public bool Extrema(string product, int lastMinutes, ref double min, ref double max)
{
List <ChartPoint> LCPoints = ARCHIVE.GetDATA(TimeFrame.ONE_MINUTE, product, ABBREVIATIONS.GreenwichMeanTime.AddMinutes(-lastMinutes));
min = double.MaxValue;
max = double.MinValue;
for (int i = 0; i < LCPoints.Count; i++)
{
if (LCPoints[i].LOW <= min)
{
min = LCPoints[i].LOW;
}
else if (LCPoints[i].HIGH >= max)
{
max = LCPoints[i].HIGH;
}
}
if (min < double.MaxValue && max > double.MinValue)
{
return(true);
}
else
{
return(false);
}
}
private void TimrSimulationTest_Tick(object sender, EventArgs e)
{
if (!ARCHIVE.IsLoaded || !ARCHIVE.Updated || !SIMULATION.Updated)
{
return;
}
if (ThrdPREDICTIONTEST != null && ThrdPREDICTIONTEST.IsAlive)
{
return;
}
ThrdPREDICTIONTEST = new Thread(delegate()
{
if (ARCHIVE.IsLoaded)
{
List <string> LSProducts = ARCHIVE.GetProducts();
List <string> LSSubProducts = new List <string>(new string[] { "EUR/USD" });//, "USD/JPY", "GBP/USD", "NZD/USD", "AUD/USD"
SIMULATION.Test(LSSubProducts);
}
});
ThrdPREDICTIONTEST.Priority = ThreadPriority.Normal;// ThreadPriority.Highest;
ThrdPREDICTIONTEST.Start();
}
private void CheckupStrengthFactor(ref ChartPointsPredition CPsP)
{
List <ChartPoint> LCPOrigin = ARCHIVE.GetDATA(CPsP.TimeFrame, CPsP.Product, CPsP.Position - CPsP.Deep, CPsP.Deep);
List <double> LDOPeak = (from CP in LCPOrigin select CP.Peak).ToList();
List <double> LDOBase = (from CP in LCPOrigin select CP.Peak).ToList();
CPsP.SetStrengthFactor(LDOPeak, LDOBase);
}
public bool AlternateProduct(OpenRatesBlotter ORBlotter, TimeFrame TFrame, int count, string product, ref int shift, ref int shiftAlternative, int maxShift, ref string alternative, ref string counterAlternative)
{
List <string> LSProd = ARCHIVE.GetProducts();
int iLCPCount = ARCHIVE.GetDATACount(TFrame, product);
int iLastPoints = count;
int iStartIdx = iLCPCount - iLastPoints;
Rates RATE = ORBlotter.Get(product);
int iDecimals = RATE.Decimals;
double dBestCompare = double.MinValue;
double dWorstCompare = double.MaxValue;
alternative = counterAlternative = "";
foreach (string sP in LSProd)
{
if (sP == product)
{
continue;
}
Rates RATESecond = ORBlotter.Get(sP);
int iDecimalsSecond = RATESecond.Decimals;
int iLCPCountSecondary = ARCHIVE.GetDATACount(TFrame, sP);
List <ChartPoint> LCPPrimary = ARCHIVE.GetDATA(TFrame, product, iStartIdx, iLastPoints);
List <ChartPoint> LCPSecondary = ARCHIVE.GetDATA(TFrame, sP, iLCPCountSecondary - iLastPoints, iLastPoints);
int iShift = 0;
double dCompaison = this.CompareCharts(LCPPrimary, LCPSecondary, iDecimals, iDecimalsSecond, maxShift, ref iShift);
if (dCompaison > dBestCompare)
{
dBestCompare = dCompaison;
alternative = sP;
shift = iShift;
}
if (dCompaison < dWorstCompare)
{
dWorstCompare = dCompaison;
counterAlternative = sP;
shiftAlternative = iShift;
}
}
if (shift != 0 || alternative == "" || counterAlternative == "")
{
return(false);
}
else
{
return(true);
}
}
private void CheckupTendencyToday(ref ChartPointsPredition CPsP)
{
List <ChartPoint> LCPToday = ARCHIVE.GetDATA(CPsP.TimeFrame, CPsP.Product, CPsP.DTOriginal.Date, CPsP.DTOriginal);
