public async Task GenerateClosePriceWithVolume(string symbol, string interval)
{
var instrument = await _instrumentRepository.GetInstrument(symbol);
var chart = await _chartRepository.GetChartMonthlyAsync(symbol, interval, 6, instrument.Precision);
var maxhour = chart.Quotations.Max(x => x.Time.Hour);
var minhour = chart.Quotations.Min(x => x.Time.Hour);
var maxMinute = chart.Quotations.Max(x => x.Time.Minute);
var minMinute = chart.Quotations.Min(x => x.Time.Minute);
var maxDay = chart.Quotations.Max(x => (int)x.Time.DayOfWeek);
var minDay = chart.Quotations.Min(x => (int)x.Time.DayOfWeek);
using (var textWriter = new StreamWriter(@"cloePriceOhlc.csv"))
{
var writer = new CsvWriter(textWriter, CultureInfo.CurrentCulture);
writer.Configuration.Delimiter = ",";
writer.WriteField("Hour");
writer.WriteField("Minute");
writer.WriteField("Day");
writer.WriteField("Close");
writer.WriteField("Open");
writer.WriteField("Low");
writer.WriteField("High");
writer.WriteField("Volume");
writer.WriteField("Time");
writer.NextRecord();
foreach (var item in chart.Quotations)
{
var hourNormalization = (item.Time.Hour - minhour) / (maxhour - minhour);
var minuteNormalization = (item.Time.Minute - minMinute) / (maxMinute - minMinute);
var dayNormalization = ((int)item.Time.DayOfWeek - minDay) / (maxDay - minDay);
writer.WriteField(hourNormalization);
writer.WriteField(minuteNormalization);
writer.WriteField(dayNormalization);
writer.WriteField(item.Close.ToString().Replace(",", "."));
writer.WriteField(item.Open.ToString().Replace(",", "."));
writer.WriteField(item.Low.ToString().Replace(",", "."));
writer.WriteField(item.High.ToString().Replace(",", "."));
writer.WriteField(item.Volume);
writer.WriteField(item.Time);
writer.NextRecord();
}
}
using (var textWriter = new StreamWriter(@"resultsOhlc.csv"))
{
var writer = new CsvWriter(textWriter, CultureInfo.CurrentCulture);
writer.Configuration.Delimiter = ",";
writer.WriteField("Buy");
writer.WriteField("Sell");
writer.WriteField("None");
writer.WriteField("Time");
writer.NextRecord();
for (var i = 120; i < chart.Quotations.Count - 15; i++)
{
var futurePrices = chart.Quotations.GetRange(i, 15).Select(x => new { x.Close, x.Low, x.High }).ToArray();
var futureFirst = futurePrices.First();
var futureMin = futurePrices.Min(x => x.Low);
var futureMax = futurePrices.Max(x => x.High);
//bad signal high pin
var badSignal = false;
foreach (var item in futurePrices)
{
if (item.High - item.Low > 40)
{
badSignal = true;
}
}
for (int j = 0; j <= futurePrices.Count() - 2; j++)
{
if (Math.Abs(futurePrices[j].Close - futurePrices[j + 1].Close) > 40)
{
badSignal = true;
}
}
var time = chart.Quotations[i].Time;
if (badSignal)
{
writer.WriteField(false);
writer.WriteField(false);
writer.WriteField(true);
writer.WriteField(time);
writer.NextRecord();
continue;
}
if (futureMax - futureFirst.High > 20 && futureFirst.Low - futureMin < 10)
{
writer.WriteField(true);
writer.WriteField(false);
writer.WriteField(false);
writer.WriteField(time);
writer.NextRecord();
}
else if (futureFirst.Low - futureMin > 20 && futureMax - futureFirst.High < 10)
{
writer.WriteField(false);
writer.WriteField(true);
writer.WriteField(false);
writer.WriteField(time);
writer.NextRecord();
}
else
{
writer.WriteField(false);
writer.WriteField(false);
writer.WriteField(true);
writer.WriteField(time);
writer.NextRecord();
}
}
}
}