public BackTestWorker(IBaseData baseData, string stockId, Action <string> writeToLogAction, Action <Exception> writeToErrorLogAction, bool alwaysRun = true)
: base(baseData)
{
_baseData = baseData;
_stockId = stockId;
_startDate = baseData.CurrentTime;
_endDate = DateTime.Now;
_writeToLogAction = writeToLogAction;
_writeToErrorLogAction = writeToErrorLogAction;
// create StorageSpace
_storage = new CurrentPriceStorage();
// create Turtle Database
_turtleDbOperations = new TurtleDatabaseOperations(baseData.SystemConfig.SystemInfo.ProductionTurtleDBConnectionString);
_memoryDbOperations = new MemoryDatabaseOperations();
_prepareMemoryDbTask = Task.Run(() => PrepareMemoryDatabaseAsync());
//
_stockPriceNotificationChecker = BaseData.CreateStockPriceNotificationChecker();
// create EmailService and EmailTemplateProvider
_logger = BaseData.GetLogger();
_notificationService = new BackTestNotificationService(_logger);
_notificationTemplateProvider = new BackTestNotificationTemplateProvider();
}
/// <summary>
/// Event invocator for the DataConsolidated event. This should be invoked
/// by derived classes when they have consolidated a new piece of data.
/// </summary>
/// <param name="consolidated">The newly consolidated data</param>
protected void OnDataConsolidated(RenkoBar consolidated)
{
DataConsolidated?.Invoke(this, consolidated);
_currentBar = consolidated;
_dataConsolidatedHandler?.Invoke(this, consolidated);
Consolidated = consolidated;
}
/// <summary>
/// Invoked for each piece of data from the source file
/// </summary>
/// <param name="data">The data to be processed</param>
public void Process(IBaseData data)
{
if (_predicate(data))
{
_processor.Process(data);
}
}
/// <summary>
/// Converts the specified base data instance into a lean data file csv line.
/// This method takes into account the fake that base data instances typically
/// are time stamped in the exchange time zone, but need to be written to disk
/// in the data time zone.
/// </summary>
public static string GenerateLine(IBaseData data, Resolution resolution, DateTimeZone exchangeTimeZone, DateTimeZone dataTimeZone)
{
var clone = data.Clone();
clone.Time = data.Time.ConvertTo(exchangeTimeZone, dataTimeZone);
return(GenerateLine(clone, clone.Symbol.ID.SecurityType, resolution));
}
/// <summary>
/// 用于图像处理后并显示图像
/// </summary>
/// <param name="objCfg">图像处理参数配置对象</param>
/// <param name="objIBaseData">图像数据对象</param>
public void ShowImageProcess(IImageProcessConfig objCfg, IBaseData objIBaseData)
{
//检查图像是否改变并更新Buffer
__UpdateBufferSize(objIBaseData);
if (null != objIBaseData)
{
if (GX_FRAME_STATUS_LIST.GX_FRAME_STATUS_SUCCESS == objIBaseData.GetStatus())
{
if (m_bIsColor)
{
IntPtr pBufferColor = objIBaseData.ImageProcess(objCfg);
Marshal.Copy(pBufferColor, m_byColorBuffer, 0, __GetStride(m_nWidth, m_bIsColor) * m_nHeigh);
__ShowImage(m_byColorBuffer);
}
else
{
IntPtr pBufferMono = objIBaseData.ImageProcess(objCfg);
Marshal.Copy(pBufferMono, m_byMonoBuffer, 0, __GetStride(m_nWidth, m_bIsColor) * m_nHeigh);
__ShowImage(m_byMonoBuffer);
}
}
}
}
//ctor
public Company
(
IBaseData <ICronTask> cronTaskData,
IBaseData <IEmail> emailData,
IBaseData <IEmailSetting> emailSettingData,
IBaseData <ISegment> segmentData,
IBaseData <ISource> sourceData,
IBaseData <IUser> userData,
IBaseData <IUserIdentifier> userIdentifierData,
IBaseData <IUserIdentifierType> userIdentifierTypeData,
IBaseData <IUserType> userTypeData,
IUserIdentifierDlcData userIdentifierDataDlc
)
{
_cronTaskData = cronTaskData;
_emailData = emailData;
_emailSettingData = emailSettingData;
_segmentData = segmentData;
_sourceData = sourceData;
_userData = userData;
_userIdentifierData = userIdentifierData;
_userIdentifierTypeData = userIdentifierTypeData;
_userTypeData = userTypeData;
_userIdentifierDataDlc = userIdentifierDataDlc;
}
/// <summary>
/// Invoked for each piece of data from the source file
/// </summary>
/// <param name="data">The data to be processed</param>
