/// <summary>
/// Primary constructor
/// </summary>
public CandlePriceSaver(string u, string p)
{
m_username = u;
m_password = p;
instrumentList = ContractUtilities.ContractMetaInfo.cmeFuturesTickerheadList.Union(ContractUtilities.ContractMetaInfo.iceFuturesTickerheadList).ToArray();
liquidContractList = new ContractUtilities.ContractList(instrumentList);
DateTime referanceDate = DateTime.Today;
int minInterval = 10; //30
startTime = new DateTime(referanceDate.Year, referanceDate.Month, referanceDate.Day, 1, 0, 0);
endTime = new DateTime(referanceDate.Year, referanceDate.Month, referanceDate.Day, 9, 0, 0); //900
candleObj = new DataAnalysis.CandleStick(startTime, endTime, liquidContractList.dbTickerList.ToArray(), minInterval);
OutputFolder = TA.DirectoryNames.GetDirectoryName(ext: "overnightCandlestick") +
TA.DirectoryNames.GetDirectoryExtension(DateTime.Now.Date);
System.IO.Directory.CreateDirectory(OutputFolder);
ttapiSubs = new ttapiUtils.Subscription(m_username, m_password);
ttapiSubs.dbTickerList = liquidContractList.dbTickerList;
ttapiSubs.ilsUpdateList = new List <EventHandler <InstrumentLookupSubscriptionEventArgs> > {
ttapiSubs.startPriceSubscriptions
};
ttapiSubs.asu_update = ttapiSubs.startInstrumentLookupSubscriptions;
ttapiSubs.priceUpdatedEventHandler = m_ps_FieldsUpdated;
}
/// <summary>
/// Primary constructor
/// </summary>
public CandlePriceSaver(string u, string p)
{
m_username = u;
m_password = p;
instrumentList = ContractUtilities.ContractMetaInfo.cmeFuturesTickerheadList.Union(ContractUtilities.ContractMetaInfo.iceFuturesTickerheadList).ToArray();
liquidContractList = new ContractUtilities.ContractList(instrumentList);
DateTime referanceDate = DateTime.Today;
int minInterval = 10; //30
startTime = new DateTime(referanceDate.Year, referanceDate.Month, referanceDate.Day, 1, 0, 0);
endTime = new DateTime(referanceDate.Year, referanceDate.Month, referanceDate.Day, 9, 0, 0); //900
candleObj = new DataAnalysis.CandleStick(startTime, endTime, liquidContractList.dbTickerList.ToArray(), minInterval);
OutputFolder = TA.DirectoryNames.GetDirectoryName(ext: "overnightCandlestick") +
TA.DirectoryNames.GetDirectoryExtension(DateTime.Now.Date);
System.IO.Directory.CreateDirectory(OutputFolder);
ttapiSubs = new ttapiUtils.Subscription(m_username, m_password);
ttapiSubs.dbTickerList = liquidContractList.dbTickerList;
ttapiSubs.ilsUpdateList = new List<EventHandler<InstrumentLookupSubscriptionEventArgs>> { ttapiSubs.startPriceSubscriptions };
ttapiSubs.asu_update = ttapiSubs.startInstrumentLookupSubscriptions;
ttapiSubs.priceUpdatedEventHandler = m_ps_FieldsUpdated;
}
/// <summary>
/// Primary constructor
/// </summary>
public BreakoutTrader(string u, string p)
{
m_username = u;
m_password = p;
todayDate = DateTime.Now.Date;
OutputFolder = TA.DirectoryNames.GetDirectoryName("overnightCandlestick") + TA.DirectoryNames.GetDirectoryExtension(todayDate);
LogFile = new StreamWriter(OutputFolder + "/Log" + DateTime.Now.ToString("HHmmss") + ".txt", true);
BreakoutLogger = new Logger(LogFile);
instrumentList = ContractUtilities.ContractMetaInfo.cmeFuturesTickerheadList.Union(ContractUtilities.ContractMetaInfo.iceFuturesTickerheadList).ToArray();
liquidContractList = new ContractUtilities.ContractList(instrumentList);
ttapiTickerList = liquidContractList.ttapiTickerList;
dbTickerList = liquidContractList.dbTickerList;
DateTimePastPnlDisplay = DateTime.MinValue;
BreakoutPosition = new Portfolio.Position(fullTickerList: dbTickerList);
CovMatrix = Risk.PorfolioRisk.LoadCovMatrix();
candleStickData = new DataTable();
rangeMinList = new List <double>();
rangeMaxList = new List <double>();
ilsUpdateList = new List <EventHandler <InstrumentLookupSubscriptionEventArgs> >();
candleStickData.ReadXml(OutputFolder + "/" + TA.FileNames.candlestick_signal_file);
StdDict = new Dictionary <string, double>();
QtyDict = new Dictionary <string, int>();
startTime = new DateTime(todayDate.Year, todayDate.Month, todayDate.Day, 8, 30, 0);
endTime = new DateTime(todayDate.Year, todayDate.Month, todayDate.Day, 9, 0, 0); //900
