public List <decimal> maxDiffs = new List <decimal>(); //The higher of high or low diff for each day
public void Calculate()
{
foreach (SingleRangeResult srr in singleRangeResults)
{
highDiffs.Add(srr.startHighDiff);
lowDiffs.Add(srr.startLowDiff);
closeDiffs.Add(Math.Abs(srr.startCloseDiff));
maxDiffs.Add(Math.Max(srr.startHighDiff, Math.Abs(srr.startLowDiff)));
if (srr.startHighDiff > greatestHighDiff)
{
greatestHighDiff = srr.startHighDiff;
}
if (srr.startLowDiff < greatestLowDiff)
{
greatestLowDiff = srr.startLowDiff;
}
if (Math.Abs(srr.startCloseDiff) > Math.Abs(srr.startCloseDiff))
{
greatestCloseDiff = srr.startCloseDiff;
}
}
averageStartHighDiff = TechnicalAnalysis.Average(highDiffs);
averageStartLowDiff = TechnicalAnalysis.Average(lowDiffs);
averageStartCloseDiff = TechnicalAnalysis.Average(closeDiffs);
averageMaxDiff = TechnicalAnalysis.Average(maxDiffs);
}
private void button5_Click(object sender, EventArgs e)
{
List <KeyValuePair <string, decimal> > ratios = new List <KeyValuePair <string, decimal> >();
Dictionary <string, decimal> ratiosSorted = new Dictionary <string, decimal>();
foreach (string symbol in symbols)
{
List <decimal> dailyRanges = new List <decimal>();
List <List <string> > candles = new List <List <string> >();
decimal ratio = 999999999999999;
foreach (string date in dates)
{
//decimal tradingRange = TechnicalAnalysis.TradingRange(symbol, date, DataHelper.GetMsOfDay("9:35:00:0:AM"), DataHelper.GetMsOfDay("4:00:00:0:PM"));
//dailyRanges.Add(tradingRange);
//Console.WriteLine(date + " - " + tradingRange.ToString());
//Find average true range of candles
candles = FileHelper.getCandles(symbol, date, 1);
}
decimal averageDailyRange = TechnicalAnalysis.Average(dailyRanges);
decimal candleATR = TechnicalAnalysis.ATR(candles);
if (averageDailyRange > 0 && candleATR > 0)
{
ratio = averageDailyRange / candleATR; // Lower the better
ratios.Insert(0, new KeyValuePair <string, decimal>(symbol, ratio));
}
//ratios2.Add(symbol, Convert.ToDouble(ratio));
//Console.WriteLine(symbol + " - " + ratio)
//Console.WriteLine(symbol + " - " + averageRange);
Console.WriteLine(symbol + " - " + ratio.ToString("#.###") + ": Candle ATR - " + candleATR.ToString("#.###") + ", Average Daily Range - " + averageDailyRange.ToString("#.##"));
}
//var sort_by_value = from r in ratios2 orderby r.Value select r
ratios.Sort(delegate(KeyValuePair <string, decimal> firstPair, KeyValuePair <string, decimal> secondPair)
{
return(firstPair.Value.CompareTo(secondPair.Value));
});
foreach (KeyValuePair <string, decimal> pair in ratios)
{
ratiosSorted.Add(pair.Key, pair.Value);
Console.WriteLine(pair.Key + " - " + pair.Value.ToString());
}
}
public void Run()
{
foreach (List <string> symbolParam in backtestSymbolParams)
{
SymbolRangeResult symbolRangeResult = new SymbolRangeResult();
symbol = symbolParam[0];
dates = backtestSymbolDates[symbol];
List <decimal> singleResult = new List <decimal>();
int startMs = DataHelper.GetMsOfDay(symbolParam[1]);
int endMs = DataHelper.GetMsOfDay(symbolParam[2]);
foreach (string date in dates)
{
singleResult = TechnicalAnalysis.TradingRange(symbol, date, startMs, endMs);
SingleRangeResult srr = new SingleRangeResult();
srr.startTime = symbolParam[1];
srr.endTime = symbolParam[2];
srr.startPrice = singleResult[0];
srr.endPrice = singleResult[1];
srr.high = singleResult[2];
srr.low = singleResult[3];
srr.date = date;
srr.Calculate();
symbolRangeResult.singleRangeResults.Add(srr);
}
symbolRangeResult.Calculate();
symbolRangeResults.Add(symbolRangeResult);
}
GenerateExcel();
symbolRangeResults.Clear();
}
public void CalculateTotals()
{
List <decimal> maxUnrealizeds = new List <decimal>();
List <decimal> minUnrealizeds = new List <decimal>();