public void Process(IBaseData data)
{
foreach (var processor in _processors)
{
processor.Process(data);
}
}
/// <summary>
/// Initializes a new instance of the <see cref="OrderSubmissionData"/> class
/// </summary>
public OrderSubmissionData(IBaseData lastData)
{
if (lastData == null)
{
return;
}
var tick = lastData as Tick;
if (tick != null)
{
LastPrice = tick.Value;
BidPrice = tick.BidPrice;
AskPrice = tick.AskPrice;
return;
}
var quoteBar = lastData as QuoteBar;
if (quoteBar != null)
{
LastPrice = quoteBar.Close;
BidPrice = quoteBar.Bid?.Close ?? lastData.Value;
AskPrice = quoteBar.Ask?.Close ?? lastData.Value;
}
else
{
LastPrice = lastData.Value;
BidPrice = lastData.Value;
AskPrice = lastData.Value;
}
}
/// <summary>
/// 检查图像是否改变并更新Buffer
/// </summary>
/// <param name="objIBaseData">图像数据对象</param>
private void __UpdateBufferSize(IBaseData objIBaseData)
{
if (null != objIBaseData)
{
if (__IsCompatible(m_bitmapForSave, m_nWidth, m_nHeigh, m_bIsColor))
{
m_nPayloadSize = (int)objIBaseData.GetPayloadSize();
m_nWidth = (int)objIBaseData.GetWidth();
m_nHeigh = (int)objIBaseData.GetHeight();
}
else
{
m_nPayloadSize = (int)objIBaseData.GetPayloadSize();
m_nWidth = (int)objIBaseData.GetWidth();
m_nHeigh = (int)objIBaseData.GetHeight();
m_byRawBuffer = new byte[m_nPayloadSize];
m_byMonoBuffer = new byte[__GetStride(m_nWidth, m_bIsColor) * m_nHeigh];
m_byColorBuffer = new byte[__GetStride(m_nWidth, m_bIsColor) * m_nHeigh];
//更新BitmapInfo
m_objBitmapInfo.bmiHeader.biWidth = m_nWidth;
m_objBitmapInfo.bmiHeader.biHeight = m_nHeigh;
Marshal.StructureToPtr(m_objBitmapInfo, m_pBitmapInfo, false);
}
}
}
/// <summary>
/// 存储图像
/// </summary>
/// <param name="objIBaseData">图像数据对象</param>
/// <param name="strFilePath">显示图像文件名</param>
public void SaveBmp(IBaseData objIBaseData, string strFilePath)
{
GX_VALID_BIT_LIST emValidBits = GX_VALID_BIT_LIST.GX_BIT_0_7;
//检查图像是否改变并更新Buffer
__UpdateBufferSize(objIBaseData);
if (null != objIBaseData)
{
emValidBits = __GetBestValudBit(objIBaseData.GetPixelFormat());
if (m_bIsColor)
{
IntPtr pBufferColor = objIBaseData.ConvertToRGB24(emValidBits, GX_BAYER_CONVERT_TYPE_LIST.GX_RAW2RGB_NEIGHBOUR, false);
Marshal.Copy(pBufferColor, m_byColorBuffer, 0, __GetStride(m_nWidth, m_bIsColor) * m_nHeigh);
__UpdateBitmapForSave(m_byColorBuffer);
}
else
{
IntPtr pBufferMono = IntPtr.Zero;
if (__IsPixelFormat8(objIBaseData.GetPixelFormat()))
{
pBufferMono = objIBaseData.GetBuffer();
}
else
{
pBufferMono = objIBaseData.ConvertToRaw8(emValidBits);
}
Marshal.Copy(pBufferMono, m_byMonoBuffer, 0, __GetStride(m_nWidth, m_bIsColor) * m_nHeigh);
__UpdateBitmapForSave(m_byMonoBuffer);
}
m_bitmapForSave.Save(strFilePath, ImageFormat.Bmp);
}
}
internal void AddNewData(IBaseData newMarketData)
{
Bid = newMarketData.Value - Spread / 2;
Ask = newMarketData.Value + Spread / 2;
LastTick = newMarketData;
NewData.Add(newMarketData);
}
private string GetDataValues(IBaseData data_)
{
PropertyInfo[] propertyInfos = data_.GetType().GetProperties();
string type;
PropertyInfo propertyInfo;
object fieldValue;
string valueString = string.Empty;
StringBuilder sb = new StringBuilder();
for (int i = 0; i < propertyInfos.Length; i++)
{
propertyInfo = propertyInfos[i];
if (propertyInfo.GetSetMethod(true) == null)
{
continue;
}
fieldValue = propertyInfo.GetValue(data_, null);
type = SqLiteHelper.GetColumnType(propertyInfo.PropertyType.Name);
valueString = type == SqLiteHelper.TEXT ? string.Format("{0}{1}{2}", "'", fieldValue.ToString(), "'") : fieldValue.ToString();
if (i == 0)
{
sb.Append(valueString);
}
else
{
sb.Append(string.Format(",{0}", valueString));
}
}
return(sb.ToString());
}
private string GetFieldsNames(IBaseData data_)
{
List <PropertyInfo> propertyInfos = new List <PropertyInfo>(
data_.GetType().GetProperties().Where(prop_ => Attribute.IsDefined(prop_, typeof(DbFieldAttribute)))
);
StringBuilder sb = new StringBuilder();
for (int i = 0; i < propertyInfos.Count; i++)
