public List <Tuple <DateTime, double> > GetFXTimeSeries(ITimeSeriesKey itsk, DateTime startDate)
{
List <Tuple <DateTime, double> > res = new List <Tuple <DateTime, double> >();
CurrencyPairTimeSeries cpts = CurrencyPairTimeSeries.RequestIDToCurrencyPairTimeSeries(itsk.GetTimeSeriesKey());
if (!Data.CpList.Contains(cpts.CurPair))
{
bool loadTs = !ReadFXHistory(cpts);
if (!loadTs)
{
return(res);
}
}
Frequency fq = itsk.GetFrequency();
if (fq.IsInferiorFrequency(Frequency.Day1))
{
fq = Frequency.Day1;
}
List <DateTime> schedule = fq.GetSchedule(DateTime.UtcNow, ScheduleDepth).Where(x => x > startDate).ToList();
bool doSave = false;
foreach (DateTime date in schedule)
{
var item = GetFullData(cpts.CurPair, date);
doSave = doSave || item.Item2;
res.Add(new Tuple <DateTime, double>(date, item.Item1));
}
if (doSave)
{
WriteFXHistory(cpts);
}
return(res);
}
public List <Tuple <DateTime, double> > GetTimeSeries(ITimeSeriesKey itsk, bool isIndex, DateTime startDate)
{
List <Tuple <DateTime, double> > res = new List <Tuple <DateTime, double> >();
double value;
double lastItemValue = Double.NaN;
double lastTSValue = 10000;
foreach (OHLC item in GetOHLCTimeSeries(itsk, StaticLibrary.DateTimeToUnixTimeStamp(startDate)))
{
DateTime itemTime = StaticLibrary.UnixTimeStampToDateTime(item.Time);
itemTime = itsk.GetFrequency().Add(itemTime);
if (itemTime > DateTime.UtcNow)
{
itemTime = new DateTime(9999, 1, 1);
}
if (itemTime > startDate)
{
if (!isIndex)
{
value = (double)item.Close;
}
else
{
value = Double.IsNaN(lastItemValue) ? lastTSValue : lastTSValue * (double)item.Close / lastItemValue;
lastItemValue = (double)item.Close;
lastTSValue = value;
}
res.Add(new Tuple <DateTime, double>(itemTime, value));
}
}
return(res);
}
public List <Tuple <DateTime, double> > GetTimeSeries(ITimeSeriesKey itsk, bool isIndex, DateTime startDate)
{
List <Tuple <DateTime, double> > res = new List <Tuple <DateTime, double> >();
if (itsk.GetKeyType() == TimeSeriesKeyType.AllocationHistory)
{
double value;
double lastTSValue = Double.NaN;
Allocation prevAlloc = null;
Currency ccyRef = itsk.GetCurrencyRef();
IEnumerable <DateTime> DateList = History.Keys.Where(x => x >= startDate);
DateList = itsk.GetFrequency().GetSchedule(DateList.First(), DateList.Last(), true);
foreach (DateTime date in DateList)
{
History.TryGetValue(date, out Allocation alloc);
if (alloc != null)
{
if (!isIndex)
{
double amount = History[date].Total.Amount;
value = amount;
}
else
{
if (Double.IsNaN(lastTSValue))
{
value = 10000;
}
else
{
double returnAlloc = History[date].GetReturn(prevAlloc, ccyRef);
value = Double.IsNaN(lastTSValue) ? 10000 : lastTSValue * (1 + returnAlloc);
}
prevAlloc = (Allocation)History[date].Clone();
lastTSValue = value;
}
res.Add(new Tuple <DateTime, double>(date, value));
}
}
}
return(res);
}
/// <summary>
/// Get OHLC TimeSeries untreated
/// </summary>
/// <param name="itsk"></param>
/// <returns></returns>
private List <OHLC> GetOHLCTimeSeries(ITimeSeriesKey itsk,
Int64?startDate = null,
Int64?endDate = null)
{
Int64 startDateUnix;;
if (!startDate.HasValue)
{
startDateUnix = StaticLibrary.DateTimeToUnixTimeStamp(new DateTime(2000, 1, 1));
}
else
{
startDateUnix = startDate.Value;
}
Int64 endDateUnix;
if (!endDate.HasValue)
{
endDateUnix = StaticLibrary.DateTimeToUnixTimeStamp(new DateTime(3000, 1, 1));
}
else
{
endDateUnix = endDate.Value;
}
try
{
LoadOHLC(itsk);
List <OHLC> res = OHLCData[itsk.GetTimeSeriesKey()];
int FreqInSecs = itsk.GetFrequency().GetFrequency(inSecs: true);
res = res.Where(x => startDateUnix - FreqInSecs <= x.Time && x.Time < endDateUnix && x.Low > 0)
.ToList();
if (res.Count() == 0)
{
return(GetOHLCTimeSeries(itsk.GetNextFrequency(), startDateUnix, endDateUnix));
}
else if (res.First().Time <= startDateUnix)
{
return(res);
}
else
{
ITimeSeriesKey nextFreqTSK = itsk.GetNextFrequency();
if (nextFreqTSK.GetFrequency() == Frequency.None)
{
return new List <OHLC> {
}
}
;
else
{
List <OHLC> prevRes = GetOHLCTimeSeries(nextFreqTSK, startDate, res.First().Time);
prevRes.AddRange(res);
return(prevRes);
}
}
}
catch (Exception e)
{
this.PublishWarning(e.Message);
return(new List <OHLC> {
});
}
}