List <decimal> wins = new List <decimal>();
List <decimal> losses = new List <decimal>();
List <decimal> _completeFills = new List <decimal>();
foreach (SingleResult sr in SingleResults)
{
BuyFills += sr.BuyFills;
_buyFills.Add(sr.BuyFills);
SellFills += sr.SellFills;
_sellFills.Add(sr.SellFills);
IncrementPL += sr.IncrementPL;
PriceMovePL += sr.PriceMovePL;
TotalPL += sr.TotalPL;
maxUnrealizeds.Add(sr.maxUnrealized);
minUnrealizeds.Add(sr.minUnrealized);
if (sr.TotalPL > 0)
{
wins.Add(sr.TotalPL);
}
else if (sr.TotalPL < 0)
{
losses.Add(sr.TotalPL);
}
//Range stuff
highDiffs.Add(sr.startHighDiff);
lowDiffs.Add(sr.startLowDiff);
closeDiffs.Add(Math.Abs(sr.startCloseDiff));
decimal maxDiff = Math.Max(sr.startHighDiff, Math.Abs(sr.startLowDiff));
maxDiffs.Add(maxDiff);
if (maxDiff >= (IncrementPrice * 7))
{
numPriceStops[0]++; numPriceStops[1]++; numPriceStops[2]++; numPriceStops[3]++;
}
else if (maxDiff >= (IncrementPrice * 6))
{
numPriceStops[0]++; numPriceStops[1]++; numPriceStops[2]++;
}
else if (maxDiff >= (IncrementPrice * 5))
{
numPriceStops[0]++; numPriceStops[1]++;
}
else if (maxDiff >= (IncrementPrice * 4))
{
numPriceStops[0]++;
}
if (sr.startHighDiff > greatestHighDiff)
{
greatestHighDiff = sr.startHighDiff;
}
if (sr.startLowDiff < greatestLowDiff)
{
greatestLowDiff = sr.startLowDiff;
}
if (Math.Abs(sr.startCloseDiff) > Math.Abs(greatestCloseDiff))
{
greatestCloseDiff = sr.startCloseDiff;
}
CompleteFills += sr.CompleteFills;
highestUnrealizeds.Add(sr.maxUnrealized);
}
if (IncrementPL > 0)
{
ProfitMargin = (TotalPL / IncrementPL) * 100;
}
else
{
ProfitMargin = Convert.ToDecimal(-9999.99);
}
AvgMaxUnrealized = TechnicalAnalysis.Average(maxUnrealizeds);
AvgMinUnrealized = TechnicalAnalysis.Average(minUnrealizeds);
AvgWin = TechnicalAnalysis.Average(wins);
AvgLoss = TechnicalAnalysis.Average(losses);
NumWins = wins.Count;
NumLosses = losses.Count;
//Buying Power
decimal buyingPower = 0;
foreach (SingleResult sr in SingleResults)
{
if (sr.MaxBuyingPower > buyingPower)
{
buyingPower = sr.MaxBuyingPower;
}
}
BuyingPower = buyingPower;
yield = (IncrementPL / buyingPower) * 100;
averageStartHighDiff = TechnicalAnalysis.Average(highDiffs);
averageStartLowDiff = TechnicalAnalysis.Average(lowDiffs);
averageStartCloseDiff = TechnicalAnalysis.Average(closeDiffs);
averageMaxDiff = TechnicalAnalysis.Average(maxDiffs);
averageMaxRangeSteps = averageMaxDiff / IncrementPrice;
averageBuyFills = TechnicalAnalysis.Average(_buyFills);
averageSellFills = TechnicalAnalysis.Average(_sellFills);
averageCompleteFills = Convert.ToDecimal(CompleteFills) / Convert.ToDecimal(SingleResults.Count);
stepFillRatio = averageCompleteFills / (((averageMaxRangeSteps * averageMaxRangeSteps) - averageMaxRangeSteps) / 2);
//Medians
medianMaxDiff = TechnicalAnalysis.Median(maxDiffs);
medianMaxRangeSteps = medianMaxDiff / IncrementPrice;
if (medianMaxRangeSteps > 1)
{
medianStepFillRatio = averageCompleteFills / (((medianMaxRangeSteps * medianMaxRangeSteps) - medianMaxRangeSteps) / 2);
}
else
{
medianStepFillRatio = 0;
}
//Calculate variance
decimal sumSquareds = 0;
decimal sumDiffsMean = 0;
decimal sumDiffsMedian = 0;
decimal sumDiffsCapped = 0;
foreach (SingleResult sr in SingleResults)
{
sumSquareds += Convert.ToDecimal(Math.Pow(Convert.ToDouble(Math.Max(Math.Abs(sr.startHighDiff * 100), Math.Abs(sr.startLowDiff * 100)) - (averageMaxDiff * 100)), 2));
sumDiffsMean += Convert.ToDecimal(Math.Abs(Math.Max(Math.Abs(sr.startHighDiff), Math.Abs(sr.startLowDiff)) - averageMaxDiff));
sumDiffsMedian += Convert.ToDecimal(Math.Abs(Math.Max(Math.Abs(sr.startHighDiff), Math.Abs(sr.startLowDiff)) - medianMaxDiff));