//List<double> LDChanges = (from CP in LCPToday select CP.Change).ToList();
double dExtremumTodayDistance;
CPsP.TendencyToday = ANALYSIS.TendencyLastExtremum(LCPToday, out dExtremumTodayDistance);//ANALYSIS.Tendency(LDChanges, LDChanges.Count);
CPsP.ExtremumTodayDistance = dExtremumTodayDistance;
}
//should return expecting gains percentage time and duration
public void Gains()
{
foreach (string product in ARCHIVE.GetProducts())
{
TimeFrame TFrame = TimeFrame.FIFTEEN_MINUTE;
List <ChartPoint> LCPoints = ARCHIVE.GetDATA(TFrame, product);
List <ChartPoint> LCPSelected = new List <ChartPoint>(from CP in LCPoints where CP.Change > 0 select CP);
double v = this.AverageGainStreak(LCPSelected, TFrame);
double v2 = this.SampleStandardDeviationGainStreak(LCPSelected, TFrame);
}
}
private void TimrArchive_Tick(object sender, EventArgs e)
{
if (ThrdARCHIVE == null || !ThrdARCHIVE.IsAlive)
{
int DataKind = ORBlotter.Count;
if (ARCHIVE.IsLoaded)
{
if (!ARCHIVE.Saving && bSaveArchive == false)
{
BtnSaveArchive.Text = "SAVE ARCHIVE";
BtnSaveArchive.Enabled = true;
}
else if (bSaveArchive)
{
BtnSaveArchive.Enabled = false;
BtnSaveArchive.Text = "SAVING ... ";
}
}
ThrdARCHIVE = new Thread(delegate()
{
if (!ARCHIVE.IsLoaded)
{
ARCHIVE.LoadAll();
}
counterCurrentArchiveUpdates += ARCHIVE.UpdateAll(bSaveArchive);
if (bSaveArchive && ARCHIVE.Saved)
{
counterCurrentArchiveSaved = counterCurrentArchiveUpdates;
bSaveArchive = false;
}
//ARCHIVE.RepairAll();
ThrdARCHIVE.Abort();
});
ThrdARCHIVE.Start();
double dRatio = ((double)(counterCurrentArchiveSaved + 1) / (counterCurrentArchiveUpdates + 1)) * 100;
TSSPBArchives.Value = (int)dRatio;
}
}
public void Predict(TimeFrame TFrame, double[] IASymiliarities)
{
if (this.AvalaibleMeans() <= 0)
{
return;
}
//int iMinutes = ABBREVIATIONS.ToMinutes(TFrame);
List <string> LSLiquids = ANALYSIS.GetLiquids(ARCHIVE.GetProducts(), ORBlotter, 60, 30, dSpreadFactor, TFrame); //Chooce only those products whose Activity in last 5 minutes is above 0.5 of spread //List<string> LSLiquidsLive = ANALYSIS.GetLiquidsLive(ORBlotter, 50, 3, 0.2, TFrame);
if (LSLiquids.Count < 10 && dSpreadFactor > 0.35)
{
dSpreadFactor -= 0.0025;
}
else if (LSLiquids.Count > 20)
{
dSpreadFactor += 0.0025;
}
//List<Thread> LThrdLiquid = new List<Thread>();
foreach (string product in LSLiquids)//ORBlotter.GetProducts)
{
//LThrdLiquid.Add(new Thread(delegate() {
List <ChartPoint> LCPoints = ARCHIVE.GetDATA(TFrame, product);
ChartPoint CPLAst = LCPoints.Last();
List <ChartPoint> LCPointsSpecified = ORBlotter.Archive.Get(product, TFrame, IASymiliarities.Length);
if (LCPointsSpecified != null)
{
ChartPointPredition CPPrediction = ANALYSIS.PredictNextSpecified(product, LCPoints, LCPointsSpecified, TFrame, ORBlotter.Get(product).Decimals, IASymiliarities);
ChartPointPredition.Kind CPPKind = CPPrediction.Prognosis();
if (CPPKind != ChartPointPredition.Kind.Uncertain)
{
this.TryUpdate(CPPrediction);
}
}
// }));
// LThrdLiquid.Last().Priority = ThreadPriority.BelowNormal;
// LThrdLiquid.Last().Start();
}
//foreach (Thread Thrd in LThrdLiquid) Thrd.Join();
