private void AddTicks(int period, string pair, DateTime dateStart)
{
try {
using (var context = new ForexEntities()
{
CommandTimeout = 6000
}) {
#region callback
Action <FXCoreWrapper.RateLoadingCallbackArgs <Rate> > showProgress = (args) => {
TestContext.WriteLine("{0}", args.Message);
foreach (var t in args.NewRates)
{
var bar = context.CreateObject <t_Bar>();
FillBar(period, pair, bar, t);
context.t_Bar.AddObject(bar);
}
context.SaveChanges(System.Data.Objects.SaveOptions.AcceptAllChangesAfterSave);
};
#endregion
var dateEnd = context.t_Bar.Where(b => b.Pair == pair && b.Period == period).Select(b => b.StartDate).DefaultIfEmpty(DateTime.Now).Min().DateTime;
o2g.GetBarsBase(pair, period, 0, dateStart, dateEnd, new List <Rate>(), showProgress);
dateStart = context.t_Bar.Where(b => b.Pair == pair && b.Period == period).Select(b => b.StartDate).DefaultIfEmpty(DateTime.Now).Max().DateTime;
o2g.GetBarsBase(pair, period, 0, dateStart, DateTime.Now, new List <Rate>(), showProgress);
}
} catch (Exception exc) {
Debug.WriteLine(exc.ToString());
}
}
//[TestMethod]
public void ShowDensities()
{
var pair = "EUR/JPY";
var rates = new List <Rate>();
o2g.GetBars(pair, 1, 720, TradesManagerStatic.FX_DATE_NOW, TradesManagerStatic.FX_DATE_NOW, rates);
var densities = "".Select(b => new { Rate = new Rate(), Density = 0.0 }).ToList();
Func <double, double> inPips = d => o2g.InPips(pair, d);
foreach (var i in Enumerable.Range(10, rates.Count - 10))
{
densities.Add(new{ Rate = rates[i], Density = inPips(i / rates.Take(i).ToArray().Height()) });
}
var statName = "Densities";
using (var context = new ForexEntities()) {
var a = typeof(t_Stat).GetCustomAttributes(typeof(EdmEntityTypeAttribute), true).Cast <EdmEntityTypeAttribute>();
context.ExecuteStoreCommand("DELETE " + a.First().Name + " WHERE Name={0}", statName);
foreach (var d in densities)
{
context.t_Stat.AddObject(new t_Stat()
{
Time = d.Rate.StartDate, Price = d.Rate.PriceAvg, Value1 = d.Density, Name = statName
});
}
context.SaveChanges();
context.AcceptAllChanges();
}
}
public static void SaveTickCallBack(int period, string pair, Action <object> progressCallback, ActionBlock <Action> saveTickActionBlock, RateLoadingCallbackArgs <Rate> args)
{
if (progressCallback != null)
{
progressCallback(args.Message);
}
else
{
Debug.WriteLine("{0}", args.Message);
}
var context = new ForexEntities();
//context.Configuration.AutoDetectChangesEnabled = false;
context.Configuration.ValidateOnSaveEnabled = false;
Action a = () =>
args.NewRates.Distinct().Do(t => {
context.t_Bar.Add(FillBar(period, pair, context.t_Bar.Create(), t));
}).TakeLast(1)
.ForEach(_ => {
try {
context.SaveConcurrent();
} catch (Exception exc) {
progressCallback?.Invoke(exc);
}
context.Dispose();
args.NewRates.Clear();
});
a();
//saveTickActionBlock.Post(a);
}
static ForexEntities ForexEntitiesFactory()
{
var fe = new ForexEntities();
SetTimeout(fe, 60 * 1);
return(fe);
}
private void SavePair(int period, string pair)
{
using (var context = new ForexEntities()
{
CommandTimeout = 6000
}) {
var dateStart = context.t_Bar
