ID.StrikePrice).FirstOrDefault();
if (specificContracts != null)
{
var optionContract = AddOptionContract(specificContracts, Resolution.Minute);
Manager[underlying] = new Position()
{
Ticker = underlying,
Security = optionContract,
OptionPrice = optionContract.Close,
Symbol = optionContract.Symbol,
UnderlyingPrice = underlyingPrice
};
}
}
}
static void Main(string[] args)
{
try
{
if (args.Count() != 2)
{
Console.WriteLine("Usage: CreateTicks <filename> <number of ticks>");
return;
}
string filename = args[0];
int n = int.Parse(args[1]);
var sw = Stopwatch.StartNew();
Time t = DateTime.Now;
using (var tf = TeaFile <Tick> .Create(filename))
{
tf.Write(Enumerable.Range(1, n).Select(i => new Tick {
Time = t.AddDays(i), Price = i * 101.0, Volume = i * 1000
}));
}
sw.Stop();
Console.WriteLine("execution time = " + sw.Elapsed.TotalMilliseconds + "ms");
}
catch (Exception ex)
{
Console.WriteLine(ex.Message);
}
}
public override void Initialize()
{
SetStartDate(2020, 1, 4);
SetEndDate(2020, 1, 6);
_es20h20 = AddFutureContract(
QuantConnect.Symbol.CreateFuture(Futures.Indices.SP500EMini, Market.CME, new DateTime(2020, 3, 20)),
Resolution.Minute).Symbol;
_es19m20 = AddFutureContract(
QuantConnect.Symbol.CreateFuture(Futures.Indices.SP500EMini, Market.CME, new DateTime(2020, 6, 19)),
Resolution.Minute).Symbol;
var optionChains = OptionChainProvider.GetOptionContractList(_es20h20, Time.AddDays(1))
.Concat(OptionChainProvider.GetOptionContractList(_es19m20, Time));
foreach (var optionContract in optionChains)
{
_expectedSymbolsReceived.Add(AddFutureOptionContract(optionContract, Resolution.Minute).Symbol);
}
if (_expectedSymbolsReceived.Count == 0)
{
throw new InvalidOperationException("Expected Symbols receive count is 0, expected >0");
}
}
public LogLineItem(string ns, string line, DateTime date)
{
Namespace = ns;
Line = line;
DateTime time;
Time = (line.Length > 20 && DateTime.TryParse(Line.Substring(2, 16), out time)) ? date.Date.Add(time.TimeOfDay) : date;
if (Time > DateTime.Now)
{
Time = Time.AddDays(-1);
}
}
public void ShouldAddDays()
{
// Given
const double value = 123.456;
var time = new Time(12345);
// When
var result = time.AddDays(value);
// Then
Assert.AreEqual(time.TotalSeconds + value * 24 * 60 * 60, result.TotalSeconds, TimeInaccuracy);
}
static void CreateSampleFile(string filename, int n)
{
r = new Random(1);
var t = new Time(2000, 1, 1);
File.Delete(filename);
using (var tf = TeaFile<Tick>.Create(filename))
{
while (n-- > 0)
{
bool isGoodDay = DrawRandom(90);
WriteDailyTicks(tf, t, isGoodDay);
t = t.AddDays(1);
}
}
}
static void CreateSampleFile(string filename, int n)
{
r = new Random(1);
var t = new Time(2000, 1, 1);
File.Delete(filename);
using (var tf = TeaFile <Tick> .Create(filename))
{
while (n-- > 0)
{
bool isGoodDay = DrawRandom(90);
WriteDailyTicks(tf, t, isGoodDay);
t = t.AddDays(1);
}
}
}
public void Scan()
{
foreach (var underlying in _underlyings)
{
var contracts = OptionChainProvider.GetOptionContractList(underlying, Time);
var underlyingPrice = Portfolio[underlying].Price;
var specificContract = (from contract in contracts
where contract.ID.OptionStyle == OptionStyle.American &&
contract.ID.OptionRight == OptionRight.Call &&
contract.ID.StrikePrice > underlyingPrice &&
contract.ID.Date > Time.AddDays(15) &&
contract.ID.Date < Time.AddDays(60) &&
contract.ID.Date == new DateTime(2017, 10, 20)
select contract).OrderBy(c => c.ID.StrikePrice).FirstOrDefault();
if (specificContract != null)
{
Option optionContract = null;
