protected override void OnBarUpdate()
{
if (OnlyGeneratePlots)
{
return;
}
int BarIndex = BarsInProgress;
bool bFinishedProcessingAllData = false;
String debug_txt1 = "Date=" + Times[BarIndex][0].Date.ToShortDateString() + "BarIndex=" + BarIndex.ToString() + "CurrentBar=" + CurrentBar.ToString() + "Count=" + Count.ToString();
Debug.WriteLine(debug_txt1);
DateTime current_bar_date = Times[BarIndex][0].Date;
Boolean bLastSymbol = BarIndex == (symbol_list.Count - 1);
if (current_bar_date > TestingEndDate)
{
return;
}
else if (bLastSymbol &&
(((CurrentBar + 1) == Count) || (current_bar_date == TestingEndDate))) //we are on the last bar to process
{
Debug.WriteLine("bFinished trigger");
bFinishedProcessingAllData = true;
}
//NOTE: Index 1 is always S&P 500
if (((ProcessAllTickers == true) && (BarIndex >= 1) && (BarIndex < (symbol_list.Count))) || //Start at index=1 since we want to ignore the primary/dummy instrument
((ProcessAllTickers == false) && (BarIndex == 0)))
{
if (CurrentBar >= (FutureValueDaysToLookAhead)) //just make sure we avoid out of bounds error in case we don't yet have enough data
{
DateTime date_to_process = Times[BarIndex][FutureValueDaysToLookAhead].Date; //need to wait FutureValueDaysToLookAhead days before we can make calcs
bool bWithinTrainingPeriod = (date_to_process >= TrainingStartDate) && (date_to_process <= TrainingEndDate);
bool bWithinTestingPeriod = (date_to_process >= TestingStartDate) && (date_to_process <= TestingEndDate);
if ((bWithinTrainingPeriod) || (bWithinTestingPeriod))
{
for (int i = 0; i < indicator_list.Count; i++)
{
PopulateParamatersForIndicator(indicator_list[i]);
Indicator_FutureValueChange_Pair indicator_pair = GetIndicatorValue(indicator_list[i], BarIndex, FutureValueDaysToLookAhead, date_to_process);
if (bWithinTrainingPeriod)
{
master_list_training[i][BarIndex].Add(indicator_pair);
}
else if (bWithinTestingPeriod)
{
master_list_testing[i][BarIndex].Add(indicator_pair);
}
}
}
}
}
if (bFinishedProcessingAllData)
{
String debug_txt2 = "finished processing all data";
Debug.WriteLine(debug_txt2);
for (int bar_index = 1; bar_index < symbol_list.Count; bar_index++)
{
for (int i = 0; i < indicator_list.Count; i++)
{
int num_bars_for_symbol = Times[bar_index].Count;
if (CurrentBar < num_bars_for_symbol) //Check for missing data
{
for (int j = (FutureValueDaysToLookAhead - 1); j >= 0; j--)
{
DateTime date_to_process = Times[bar_index][j].Date;
debug_txt2 = "date_to_process=" + date_to_process.ToShortDateString();
Debug.WriteLine(debug_txt2);
PopulateParamatersForIndicator(indicator_list[i]);
Indicator_FutureValueChange_Pair indicator_pair = GetIndicatorValue(indicator_list[i], bar_index, j, date_to_process);
//Add to the "Testing" lists since these should be the ones capturing most recent values
master_list_testing[i][bar_index].Add(indicator_pair);
}
}
}
}
uid = rnd.Next(100000, 999999).ToString();
String unique_id = "_" + uid; // creates a number between 100k and 999k
String control_file_path = output_folder_with_date + "control_file" + unique_id + ".txt";
String consolidated_txt_file_path = output_folder_with_date + "consolidated_report" + unique_id + ".txt";
String consolidated_csv_file_path = output_folder_with_date + "consolidated_report" + unique_id + ".csv";
bool bFirstTime = true;
int start_index = 1;
int max_index = symbol_list.Count;
if (ProcessAllTickers == false)
{
