double CalculateProfit()
{
double profit = 0;
int count = 0;
StatusGuesses.Values.ToList().ForEach(x => count += x.Count);
foreach (KeyValuePair <MarketBetStatus, List <MarketGuess> > keyValuePair in StatusGuesses)
{
if (keyValuePair.Key == MarketBetStatus.failedShort || keyValuePair.Key == MarketBetStatus.failedLong)
{
foreach (MarketGuess marketGuess in keyValuePair.Value)
{
MarketDataPoint fail = marketGuess.MarketDay.DataPoints.FirstOrDefault(x => x.DateTime.TimeOfDay >= new TimeSpan(15, 55, 0));
marketGuess.Profit = Math.Abs(1 - (fail.Close / marketGuess.BuyPrice)) * -1;
profit += marketGuess.Profit;
}
}
if (keyValuePair.Key == MarketBetStatus.soldShort || keyValuePair.Key == MarketBetStatus.soldLong)
{
foreach (MarketGuess marketGuess in keyValuePair.Value)
{
marketGuess.Profit = MarketGuess.profit;
profit += marketGuess.Profit;
}
}
}
return(profit / count);
}
static MarketDataPoint ExtractDataString(string s)
{
var data = s.Split(',');
// Remove tab
data[0] = data[0].Split('\t')[1];
DateTime dt = DateTime.Parse(data[1]);
try
{
MarketDataPoint dataPoint = new MarketDataPoint(
data[0],
dt,
double.Parse(data[2]),
double.Parse(data[3]),
double.Parse(data[4]),
double.Parse(data[5]),
int.Parse(data[6]));
return(dataPoint);
}
catch (Exception e)
{
foreach (var s1 in data)
{
Console.WriteLine(s1);
}
}
return(null);
}
static List <MarketDay> PopulateDays(List <MarketDataPoint> marketDataPoints)
{
List <MarketDay> marketDays = new List <MarketDay>();
MarketDataPoint currentDP = new MarketDataPoint("", DateTime.Now, 0, 0, 0, 0, 0);
MarketDataPoint previousDP;
MarketDay day = new MarketDay();
bool firstDP = true;
double totalCount = marketDataPoints.Count;
double count = 0;
double per = 0;
double previousPer = 0;
foreach (MarketDataPoint dataPoint in marketDataPoints)
{
count++;
per = count / totalCount;
if (per > previousPer + 0.05)
{
previousPer = per;
Console.Write("|");
}
if (firstDP)
{
firstDP = false;
currentDP = dataPoint;
day = new MarketDay();
day.AddDataPoint(currentDP);
}
else
{
previousDP = currentDP;
currentDP = dataPoint;
if (currentDP.Ticker == previousDP.Ticker)
{
day.AddDataPoint(currentDP);
}
else
{
marketDays.Add(day);
day = new MarketDay();
day.AddDataPoint(currentDP);
}
}
}
return(marketDays);
}
static List <MarketDataPoint> ExtractData()
{
// Process data file
List <MarketDataPoint> dataPoints = new List <MarketDataPoint>();
var file = File.ReadLines("data.txt");
double totalCount = file.LongCount();
double count = 0;
double per = 0;
double previousPer = 0;
foreach (string s in file)
{
count++;
per = count / totalCount;
if (per > previousPer + 0.05)
{
previousPer = per;
Console.Write("|");
}
var data = s.Split(',');
// Remove market suffix
data[0] = data[0].Split('.')[0];
int year = int.Parse(data[2].Substring(0, 4));
int month = int.Parse(data[2].Substring(4, 2));
int day = int.Parse(data[2].Substring(6, 2));
int hours = int.Parse(data[3].Substring(0, 2));
int minutes = int.Parse(data[3].Substring(2, 2));
int seconds = int.Parse(data[3].Substring(4, 2));
DateTime dt = new DateTime(year, month, day, hours, minutes, seconds);
dt = dt.AddHours(-5); //Adjust timezone
MarketDataPoint dataPoint = new MarketDataPoint(
data[0],
dt,
double.Parse(data[4]),
double.Parse(data[7]),
double.Parse(data[5]),
double.Parse(data[6]),
int.Parse(data[8]));
dataPoints.Add(dataPoint);
}
return(dataPoints);
}
public void AddDataPoint(MarketDataPoint dataPoint)
{
if (DataPoints.Count == 0)
{
Ticker = dataPoint.Ticker;
DateTime = dataPoint.DateTime.Date;
DataPoints.Add(dataPoint);
}
else if (dataPoint.DateTime.Date == DateTime.Date && dataPoint.Ticker == Ticker)
{
DataPoints.Add(dataPoint);
}
CalculateDay();
}
public static List <MarketDay> ExtractSimulationData()
{
var file = File.ReadLines("output.txt");
List <MarketDay> days = new List <MarketDay>();
MarketDay day = new MarketDay();
MarketDataPoint dataPoint = new MarketDataPoint("", DateTime.Now, 0, 0, 0, 0, 0);
bool first = true;
foreach (var s in file)
{
if (s != "")
{
if (!s.Contains("\t"))
{
if (!first)
{
days.Add(day);
}
day = new MarketDay();
day.Gap = double.Parse(s.Split(',')[7]);
first = false;
}
else
{
day.AddDataPoint(ExtractDataString(s));
}
}
}
foreach (var marketDay in days)
{
if (marketDay.DateTime < new DateTime(2016, 10, 31))
{
foreach (var marketDataPoint in marketDay.DataPoints)
{
marketDataPoint.DateTime = marketDataPoint.DateTime.AddHours(-1);
}
}
}
return(days);
}