{
if (propertyInfos[i].GetSetMethod(true) == null)
{
continue;
}
if (i == 0)
{
sb.Append(propertyInfos[i].Name);
}
else
{
sb.Append(string.Format(",{0}", propertyInfos[i].Name));
}
}
return(sb.ToString());
}
public HObject Show(IBaseData objIBaseData)
{
GX_VALID_BIT_LIST emValidBits = GX_VALID_BIT_LIST.GX_BIT_0_7;
if (null != objIBaseData)
{
emValidBits = GetBestValudBit(objIBaseData.GetPixelFormat());
if (GX_FRAME_STATUS_LIST.GX_FRAME_STATUS_SUCCESS == objIBaseData.GetStatus())
{
IntPtr pBufferMono = IntPtr.Zero;
if (IsPixelFormat8(objIBaseData.GetPixelFormat()))
{
pBufferMono = objIBaseData.GetBuffer();
}
else
{
pBufferMono = objIBaseData.ConvertToRaw8(emValidBits);
}
Marshal.Copy(pBufferMono, m_byMonoBuffer, 0, nWidth * nHeigh);
unsafe
{
fixed(byte *p = m_byMonoBuffer)
{
HOperatorSet.GenEmptyObj(out HObject image);
image.Dispose();
HOperatorSet.GenImage1(out image, "byte", nWidth, nHeigh, new IntPtr(p));
return(image);
}
}
}
}
return(null);
}
/// <summary>
/// Computes the Slow Stochastic %K.
/// </summary>
/// <param name="period">The period.</param>
/// <param name="constantK">The constant k.</param>
/// <param name="input">The input.</param>
/// <returns>The Slow Stochastics %K value.</returns>
private decimal ComputeStochK(int period, int constantK, IBaseData input)
{
var stochK = _maximum.Samples >= (period + constantK - 1) ? _sumFastK / constantK : decimal.Zero;
_sumSlowK.Update(input.Time, stochK);
return(stochK * 100);
}
private void UpdateImageData(IBaseData objIBaseData)
{
try
{
GX_VALID_BIT_LIST emValidBits = GX_VALID_BIT_LIST.GX_BIT_0_7;
if (null != objIBaseData)
{
emValidBits = DahengHelper.GetBestValidBit(objIBaseData.GetPixelFormat());
if (GX_FRAME_STATUS_LIST.GX_FRAME_STATUS_SUCCESS == objIBaseData.GetStatus())
{
if (isColor)
{
IntPtr buffer = objIBaseData.ConvertToRGB24(emValidBits, GX_BAYER_CONVERT_TYPE_LIST.GX_RAW2RGB_NEIGHBOUR, true);
FillRGB24(buffer);
}
else
{
IntPtr buffer = objIBaseData.GetBuffer();
FillY800(buffer);
}
}
}
}
catch (Exception)
{
}
waitHandle.Set();
}
/// <summary>
/// Updates this consolidator with the specified data
/// </summary>
/// <param name="data">The new data for the consolidator</param>
public void Update(IBaseData data)
{
using (Py.GIL())
{
_consolidator.Update(data);
}
}
/// <summary>
/// Updates the state of this indicator with the given value and returns true
/// if this indicator is ready, false otherwise
/// </summary>
/// <param name="input">The value to use to update this indicator</param>
/// <returns>True if this indicator is ready, false otherwise</returns>
public bool Update(IBaseData input)
{
if (_previousInput != null && input.Time < _previousInput.Time)
{
// if we receive a time in the past, log and return
Log.Error($"This is a forward only indicator: {Name} Input: {input.Time:u} Previous: {_previousInput.Time:u}. It will not be updated with this input.");
return(IsReady);
}
if (!ReferenceEquals(input, _previousInput))
{
// compute a new value and update our previous time
Samples++;
if (!(input is T))
{
throw new ArgumentException($"IndicatorBase.Update() 'input' expected to be of type {typeof(T)} but is of type {input.GetType()}");
}
_previousInput = (T)input;
var nextResult = ValidateAndComputeNextValue((T)input);
if (nextResult.Status == IndicatorStatus.Success)
{
Current = new IndicatorDataPoint(input.Time, nextResult.Value);
// let others know we've produced a new data point
OnUpdated(Current);
}
}
return(IsReady);
}
/// <summary>
/// Initializes an instance of <see cref="PandasData"/> with a sample <see cref="IBaseData"/> object
/// </summary>
/// <param name="baseData"><see cref="IBaseData"/> object that contains information to be saved in an instance of <see cref="PandasData"/></param>
public PandasData(IBaseData baseData)
{
var columns = "open,high,low,close";
if (baseData is TradeBar)
{
columns += ",volume";
}
else if (baseData is QuoteBar)
{