sumDiffsCapped += Convert.ToDecimal(Math.Abs(Math.Min(Math.Abs(Math.Max(Math.Abs(sr.startHighDiff), Math.Abs(sr.startLowDiff))), (IncrementPrice * Convert.ToDecimal(7.1))) - medianMaxDiff));
}
if (SingleResults.Count > 1)
{
varianceSquares = sumSquareds / (SingleResults.Count - 1) / 100;
}
varianceSquaresNormalized = varianceSquares / (averageMaxDiff * 100 * averageMaxDiff / 100);
variance = sumDiffsMean / SingleResults.Count;
varianceNormalized = variance / medianMaxDiff;
varianceStopCapped = sumDiffsCapped / SingleResults.Count;
varianceStopCappedNormalized = varianceStopCapped / medianMaxDiff;
medianVariance = sumDiffsMedian / SingleResults.Count;
medianVarianceNormalized = medianVariance / medianMaxDiff;
//Average/Median Win Module
/*
* public decimal highestUnrealized;
* public int daysAboveAverageWin;
* public int daysGaveBackAverageWin;
* public decimal medianWin;
*
* */
foreach (SingleResult sr in SingleResults)
{
if (sr.maxUnrealized > highestMaxUnrealized)
{
highestMaxUnrealized = sr.maxUnrealized;
}
if (sr.TotalPL > AvgWin)
{
daysAboveAverageWin++;
}
if (sr.maxUnrealized > AvgWin && sr.TotalPL < AvgWin)
{
daysGaveBackAverageWin++;
}
}
if (wins.Count >= 1)
{
medianWin = TechnicalAnalysis.Median(wins);
}
else
{
medianWin = 0;
}
if (maxUnrealizeds.Count >= 1)
{
medianMaxUnrealized = TechnicalAnalysis.Median(maxUnrealizeds);
}
}
public SingleResult RunSingle(string sym, string _date, decimal _incrementPrice, string _startTime, string _endTime, int _incrementSize, int _autoBalanceThreshold, int _hardStopPL)
{
Debug.WriteLine(_date + " - " + sym + "\n");
//Backtest settings
int startMs = 0;
int endMs = 0;
//First, be sure file is available
filePath = "./Data/Ticks/" + symbol + "/" + symbol + _date + ".csv";
incrementPrice = _incrementPrice;
incrementSize = _incrementSize;
startMs = GetMsOfDay(_startTime);
endMs = GetMsOfDay(_endTime);
if (!File.Exists(filePath))
{
Console.WriteLine("No file found");
return(null);
}
List <List <String> > ticks = new List <List <String> >();
//Read in csv
using (var fs = File.OpenRead(filePath))
using (var reader = new StreamReader(fs))
{
int count = 0;
while (!reader.EndOfStream)
{
var line = reader.ReadLine();
var values = line.Split(',');
if (!(count == 0))
{
ticks.Add(new List <String> {
values[0], (values[1]), values[2], values[3], values[4]
}); //MsOfDay, Time, Price, Size, Trade Condition 4:14:10.285, 62.27, 200
}
count = 1;
}
}
List <int> acceptableTradeConditions = new List <int> {
0, 1, 9, 11, 51, 62, 66, 95, 115
};
int buyFills = 0;
int sellFills = 0;
int symbolPosition = 0;
decimal priceMovePL = 0;
decimal incrementPL = 0;
decimal totalPL = 0;
decimal maxUnrealized = Convert.ToDecimal(-99999.99);
decimal minUnrealized = Convert.ToDecimal(99999.99);
int maxLong = 0;
int maxShort = 0;
int maxPosition = 0;
decimal currentBP = 0;
decimal maxBP = 0; //(greatest of maxLong, maxShort) + 500 * price
decimal highPrint = 0;
decimal lowPrint = Convert.ToDecimal(9999999.99);
bool isStopped = false;
string stopTime = "";
decimal startingPrice = Convert.ToInt32(99999999.00);
decimal previousPrint = Convert.ToInt32(99999999.00);
decimal[] orderLevel1 = new decimal[2] {
0, incrementSize
}; //level price, level size
decimal[] orderLevel2 = new decimal[2] {
0, incrementSize
};
decimal[][] closestOrders = new decimal[][] { orderLevel1, orderLevel2 };
int sellFillVolume = 0;
int buyFillVolume = 0;
int tickCount = 0;
//Anomalous tick variables
List <decimal> recentPriceChanges = new List <decimal>(); //Most recent 50 price changes
//decimal previousTickPrice = 0; is called previousprint
decimal previousPriceChangeTick = 0;
decimal priceChange;
if (strategy == "Parabolic")
{
GL = new GradientLevels();
GL.lastFillIndex = GL.middleIndex;
GL.furthestFillIndex = GL.middleIndex;
GL.baseLot = incrementSize;
