/// <summary>
/// Parses the input data file.
/// </summary>
/// <param name="dataFile">The data file as string.</param>
/// <param name="regexDataFile">The compiled regex.</param>
/// <param name="period">The period of data file.</param>
/// <returns>Returns a parsed bar array.</returns>
private List<Bar> ParseInput(string dataFile, Regex regexDataFile, int period)
{
var barList = new List<Bar>();
string line;
var stringReader = new StringReader(dataFile);
while ((line = stringReader.ReadLine()) != null)
{
Match match = regexDataFile.Match(line);
if (!match.Success) continue;
int year = int.Parse(match.Groups["year"].Value);
year = CorrectProblemYear2000(year);
int month = int.Parse(match.Groups["month"].Value);
int day = int.Parse(match.Groups["day"].Value);
int hour = 0;
int min = 0;
int sec = 0;
if (!isOptionalDataFile)
{
hour = int.Parse(match.Groups["hour"].Value);
min = int.Parse(match.Groups["min"].Value);
string seconds = match.Groups["sec"].Value;
sec = (seconds == "" ? 0 : int.Parse(seconds));
}
var time = new DateTime(year, month, day, hour, min, sec);
if (Configs.CutSatSunData && IsSatSun(time))
continue;
if(!CheckTimePeriod(time, period))
continue;
var bar = new Bar
{
Time = time,
Open = ParseDouble(match.Groups["open"].Value),
High = ParseDouble(match.Groups["high"].Value),
Low = ParseDouble(match.Groups["low"].Value),
Close = ParseDouble(match.Groups["close"].Value),
Volume = int.Parse(match.Groups["volume"].Value)
};
barList.Add(bar);
}
stringReader.Close();
if (barList.Count == 0)
throw new Exception(Language.T("Could not count the data bars!"));
return barList;
}
/// <summary>
/// Refines the market data
/// </summary>
private void RefineData()
{
// Fill In data gaps
if (Configs.FillInDataGaps)
{
for (int bar = 1; bar < Bars; bar++)
{
if (aBar[bar - 1].Time.DayOfWeek > DayOfWeek.Wednesday &&
aBar[bar].Time.DayOfWeek < DayOfWeek.Wednesday)
continue;
aBar[bar].Open = aBar[bar - 1].Close;
if (aBar[bar].Open > aBar[bar].High || aBar[bar].Close > aBar[bar].High)
aBar[bar].High = aBar[bar].Open > aBar[bar].Close ? aBar[bar].Open : aBar[bar].Close;
if (aBar[bar].Open < aBar[bar].Low || aBar[bar].Close < aBar[bar].Low)
aBar[bar].Low = aBar[bar].Open < aBar[bar].Close ? aBar[bar].Open : aBar[bar].Close;
}
}
// Cuts off the bad data
if (Configs.CutBadData)
{
int maxConsecutiveBars = 0;
int maxConsecutiveBar = 0;
int consecutiveBars = 0;
int lastBar = 0;
for (int bar = 0; bar < Bars; bar++)
{
if (Math.Abs(aBar[bar].Open - aBar[bar].Close) < Data.InstrProperties.Point/2)
{
if (lastBar == bar - 1 || lastBar == 0)
{
consecutiveBars++;
lastBar = bar;
if (consecutiveBars > maxConsecutiveBars)
{
maxConsecutiveBars = consecutiveBars;
maxConsecutiveBar = bar;
}
}
}
else
{
consecutiveBars = 0;
}
}
if (maxConsecutiveBars < 10)
maxConsecutiveBar = 0;
int firstBar = Math.Max(maxConsecutiveBar, 1);
for (int bar = firstBar; bar < Bars; bar++)
if ((Time(bar) - Time(bar - 1)).Days > 5 && Period < 10080)
firstBar = bar;
if (firstBar == 1)
firstBar = 0;
if (firstBar > 0 && Bars - firstBar > Configs.MinBars)
{
var aBarCopy = new Bar[Bars];
aBar.CopyTo(aBarCopy, 0);
aBar = new Bar[Bars - firstBar];
for (int bar = firstBar; bar < Bars; bar++)
aBar[bar - firstBar] = aBarCopy[bar];
Bars = Bars - firstBar;
Cut = true;
}
}
}
/// <summary>
/// Data Horizon - Cuts some data
/// </summary>
private void DataHorizon()
{
if (Bars < Configs.MinBars) return;
int startBar = 0;
int endBar = Bars - 1;
// Set the starting date
if (UseStartTime && aBar[0].Time < StartTime)
{
for (int bar = 0; bar < Bars; bar++)
{
if (aBar[bar].Time >= StartTime)
{
startBar = bar;
break;
}
}
}
// Set the end date
if (UseEndTime && aBar[Bars - 1].Time > EndTime)
{
// We need to cut out the newest bars
for (int bar = 0; bar < Bars; bar++)
{
if (aBar[bar].Time >= EndTime)
{
endBar = bar - 1;
break;
}
}
}
if (endBar - startBar > MaxBars - 1)
{
startBar = endBar - MaxBars + 1;
}
if (endBar - startBar < Configs.MinBars)
{
startBar = endBar - Configs.MinBars + 1;
if (startBar < 0)
{
startBar = 0;
endBar = Configs.MinBars - 1;
}
}
// Cut the data
if (startBar > 0 || endBar < Bars - 1)
{
var aBarCopy = new Bar[Bars];
aBar.CopyTo(aBarCopy, 0);
int newBars = endBar - startBar + 1;
aBar = new Bar[newBars];
for (int bar = startBar; bar <= endBar; bar++)
aBar[bar - startBar] = aBarCopy[bar];
Bars = newBars;
Update = aBar[newBars - 1].Time.AddMinutes(Period);
Cut = true;
}
}
/// <summary>
/// Parses the input data file.
/// </summary>
/// <param name="dataFile">The data file as string.</param>
/// <param name="regexDataFile">The compiled regex.</param>
/// <param name="period">The period of data file.</param>
/// <returns>Returns a parsed bar array.</returns>
private List <Bar> ParseInput(string dataFile, Regex regexDataFile, int period)
{
var barList = new List <Bar>();
string line;
var stringReader = new StringReader(dataFile);
while ((line = stringReader.ReadLine()) != null)
{
Match match = regexDataFile.Match(line);
if (!match.Success)
{
continue;
}
int year = int.Parse(match.Groups["year"].Value);
year = CorrectProblemYear2000(year);
int month = int.Parse(match.Groups["month"].Value);
int day = int.Parse(match.Groups["day"].Value);
int hour = 0;
int min = 0;
int sec = 0;
if (!isOptionalDataFile)
{
hour = int.Parse(match.Groups["hour"].Value);
min = int.Parse(match.Groups["min"].Value);
string seconds = match.Groups["sec"].Value;
sec = (seconds == "" ? 0 : int.Parse(seconds));
}
var time = new DateTime(year, month, day, hour, min, sec);
if (Configs.CutSatSunData && IsSatSun(time))
{
continue;
}
if (!CheckTimePeriod(time, period))
{
continue;
}
var bar = new Bar
{
Time = time,
Open = ParseDouble(match.Groups["open"].Value),
High = ParseDouble(match.Groups["high"].Value),
Low = ParseDouble(match.Groups["low"].Value),
Close = ParseDouble(match.Groups["close"].Value),
Volume = int.Parse(match.Groups["volume"].Value)
};
barList.Add(bar);
}
stringReader.Close();
if (barList.Count == 0)
{
throw new Exception(Language.T("Could not count the data bars!"));
}
return(barList);
}