}
private void StartConnection()
{
try
{
if (SOCMain != null && SOCMain.Connected)
{
SOCMain.Shutdown(SocketShutdown.Both);
Thread.Sleep(100);
SOCMain.Close();
}
IPAddress[] AIPAdresses = Dns.GetHostEntry(HOST).AddressList;
var ADRESS = AIPAdresses[0];
SOCMain = new Socket(AddressFamily.InterNetwork, SocketType.Stream, ProtocolType.Tcp);
IPEndPoint IPEPMain = new IPEndPoint(ADRESS, PORT);
SOCMain.Blocking = false;
AsyncCallback ACallbackConnected = new AsyncCallback(OcConnect);
//Thread.Sleep(1000);
SOCMain.BeginConnect(IPEPMain, ACallbackConnected, SOCMain);
var CEDAA_CreditalsWithBrandCode = CEDA_Authentification.AuthenticateCredentialsWithBrandCode(USERID, PASSWORD, BRANDCODE); //var CEDAA_Creditals = CEDA_Authentification.AuthenticateCredentials(USERID, PASSWORD); //LOGIN FOR TOKEN
TOKEN = CEDAA_CreditalsWithBrandCode.token; // TOKEN = CEDAA_Creditals.token;
if (ORBlotter != null || PSBlotter != null || ARCHIVE != null || OSBlotter != null)
{
ODBlotter.Restart(TOKEN);
PSBlotter.Restart(TOKEN);
ARCHIVE.Restart(TOKEN);
OSBlotter.Restart(TOKEN);
this.SendString(TOKEN + "\r");
}
//this.UpdateDeals();
//this.UpdateAccount();
}
catch
{
try { TsslInfo.Text = "Restart Failed [" + ++iRestartFails + "]x "; }
catch { }
this.StartConnection();
}
}
public bool Load(string product, TimeFrame TFrame, int deep, int ahead, int count)
{
if (DLSCPoints.ContainsKey(product)) //if up to date, refresh data base and return
{
DLSCPoints[product] = ARCHIVE.GetDATA(TFrame, product);
return(false);
}
else
{
DLSCPoints.Add(product, ARCHIVE.GetDATA(TFrame, product));
}
List <ChartPointsPredition> LDCPsPoints = DATABASE.Load_ChartPointsPrediction(product, ABBREVIATIONS.ToString(TFrame), deep, ahead);
int iPosition = DLSCPoints[product].Count - count;
if (LDCPsPoints == null || LDCPsPoints.Count == 0)
{
DATA.Add(product, new List <ChartPointsPredition>());
}
else
{
if (LDCPsPoints.Count > count)
{
LDCPsPoints.RemoveRange(0, LDCPsPoints.Count - count);
}
for (int i = 0; i < LDCPsPoints.Count; i++)
{
LDCPsPoints[i].Prognosis(0);
}
DATA.Add(product, LDCPsPoints);
}
return(true);
}
private void CheckupTendencyComplementary(ref ChartPointsPredition CPsP)
{
List <ChartPoint> LCPToday = ARCHIVE.GetDATA(CPsP.TimeFrame, CPsP.Product, CPsP.DTOriginal.Date, CPsP.DTOriginal);
int iPosition = ANALYSIS.ExtremumComplementaryPosition(LCPToday, LCPToday.Count, (double)CPsP.Deep / 2);
//int iPositionBefore = ANALYSIS.ExtremumComplementaryPosition(LCPToday, iPosition + 1, (double)CPsP.Deep / 2);
int iShiftCount = LCPToday.Count - iPosition;
if (iShiftCount <= 0 || iPosition >= LCPToday.Count || iPosition - iShiftCount < 0)
{
CPsP.ExtremumConplementaryDistance = -1;
CPsP.TendencyComplementary = 50;
return;
}
else
{
//List<double> LDChanges = (from CP in LCPToday select CP.Change).ToList(); int iCount = LDChanges.Count - iPosition; CPsP.TendencyComplementary = ANALYSIS.Tendency(LDChanges, iPosition, iCount);
List <ChartPoint> LDCPRanged = LCPToday.GetRange(iPosition, iShiftCount);
List <ChartPoint> LDCPRangedBefore = LCPToday.GetRange(iPosition - iShiftCount, iShiftCount);