GL.zeroIndex = GL.middleIndex;
//fillIndex = GL.middleIndex;
lastFillIndex = GL.middleIndex;
fillIndex = lastFillIndex;
}
foreach (List <String> tick in ticks)
{
//Skip manually selected ticks
if (tick[0] == "*")
{
continue;
}
//Time Constraint
int tradeCondition = Convert.ToInt32(tick[4]);
if (!(acceptableTradeConditions.Contains(tradeCondition)))
{
continue; //Don't process trade condition
}
int tickMs = Convert.ToInt32(tick[0]);
if (tickMs >= startMs && tickMs <= endMs && !isStopped)
{
tickCount++;
decimal tickPrice = Convert.ToDecimal(tick[2]);
int tickVolume = Convert.ToInt32(tick[3]);
if (_date == "20170421")
{
int a = 1;
}
if (tickCount == 1)
{
startingPrice = tickPrice;
if (hardStopType == "IncrementSteps")
{
setStops(startingPrice, incrementPrice, stopIncrements);
}
previousPrint = startingPrice;
previousPriceChangeTick = startingPrice;
if (strategy == "Toggle")
{
closestOrders[0][0] = startingPrice - incrementPrice;
closestOrders[1][0] = startingPrice + incrementPrice;
}
else if (strategy == "Parabolic")
{
GL.Initialize(startingPrice, incrementPrice);
closestOrders[0][0] = Convert.ToDecimal(GL.Levels[GL.middleIndex - 1][0]);
closestOrders[1][0] = Convert.ToDecimal(GL.Levels[GL.middleIndex + 1][0]);
}
}
//Anomalous tick catcher + trade condition exclusion
priceChange = Math.Abs(tickPrice - previousPriceChangeTick);
if (priceChange >= Convert.ToDecimal(0.01)) //Valid price change
{
if (recentPriceChanges.Count < 10) //Count first 10 price changes as valid
{
recentPriceChanges.Add(priceChange);
previousPriceChangeTick = tickPrice;
}
else if (priceChange > (TechnicalAnalysis.Average(recentPriceChanges) * 10) && priceChange > (tickPrice * Convert.ToDecimal(0.002))) //Anomalous Print
{
continue; //Don't process anomalous tick
}
//Trade condition catcher
else //Valid price change
{
if (recentPriceChanges.Count >= 100)
{
recentPriceChanges.RemoveAt(0);
}
recentPriceChanges.Add(priceChange);
previousPriceChangeTick = tickPrice;
}
}
if (hardStopType == "IncrementSteps")
{
if (tickPrice >= highStop)
{
isStopped = true;
stopTime = tick[1];
}
else if (tickPrice <= lowStop)
{
isStopped = true;
stopTime = tick[1];
}
}
if (strategy == "Toggle")
{
while (tickPrice < closestOrders[0][0]) // Buy Fill
{
buyFillVolume += tickVolume;
if (buyFillVolume >= closestOrders[0][1]) //Complete fill
{
buyFills++;
closestOrders[0][0] -= incrementPrice;
closestOrders[1][0] -= incrementPrice;
tickVolume -= Convert.ToInt32(closestOrders[0][1]);
sellFillVolume = 0;
buyFillVolume = 0;
if (symbolPosition > 0)
{
priceMovePL -= symbolPosition * incrementPrice;
}
else if (symbolPosition < 0)
{
priceMovePL -= (symbolPosition + incrementSize) * incrementPrice;
incrementPL += incrementSize * incrementPrice;
}
symbolPosition += Convert.ToInt32(closestOrders[0][1]);
if (symbolPosition >= autoBalanceThreshold) // too long
{
closestOrders[1][1] = incrementSize * 2;
}
else if (symbolPosition <= -(autoBalanceThreshold)) //too short
{
closestOrders[0][1] = incrementSize * 2;
}
else
{
closestOrders[0][1] = incrementSize;
closestOrders[1][1] = incrementSize;
}
if (symbolPosition >= maxShares)
{
closestOrders[0][1] = 0;
}
else if (symbolPosition <= -(maxShares))
{
closestOrders[1][1] = 0;
}
}
else
{
buyFillVolume += tickVolume;
break;
}
}
while (tickPrice > closestOrders[1][0])
{
sellFillVolume += tickVolume;
if (sellFillVolume >= closestOrders[1][1]) //Complete fill
{
sellFills++;
closestOrders[0][0] += incrementPrice;
closestOrders[1][0] += incrementPrice;
tickVolume -= Convert.ToInt32(closestOrders[1][1]);
sellFillVolume = 0;
buyFillVolume = 0;
if (symbolPosition < 0)
{
priceMovePL += symbolPosition * incrementPrice;
}
else if (symbolPosition > 0)
{
priceMovePL += (symbolPosition - incrementSize) * incrementPrice;