LastTradeEntryTime = new DateTime(todayDate.Year, todayDate.Month, todayDate.Day, 9, 20, 0); //920
selectedCandleStickData = candleStickData.Select("start>= #" + startTime.ToString() + "# AND end<= #" + endTime.ToString() + " # ");
for (int i = 0; i < dbTickerList.Count; i++)
{
double rangeMin = double.MaxValue;
double rangeMax = double.MinValue;
for (int j = 0; j < selectedCandleStickData.Length; j++)
{
rangeMax = Math.Max(selectedCandleStickData[j].Field <Double>(dbTickerList[i] + "_high"), rangeMax);
rangeMin = Math.Min(selectedCandleStickData[j].Field <Double>(dbTickerList[i] + "_low"), rangeMin);
}
rangeMinList.Add(rangeMin);
rangeMaxList.Add(rangeMax);
StdDict.Add(dbTickerList[i], Risk.PorfolioRisk.GetStd4Ticker(dbTickerList[i], CovMatrix));
QtyDict.Add(dbTickerList[i], (int)Math.Min(MaxQty4Ticker, Math.Floor(StdPerBet / StdDict[dbTickerList[i]])));
}
//
ttapiSubs = new ttapiUtils.Subscription(m_username, m_password);
ttapiSubs.dbTickerList = dbTickerList;
ilsUpdateList.Add(ttapiSubs.startPriceSubscriptions);
ilsUpdateList.Add(ttapiSubs.startTradeSubscriptions);
ttapiSubs.ilsUpdateList = ilsUpdateList;
ttapiSubs.asu_update = ttapiSubs.startInstrumentLookupSubscriptions;
ttapiSubs.priceUpdatedEventHandler = BreakoutAlgo;
ttapiSubs.orderFilledEventHandler = BreakoutStopLogic;
}
/// <summary>
/// Primary constructor
/// </summary>
public BreakoutTrader(string u, string p)
{
m_username = u;
m_password = p;
todayDate = DateTime.Now.Date;
OutputFolder = TA.DirectoryNames.GetDirectoryName("overnightCandlestick") + TA.DirectoryNames.GetDirectoryExtension(todayDate);
LogFile = new StreamWriter(OutputFolder + "/Log" + DateTime.Now.ToString("HHmmss") + ".txt", true);
BreakoutLogger = new Logger(LogFile);
instrumentList = ContractUtilities.ContractMetaInfo.cmeFuturesTickerheadList.Union(ContractUtilities.ContractMetaInfo.iceFuturesTickerheadList).ToArray();
liquidContractList = new ContractUtilities.ContractList(instrumentList);
ttapiTickerList = liquidContractList.ttapiTickerList;
dbTickerList = liquidContractList.dbTickerList;
DateTimePastPnlDisplay = DateTime.MinValue;
BreakoutPosition = new Portfolio.Position(fullTickerList: dbTickerList);
CovMatrix = Risk.PorfolioRisk.LoadCovMatrix();
candleStickData = new DataTable();
rangeMinList = new List<double>();
rangeMaxList = new List<double>();
ilsUpdateList = new List<EventHandler<InstrumentLookupSubscriptionEventArgs>>();
candleStickData.ReadXml(OutputFolder + "/" + TA.FileNames.candlestick_signal_file);
StdDict = new Dictionary<string, double>();
QtyDict = new Dictionary<string, int>();
startTime = new DateTime(todayDate.Year, todayDate.Month, todayDate.Day, 8, 30, 0);
endTime = new DateTime(todayDate.Year, todayDate.Month, todayDate.Day, 9, 0, 0); //900
LastTradeEntryTime = new DateTime(todayDate.Year, todayDate.Month, todayDate.Day, 9, 20, 0); //920
selectedCandleStickData = candleStickData.Select("start>= #" + startTime.ToString() + "# AND end<= #" + endTime.ToString() + " # ");
for (int i = 0; i < dbTickerList.Count; i++)
{
double rangeMin = double.MaxValue;
double rangeMax = double.MinValue;
for (int j = 0; j < selectedCandleStickData.Length; j++)
{
rangeMax = Math.Max(selectedCandleStickData[j].Field<Double>(dbTickerList[i] + "_high"), rangeMax);
rangeMin = Math.Min(selectedCandleStickData[j].Field<Double>(dbTickerList[i] + "_low"), rangeMin);
}
rangeMinList.Add(rangeMin);
rangeMaxList.Add(rangeMax);
StdDict.Add(dbTickerList[i], Risk.PorfolioRisk.GetStd4Ticker(dbTickerList[i], CovMatrix));
QtyDict.Add(dbTickerList[i], (int)Math.Min(MaxQty4Ticker, Math.Floor(StdPerBet / StdDict[dbTickerList[i]])));
}
//
ttapiSubs = new ttapiUtils.Subscription(m_username, m_password);
ttapiSubs.dbTickerList = dbTickerList;
ilsUpdateList.Add(ttapiSubs.startPriceSubscriptions);
ilsUpdateList.Add(ttapiSubs.startTradeSubscriptions);
ttapiSubs.ilsUpdateList = ilsUpdateList;
ttapiSubs.asu_update = ttapiSubs.startInstrumentLookupSubscriptions;
ttapiSubs.priceUpdatedEventHandler = BreakoutAlgo;
ttapiSubs.orderFilledEventHandler = BreakoutStopLogic;
}