columns += ",askopen,askhigh,asklow,askclose,asksize,bidopen,bidhigh,bidlow,bidclose,bidsize";
}
else if (baseData is DynamicData)
{
// We get the fields of DynamicData from the storage dictionary
// and add the field named 'value' since it is the reference value
columns = "value," + string.Join(",", ((DynamicData)baseData).GetStorageDictionary().Keys);
}
_series = columns.Split(',').ToDictionary(k => k, v => new List <double>());
_symbol = baseData.Symbol;
_timeIndex = new List <DateTime>();
Levels = 2;
if (_symbol.SecurityType == SecurityType.Future)
{
Levels = 3;
}
if (_symbol.SecurityType == SecurityType.Option)
{
Levels = 5;
}
}
/// <summary>
/// Invoked for each piece of data from the source file
/// </summary>
/// <param name="data">The data to be processed</param>
public void Process(IBaseData data)
{
foreach (var processor in _processors)
{
processor.Process(data);
}
}
public void TestSaveItemCustomProperty()
{
campfire = new CampfireItem();
campfire.Data.ItemName = "Campfire Custom Props";
campfire.Data.itemUUID = System.Guid.NewGuid().ToString();
// Test add string custom property
StringProperty MyDescriptionProperty = new StringProperty("description", "Campfire really warm :)");
campfire.Data.Properties.Add(MyDescriptionProperty);
// string description = (campfire.Data as WorldData).Properties.Get<string>("description");
// Debug.Log("The saved value is [" + description + "]");
// Test add vector3 custom property
Vector3Property MyVector3Property = new Vector3Property("position", new Vector3(11, 22, 33));
campfire.Data.Properties.Add(MyVector3Property);
IBaseData dataInterface = campfire as IBaseData;
if (dataInterface != null)
{
DBModel.CreateItem(dataInterface);
Debug.Log("[TestSaveItemCustomProperty] The item with custom properties was successfully created.");
}
else
{
Debug.LogError("[TestSaveItemCustomProperty] The item with custom properties data does not implement the IBaseData interface.");
}
}
public CollectionInserter(IBaseData baseData, Entity.CollectionEntities context)
{
_baseData = baseData;
_context = context;
_dvdHash = new Dictionary <string, Entity.tDVD>();
}
/// <summary>
/// Updates this consolidator with the specified data
/// </summary>
/// <param name="data">The new data for the consolidator</param>
public void Update(IBaseData data)
{
var currentValue = _selector(data);
var volume = _volumeSelector(data);
decimal?close = null;
// if we're already in a bar then update it
if (_currentBar != null)
{
_currentBar.Update(data.Time, currentValue, volume);
// if the update caused this bar to close, fire the event and reset the bar
if (_currentBar.IsClosed)
{
close = _currentBar.Close;
OnDataConsolidated(_currentBar);
_currentBar = null;
}
}
if (_currentBar == null)
{
var open = close ?? currentValue;
if (_evenBars && !close.HasValue)
{
open = Math.Ceiling(open / _barSize) * _barSize;
}
_currentBar = new RenkoBar(data.Symbol, data.Time, _barSize, open, volume);
}
}
/// <summary>
/// Invoked for each piece of data from the source file
/// </summary>
/// <param name="data">The data to be processed</param>
public void Process(IBaseData data)
{
if (_predicate(data))
{
_processor.Process(data);
}
}
public CurrentPriceWorker(IBaseData baseData)
: base(baseData)
{
Name = "Current Price Worker";
Kind = ServiceWorkerKind.CurrentPriceWorker;
SetWorkerStartTimeEndTime(ServiceWorkerKind.CurrentPriceWorker);
WriteToWorkerLog($"{Name} has been created");
}
/// <summary>
/// Updates this consolidator with the specified data
/// </summary>
/// <param name="data">The new data for the consolidator</param>
public void Update(IBaseData data)
{
if (!(data is TInput))
{
throw new ArgumentNullException("data", "Received type of " + data.GetType().Name + " but expected " + typeof(TInput).Name);
}
Update((TInput)data);
}
/// <summary>
/// Event invocator for the DataConsolidated event. This should be invoked
/// by derived classes when they have consolidated a new piece of data.