incrementPL += incrementSize * incrementPrice;
}
symbolPosition -= Convert.ToInt32(closestOrders[1][1]);
if (symbolPosition >= autoBalanceThreshold)
{
closestOrders[1][1] = incrementSize * 2;
}
else if (symbolPosition <= -(autoBalanceThreshold))
{
closestOrders[0][1] = incrementSize * 2;
}
else
{
closestOrders[0][1] = incrementSize;
closestOrders[1][1] = incrementSize;
}
if (symbolPosition >= maxShares)
{
closestOrders[0][1] = 0;
}
else if (symbolPosition <= -(maxShares))
{
closestOrders[1][1] = 0;
}
}
else
{
buyFillVolume += tickVolume;
break;
}
}
//update totalPL, and min/max unrealized values
totalPL = incrementPL + priceMovePL;
}
if (strategy == "Parabolic")
{
while (tickPrice < closestOrders[0][0]) // Buy Fill
{
buyFillVolume += tickVolume;
if (buyFillVolume >= closestOrders[0][1]) //Complete fill
{
buyFills++;
//Update metrics
if (symbolPosition > 0) //Long
{
totalPL -= Math.Abs(symbolPosition) * incrementPrice;
}
else if (symbolPosition < 0) //Short
{
totalPL += Math.Abs(symbolPosition) * incrementPrice;
}
symbolPosition += Convert.ToInt32(closestOrders[0][1]); //Update new symbol position
//Update order levels
if (fillIndex > 0)
{
fillIndex = --lastFillIndex;
}
Console.WriteLine(symbolPosition + " shares at index " + fillIndex + " for Total PL: " + totalPL);
if (_date == "20170228")
{
int a = 1;
}
int reCalc = GL.ReCalculate(fillIndex);
if (reCalc == 1)
{
Debug.WriteLine("Fill Error");
}
tickVolume -= Convert.ToInt32(closestOrders[0][1]);
sellFillVolume = 0;
buyFillVolume = 0;
if (fillIndex != 0)
{
closestOrders[0][0] = Convert.ToDecimal(GL.Levels[fillIndex - 1][0]);
closestOrders[0][1] = Convert.ToDecimal(GL.Levels[fillIndex - 1][1]);
}
else
{
closestOrders[0][0] = Convert.ToDecimal(0);
closestOrders[0][1] = Convert.ToDecimal(0);
}
closestOrders[1][0] = Convert.ToDecimal(GL.Levels[fillIndex + 1][0]);
closestOrders[1][1] = Convert.ToDecimal(GL.Levels[fillIndex + 1][1]);
//Update last filled index
if (GL.isRezero)
{
if (_date == "20170301")
{
int a = 1;
}
lastFillIndex = GL.middleIndex;
fillIndex = lastFillIndex;
setStops(Convert.ToDecimal(GL.Levels[lastFillIndex][0]), incrementPrice, stopIncrements);
closestOrders[0][0] = Convert.ToDecimal(GL.Levels[fillIndex - 1][0]);
closestOrders[0][1] = Convert.ToDecimal(GL.Levels[fillIndex - 1][1]);
closestOrders[1][0] = Convert.ToDecimal(GL.Levels[fillIndex + 1][0]);
closestOrders[1][1] = Convert.ToDecimal(GL.Levels[fillIndex + 1][1]);
}
else
{
lastFillIndex = fillIndex;
}
}
else
{
buyFillVolume += tickVolume;
break;
}
}
while (tickPrice > closestOrders[1][0])
{
sellFillVolume += tickVolume;
if (sellFillVolume >= closestOrders[1][1]) //Complete fill
{
sellFills++;
//Update metrics
if (symbolPosition > 0) //Long
{
totalPL += Math.Abs(symbolPosition) * incrementPrice;
}
else if (symbolPosition < 0) //Short
{
totalPL -= Math.Abs(symbolPosition) * incrementPrice;
}
symbolPosition -= Convert.ToInt32(closestOrders[1][1]); //Update symbol position
//Get new order levels
if (fillIndex < GL.middleIndex * 2)
{
fillIndex = ++lastFillIndex;
}
Console.WriteLine(symbolPosition + " shares at index " + fillIndex + " for Total PL: " + totalPL);
if (_date == "20170228")
{
int a = 1;
}
int reCalc = GL.ReCalculate(fillIndex);
if (reCalc == 1)
{
Debug.WriteLine("Fill Error");
}
tickVolume -= Convert.ToInt32(closestOrders[1][1]);
sellFillVolume = 0;
buyFillVolume = 0;
closestOrders[0][0] = Convert.ToDecimal(GL.Levels[fillIndex - 1][0]);
closestOrders[0][1] = Convert.ToDecimal(GL.Levels[fillIndex - 1][1]);
if (fillIndex != GL.middleIndex * 2)
{
closestOrders[1][0] = Convert.ToDecimal(GL.Levels[fillIndex + 1][0]);
closestOrders[1][1] = Convert.ToDecimal(GL.Levels[fillIndex + 1][1]);
}
else
{
