private void btnCreateSimulatedData_Click(object sender, RoutedEventArgs e)
{
var wnd = new wndCreateSimulatedData();
var res = wnd.ShowDialog();
if (!res.HasValue || !res.Value)
{
return;
}
if (HistoricalData.Any(p => p.Symbol.Equals(wnd.Symbol) && p.DataFeed.Equals(wnd.DataFeed) &&
p.Periodicity == wnd.Periodicity && p.Interval == wnd.Interval))
{
MessageBox.Show("Historical data with same parameters already loaded",
"Info", MessageBoxButton.OK, MessageBoxImage.Information);
return;
}
var data = GlobalHelper.CreateSimulated(new SimulatedDataParameters
{
Symbol = wnd.Symbol,
SecurityId = wnd.SecurityID,
DataFeed = wnd.DataFeed,
Periodicity = wnd.Periodicity,
Interval = wnd.Interval,
BarsCount = wnd.BarsCount,
TicksCount = wnd.TicksCount,
MarketLevels = wnd.MarketLevels,
PriceMax = wnd.PriceMax,
PriceMin = wnd.PriceMin,
Slot = wnd.Slot
});
////optional
//var questionResult = MessageBox.Show("Save simulated data to CSV file?", "Question",
// MessageBoxButton.YesNoCancel, MessageBoxImage.Question);
//if (questionResult == MessageBoxResult.Yes)
//{
// var saveFileDialog = new SaveFileDialog();
// saveFileDialog.Filter = "CSV Files|*.csv";
// saveFileDialog.FilterIndex = 1;
// saveFileDialog.RestoreDirectory = true;
// saveFileDialog.FileName = data.ToString().Replace('/', '-');
// if (saveFileDialog.ShowDialog().Value)
// {
// using (var writer = File.CreateText(saveFileDialog.FileName))
// writer.Write(GlobalHelper.CreateCSV(data));
// }
//}
HistoricalData.Add(data);
}
public override Task <bool?> ShouldBuyStock(StockInput newData)
{
HistoricalData.Add(newData);
var modelBuilder = new ModelBuilder(_config);
var model = modelBuilder.BuildModel(HistoricalData.Select(x => new ModelInput
{
PriceDiffrence = (float)((x.ClosingPrice - HistoricalData.Last().ClosingPrice) / HistoricalData.Last().ClosingPrice),
Time = x.Time
}).ToList());
var result = model.Predict();
return(Task.FromResult((bool?)(result.ForecastedPriceDiffrence[0] > 0)));
}
public override Task <bool?> ShouldBuyStock(StockInput newData)
{
HistoricalData.Add(newData);
if (HistoricalData.Count > 20)
{
HistoricalData = HistoricalData.OrderByDescending(x => x.Time).Take(20).ToList();
var avg = HistoricalData.Select(x => x.ClosingPrice).Average();
var diff = avg - newData.ClosingPrice;
return(Task.FromResult <bool?>(diff >= 0));
}
else
{
Console.WriteLine($"Waiting on more data for {GetType().Name}.");
return(Task.FromResult <bool?>(null));
}
}
private void btnLoadFile_Click(object sender, RoutedEventArgs e)
{
var openFileDialog = new OpenFileDialog();
openFileDialog.Filter = "CSV Files|*.csv|Text Files|*.txt";
var dialogResult = openFileDialog.ShowDialog();
if (!dialogResult.HasValue || !dialogResult.Value)
{
return;
}
var fileName = openFileDialog.FileName;
if (String.IsNullOrEmpty(fileName))
{
return;
}
var result = GlobalHelper.LoadDataFromCSV(fileName);
if (result == null)
{
MessageBox.Show("Failed to load data from file " + fileName,
"Error", MessageBoxButton.OK, MessageBoxImage.Error);
}
else
{
if (HistoricalData.Any(p => p.Symbol.Equals(result.Symbol) && p.DataFeed.Equals(result.DataFeed) &&
p.Periodicity == result.Periodicity && p.Interval == result.Interval))
{
MessageBox.Show("Historical data with same parameters already loaded",
"Info", MessageBoxButton.OK, MessageBoxImage.Information);
return;
}
HistoricalData.Add(result);
}
}
public override Task <bool?> ShouldBuyStock(StockInput newData)
{
HistoricalData.Add(newData);
HistoricalData = HistoricalData.OrderByDescending(x => x.Time).Take(3).ToList();