start_index = 0;
max_index = 1;
}
for (int j = 0; j < indicator_list.Count; j++)
{
uid = rnd.Next(100000, 999999).ToString();
unique_id = "_" + uid; // creates a number between 100k and 999k
String debug_txt = "FINISHEDPROCESSING min_samples=" + min_samples_pct.ToString() + " id=" + unique_id.ToString();
Debug.WriteLine(debug_txt);
PopulateParamatersForIndicator(indicator_list[j]);
BuildIndicatorAndDescriptionStrings(indicator_list[j]);
for (int i = start_index; i < max_index; i++) //Start at index=1 since we want to ignore the first primary/dummy instrument
{
String symbol_name = symbol_list[i];
if (ProcessAllTickers == false)
{
symbol_name = master_symbol_name;
}
String company_name = company_name_list[i];
if (Sanitize == true)
{
String symbol_name_tmp = string.Concat(symbol_name.Reverse()).ToLower();
symbol_name = char.ToUpper(symbol_name_tmp[0]) + symbol_name_tmp.Substring(1);
company_name = "?";
}
String base_file_path_for_symbol = output_folder_with_date + symbol_name; //i.e. c:\temp\knn\AAPL
String training_file_path = base_file_path_for_symbol + "_training" + unique_id + ".csv";
String testing_file_path = base_file_path_for_symbol + "_testing" + unique_id + ".csv";
WriteListToCSV(master_list_training[j][i], training_file_path);
WriteListToCSV(master_list_testing[j][i], testing_file_path);
String config_file_name = "";
config_file_name = GenerateConfigFile(base_file_path_for_symbol, symbol_name, company_name, training_file_path, testing_file_path, unique_id);
if (bFirstTime) //create new file
{
bFirstTime = false;
File.WriteAllText(control_file_path, config_file_name + "\r\n");
}
else // append to existing file
{
File.AppendAllText(control_file_path, config_file_name + "\r\n");
}
}
}
Debug.WriteLine("Before Python mutex");
//Now we can call python for all symbols at once by passing in the control_file as cmd line arg
mut_python.WaitOne();
string mode = " BEST";
if (FindBestSolutions == false)
{
mode = " RECENT";
}
string args = control_file_path + " " + consolidated_txt_file_path + " " + consolidated_csv_file_path + " " + output_folder_with_date + "master_report.csv" + " " + output_folder_with_date + "master_trig.csv" + " false" + " false" + mode + " " + output_folder_with_date + "master_sorted.csv" + " " + GeneratePlotsForBestSolutions.ToString() + " " + NumPlotsToGenerate.ToString();
Debug.WriteLine("Python args" + args);
CallPythonScript(output_folder + "\\Data_Processing46.py", args);
mut_python.ReleaseMutex();
Debug.WriteLine("After Python mutex");
}
}
protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
if (bFirst)
{
bFirst = false;
}
symbol_list = new List <String> {
"DUMMY", "^SP500"
};
company_name_list = new List <String> {
"DUMMY", "S&P 500"
};
output_folder = "C:\\temp\\knn\\";
LoadTickers(); //load symbols from file
Description = "test";
Name = "KNN_Generator16";
Calculate = Calculate.OnEachTick; //This will let us get the last Bar
DaysToLookBack = 1;
FutureValueDaysToLookAhead = 5;
TestingEndDate = DateTime.Today;
//Custom params
uid = "";
indicator = "";
KNN_num_neighbors = 3;
num_training_pts = 200;
num_groups = 20;
stagger_factor = 0;
window_size = 1;
avg_target = 1.0f;
good_target = 0.5f;
bad_target = 0.20f;
min_samples_pct = 0.06f;
thresh1 = 1.0f;
thresh2 = -1.0f;
Sanitize = false;
ProcessAllTickers = true;
FindBestSolutions = false;
GeneratePlotsForBestSolutions = false;
OnlyGeneratePlots = false;