closestOrders[1][0] = Convert.ToDecimal(99999);
closestOrders[1][1] = Convert.ToDecimal(0);
}
//Update last filled index
if (GL.isRezero)
{
lastFillIndex = GL.middleIndex;;
fillIndex = lastFillIndex;
setStops(Convert.ToDecimal(GL.Levels[lastFillIndex][0]), incrementPrice, stopIncrements);
closestOrders[0][0] = Convert.ToDecimal(GL.Levels[fillIndex - 1][0]);
closestOrders[0][1] = Convert.ToDecimal(GL.Levels[fillIndex - 1][1]);
closestOrders[1][0] = Convert.ToDecimal(GL.Levels[fillIndex + 1][0]);
closestOrders[1][1] = Convert.ToDecimal(GL.Levels[fillIndex + 1][1]);
}
else
{
lastFillIndex = fillIndex;
}
}
else
{
sellFillVolume += tickVolume;
break;
}
}
}
decimal tickAdjustedPL = 0;
decimal _lastFill = Convert.ToDecimal(GL.Levels[lastFillIndex][0]);
decimal _difference = tickPrice - _lastFill;
if (strategy == "Toggle") //set tick adjusted PL as price move difference + increment PL
{
decimal tickAdjustedPriceMovePL = priceMovePL + (symbolPosition * _difference);
tickAdjustedPL = tickAdjustedPriceMovePL + incrementPL;
}
else if (strategy == "Parabolic")
{
tickAdjustedPL = totalPL + (symbolPosition * _difference);
}
//if (totalPL > maxUnrealized) maxUnrealized = totalPL;
//if (totalPL < minUnrealized) minUnrealized = totalPL;
if (tickAdjustedPL > maxUnrealized)
{
maxUnrealized = tickAdjustedPL;
if (_date == "20170228")
{
Console.WriteLine("Total PL: " + totalPL + ", " + "Max Unrealized: " + maxUnrealized);
Console.WriteLine("Tick Price: " + tickPrice + ", " + "Last Fill: " + _lastFill);
Console.WriteLine("High Stop: " + highStop + ", Low Stop: " + lowStop);
}
}
if (tickAdjustedPL < minUnrealized)
{
minUnrealized = tickAdjustedPL;
if (_date == "20170228")
{
Console.WriteLine("Total PL: " + totalPL + ", " + "Min Unrealized: " + minUnrealized);
Console.WriteLine("Tick Price: " + tickPrice + ", " + "Last Fill: " + _lastFill);
Console.WriteLine("High Stop: " + highStop + ", Low Stop: " + lowStop);
}
}
//check if high print
if (tickPrice > highPrint)
{
highPrint = tickPrice;
}
if (tickPrice < lowPrint)
{
lowPrint = tickPrice;
}
//Hard stop
//if (-(totalPL) > hardStopPL)
if (hardStopType == "PL" && -(tickAdjustedPL) > hardStopPL)
{
isStopped = true;
stopTime = tick[1];
}
//Maxshort, long, BP
if (symbolPosition > maxLong)
{
maxLong = symbolPosition;
}
if (symbolPosition < maxShort)
{
maxShort = symbolPosition;
}
if (maxLong > Math.Abs(maxShort))
{
maxPosition = maxLong;
}
else
{
maxPosition = Math.Abs(maxShort);
}
currentBP = (Math.Abs(symbolPosition) + 500) * tickPrice;
if (currentBP > maxBP)
{
maxBP = currentBP;
}
tickCount++;
previousPrint = tickPrice;
}
} // End of tick processing
//Adjust priceMovePL for difference between final print and last fill
decimal lastFill = 0;
if (strategy == "Toggle")
{
lastFill = closestOrders[0][0] + incrementPrice;
}
else if (strategy == "Parabolic")
{
lastFill = Convert.ToDecimal(GL.Levels[lastFillIndex][0]);
}
decimal finalPrint = previousPrint;
decimal difference = finalPrint - lastFill;
SingleResult singleResult = new SingleResult();
if (strategy == "Toggle")
{
priceMovePL += symbolPosition * difference;
totalPL = priceMovePL + incrementPL;
singleResult.Date = _date;
singleResult.StartingPrice = startingPrice;
singleResult.FinalPrint = finalPrint;
singleResult.BuyFills = buyFills;
singleResult.SellFills = sellFills;
singleResult.Position = symbolPosition;
singleResult.PriceMovePL = priceMovePL;
singleResult.IncrementPL = incrementPL;
singleResult.TotalPL = totalPL;
singleResult.maxUnrealized = maxUnrealized;
singleResult.minUnrealized = minUnrealized;
singleResult.HighPrint = highPrint;
singleResult.LowPrint = lowPrint;
singleResult.MaxLong = maxLong;
singleResult.MaxShort = maxShort;
singleResult.MaxBuyingPower = maxBP;
if (isStopped)