.Where(b => b.Pair == pair && b.Period == period).Select(b => b.StartDate).DefaultIfEmpty(DateTime.Now.AddYears(-3))
.Max().AddMinutes(period);
Action <string> showProgress = msg => { };// Console.WriteLine(msg);
var ticks = new List <Rate>();
o2g.GetBarsBase(pair, period, 0, dateStart.DateTime, TradesManagerStatic.FX_DATE_NOW, ticks);
if (ticks.Count() == 0)
{
return;
}
var lastDate = ticks.Min(t => t.StartDate);
var a = typeof(t_Bar).GetCustomAttributes(typeof(EdmEntityTypeAttribute), true).Cast <EdmEntityTypeAttribute>();
context.ExecuteStoreCommand("DELETE " + a.First().Name + " WHERE Pair = {2} AND Period = {1} AND StartDate>={0}", lastDate, period, pair);
var i = 0;
foreach (var t in ticks.Distinct().OrderBars())
{
var bar = context.CreateObject <t_Bar>();
bar.Pair = pair;
bar.Period = period;
bar.StartDate = t.StartDate;
bar.AskHigh = (float)t.AskHigh;
bar.AskLow = (float)t.AskLow;
bar.AskOpen = (float)t.AskOpen;
bar.AskClose = (float)t.AskClose;
bar.BidHigh = (float)t.BidHigh;
bar.BidLow = (float)t.BidLow;
bar.BidOpen = (float)t.BidOpen;
bar.BidClose = (float)t.BidClose;
context.t_Bar.AddObject(bar);
if (i++ % 1000 == 0)
{
try {
context.SaveChanges(System.Data.Objects.SaveOptions.AcceptAllChangesAfterSave);
context.AcceptAllChanges();
} catch (Exception exc) {
Debug.WriteLine(exc);
Debugger.Break();
}
}
}
try {
context.SaveChanges(System.Data.Objects.SaveOptions.AcceptAllChangesAfterSave);
context.AcceptAllChanges();
} catch (Exception exc) {
Debug.WriteLine(exc);
Debugger.Break();
}
}
}
public void MinuteRsi()
{
if (fw.Pair == "")
{
return;
}
var minutesBack = Period * PeriodsBack;
lock (rates) {
if (resetRates)
{
rates.Clear();
resetRates = false;
}
ClearLog();
AddLog("Rates.");
fw.GetBars(fw.Pair, 1, 0, DateTime.Now.AddMinutes(-minutesBack), DateTime.FromOADate(0), rates);
AddLog("RSI.");
rates.ToArray().Rsi((Period * RsiPeriods).ToInt(), true);
var rsiStats = rates.RsiStats();
var ratesToChart = rates.Where(t => t.PriceRsi.GetValueOrDefault(50) != 50).ToList();
if (NoGaps)
{
var i = 0;
var startDate2 = ratesToChart.Max(r => r.StartDate2);
ratesToChart.OrderBarsDescending().Skip(1).ToList().ForEach(r => r.StartDate2 = startDate2.AddMinutes(-(++i)));
}
var rsi = ratesToChart.Select(t => new Volt()
{
Volts = t.PriceRsi.GetValueOrDefault(), StartDate = t.StartDate
}).ToList();
AddLog("Chart.");
//new HedgeHog.Schedulers.Scheduler(charter.Dispatcher).Command = () =>
// charter.AddTicks(null, ratesToChart, rsi, rsiStats.Sell, rsiStats.Buy, rsiStats.SellAverage, rsiStats.BuyAverage, 0, 0, DateTime.MinValue, DateTime.MinValue, new double[0]);
AddLog("Done.");
return;
var statName = "MinuteRsi";
var context = new ForexEntities();
var a = typeof(t_Stat).GetCustomAttributes(typeof(EdmEntityTypeAttribute), true).Cast <EdmEntityTypeAttribute>();
context.ExecuteStoreCommand("DELETE " + a.First().Name + " WHERE Name={0}", statName);
var stats = context.t_Stat;
ratesToChart.ForEach(t =>
stats.AddObject(new t_Stat()
{
Time = t.StartDate, Name = statName, Price = t.PriceAvg,
Value1 = 0,
Value2 = 0,
Value3 = t.PriceRsi.Value
}));
context.SaveChanges();
