public void FinishAndProcess()
{
for (int i = 0; i < symbols.Length; i++)
{
SortedList <DateTime, Tick> d = mktData[i].data.Data;
for (int j = 0; j < numTicks; j++)
{
graphData[i, j] = indicator.HandleNextTick(d.Values[j]);
}
}
Visualize.GenerateMultiSymbolGraph(symbols, graphData, mktData[0].data.Data.Values[0].Time,
DateTimeUtils.TimeFrameToTimeSpan(timeframe), "C:\\Users\\Ethan\\Work\\QuantSysdata.html");
Console.WriteLine("Done Processing symbol set.");
}
public void FinishAndProcess()
{
try
{
var priceData = new DenseMatrix(symbols.Length, numTicks);
for (int j = 0; j < symbols.Length; j++)
{
SortedList <DateTime, Tick> d = mktData[j].data.Data;
for (int k = 0; k < d.Count; k++)
{
//if (!symbols[j].Substring(0, 3).Equals("USD")) priceData[j, k] = 1/d.Values[k].BidClose;
priceData[j, k] = d.Values[k].BidOpen;
}
}
Vector <double> price1 = priceData.Row(0);
Vector <double> price2 = priceData.Row(1);
//Statistics.ApplyFunction((DenseVector)price1, Math.Log);
//Statistics.ApplyFunction((DenseVector)price2, Math.Log);
DenseVector norm1 = price1.ToArray().NormalizeZScore();
DenseVector norm2 = price2.ToArray().NormalizeZScore();
var newsym = new string[symbols.Length + 4];
for (int i = 0; i < symbols.Length; i++)
{
newsym[i] = symbols[i];
}
newsym[2] = "spread";
newsym[3] = "EMA5";
newsym[4] = "EMA15";
newsym[5] = "EMA30";
var m = new DenseMatrix(6, norm1.Count);
m.SetRow(0, norm1);
m.SetRow(1, norm2);
m.SetRow(2, (norm1 - norm2).ToArray().NormalizeZScore());
m.SetRow(3, EMA.CalcEMA(m.Row(2).ToArray(), 5));
m.SetRow(4, EMA.CalcEMA(m.Row(2).ToArray(), 15));
m.SetRow(5, EMA.CalcEMA(m.Row(2).ToArray(), 30));
string filename = symbols[0].Replace('/', '_') + "-" + symbols[1].Replace('/', '_') + ".html";
((DenseVector)m.Row(0)).GenerateSimpleGraph("C:\\Sangar\\result.html");
Visualize.GenerateMultiSymbolGraph(newsym, m, DateTime.Now.AddSeconds(-60 * 5 * 300), new TimeSpan(0, 5, 0),
"C:\\Sangar\\" + filename);
FileUpload.UploadFileToFTP("C:\\Sangar\\" + filename, filename);
Spread = m[2, m.ColumnCount - 1];
if (Spread > 2.0 && m[2, m.ColumnCount - 2] <= 2.0)
{
Emailer.SendEmail(symbols[0] + "-" + symbols[1] + " Spread Above 2.0", "Test");
}
if (Spread < -2.0 && m[2, m.ColumnCount - 2] >= -2.0)
{
Emailer.SendEmail(symbols[0] + "-" + symbols[1] + " Spread Below -2.0", "Test");
}
//if (m[2, m.ColumnCount - 1] < 0.5 && m[2, m.ColumnCount - 2] >= 0.5)
// Emailer.SendEmail(symbols[0] + "-" + symbols[1] + " Spread Below 0.5", "Test");
//if (m[2, m.ColumnCount - 1] > -0.5 && m[2, m.ColumnCount - 2] <= -0.5)
// Emailer.SendEmail(symbols[0] + "-" + symbols[1] + " Spread Above -0.5", "Test");
}
catch (Exception e)
{
Console.WriteLine(e.Message);
}
}