double dTendency = ANALYSIS.Tendency(LDCPRanged);
double dTendencyBefore = ANALYSIS.Tendency(LDCPRangedBefore);
if (dTendency < 50 && dTendencyBefore > 50 || dTendency > 50 && dTendencyBefore < 50)
{
CPsP.ExtremumConplementaryDistance = -1;
CPsP.TendencyComplementary = 50;
return;
}
CPsP.ExtremumConplementaryDistance = (LDCPRanged.Last().Time - LDCPRanged[0].Time).TotalMinutes;
CPsP.TendencyComplementary = (dTendency / dTendencyBefore) * 100;
}
}
public List <string> GetLiquids(List <string> LSProducts, OpenRatesBlotter ORBlotter, double minPercentage, int deep, double spreadFactor, TimeFrame TFrame)
{
List <string> LSLiquidProducts = new List <string>();
foreach (string product in ARCHIVE.GetProducts())
{
Rates RATE = ORBlotter.Get(product);
int iMinutesFrame = ABBREVIATIONS.ToMinutes(TFrame);
List <ChartPoint> LCPoints = ARCHIVE.GetDATA(TFrame, product);
DateTime DTLast100 = ABBREVIATIONS.GreenwichMeanTime.AddMinutes(-deep * iMinutesFrame);
List <ChartPoint> LCPLast100 = (from CP in LCPoints where CP.Time > DTLast100 select CP).ToList();
if (this.LiquidPercentage(LCPLast100, RATE, spreadFactor) > minPercentage)
{
LSLiquidProducts.Add(product);
}
}
return(LSLiquidProducts);
}
internal static HandleRef getCPtr(ARCHIVE obj)
{
return((obj == null) ? new HandleRef(null, IntPtr.Zero) : obj.swigCPtr);
}
private void TimrSimulation_Tick(object sender, EventArgs e)
{
if (!ARCHIVE.IsLoaded || !ARCHIVE.Updated)
{
return;
}
//
{
if (!SIMULATION.Saving && !SIMULATION.Saved)
{
BtnSavePredictions.Text = "SAVE PREDICTIONS";
BtnSavePredictions.Enabled = true;
}
else if (SIMULATION.Saving)
{
BtnSavePredictions.Enabled = false;
BtnSavePredictions.Text = "SAVING ... ";
}
if (SIMULATION.Saved)
{
bSavePrediction = false;
}
}
if ((ThrdPREDICTION != null && ThrdPREDICTION.IsAlive) || !ARCHIVE.IsLoaded)
{
return;
}
ThrdPREDICTION = new Thread(delegate()
{
List <string> LSProducts = ARCHIVE.GetProducts(); //LSProducts[27]
List <string> LSSubProducts = new List <string>(new string[] { "EUR/USD", "XAU/USD" }); //, "USD/JPY", "GBP/USD", "XAU/USD" });// , "USD/CAD" , "XAG/USD" ", "AUD/USD", , "USD/CHF"
foreach (string product in LSSubProducts)
{
if (!LSProducts.Contains(product))
{
throw new Exception("Currency: " + product + " misssing in archive !");
}
}
// LSSubProducts = LSProducts;
/*SIMULATION.Start(TimeFrame.ONE_MINUTE, 14 * 1440, 20, 10, 10, LSSubProducts, bSavePrediction);
* SIMULATION1.Start(TimeFrame.FIVE_MINUTE, 14 * 1440, 20, 10, 10, LSSubProducts, bSavePrediction);
* SIMULATION2.Start(TimeFrame.FIFTEEN_MINUTE, 14 * 1440, 20, 10, 10, LSSubProducts, bSavePrediction);*/
for (int i = 0; i < LTSimulation.Count; i++)
{
LTSimulation[i].Join();
}
LTSimulation = new List <Thread>();
LTSimulation.Add(new Thread(delegate() { SIMULATION.Start(TimeFrame.THIRTY_MINUTE, 60 * 24, 4, 2, LSSubProducts, bSavePrediction); }));//30-15,60-30,120-60
//LTSimulation.Add(new Thread(delegate() { SIMULATION1.Start(TimeFrame.TEN_MINUTE, 42 * 1440, 30, 5, LSSubProducts, bSavePrediction); }));
//LTSimulation.Add(new Thread(delegate() { SIMULATION2.Start(TimeFrame.FIFTEEN_MINUTE, 42 * 1440, 30, 5, LSSubProducts, bSavePrediction); }));