/// </summary>
/// <param name="consolidated">The newly consolidated data</param>
protected virtual void OnDataConsolidated(RenkoBar consolidated)
{
DataConsolidated?.Invoke(this, consolidated);
_dataConsolidatedHandler?.Invoke(this, consolidated);
Consolidated = consolidated;
}
public MovingAverageSellStrategy(IBaseData baseData,
bool isBackTest = false,
bool testStatus = false)
: base(baseData)
{
_isBackTest = isBackTest;
_testStatus = testStatus;
}
/// <summary>
/// Event invocator for the DataConsolidated event. This should be invoked
/// by derived classes when they have consolidated a new piece of data.
/// </summary>
/// <param name="consolidated">The newly consolidated data</param>
private void OnDataConsolidated(RenkoBar consolidated)
{
DataConsolidated?.Invoke(this, consolidated);
_dataConsolidatedHandler?.Invoke(this, consolidated);
Consolidated = consolidated;
}
public static decimal CalculateTodayATR(this IBaseData provider, decimal todayHighPrice, decimal todayLowPrice, decimal previousClosePrice)
{
// 要取絕對值之後，再選出差距最大者
decimal temp1 = Math.Abs(todayHighPrice - todayLowPrice);
decimal temp2 = Math.Abs(todayHighPrice - previousClosePrice);
decimal temp3 = Math.Abs(previousClosePrice - todayLowPrice);
return(Math.Max(temp3, Math.Max(temp1, temp2)));
}
private static void UpdateField(IBaseData e, IEntity copy, long fieldsToSave)
{
long bw = e.Bitwise ?? default(long);
if ((fieldsToSave & bw) == bw)
{
copy.__Elements.Find(c => c.ID == e.ID).Data = e.Data.ToString();
}
}
// pre: a has type DecimalData
public static decimal decimalGet(IBaseData a)
{
if (a is IntData)
{
return(((IntData)a).getData());
}
return(((DecimalData)a).getData());
}
/// <summary>
/// Invoked for each piece of data from the source file
/// </summary>
/// <param name="data">The data to be processed</param>
public void Process(IBaseData data)
{
// grab the correct consolidator for this symbol
IDataConsolidator consolidator;
if (!_consolidators.TryGetValue(data.Symbol, out consolidator))
{
consolidator = _createConsolidator(data);
consolidator.DataConsolidated += OnDataConsolidated;
_consolidators[data.Symbol] = consolidator;
}
consolidator.Update(data);
}
/// <summary>
/// Handles the <see cref="IDataConsolidator.DataConsolidated"/> event
/// </summary>
private void OnDataConsolidated(object sender, IBaseData args)
{
_destination.Process(args);
// we've already checked this frontier time, so don't scan the consolidators
if (_frontier >= args.EndTime) return;
_frontier = args.EndTime;
// check the other consolidators to see if they also need to emit
foreach (var consolidator in _consolidators.Values)
{
// back up the time a single instance, this allows data at exact same
// time to still come through
consolidator.Scan(args.EndTime.AddTicks(-1));
}
}
/// <summary>
/// Invoked for each piece of data from the source file
/// </summary>
/// <param name="data">The data to be processed</param>
public void Process(IBaseData data)
{
Writer writer;
if (!_writers.TryGetValue(data.Symbol, out writer))
{
writer = CreateTextWriter(data);
_writers[data.Symbol] = writer;
}
// flush every so often
if (++writer.ProcessCount%TicksPerFlush == 0)
{
writer.TextWriter.Flush();
}
var line = LeanData.GenerateLine(data, data.Symbol.ID.SecurityType, _resolution);
