public void Basics()
{
const string sym = "TST";
const int d = 20080509;
const int t = 935;
const string x = "NYSE";
Tick[] ticklist = new Tick[] {
Tick.NewTrade(sym,d,t,0,10,100,x),
Tick.NewTrade(sym,d,t+1,0,10,100,x),
Tick.NewTrade(sym,d,t+2,0,10,100,x),
Tick.NewTrade(sym,d,t+3,0,10,100,x),
Tick.NewTrade(sym,d,t+4,0,15,100,x), // blade up
Tick.NewTrade(sym,d,t+5,0,16,100,x), // new bar (blades reset)
Tick.NewTrade(sym,d,t+6,0,16,100,x),
Tick.NewTrade(sym,d,t+7,0,10,100,x), // blade down
Tick.NewTrade(sym,d,t+7,10,10,100,x), // still a blade down (same bar)
Tick.NewTrade(sym,d,t+8,0,15,100,x),
Tick.NewTrade(sym,d,t+15,0,15,800,x), // volume spike
Tick.NewTrade(sym,d,t+20,0,15,100,x),
Tick.NewTrade(sym,d,t+25,0,15,100,x),
};
BarList bl = new BarList(BarInterval.FiveMin,sym);
Blade b = new Blade();
Assert.That(b.BladePercentage != 0);
b = new Blade(.2m); // 20 percent move is a blade
int up=0,down=0,newbar=0,bigvol=0;
foreach (Tick k in ticklist)
{
bl.AddTick(k);
b.newBar(bl);
if (bl.NewBar) newbar++;
if (b.isBladeUP) up++;
if (b.isBladeDOWN) down++;
if (b.isBigVolume) bigvol++;
}
Assert.That(up == 1,up.ToString());
Assert.That(down == 2,down.ToString());
Assert.That(newbar == 5,newbar.ToString());
Assert.That(bigvol == 1,bigvol.ToString());
}
public int Test(List<FileInfo> tf)
{
show("Starting run "+name+" containing "+ tf.Count + " symbols."+Environment.NewLine);
int totfills = 0;
int totalticks = approxticks(tf);
for (int i = 1; i <= tf.Count; i++) // loop through the list
{
FileInfo f = tf[i-1];
Match m = Regex.Match(f.Name, "([0-9]+)", RegexOptions.IgnoreCase);
int date = Convert.ToInt32(m.Result("$1"));
LoadIndexFiles(date);
TickFile(f.Name); // set current file
if (f.Length == 0) continue; // ignore if tick file is empty
show(Environment.NewLine);
show("Symbol " + this.symbol + " (" + i + " of " + tf.Count + ") ");
// reset per-symbol statistics
if (mybox!=null) mybox.Reset();
bl = new BarList((BarInterval)bint, symbol);
int fills = 0;
tick = new eSigTick(); // reset our tick
int itime = 0;
BoxInfo bi = new BoxInfo();
while (this.getTick() && tick.hasTick)
{ // process the ticks
line++;
if ((line % 5000) == 0) show(".");
if (((itime==0) || (itime!=tick.time)))
{
// load all the indicies for this time
List<Index> itix = FetchIdx(tick.time);
itime = tick.time;
// send them to the box (before we send the tix)
for (int id = 0; id < itix.Count; id++)
mybox.NewIndex(itix[id]);
}
if ((this.exfilter != "") &&
((!tick.isTrade && (!tick.be.Contains(exfilter) || !tick.oe.Contains(exfilter))) ||
(tick.isTrade && tick.ex.Contains(exfilter)))) continue;
if ((bi.Open == 0) && tick.isTrade)
bi.Open = tick.trade;
if (tick.trade > bi.High) bi.High = tick.trade;
if (tick.trade < bi.Low) bi.Low = tick.trade;
bl.AddTick(tick); // save our tick to a bar
if (bl.Has(2) && bl.Get(bl.Last-1).DayEnd)
{ // we hit a new day in the same file, reset day stuff and set our DayEndTime
bl.Reset();
bl.AddTick(tick); // put our tick back
if (mybox!=null) mybox.Reset();
SetDayClose(); // this has to be run after mybox.Reset!!!
}
// execute any pending orders on this tick
if (mybroker.GetOrderList().Count>0) fills += mybroker.Execute(tick);
// trade box on this tick, if he generates any orders then send them
if (mybox != null)
{
mybroker.sendOrder(
mybox.Trade(tick, bl, mybroker.GetOpenPosition(this.symbol), bi));
// quit early if box shuts itself off and no pending orders
if (mybox.Off && (mybroker.GetOrderList().Count == 0)) break;
}
if (this.delay != 0)
{
System.Threading.Thread.Sleep(this.delay);
System.Threading.Thread.CurrentThread.Priority = System.Threading.ThreadPriority.Lowest;
}
this.ReportProgress((int)((100*line) / totalticks));
}
show(fills+" executions.");
totfills += fills;
this.cf.Close();
}
show(Environment.NewLine);
show(name+" complete: "+tf.Count+" symbols, "+ totfills + " executions."+Environment.NewLine);
return totfills;
}
/// <summary>
/// Build a barlist using an IDX (index) file as a source.
/// </summary>
/// <param name="filename">The filename.</param>
/// <returns></returns>
public static BarList FromIDX(string filename)
{
System.IO.StreamReader sr = new System.IO.StreamReader(filename);
Index i = Index.Deserialize(sr.ReadLine());
BarList b = new BarList(BarInterval.FiveMin, i.Name);
b.AddTick(i.ToTick());
while (!sr.EndOfStream)
b.AddTick(Index.Deserialize(sr.ReadLine()).ToTick());
return b;
}
/// <summary>
/// Build a barlist using an EPF file as the source
/// </summary>
/// <param name="filename">The filename.</param>
/// <returns></returns>
public static BarList FromEPF(string filename)
{
System.IO.StreamReader sr = new System.IO.StreamReader(filename);
Stock s = eSigTick.InitEpf(sr);
BarList b = new BarList(BarInterval.FiveMin, s.Symbol);
while (!sr.EndOfStream)
b.AddTick(eSigTick.FromStream(s.Symbol,sr));
return b;
}
public void BollingerBarlisttest()
{
string symbol = "TST";
BarList bl = new BarList(BarInterval.Minute, symbol);
Bollinger bbb = new Bollinger(2, BarInterval.Minute, 10);
foreach (Tick t in ticklist)
{
bl.AddTick(t);
bbb.newBar(bl);
}
Assert.That(bbb.Mean == 3, bbb.Mean.ToString());
Assert.That(bbb.Devavg == 2, bbb.Devavg.ToString());
Assert.That(bbb.Sd == 1.4142135623730950488016887242097, bbb.Sd.ToString());
Assert.That(bbb.Upperband == 5.8284271247462M, bbb.Upperband.ToString());
}
public void BollingerBarlisttestlookbacks()
{
string symbol = "TST";
BarList bl = new BarList(BarInterval.Minute, symbol);
Bollinger bbb = new Bollinger(2, BarInterval.Minute, 4);
foreach (Tick t in ticklist)
{
bl.AddTick(t);
bbb.newBar(bl);
}
Assert.That(bbb.Mean == 3.5M, bbb.Mean.ToString());
Assert.That(bbb.Devavg == 1.25M, bbb.Devavg.ToString());
Assert.That(bbb.Sd == 1.1180339887498948482045868343656, bbb.Sd.ToString());
Assert.That(bbb.Upperband == 5.73606797749978M, bbb.Upperband.ToString());
Assert.That(bbb.Lowerband == 1.26393202250022M, bbb.Lowerband.ToString());
}