{
singleResult.StopTime = stopTime;
}
symbolBuyFills += buyFills;
symbolSellFills += sellFills;
symbolIncrementPL += incrementPL;
symbolPriceMovePL += priceMovePL;
symbolTotalPL += totalPL;
totalBuyFills += buyFills;
totalSellFills += sellFills;
totalIncrementPL += incrementPL;
totalPriceMovePL += priceMovePL;
totalTotalPL += totalPL;
}
else if (strategy == "Parabolic")
{
totalPL = totalPL + symbolPosition * difference;
singleResult.Date = _date;
singleResult.StartingPrice = startingPrice;
singleResult.FinalPrint = finalPrint;
singleResult.BuyFills = buyFills;
singleResult.SellFills = sellFills;
singleResult.Position = symbolPosition;
singleResult.PriceMovePL = 0;
singleResult.IncrementPL = 0;
singleResult.TotalPL = totalPL;
singleResult.maxUnrealized = maxUnrealized;
singleResult.minUnrealized = minUnrealized;
singleResult.HighPrint = highPrint;
singleResult.LowPrint = lowPrint;
singleResult.MaxLong = maxLong;
singleResult.MaxShort = maxShort;
singleResult.MaxBuyingPower = maxBP;
if (isStopped)
{
singleResult.StopTime = stopTime;
}
symbolBuyFills += buyFills;
symbolSellFills += sellFills;
symbolIncrementPL += 0;
symbolPriceMovePL += 0;
symbolTotalPL += totalPL;
totalBuyFills += buyFills;
totalSellFills += sellFills;
totalIncrementPL += 0;
totalPriceMovePL += 0;
totalTotalPL += totalPL;
}
if (isStopped)
{
Console.WriteLine("Stopped Out at {0}", stopTime);
singleResult.StopTime = stopTime;
}
/*Console.WriteLine("Start Price: " + startingPrice);
* Console.WriteLine("Final Price " + finalPrint);
* Console.WriteLine("Buy fills: " + buyFills);
* Console.WriteLine("Sell fills: " + sellFills);
* Console.WriteLine("Final position: " + symbolPosition);
* Console.WriteLine("Price Move PL: " + priceMovePL);
* Console.WriteLine("Increment PL: " + incrementPL);
* Console.WriteLine("Total PL: " + totalPL);*/
singleResult.Calculate();
return(singleResult);
}
public static string GenerateCandlesFromTicks(int Period, List <List <string> > Ticks)
{
string candleCSV = "Start Time, Open, High, Low, Close, Volume";
string startTime = "9:30:00:0:AM";
string endTime = "4:00:00:0:PM";
int startMs = GetMsOfDay(startTime);
int endMs = GetMsOfDay(endTime) - 1;
int periodInMs = Period * 60000;
int periodStart = startMs;
int periodEnd = startMs + periodInMs - 1;
decimal candleOpen = 0;
decimal candleHigh = 0;
decimal candleLow = 0;
decimal candleClose = 0;
decimal candleVolume = 0;
int tickCount = 0;
//Anomalous tick variables
List <decimal> recentPriceChanges = new List <decimal>(); //Most recent 50 price changes
decimal previousTickPrice = 0;
decimal previousPriceChangeTick = 0;
decimal priceChange;
int tickMs = 0;
decimal tickPrice = 0;
int tickVolume = 0;
foreach (List <string> tick in Ticks)
{
if (tick[0] == "*")
{
continue;
}
tickMs = Convert.ToInt32(tick[0]);
tickPrice = Convert.ToDecimal(tick[2]);
tickVolume = Convert.ToInt32(tick[3]);
if (tickMs >= periodStart && tickMs <= periodEnd) //tick in period
{
if (tickCount == 0)
{
candleOpen = tickPrice;
candleHigh = tickPrice;
candleLow = tickPrice;
previousTickPrice = tickPrice;
previousPriceChangeTick = tickPrice;
}
else
{
//Anomalous tick catcher
priceChange = Math.Abs(tickPrice - previousPriceChangeTick);
if (priceChange >= Convert.ToDecimal(0.01)) //Valid price change
{
if (recentPriceChanges.Count < 10) //Count first 10 price changes as valid
{
recentPriceChanges.Add(priceChange);
previousPriceChangeTick = tickPrice;
}
if (priceChange > (TechnicalAnalysis.Average(recentPriceChanges) * 10) && priceChange > (tickPrice * Convert.ToDecimal(0.008))) //Anomalous Print
{
continue; //Don't process anomalous tick
}
else //Valid price change
{
if (recentPriceChanges.Count >= 100)
{
recentPriceChanges.RemoveAt(0);
}