if ((Securities.ContainsKey(specificContract) && (Securities[specificContract].Invested)))
{
optionContract = (Option)Securities[specificContract];
}
else
{
optionContract = AddOptionContract(specificContract, Resolution.Minute);
}
Manager[underlying] = new CoveredCallPosition()
{
Ticker = underlying,
OptionSecurity = optionContract,
OptionPrice = optionContract.Close,
UnderlyingSymbol = optionContract.Symbol,
UnderlyingPrice = underlyingPrice
};
// Do Stuff
if (!optionContract.Invested)
{
RemoveSecurity(optionContract.Symbol);
}
}
}
}
public LogEntry(string logFile, string line)
{
LogFile = logFile;
Line = line;
Match match = LogEntryRegex.LogEntryStructure.Match(line);
if (match.Success)
{
DateTime time;
var ts = match.Groups["timestamp"].Value;
if (DateTime.TryParse(ts, out time))
{
Time = DateTime.Today.Add(time.TimeOfDay);
if (Time > DateTime.Now)
{
Time = Time.AddDays(-1);
}
}
LineContent = match.Groups["line"].Value;
}
}
public LogLineItem(string ns, string line)
{
Namespace = ns;
Line = line;
var regex = new Regex("^(D|W) (?<ts>([\\d:.]+)) (?<line>(.*))$");
var match = regex.Match(line);
if (match.Success)
{
DateTime time;
var ts = match.Groups["ts"].Value;
if (DateTime.TryParse(ts, out time))
{
Time = DateTime.Today.Add(time.TimeOfDay);
if (Time > DateTime.Now)
{
Time = Time.AddDays(-1);
}
}
LineContent = match.Groups["line"].Value;
}
}
public Line(string logName, string line)
{
LogName = logName;
RawLine = line ?? string.Empty;
Text = line ?? string.Empty;
Time = DateTime.Now;
var match = LineRegex.Match(line);
if (match.Success)
{
Text = match.Groups["text"].Value;
if (DateTime.TryParse(match.Groups["ts"].Value, out var time))
{
Time = DateTime.Today.Add(time.TimeOfDay);
if (Time > DateTime.Now)
{
Time = Time.AddDays(-1);
}
}
}
IsValid = match.Success;
}
private void LiquidateExpiredOptions()
{
foreach (var option in Portfolio.Values)
{
if (!option.Invested)
{
continue;
}
if (option.Type != SecurityType.Option)
{
Liquidate(option.Symbol);
continue;
}
var contract = (Option)Portfolio.Securities[option.Symbol];
if (contract.Expiry < Time.AddDays(1))
{
Debug($"Date: {Time} - Liquidating {option.Symbol}");
Liquidate(contract.Symbol);
}
}
}
public void NextCycle()
{
_stopWatch.Restart();
MatingTime();
_stopWatch.Stop();
_totalMatingTimeInMilliseconds += _stopWatch.ElapsedMilliseconds;
_stopWatch.Restart();
BirthTime();
_stopWatch.Stop();
_totalBirthTimeTimeInMilliseconds += _stopWatch.ElapsedMilliseconds;
_stopWatch.Restart();
DeathTime();
_stopWatch.Stop();
_totalDeathTimeTimeInMilliseconds += _stopWatch.ElapsedMilliseconds;
Time = Time.AddDays(1);
CycleCounter++;
}
public void IOException()
{
var stream = new TestStream();
using (var tf = TeaFile<Event<int>>.Create(stream))
{
Time t = new Time(2000, 1, 1);
tf.Write(Enumerable.Range(1, 5).Select(i => new Event<int> {Time = t.AddDays(i), Value = i}));
}
stream.Position = 0;
stream.FailAfterPosition = stream.Length - 2;
using (var tf = TeaFile<Event<int>>.OpenRead(stream))
{
tf.Count.Should().Be(5); // the count is still 5, the stream length has not changed
tf.Read().Value.Should().Be(1);
tf.Read().Value.Should().Be(2);
tf.Read().Value.Should().Be(3);
tf.Read().Value.Should().Be(4);
Executing.This(() => tf.Read()).Should().Throw<IOException>();
}
}
public void AddDays()
{
Time.Scale = Timescale.Net;
Time t = new Time(2010, 2, 3);
Time t2 = t.AddDays(5);
(t2.NetTime - t.NetTime).TotalDays.Should().Be(5);
Time.Scale = Timescale.Java;
t = new Time(2010, 2, 3);
t2 = t.AddDays(5);
(t2.NetTime - t.NetTime).TotalDays.Should().Be(5);
}
