public List <TradeInfo> GetTradesList(string symbol, string exchange)
{
ConcurrentDictionary <string, List <TradeInfo> > symbolTrades;
if (!Trades.TryGetValue(symbol, out symbolTrades))
{
symbolTrades = new ConcurrentDictionary <string, List <TradeInfo> >();
Trades[symbol] = symbolTrades;
}
List <TradeInfo> agrTrades;
if (!symbolTrades.TryGetValue(exchange, out agrTrades))
{
agrTrades = new List <TradeInfo>();
symbolTrades[exchange] = agrTrades;
}
return(agrTrades);
}
public void GetTradesListFiltered(string symbol, string exchange, out List <TradeInfo> agrTradesCut, out List <TradeInfo> TradesCutCheck, out List <TradeInfo> TradesCutPrediction)
{
float advanceMargin = Parameters.ArbPercentForAdvancePreopting;
agrTradesCut = new List <TradeInfo>();
TradesCutCheck = new List <TradeInfo>();
TradesCutPrediction = new List <TradeInfo>();
ConcurrentDictionary <string, List <TradeInfo> > symbolTrades;
if (!Trades.TryGetValue(symbol, out symbolTrades))
{
return;
}
List <TradeInfo> agrTrades;
if (!symbolTrades.TryGetValue(exchange, out agrTrades))
{
return;
}
var agrValue = agrTrades.Select(trade => trade.OpenSlip).Distinct().OrderBy(v => v).ToArray();
var maxLength = agrValue.Length;
float arbCount = agrTrades.Sum(trade => trade.isArbitrage ? 1 : 0);
var openSlipMargins = new List <string>();
var corFil = new float[maxLength, 6];
for (int i = 0; i < maxLength; i++)
{
corFil[i, 0] = agrValue[i];
for (int tradeIndex = 0; tradeIndex < agrTrades.Count; tradeIndex++)
{
if (agrTrades[tradeIndex].OpenSlip == corFil[i, 0])
{
if (agrTrades[tradeIndex].isArbitrage)
{
corFil[i, 1]++;
}
corFil[i, 3]++;
}
}
if (i > 0)
{
corFil[i, 2] = corFil[i - 1, 2] + corFil[i, 1];
corFil[i, 4] = corFil[i - 1, 4] + corFil[i, 3];
}
else
{
corFil[i, 2] = corFil[i, 1];
corFil[i, 4] = corFil[i, 3];
}
if (i == maxLength - 1)
{
corFil[i, 5] = 0;
openSlipMargins.Add(symbol + "\t" + exchange + "\t" + Convert.ToString(corFil[i, 0]) + "\t" + Convert.ToString(corFil[i, 5]));
}
else
{
corFil[i, 5] = 1 - corFil[i, 2] / corFil[i, 4];
openSlipMargins.Add(symbol + "\t" + exchange + "\t" + Convert.ToString(corFil[i, 0]) + "\t" + Convert.ToString(corFil[i, 5]));
}
}
Parameters.MinAdvance = corFil[0, 0] - 1;
Parameters.MinAdvanceGlobal = corFil[0, 0] - 1;
for (int i = maxLength - 1; i >= 0; i--)
{
if (corFil[i, 5] >= advanceMargin)
{
Parameters.MinAdvance = corFil[i, 0];
break;
}
}
if (Parameters.MinAdvance > -1)
{
Parameters.MinAdvance = -1; //openSlipetch protect
}
var tempIndexes = new int[agrTrades.Count];
int counter = -1;
for (int i = 0; i < agrTrades.Count; i++)
{
if (agrTrades[i].OpenSlip > Parameters.MinAdvance)
{
counter++;
tempIndexes[counter] = i;
}
}
var indexes = new int[counter + 1];
for (int i = 0; i < indexes.Length; i++)
{
indexes[i] = tempIndexes[i];
}
Parameters.CountOfVariable = steps.Length - 1;
Dictionary <DateTime, List <int> > StDev = new Dictionary <DateTime, List <int> >();
for (int i = 0; i < (int)Math.Round(Parameters.PercentOfOptLog * indexes.Length); i++)
{
agrTradesCut.Add(agrTrades[indexes[i]]);
DateTime currentLogDay = new DateTime();
currentLogDay = agrTrades[indexes[i]].openDate.Date;
if (!StDev.ContainsKey(currentLogDay))
{
StDev.Add(currentLogDay, new List <int>());
}
}
for (int i = (int)Math.Round(Parameters.PercentOfOptLog * indexes.Length); i < (int)Math.Round((Parameters.PercentOfOptLog + Parameters.PercentOfCheckLog) * indexes.Length); i++)
{
TradesCutCheck.Add(agrTrades[indexes[i]]);
DateTime currentLogDay = new DateTime();
currentLogDay = agrTrades[indexes[i]].openDate.Date;
if (!StDev.ContainsKey(currentLogDay))
{
StDev.Add(currentLogDay, new List <int>());
}
}
Parameters.daysCount = StDev.Count;
for (int i = (int)Math.Round((Parameters.PercentOfOptLog + Parameters.PercentOfCheckLog) * indexes.Length); i < indexes.Length; i++)
{
TradesCutPrediction.Add(agrTrades[indexes[i]]);
DateTime currentLogDay = new DateTime();
currentLogDay = agrTrades[indexes[i]].openDate.Date;
if (!StDev.ContainsKey(currentLogDay))
{
StDev.Add(currentLogDay, new List <int>());
}
}
openSlipMargins.Add(Convert.ToString(Parameters.MinAdvance));
string path = Directory.GetCurrentDirectory();
System.IO.File.AppendAllLines(path + "/Recomends/Preopting.txt", openSlipMargins);
}