recentPriceChanges.Add(priceChange);
previousPriceChangeTick = tickPrice;
}
}
if (tickPrice > candleHigh)
{
candleHigh = tickPrice;
}
else if (tickPrice < candleLow)
{
candleLow = tickPrice;
}
}
candleVolume += tickVolume;
candleClose = tickPrice;
tickCount++;
}
else if (tickMs > periodStart && tickMs > periodEnd) //first tick above period
{
//add previous candle to csv
candleCSV += periodStart.ToString() + "," + candleOpen.ToString() + "," + candleHigh.ToString() + "," + candleLow.ToString() + "," +
candleClose.ToString() + "," + candleVolume.ToString() + "\n";
//set new period
periodStart += periodInMs;
periodEnd += periodInMs;
if (periodStart > endMs)
{
break;
}
while (tickMs > periodEnd) // no ticks occured in this period
{
candleCSV += "*,*,*,*,*,*\n";
periodStart += periodInMs;
periodEnd += periodInMs;
if (periodStart > endMs)
{
break;
}
}
//tick in period, is first tick
candleOpen = tickPrice;
candleHigh = tickPrice;
candleLow = tickPrice;
candleClose = tickPrice;
candleVolume = tickVolume;
tickCount = 1;
}
tickPrice = Convert.ToDecimal(tick[2]);
tickVolume = Convert.ToInt32(tick[3]);
}
return(candleCSV);
}
public static List <decimal> TradingRange(string symbol, string date, int startMs, int endMs)
{
List <decimal> result = new List <decimal>();
List <int> acceptableTradeConditions = new List <int> {
0, 1, 9, 11, 51, 62, 66, 95, 115
};
bool firstTick = true;
decimal startPrice = 0;
decimal endPrice = 0;
decimal lastValidTick = 0;
decimal tradingRange = 0;
decimal high = 0;
int highMs = 0;
decimal low = Convert.ToDecimal(999999999999999.99);
int lowMs = 0;
// get ticks
string filePath = "./Data/Ticks/" + symbol + "/" + symbol + date + ".csv";
List <List <string> > ticks = FileHelper.getTicks(symbol, date);
List <decimal> recentPriceChanges = new List <decimal>(); //Most recent 50 price changes
decimal previousTickPrice = 0;
decimal previousPriceChangeTick = 0;
decimal priceChange;
if (ticks != null)
{
foreach (List <string> tick in ticks)
{
if (tick[0] == "*") //Exclude manually excluded ticks
{
continue;
}
int tickMs = 0;
decimal tickPrice = 0;
int tickVolume = 0;
tickMs = Convert.ToInt32(tick[0]);
tickPrice = Convert.ToDecimal(tick[2]);
//Anomalous tick catcher
if (!(previousTickPrice == 0) && previousPriceChangeTick != 0)
{
priceChange = Math.Abs(tickPrice - previousPriceChangeTick);
if (priceChange >= Convert.ToDecimal(0.01)) //Valid price change
{
if (!(acceptableTradeConditions.Contains(Convert.ToInt32(tick[4]))))
{
continue; //Don't process trade condition
}
if (recentPriceChanges.Count < 10) //Count first 10 price changes as valid
{
recentPriceChanges.Add(priceChange);
previousPriceChangeTick = tickPrice;
}
if (priceChange > (TechnicalAnalysis.Average(recentPriceChanges) * 10) && priceChange > (tickPrice * Convert.ToDecimal(0.008))) //Anomalous Print
{
continue; //Don't process anomalous tick
}
else //Valid price change
{
if (recentPriceChanges.Count >= 100)
{
recentPriceChanges.RemoveAt(0);
}
recentPriceChanges.Add(priceChange);
previousPriceChangeTick = tickPrice;
}
}
}
else
{
previousPriceChangeTick = tickPrice;
}
if (tickMs >= startMs && tickMs <= endMs)
{
if (firstTick)
{
startPrice = tickPrice;
firstTick = false;
}
if (tickPrice > high)
{
high = tickPrice;
highMs = tickMs;
}
if (tickPrice < low)
{
low = tickPrice;
lowMs = tickMs;
}
lastValidTick = tickPrice;
}
previousTickPrice = tickPrice;
}
endPrice = lastValidTick;
tradingRange = high - low;
Console.WriteLine("High: " + high + " - " + highMs + "..." + "Low : " + low + " - " + lowMs);
}
else
{
Console.WriteLine("Failed to retrieve ticks for - Symbol: " + symbol + ", Date: " + date);
}
result.Add(startPrice);
result.Add(endPrice);
result.Add(high);
result.Add(low);
return(result);
}