}
}
//[Timeout(TestTimeout.Infinite)]
public void LoadBars()
{
var pairsAvl = o2g.CoreFX.Instruments;
var pairs = new ForexEntities().v_Pair.Select(p => p.Pair).ToArray();
foreach (var minutes in new [] { 5, 15, 30, 60 })
{
foreach (var pair in pairs)
{
o2g.Desk.SetOfferSubscription(pair, "Enabled");
AddTicks(minutes, pair, DateTime.Now.AddYears(-4));
}
}
//SavePair(5, pair);
//SavePair(15, pair);
//SavePair(60, pair);
}
//[MethodImpl(MethodImplOptions.Synchronized)]
public static void AddTicks(ITradesManager fw, int period, string pair, DateTime dateStart, Action <object> progressCallback)
{
try {
#region callback
ActionBlock <Action> saveTickActionBlock = new ActionBlock <Action>(a => a());
Action <RateLoadingCallbackArgs <Rate> > showProgress = (args) => {
SaveTickCallBack(period, pair, progressCallback, saveTickActionBlock, args);
args.IsProcessed = true;
};
#endregion
var offset = TimeSpan.FromMinutes(period);
using (var context = new ForexEntities()) {
if (dateStart > DateTime.MinValue)
{
var dateMin = new DateTime(context.t_Bar.Where(b => b.Pair == pair && b.Period == period).Min(b => (DateTimeOffset?)b.StartDate).GetValueOrDefault().DateTime.Ticks, DateTimeKind.Utc);
if (dateMin.IsMin())
{
dateMin = DateTime.Now;
}
var dateEnd = dateMin.Subtract(offset);
if (dateStart < dateMin)
{
fw.GetBarsBase(pair, period, 0, dateStart, dateEnd, new List <Rate>(), null, showProgress);
}
}
var q = context.t_Bar.Where(b => b.Pair == pair && b.Period == period).Select(b => b.StartDate).DefaultIfEmpty().Max();
if (dateStart == DateTime.MinValue && q == DateTimeOffset.MinValue)
{
throw new Exception("dateStart must be provided there is no bars in database.");
}
var p = period == 0 ? 1 / 60.0 : period;
dateStart = q.LocalDateTime.Add(p.FromMinutes());
}
if (period == 0)
{
dateStart = dateStart.Max(DateTime.Now.AddYears(-1));
}
fw.GetBarsBase(pair, period, 0, dateStart, DateTime.Now, new List <Rate>(), null, showProgress);
} catch (Exception exc) {
GalaSoft.MvvmLight.Messaging.Messenger.Default.Send <LogMessage>(new LogMessage(exc));
}
}
public static void SaveTickCallBack(int period, string pair, Action <object> progressCallback, ActionBlock <Action> saveTickActionBlock, RateLoadingCallbackArgs <Rate> args)
{
if (progressCallback != null)
{
progressCallback(args.Message);
}
else
{
Debug.WriteLine("{0}", args.Message);
}
var context = new ForexEntities();
//context.Configuration.AutoDetectChangesEnabled = false;
context.Configuration.ValidateOnSaveEnabled = false;
Action a = () =>
args.NewRates.Distinct(r => r.StartDate2).Do(t => {
context.t_Bar.Add(FillBar(period, pair, context.t_Bar.Create(), t));
}).TakeLast(1)
.ForEach(_ => {
try {
context.SaveConcurrent();
}
catch (System.Data.Entity.Infrastructure.DbUpdateException exc) when(exc.InnerException is System.Data.Entity.Core.UpdateException)
{
// get failed entries
var entries = exc.Entries;
foreach (var entry in entries)
{
// change state to remove it from context
entry.State = System.Data.Entity.EntityState.Detached;
}
progressCallback?.Invoke(exc);
}
context.Dispose();