writer.TextWriter.WriteLine(line);
}
/// <summary>
/// Updates this consolidator with the specified data. This method is
/// responsible for raising the DataConsolidated event
/// </summary>
/// <param name="data">The new data for the consolidator</param>
public void Update(IBaseData data)
{
if (Type == RenkoType.Classic)
UpdateClassic(data);
else
UpdateWicked(data);
}
private void UpdateClassic(IBaseData data)
{
var currentValue = _selector(data);
var volume = _volumeSelector(data);
decimal? close = null;
// if we're already in a bar then update it
if (_currentBar != null)
{
_currentBar.Update(data.Time, currentValue, volume);
// if the update caused this bar to close, fire the event and reset the bar
if (_currentBar.IsClosed)
{
close = _currentBar.Close;
OnDataConsolidated(_currentBar);
_currentBar = null;
}
}
if (_currentBar == null)
{
var open = close ?? currentValue;
if (_evenBars && !close.HasValue)
{
open = Math.Ceiling(open/_barSize)*_barSize;
}
_currentBar = new RenkoBar(data.Symbol, data.Time, _barSize, open, volume);
}
}
/// <summary>
/// Get the output zip file
/// </summary>
/// <param name="baseDirectory">Base output directory for the zip file</param>
/// <param name="data">Data we're writing</param>
/// <returns></returns>
private string ZipOutputFile(string baseDirectory, IBaseData data)
{
var file = string.Empty;
//Further determine path based on the remaining data: security type.
switch (_securityType)
{
case SecurityType.Equity:
case SecurityType.Forex:
//Base directory includes the market
file = Path.Combine(baseDirectory, _resolution.ToString().ToLower(), _symbol.ToLower(), Compression.CreateZipFileName(_symbol, _securityType, data.Time, _resolution));
if (_resolution == Resolution.Daily || _resolution == Resolution.Hour)
{
file = Path.Combine(baseDirectory, _resolution.ToString().ToLower(), Compression.CreateZipFileName(_symbol, _securityType, data.Time, _resolution));
}
break;
default:
throw new Exception("Sorry this security type is not yet supported by the LEAN data writer: " + _securityType);
}
return file;
}
private static IDataConsolidator CreateConsolidator(Resolution resolution, TickType tickType, IBaseData data, bool sourceIsTick)
{
var securityType = data.Symbol.ID.SecurityType;
switch (securityType)
{
case SecurityType.Base:
case SecurityType.Equity:
case SecurityType.Cfd:
case SecurityType.Forex:
return new TickConsolidator(resolution.ToTimeSpan());
case SecurityType.Option:
if (tickType == TickType.Trade)
{
return sourceIsTick
? new TickConsolidator(resolution.ToTimeSpan())
: (IDataConsolidator) new TradeBarConsolidator(resolution.ToTimeSpan());
}
if (tickType == TickType.Quote)
{
return sourceIsTick
? new TickQuoteBarConsolidator(resolution.ToTimeSpan())
: (IDataConsolidator) new QuoteBarConsolidator(resolution.ToTimeSpan());
}
break;
}
throw new NotImplementedException("Consolidator creation is not defined for " + securityType + " " + tickType);
}
/// <summary>
/// Converts the specified base data instance into a lean data file csv line.
/// This method takes into account the fake that base data instances typically
/// are time stamped in the exchange time zone, but need to be written to disk
/// in the data time zone.