/* LTSimulation.Add(new Thread(delegate() {
* List<ChartPointsPredition> LCPsPNew = SIMULATION.Select(LSSubProducts);
* this.Update(ref LCPsPTestSelected, LCPsPNew);
* }));
*
* LTSimulation.Add(new Thread(delegate()
* {
* List<ChartPointsPredition> LCPsPNew = SIMULATION1.Select(LSSubProducts);
* this.Update(ref LCPsPTestSelected1, LCPsPNew);
* }));*/
for (int i = 0; i < LTSimulation.Count; i++)
{
LTSimulation[i].Start();
LTSimulation[i].Priority = ThreadPriority.Normal;
}
// for (int i = 0; i < LTSimulation.Count; i++ ) LTSimulation[i].Join();
});
ThrdPREDICTION.Priority = ThreadPriority.Normal;// ThreadPriority.Highest;
TradeCurrentExecutionDelay = (int)((DateTime.Now - DTPredict).TotalSeconds + 1);
ThrdPREDICTION.Start();
TsslInfo2.Text = "Prediction Execution Time: " + TradeCurrentExecutionDelay + " [s]";
DTPredict = DateTime.Now;
double dRatio = ((double)(SIMULATION.Saves + 1) / (SIMULATION.Predictions + 1)) * 100;
TSSPBPredictions.Value = (int)dRatio;
}
public double WeightFactor(Rates RATE, int position, int deep, int ahead, bool averange, double step, double range, int setID) //symilarity must be above 60%
{
string product = RATE.CCY_Pair;
TimeFrame TFrame = TimeFrame.ONE_MINUTE;
int iDecimals = RATE.Decimals;
double dPipValue = Math.Pow(10, -iDecimals);
List <ChartPoint> LCPoints = ARCHIVE.GetDATA(TFrame, product, 0, position);
List <ChartPoint> LCPointsSpecified = ARCHIVE.GetDATA(TFrame, product, position - deep, deep);
List <ChartPoint> LCPointsAll = ARCHIVE.GetDATA(TFrame, product, 0, position + ahead);
List <double> LDSetChange = (from CP in LCPointsAll select Math.Round(CP.Change, iDecimals)).ToList();
List <double> LDSetPeak = (from CP in LCPointsAll select Math.Round(CP.Peak, iDecimals)).ToList();
List <double> LDSetBase = (from CP in LCPointsAll select Math.Round(CP.Base, iDecimals)).ToList();
//double dTopSubSim = 0;
//
List <double> LDWFactors = new List <double>();
List <double> LDSymilarities = new List <double>();
double[] DAWeightFactor = new double[5];
for (double dWF = -step * range; dWF <= step * range; dWF += step)
{
DAWeightFactor[setID] = dWF;
ChartPointsPredition CPsPrediction = new ChartPointsPredition();
ChartPointsPredition CPsPredictionNow = new ChartPointsPredition();
double dSymilMax = 90;
double dSymilMin = 50;
do
{
double dSymil = (dSymilMax + dSymilMin) / 2;
ChartPointsPredition CPsP = null;// this.PredictNextSpecified(product, LCPoints, LCPointsSpecified, TFrame, iDecimals, dSymil, ahead, DAWeightFactor);
if (CPsP.Prognosis(1) != ChartPointsPredition.Kind.Uncertain)
{
CPsPredictionNow = CPsP;
}
if (CPsP.Matches < 10)
{
dSymilMax = dSymil;
}
else
{
dSymilMin = dSymil;
}
if ((dSymilMax - dSymilMin <= 1) || (CPsPredictionNow.Matches >= 10 && CPsPredictionNow.Matches < 50 && CPsPredictionNow.Analised))
{
CPsPrediction = CPsPredictionNow;
break;
}
} while (true);
if (CPsPrediction.Matches == 0)
{
continue;
}
double dSimChange = this.Compare(LDSetChange, CPsPrediction.LDChange, position);
double dSimPeak = this.Compare(LDSetPeak, CPsPrediction.LDPeak, position);