args.NewRates.Clear();
});
a();
//saveTickActionBlock.Post(a);
}
public void MunuteRsi()
{
var minutesBack = 60 * 24 * 2;
var rates = o2g.GetBarsBase(o2g.Pair, 1, DateTime.Now.AddMinutes(-minutesBack)).ToArray();
rates.FillRsis((minutesBack * 0.5).ToInt());
var statName = "MinuteRsi";
var context = new ForexEntities();
var a = typeof(t_Stat).GetCustomAttributes(typeof(EdmEntityTypeAttribute), true).Cast <EdmEntityTypeAttribute>();
context.ExecuteStoreCommand("DELETE " + a.First().Name + " WHERE Name={0}", statName);
var stats = context.t_Stat;
rates.Where(t => t.PriceRsi.GetValueOrDefault(50) != 50).ToList().ForEach(t =>
stats.AddObject(new t_Stat()
{
Time = t.StartDate, Name = statName, Price = t.PriceAvg,
Value1 = 0,
Value2 = 0,
Value3 = t.PriceRsi.Value
}));
context.SaveChanges();
}
public void Waves1()
{
var statName = System.Reflection.MethodBase.GetCurrentMethod().Name;
var dateStart = DateTime.Parse("07/20/2009 12:00");
var dateEnd = dateStart.AddHours(0.5);
var context = new ForexEntities();
var a = typeof(t_Stat).GetCustomAttributes(typeof(EdmEntityTypeAttribute), true).Cast <EdmEntityTypeAttribute>();
context.ExecuteStoreCommand("DELETE " + a.First().Name + " WHERE Name={0}", statName);
var ticks = o2g.GetTicks(o2g.Pair, 12000);
var t1 = o2g.GetTicks(o2g.Pair, 900);
ticks = ticks.Union(t1).OrderBars().ToArray();
ticks.ToList().ForEach(t => t.StartDate = t.StartDate.AddMilliseconds(-t.StartDate.Millisecond));
var rates = ticks.Cast <Rate>().OrderBars().ToArray();
Stopwatch timer = Stopwatch.StartNew();
foreach (var tick in rates.OrderBarsDescending())
{
tick.Trend.Volume = rates.Where(TimeSpan.FromMinutes(1), tick).Count();
}
Debug.WriteLine("Volumes:" + timer.Elapsed);
var rsiTicks = 250;
var rsiPeriod = TimeSpan.FromMinutes(14);
timer = Stopwatch.StartNew();
rates.FillRsis(rsiTicks);
Debug.WriteLine("FillRsi 1:" + timer.Elapsed);
timer = Stopwatch.StartNew();
rates.Rsi(rsiTicks, (r, v) => r.PriceAvg1 = (double)v, r => r.PriceAvg1);
Debug.WriteLine("FillRsi 2:" + timer.Elapsed);
timer = Stopwatch.StartNew();
var rsiStats = rates.RsiStats();
Debug.WriteLine("RsiStats:" + timer.Elapsed + " " + string.Format("{0:n0}/{1:n0}", rsiStats.Sell, rsiStats.Buy));
timer = Stopwatch.StartNew();
rates.SkipWhile(t => !t.PriceRsi.HasValue).ToArray().SetCMA(t => t.PriceRsi.GetValueOrDefault(), 2);
Debug.WriteLine("CMA:" + timer.Elapsed);
//var ticks = context.v_Tick.Where(t => t.StartDate >= dateStart && t.StartDate <= dateEnd)
// .ToArray().Select((t, i) =>
// new Tick(t.StartDate, t.Ask, t.Bid, i, true) { Trend = new BarBase.TrendInfo() { Volume = t.Count.Value } }).ToArray();
var stats = context.t_Stat;
rates.Where(t => t.PriceRsi.HasValue && !double.IsNaN(t.PriceRsi.Value)).ToList().ForEach(t =>
stats.AddObject(new t_Stat()
{
Time = t.StartDate, Name = statName, Price = t.PriceAvg
, Value1 = t.PriceAvg1
, Value2 = 0
,
Value3 = t.PriceRsi.Value
}));
context.SaveChanges();
//timer = Stopwatch.StartNew();
//var waves = ticks.FindWaves(3);
//Debug.WriteLine("FindWaves(3):"+timer.Elapsed);
//waves.ToList().ForEach(w => Debug.WriteLine(w));
}
