public void BuildFeaturesToStdOut()
{
//Test to see if the connection to the python interpreter is working correctly, not so much the accuracy of the results
string[] labels = new string[]
{
"SMA_20", "ATR_3", "VOLAT_12", "VOL_12", "BB"
};
string[] commands = new string[] { "whole", @"C:\ForexData\TestData\EURUSD_m60_Share_live_test.bin", "200", "SMA(20,close);ATR(3,close,high,low);VOLATILITY_LOG_MA(12,high,low);VOLUME_LOG_MA(12,volume);BBANDS(20,1.8,1,close);" };
string[] results = pb.RunScript("\"G:\\My Drive\\C Sharp Apps\\LinuxLiveTrader\\LinuxLiveTrader\\bin\\Debug\\build_features.py\"", commands);
PreCalculatedFeatures pf = new PreCalculatedFeatures();
pf.FillFromCsv(results, labels);
Assert.IsTrue(EqualityChecks.DoubleNearlyEqual((double)pf.Data[new DateTime(2019, 03, 14, 11, 00, 00)]["ATR_3"], 0.001917, 0.001), "Did not recieve correct information back from python");
}
static void CalculatePythonData(PythonBridge pb, string assetName, int timeframe, int barCount)
{
//do nothing if this timeframe is not listed as required
if (!pythonCalcTimeframes.Contains(timeframe))
{
return;
}
//get the relevant bars (whole lookback period) but not the zero index bar as this is incomplete
Bar[] bars = priceData[assetName][timeframe].Skip(1).ToArray();
//save a temporary binary file to disk for python to read (faster than sending all the data via the stdout
string tempData = @"C:\ForexData\ShareData\" + assetName + "_m" + timeframe + "_Share_live.bin";
DataBuilder.DatasetToBinary(tempData, bars, DataFeedType.Ask);
//Create the python bridge and run the calculation commands
string[] commands = new string[] { "whole", tempData, barCount.ToString(), pythonCalcCommands };
string[] results = pb.RunScript("build_features.py", commands);
PreCalculatedFeatures pcFeatures = new PreCalculatedFeatures();
try
{
pcFeatures.FillFromCsv(results, pythonCalcLabels);
}
catch (Exception e)
{
DisplayError(e.Message);
}
//add this data to the asset if it doesnt exist
if (!assetDetails[assetName].Data.ContainsKey(timeframe))
{
assetDetails[assetName].Data.Add(timeframe, pcFeatures);
}
else
{
//remove the oldest one to save on memory creep
assetDetails[assetName].Data[timeframe].RemoveOldest();
//we just add the data to the current set of data
assetDetails[assetName].Data[timeframe].Merge(pcFeatures);
}
}