/// </summary>
public static string GenerateLine(IBaseData data, Resolution resolution, DateTimeZone exchangeTimeZone, DateTimeZone dataTimeZone)
{
var clone = data.Clone();
clone.Time = data.Time.ConvertTo(exchangeTimeZone, dataTimeZone);
return GenerateLine(clone, clone.Symbol.ID.SecurityType, resolution);
}
private void Falling(IBaseData data)
{
decimal limit;
while (_closeRate < (limit = (_openRate - BarSize)))
{
var wicko = new RenkoBar(data.Symbol, _openOn, _closeOn,
BarSize, _openRate, _highRate, limit, limit);
_lastWicko = wicko;
OnDataConsolidated(wicko);
_openOn = _closeOn;
_openRate = limit;
_highRate = limit;
}
}
private void UpdateWicked(IBaseData data)
{
var rate = data.Price;
if (_firstTick)
{
_firstTick = false;
_openOn = data.Time;
_closeOn = data.Time;
_openRate = rate;
_highRate = rate;
_lowRate = rate;
_closeRate = rate;
}
else
{
_closeOn = data.Time;
if (rate > _highRate)
_highRate = rate;
if (rate < _lowRate)
_lowRate = rate;
_closeRate = rate;
if (_closeRate > _openRate)
{
if (_lastWicko == null ||
(_lastWicko.Direction == BarDirection.Rising))
{
Rising(data);
return;
}
var limit = (_lastWicko.Open + BarSize);
if (_closeRate > limit)
{
var wicko = new RenkoBar(data.Symbol, _openOn, _closeOn,
BarSize, _lastWicko.Open, limit, _lowRate, limit);
_lastWicko = wicko;
OnDataConsolidated(wicko);
_openOn = _closeOn;
_openRate = limit;
_lowRate = limit;
Rising(data);
}
}
else if (_closeRate < _openRate)
{
if (_lastWicko == null ||
(_lastWicko.Direction == BarDirection.Falling))
{
Falling(data);
return;
}
var limit = (_lastWicko.Open - BarSize);
if (_closeRate < limit)
{
var wicko = new RenkoBar(data.Symbol, _openOn, _closeOn,
BarSize, _lastWicko.Open, _highRate, limit, limit);
_lastWicko = wicko;
OnDataConsolidated(wicko);
_openOn = _closeOn;
_openRate = limit;
_highRate = limit;
Falling(data);
}
}
}
}
/// <summary>
/// Converts the specified base data instance into a lean data file csv line
/// </summary>
public static string GenerateLine(IBaseData data, SecurityType securityType, Resolution resolution)
{
var milliseconds = data.Time.TimeOfDay.TotalMilliseconds.ToString(CultureInfo.InvariantCulture);
var longTime = data.Time.ToString(DateFormat.TwelveCharacter);
switch (securityType)
{
case SecurityType.Equity:
switch (resolution)
{
case Resolution.Tick:
var tick = (Tick) data;
return ToCsv(milliseconds, Scale(tick.LastPrice), tick.Quantity, tick.Exchange, tick.SaleCondition, tick.Suspicious ? "1" : "0");
case Resolution.Minute:
case Resolution.Second:
var bar = (TradeBar) data;
return ToCsv(milliseconds, Scale(bar.Open), Scale(bar.High), Scale(bar.Low), Scale(bar.Close), bar.Volume);
case Resolution.Hour:
case Resolution.Daily:
var bigBar = (TradeBar) data;
return ToCsv(longTime, Scale(bigBar.Open), Scale(bigBar.High), Scale(bigBar.Low), Scale(bigBar.Close), bigBar.Volume);
}
break;
case SecurityType.Forex:
case SecurityType.Cfd:
switch (resolution)
{
case Resolution.Tick:
var tick = (Tick) data;
return ToCsv(milliseconds, tick.BidPrice, tick.AskPrice);
case Resolution.Second:
case Resolution.Minute:
var bar = (TradeBar) data;
return ToCsv(milliseconds, bar.Open, bar.High, bar.Low, bar.Close);
case Resolution.Hour:
case Resolution.Daily:
var bigBar = (TradeBar) data;
return ToCsv(longTime, bigBar.Open, bigBar.High, bigBar.Low, bigBar.Close);
}
break;
case SecurityType.Option:
var putCall = data.Symbol.ID.OptionRight == OptionRight.Put ? "P" : "C";
switch (resolution)
{
case Resolution.Tick:
var tick = (Tick)data;
if (tick.TickType == TickType.Trade)
{
return ToCsv(milliseconds,
Scale(tick.LastPrice), tick.Quantity, tick.Exchange, tick.SaleCondition, tick.Suspicious ? "1": "0");
}
if (tick.TickType == TickType.Quote)
{
return ToCsv(milliseconds,
Scale(tick.BidPrice), tick.BidSize, Scale(tick.AskPrice), tick.AskSize, tick.Exchange, tick.Suspicious ? "1" : "0");
}
break;
case Resolution.Second:
case Resolution.Minute:
// option data can be quote or trade bars
var quoteBar = data as QuoteBar;
if (quoteBar != null)
{
return ToCsv(milliseconds,
ToCsv(quoteBar.Bid), quoteBar.LastBidSize,
