/// <summary>
/// Filter out a tick from this vehicle, with this new data:
/// </summary>
/// <param name="data">New data packet:</param>
/// <param name="vehicle">Vehicle of this filter.</param>
public bool Filter(Security asset, BaseData data)
{
// TRUE --> Accept Tick
// FALSE --> Reject Tick
var tick = data as Tick;
// This is a tick bar
if (tick != null)
{
if (tick.Exchange == "P") //MarketCodesFilter.AllowedExchanges.Contains()
{
return true;
}
}
//Only allow those exchanges through.
return false;
}
/********************************************************
* CLASS METHODS
*********************************************************/
/// <summary>
/// Equity filter the data: true - accept, false - fail.
/// </summary>
/// <param name="data">Data class</param>
/// <param name="vehicle">Security asset</param>
public override bool Filter(Security vehicle, BaseData data)
{
// Filter disabled. Suggested filter below:
return true;
//Assuming this isnt the first packet:
if (data == null) return true;
//Use running/online techniques to calculate the standard deviation:
double stddev = OnlineStandardDeviation(Convert.ToDouble(data.Value));
if (_queue.Count < 2)
{
return true;
}
double deltaFromMean = (Convert.ToDouble(data.Value) - _mean);
double stddevFromMean = deltaFromMean / stddev;
//How many standard deviations from normal are we? less than 3.5 is OK. > 3.5 is probably an error.
if (Math.Abs(stddevFromMean) > _acceptableDeviations)
{
var queueCopy = _queue.ToList();
var testDev = MathNet.Numerics.Statistics.StreamingStatistics.StandardDeviation(queueCopy);
Console.WriteLine("STANDARD DEVIATION: Online: " + stddev + " Reference: " + testDev);
//FAIL PACKET:
return false;
}
else
{
//ACCEPT PACKET:
return true;
}
}
/// <summary>
/// Reset as many of the Cache's as possible.
/// </summary>
public virtual void Reset() {
//Data Cache
_lastData = null; //Tick or TradeBar
//Order Cache:
OrderCache = new List<Order>();
}
/********************************************************
* CLASS METHODS
*********************************************************/
/// <summary>
/// Add a list of new MarketData samples to the cache
/// </summary>
public virtual void AddData(BaseData data)
{
//Record as Last Added Packet:
if (data != null) _lastData = data;
}
/// <summary>
/// Update the Market Online Calculations:
/// </summary>
/// <param name="data">New Data packet:</param>
/// <param name="frontier">time frontier / where we are in time.</param>
public void Update(DateTime frontier, BaseData data)
{
//Update the Exchange/Timer:
Exchange.SetDateTimeFrontier(frontier);
//Add new point to cache:
if (data != null)
{
Cache.AddData(data);
Holdings.UpdatePrice(data.Value);
}
}
/// <summary>
/// Reset as many of the Cache's as possible.
/// </summary>
public virtual void Reset()
{
//Data Cache
_lastData = null; //Tick or TradeBar
}
/********************************************************
* CLASS METHODS
*********************************************************/
/// <summary>
/// Filter the data: true - accept, false - fail.
/// </summary>
/// <param name="data">Data class</param>
/// <param name="vehicle">Security asset</param>
public virtual bool Filter(Security vehicle, BaseData data)
{
return true;
}
/********************************************************
* CLASS METHODS
*********************************************************/
/// <summary>
/// Equity filter the data: true - accept, false - fail.
/// </summary>
/// <param name="data">Data class</param>
/// <param name="vehicle">Security asset</param>
public override bool Filter(Security vehicle, BaseData data)
{
//FX data is from FXCM and fairly clean already.
return true;
}