var last3Values = HistoricalData.Select(x => x.ClosingPrice).ToList();
//Default to hold
var result = (bool?)null;
if (last3Values.Count >= 3 && last3Values[0] > last3Values[1] && last3Values[1] > last3Values[2])
{
//Buy if we have 2 mins of increase
result = true;
}
else if (last3Values.Count >= 3 && (last3Values[0] < last3Values[1] || last3Values[1] < last3Values[2]))
{
//Sell if any decrease in price
result = false;
}
return(Task.FromResult(result));
}
public override void ProcessResponse(Session session, Message message, bool isPartialResponse, Action <Session, Message, Exception> onFailure)
{
IObserver <HistoricalDataResponse> observer;
if (!TryGet(message.CorrelationID, out observer))
{
onFailure(session, message, new Exception("Unable to find handler for correlation id: " + message.CorrelationID));
return;
}
if (message.HasElement(ElementNames.ResponseError))
{
var responseErrorElement = message.GetElement(ElementNames.ResponseError);
var error = new ResponseError(
responseErrorElement.GetElementAsString(ElementNames.Source),
responseErrorElement.GetElementAsString(ElementNames.Category),
responseErrorElement.GetElementAsString(ElementNames.SubCategory),
responseErrorElement.GetElementAsInt32(ElementNames.Code),
responseErrorElement.GetElementAsString(ElementNames.Message));
observer.OnError(new ContentException <ResponseError>(error));
// We assume that no more messages will be sent on this correlation id.
Remove(message.CorrelationID);
return;
}
var historicalDataResponse = new HistoricalDataResponse();
var securityDataArrayElement = message.GetElement(ElementNames.SecurityData);
for (var securityIndex = 0; securityIndex < securityDataArrayElement.NumValues; ++securityIndex)
{
var securityDataElement = securityDataArrayElement.GetElement(securityIndex);
var ticker = securityDataElement.GetValueAsString();
if (securityDataArrayElement.HasElement(ElementNames.SecurityError))
{
var securityErrorElement = securityDataArrayElement.GetElement(ElementNames.SecurityError);
var responseError = new ResponseError(
securityErrorElement.GetElementAsString(ElementNames.Source),
securityErrorElement.GetElementAsString(ElementNames.Category),
securityErrorElement.GetElementAsString(ElementNames.SubCategory),
securityErrorElement.GetElementAsInt32(ElementNames.Code),
securityErrorElement.GetElementAsString(ElementNames.Message));
historicalDataResponse.Add(ticker, Either.Left <ResponseError, HistoricalData>(responseError));
continue;
}
var historicalData = new HistoricalData();
var fieldDataArrayElement = securityDataArrayElement.GetElement(ElementNames.FieldData);
for (var fieldDataIndex = 0; fieldDataIndex < fieldDataArrayElement.NumValues; ++fieldDataIndex)
{
var data = new Dictionary <string, object>();
var fieldDataElement = fieldDataArrayElement.GetValueAsElement(fieldDataIndex);
for (var i = 0; i < fieldDataElement.NumElements; ++i)
{
var fieldElement = fieldDataElement.GetElement(i);
var name = fieldElement.Name.ToString();
var value = fieldElement.GetFieldValue();
if (data.ContainsKey(name))
{
data[name] = value;
}
else
{
data.Add(name, value);
}
}
if (data.ContainsKey("date"))
{
var date = (DateTime)data["date"];
data.Remove("date");
historicalData.Add(new KeyValuePair <DateTime, IDictionary <string, object> >(date, data));
}
}
historicalDataResponse.Add(ticker, Either.Right <ResponseError, HistoricalData>(historicalData));
}
observer.OnNext(historicalDataResponse);
if (!isPartialResponse)
{
observer.OnCompleted();
Remove(message.CorrelationID);
}
}