NumPlotsToGenerate = 20;
master_symbol_name = "";
bDataLoaded = false;
MACD_param_string = "12;26;9";
RSI_param_string = "14;3;-1";
BOLL_param_string = "2;14;-1";
STOCH_param_string = "7;14;3";
STOCH_RSI_param_string = "14;-1;-1";
// This strategy has been designed to take advantage of performance gains in Strategy Analyzer optimizations
// See the Help Guide for additional information
IsInstantiatedOnEachOptimizationIteration = true;
//IsInstantiatedOnEachOptimizationIteration = false;
}
else if (State == State.Configure)
{
//System.Windows.Forms.MessageBox.Show("Configure");
bDataLoaded = false;
if (!OnlyGeneratePlots)
{
for (int i = 0; i < symbol_list.Count; i++)
{
//Don't add the dummy instrument (but we still need a placeholder list which is added below)
if (i != 0)
{
AddDataSeries(symbol_list[i], Data.BarsPeriodType.Day, 1);
}
}
for (int i = 0; i < indicator_list.Count; i++)
{
master_list_training.Add(new List <List <Indicator_FutureValueChange_Pair> >());
master_list_testing.Add(new List <List <Indicator_FutureValueChange_Pair> >());
for (int j = 0; j < symbol_list.Count; j++)
{
master_list_training[i].Add(new List <Indicator_FutureValueChange_Pair>());
master_list_testing[i].Add(new List <Indicator_FutureValueChange_Pair>());
}
}
}
SetStopLoss(CalculationMode.Percent, 0.05);
// Sets a 20 tick trailing stop for an open position
//SetTrailStop(CalculationMode.Ticks, 20);
}
else if (State == State.DataLoaded)
{
//master_symbol_name = Instrument.MasterInstrument.Name;
bDataLoaded = true;
TrainingStartDate = TestingEndDate.AddYears(-1);
TrainingEndDate = TestingEndDate.AddDays(-91);
TestingStartDate = TestingEndDate.AddDays(-90);
output_folder_with_date = output_folder + TestingEndDate.ToString("ddMMMyyyy") + "\\";
DirectoryInfo di = Directory.CreateDirectory(output_folder_with_date);
if (OnlyGeneratePlots)
{
mut_python.WaitOne();
string args = output_folder_with_date + "master_sorted.csv" + " " + NumPlotsToGenerate.ToString();
Debug.WriteLine("Python args" + args);
CallPythonScript(output_folder + "\\Data_Processing46.py", args);
mut_python.ReleaseMutex();
Debug.WriteLine("After Python mutex");
}
}
else if ((bDataLoaded == true) && ((State == State.Transition) || (State == State.Terminated))) //finished processing historical data (and ready for real-time)
{
}
}
protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Description = "test";
Name = "PlotGenerator1";
Calculate = Calculate.OnEachTick; //This will let us get the last Bar
EndDate = DateTime.Today;
SortedMasterFilePath = "c:\\temp\\knn\\";
NumPlotsToGenerate = 20;
// This strategy has been designed to take advantage of performance gains in Strategy Analyzer optimizations
// See the Help Guide for additional information
IsInstantiatedOnEachOptimizationIteration = true;
//IsInstantiatedOnEachOptimizationIteration = false;
}
else if (State == State.Configure)
{
}
else if (State == State.DataLoaded)
{
mut_python.WaitOne();
string args = SortedMasterFilePath + EndDate.ToString("ddMMMyyyy") + "\\master_sorted.csv" + " " + NumPlotsToGenerate.ToString();
Debug.WriteLine("Python args" + args);
CallPythonScript("c:\\temp\\knn" + "\\Data_Processing46.py", args);
mut_python.ReleaseMutex();
Debug.WriteLine("After Python mutex");
}
else if ((State == State.Transition) || (State == State.Terminated)) //finished processing historical data (and ready for real-time)
{
}
}