double dSimBase = this.Compare(LDSetBase, CPsPrediction.LDBase, position);
double dSubSim = (dSimChange * dSimPeak * dSimBase) / (100 * 100);
LDWFactors.Add(dWF);
LDSymilarities.Add(dSubSim);
}
double dLESum = 0;
double dGESum = 0;
int iGECount = 0;
int iLECount = 0;
for (int i = 0; i < LDWFactors.Count; i++)
{
if (LDWFactors[i] > 0)
{
dGESum += LDSymilarities[i];
++iGECount;
}
else if (LDWFactors[i] < 0)
{
dLESum += LDSymilarities[i];
++iLECount;
}
}
double dGES = dGESum / iGECount;
double dLES = dLESum / iLECount;
double dTobWF = 0;
double dTopSubSim = 0;
if (!averange)
{
for (int i = 0; i < LDWFactors.Count; i++)
{
if (((dGES > dLES) && LDWFactors[i] > 0 && LDSymilarities[i] > dTopSubSim) ||
((dGES < dLES) && LDWFactors[i] < 0 && LDSymilarities[i] > dTopSubSim))
{
dTopSubSim = LDSymilarities[i];
dTobWF = LDWFactors[i];
}
}
}
else
{
double dSumWF = 0;
double dSumWeightWF = 0;
for (int i = 0; i < LDWFactors.Count; i++)
{
if ((dGES > dLES && LDWFactors[i] > 0) || (dGES < dLES && LDWFactors[i] < 0))
{
dSumWF += LDWFactors[i] * LDSymilarities[i];
dSumWeightWF += LDSymilarities[i];
dTobWF = dSumWF / dSumWeightWF;
}
}
}
return(dTobWF);
}
public double CheckSimilarity(Rates RATE, int position, int deep, int ahead, double[] DAWeightFacotrs) //symilarity must be above 60%
{
string product = RATE.CCY_Pair;
TimeFrame TFrame = TimeFrame.ONE_MINUTE;
int iDecimals = RATE.Decimals;
double dPipValue = Math.Pow(10, -iDecimals);
List <ChartPoint> LCPoints = ARCHIVE.GetDATA(TFrame, product, 0, position);
List <ChartPoint> LCPointsSpecified = ARCHIVE.GetDATA(TFrame, product, position - deep, deep);
List <ChartPoint> LCPointsAll = ARCHIVE.GetDATA(TFrame, product, 0, position + ahead);
List <double> LDSetChange = (from CP in LCPointsAll select Math.Round(CP.Change, iDecimals)).ToList();
List <double> LDSetPeak = (from CP in LCPointsAll select Math.Round(CP.Peak, iDecimals)).ToList();
List <double> LDSetBase = (from CP in LCPointsAll select Math.Round(CP.Base, iDecimals)).ToList();
ChartPointsPredition CPsPrediction = new ChartPointsPredition();
ChartPointsPredition CPsPredictionNow = new ChartPointsPredition();
double dSymilMax = 90;
double dSymilMin = 50;
do
{
double dSymil = (dSymilMax + dSymilMin) / 2;
ChartPointsPredition CPsP = null; // this.PredictNextSpecified(product, LCPoints, LCPointsSpecified, TFrame, iDecimals, dSymil, ahead, DAWeightFacotrs);
if (CPsP.Prognosis(1) != ChartPointsPredition.Kind.Uncertain)
{
CPsPredictionNow = CPsP;
}
if (CPsP.Matches < 10)
{
dSymilMax = dSymil;
}
else
{
dSymilMin = dSymil;
}
if ((dSymilMax - dSymilMin <= 1) || (CPsPredictionNow.Matches >= 10 && CPsPredictionNow.Matches < 50 && CPsPredictionNow.Analised))
{
CPsPrediction = CPsPredictionNow;
break;
}
} while (true);
if (CPsPrediction.Matches == 0)
{
return(0);
}
double dSimChange = this.Compare(LDSetChange, CPsPrediction.LDChange, position);
double dSimPeak = this.Compare(LDSetPeak, CPsPrediction.LDPeak, position);
double dSimBase = this.Compare(LDSetBase, CPsPrediction.LDBase, position);
double dSubSim = (dSimChange * dSimPeak * dSimBase) / (100 * 100);
return(dSubSim);
}