ToCsv(quoteBar.Ask), quoteBar.LastAskSize);
}
var tradeBar = data as TradeBar;
if (tradeBar != null)
{
return ToCsv(milliseconds,
Scale(tradeBar.Open), Scale(tradeBar.High), Scale(tradeBar.Low), Scale(tradeBar.Close), tradeBar.Volume);
}
break;
case Resolution.Hour:
case Resolution.Daily:
// option data can be quote or trade bars
var bigQuoteBar = data as QuoteBar;
if (bigQuoteBar != null)
{
return ToCsv(longTime,
ToCsv(bigQuoteBar.Bid), bigQuoteBar.LastBidSize,
ToCsv(bigQuoteBar.Ask), bigQuoteBar.LastAskSize);
}
var bigTradeBar = data as TradeBar;
if (bigTradeBar != null)
{
return ToCsv(longTime,
ToCsv(bigTradeBar), bigTradeBar.Volume);
}
break;
default:
throw new ArgumentOutOfRangeException("resolution", resolution, null);
}
break;
}
throw new NotImplementedException("LeanData.GenerateLine has not yet been implemented for security type: " + securityType + " at resolution: " + resolution);
}
/// <summary>
/// Function used to select a trade bar that has double the values of the input trade bar
/// </summary>
private static TradeBar SelectorDoubleTradeBar(IBaseData baseData)
{
var bar = (TradeBar)baseData;
return new TradeBar
{
Close = 2 * bar.Close,
DataType = bar.DataType,
High = 2 * bar.High,
Low = 2 * bar.Low,
Open = 2 * bar.Open,
Symbol = bar.Symbol,
Time = bar.Time,
Value = 2 * bar.Value,
Volume = 2 * bar.Volume,
Period = bar.Period
};
}
/// <summary>
/// Creates the <see cref="TextWriter"/> that writes data to csv files
/// </summary>
private Writer CreateTextWriter(IBaseData data)
{
var entry = LeanData.GenerateZipEntryName(data.Symbol, data.Time.Date, _resolution, _tickType);
var relativePath = LeanData.GenerateRelativeZipFilePath(data.Symbol, data.Time.Date, _resolution, _tickType)
.Replace(".zip", string.Empty);
var path = Path.Combine(Path.Combine(_dataDirectory, relativePath), entry);
var directory = new FileInfo(path).Directory.FullName;
if (!Directory.Exists(directory))
{
// lock before checking again
lock (DirectoryCreateSync) if (!Directory.Exists(directory)) Directory.CreateDirectory(directory);
}
return new Writer(path, new StreamWriter(path));
}
/// <summary>
/// Generate a single line of the data for this security type
/// </summary>
/// <param name="data">Data we're generating</param>
/// <returns>String line for this basedata</returns>
private string GenerateFileLine(IBaseData data)
{
var line = string.Empty;
var format = "{0},{1},{2},{3},{4},{5}";
var milliseconds = data.Time.TimeOfDay.TotalMilliseconds.ToString(CultureInfo.InvariantCulture);
var longTime = data.Time.ToString(DateFormat.TwelveCharacter);
switch (_securityType)
{
case SecurityType.Equity:
switch (_resolution)
{
case Resolution.Tick:
var tick = data as Tick;
if (tick != null)
{
line = string.Format(format, milliseconds, Scale(tick.LastPrice), tick.Quantity, tick.Exchange, tick.SaleCondition, tick.Suspicious);
}
break;
case Resolution.Minute:
case Resolution.Second:
var bar = data as TradeBar;
if (bar != null)
{
line = string.Format(format, milliseconds, Scale(bar.Open), Scale(bar.High), Scale(bar.Low), Scale(bar.Close), bar.Volume);
}
break;
case Resolution.Hour:
case Resolution.Daily:
var bigBar = data as TradeBar;
if (bigBar != null)
{
line = string.Format(format, longTime, Scale(bigBar.Open), Scale(bigBar.High), Scale(bigBar.Low), Scale(bigBar.Close), bigBar.Volume);
}
break;
}
break;
case SecurityType.Forex:
case SecurityType.Cfd:
switch (_resolution)
{
case Resolution.Tick:
var fxTick = data as Tick;
if (fxTick != null)
{
line = string.Format("{0},{1},{2}", milliseconds, fxTick.BidPrice, fxTick.AskPrice);
}
break;
case Resolution.Second:
case Resolution.Minute:
var fxBar = data as TradeBar;
if (fxBar != null)
{
line = string.Format("{0},{1},{2},{3},{4}", milliseconds, fxBar.Open, fxBar.High, fxBar.Low, fxBar.Close);
}
break;
case Resolution.Hour:
case Resolution.Daily:
var dailyBar = data as TradeBar;
if (dailyBar != null)
{
line = string.Format("{0},{1},{2},{3},{4}", longTime, dailyBar.Open, dailyBar.High, dailyBar.Low, dailyBar.Close);
}
break;
}
break;
}
return line;
}