/// <summary>
/// FetchHistoricalData
/// </summary>
/// <param name="symbol">Financial Instrument Symbol</param>
/// <param name="startDate">Format: YYYY.MM.dd</param>
public static void FetchHistoricalData(DateTime startDate, DateTime endDate, string symbol, string name, string sector)
{
string date = endDate.ToString("yyyy.MM.dd");
JArray dataArray = JArray.Parse(getData(symbol, date));
DateTime controlDate = DateTime.MinValue;
using (InvestmentAnalysisContext context = new InvestmentAnalysisContext())
{
context.Configuration.AutoDetectChangesEnabled = false;
context.Configuration.ValidateOnSaveEnabled = false;
foreach (JToken data in dataArray.Children())
{
controlDate = DateTime.Parse(data[5].Value <String>());
if (!(controlDate > startDate))
{
break;
}
HistoricalDataBlock historicalDataBlock = context.HistoricalDataBlocks.Where(q => q.Symbol.Equals(symbol) && q.RecordDate == controlDate).SingleOrDefault();
if (null == historicalDataBlock)
{
historicalDataBlock = new HistoricalDataBlock();
historicalDataBlock.Symbol = symbol;
historicalDataBlock.Name = name;
historicalDataBlock.Sector = sector;
historicalDataBlock.MinPrice = decimal.Parse(data[1].Value <string>());
historicalDataBlock.MaxPrice = decimal.Parse(data[2].Value <string>());
historicalDataBlock.LastPrice = decimal.Parse(data[3].Value <string>());
historicalDataBlock.Volume = long.Parse(data[4].Value <String>().Remove(data[4].Value <String>().IndexOf(',')).Replace(".", ""));
historicalDataBlock.RecordDate = DateTime.Parse(data[5].Value <String>());
context.Entry(historicalDataBlock).State = System.Data.Entity.EntityState.Added;
}
}
context.SaveChanges();
}
if (controlDate > startDate)
{
FetchHistoricalData(startDate, controlDate, symbol, name, sector);
}
}
private static TotalTransactionInfo GetTotalTransactionInfo(string symbol, HistoricalDataBlock[] historicalDataBlocks, int fasterPeriod, int slowerPeriod, int window = 0)
{
Console.WriteLine("*********************************************");
Console.WriteLine("SYMBOL = {0}, WINDOW = {1}, FASTER_PERIOD = {2}, SLOWER_PERIOD = {3}",
symbol, window, fasterPeriod, slowerPeriod);
//HistoricalDataBlock[] historicalDataBlocks = HelperMethods.GetHistoricalDataBlock(symbol, window);
double[] data = historicalDataBlocks.Select(c => (double)c.LastPrice).ToArray();
double[] emaFaster = ExponentialMovingAverage.Calculate(data, fasterPeriod).Skip(slowerPeriod - fasterPeriod).ToArray();
double[] emaSlower = ExponentialMovingAverage.Calculate(data, slowerPeriod);
//Console.WriteLine("BLOCK_LENGTH = {0}, DATA_LENGTH = {1}, EMA_FASTER_LENGTH = {2}, EMA_SLOWER_LENGTH = {3}",
// historicalDataBlocks.Length, data.Length, emaFaster.Length, emaSlower.Length);
List <PositionInfo> _positionInfoList = new List <PositionInfo>();
string previousSign = string.Empty;
string currentSign = string.Empty;
bool longPosition = false;
bool shortPosition = false;
bool changePosition = false;
string positionChangeInfo = string.Empty;
for (int i = 0; i < emaFaster.Length; i++)
{
if (emaFaster[i] > emaSlower[i])
{
currentSign = "+";
}
else if (emaFaster[i] < emaSlower[i])
{
currentSign = "-";
}
else
{
currentSign = "=";
}
longPosition = ("-".Equals(previousSign) || "=".Equals(previousSign)) && "+".Equals(currentSign);
shortPosition = ("+".Equals(previousSign) || "=".Equals(previousSign)) && "-".Equals(currentSign);
changePosition = longPosition || shortPosition;
HistoricalDataBlock historicalData = historicalDataBlocks[slowerPeriod + i - 1];
positionChangeInfo = string.Empty;
if (changePosition)
{
string type = longPosition ? "LONG" : "SHORT";
positionChangeInfo = "*****" + " # " + historicalData.LastPrice.ToString("F") + " # " + type;
_positionInfoList.Add(new PositionInfo()
{
Type = type, Date = historicalData.RecordDate, Price = (double)historicalData.LastPrice
});
}
//Console.WriteLine(historicalData.RecordDate.ToString("yyyy-MM-dd") + " # "
// + string.Format("{0:F4}", emaFaster[i]) + " # " + string.Format("{0:F4}", emaSlower[i]) + " # "
// + currentSign + " # " + positionChangeInfo);
previousSign = currentSign;
}
//Console.WriteLine("*********************************************");
Console.WriteLine("TOTAL POSITION COUNT: " + _positionInfoList.Count);
double _safe = 0.00;
if (1 == _positionInfoList.Count % 2)
{
_positionInfoList.RemoveAt(_positionInfoList.Count - 1);
}
if (_positionInfoList.Count > 0)
{
double price = 0.00;
for (int i = 0; i < _positionInfoList.Count; i++)
{
//Console.WriteLine(positionInfoList[i].ToString());
price = _positionInfoList[i].Price;
if ("SHORT".Equals(_positionInfoList[i].Type))
{
price = (-1) * price;
}
_safe = _safe + price;
}
Console.WriteLine("TOTAL POSITION PROFIT / LOSS: " + _safe);
}
return(new TotalTransactionInfo {
safe = _safe, positionInfoList = _positionInfoList, ratio = (((_safe) / (_positionInfoList[0].Price * 100)).ToString("F"))
});
//TotalTransactionInfo totalTransactionInfo = new TotalTransactionInfo();
//x.positionInfoList = _positionInfoList;
//x.safe = _safe;
//x.ratio = (((_safe) / (_positionInfoList[0].Price * 100)).ToString("F")) ;
//return _safe;
//Console.WriteLine("*********************************************");
}
