public List <Candlestick[]> GetCandlesticksEachDate()
{
DateTime oldDate = new DateTime();
Candlestick[] hmList = null;
List <Candlestick[]> result = new List <Candlestick[]>();
TimeZoneInfo est = TimeZoneInfo.FindSystemTimeZoneById("Eastern Standard Time");
foreach (var c in candlesticks)
{
if (IsSummerTime != null && IsSummerTime.Value == false && est.IsDaylightSavingTime(c.DateTime))
{
continue;
}
DateTime shiftedTime = c.DateTime.AddHours(this.ShiftHour);
if (!oldDate.Equals(shiftedTime.Date))
{
hmList = new Candlestick[NumOfCandlesInDay];
result.Add(hmList);
oldDate = shiftedTime.Date;
}
hmList[GetArrayIndex(new TimeSpan(shiftedTime.Hour, shiftedTime.Minute, 0))] = c;
// hmList[shiftedTime.Hour * 2 + (shiftedTime.Minute == 30 ? 1 : 0)] = c;
}
return(result);
}
private void 日時ベスト特定日時検証(object sender, EventArgs e)
{
RunTask(sender, (Report report) => {
report.Version = 1;
report.Comment = "0000-0430_0500-0700";
report.SetHeader("date", "balance", "isbuy", "isplus");
List <Candlestick> list = new List <Candlestick>(new CandlesticksReader().Read(DATA_PATH + @"\m30-5y.csv"));
DateTime oldDate = new DateTime();
Candlestick[] hmList = null;
List <Candlestick[]> dateList = new List <Candlestick[]>();
foreach (var c in list)
{
if (!oldDate.Equals(c.Time.Date))
{
hmList = new Candlestick[48];
dateList.Add(hmList);
oldDate = c.Time.Date;
}
hmList[c.Time.Hour * 2 + (c.Time.Minute == 30 ? 1 : 0)] = c;
}
foreach (var t in CheckTrade(new CandlesticksReader().Read(DATA_PATH + @"\m30-5y.csv"), new int[] { 0, 9, 10, 14 }))
{
report.WriteLine(t.Item1.Year + "/" + t.Item1.Month + "/" + t.Item1.Day, t.Item2, (t.Item3 ? "1" : "0"), (t.Item2 > 0 ? "1" : "0"));
}
});
}
private void LoadChart()
{
using (DBUtils.OpenThreadConnection()) {
DateTime start = NormalizeDateTime(dateTime.AddDays(-1));
chart1.Series.Clear();
chart1.ChartAreas.Clear();
chart1.Titles.Clear();
var candles = Candlestick.Aggregate(new CandlesticksGetter()
{
Granularity = "M10",
Start = start,
End = start.AddDays(1)
}.Execute().ToList(), 2).ToList();
var positions = new OrderBookPricePointDao(
DBUtils.GetConnection()).GetPositionSummaryGroupByOrderBookDateTime(start, dateTime)
.Select(p => new Tuple <DateTime, float, float>(NormalizeDateTime(p.Item1), p.Item2, p.Item3)).ToList();
DateTime startChart = candles[0].DateTime;
DateTime endChart = candles[candles.Count() - 1].DateTime.AddMinutes(20);
if (candles.Where(c => !c.IsNull).Count() >= 1)
{
CreatePositionSmummaryChartArea(positions, startChart, endChart);
CreateCandlesticksChartArea(candles, positions, startChart, endChart);
}
nextDayButton.Enabled = dateTime.AddDays(1) <= DateTime.Now;
dateLabel.Text = dateTime.ToString("M/dd");
}
}
public float Settle(Candlestick candlestick, int volume)
{
if (volume > this.volume)
{
throw new Exception();
}
this.volume -= volume;
float d = (candlestick.Close - current.Candlestick.Close) * volume;
if (tradeType == TradeType.Ask)
{
return(d);
}
else
{
return(-d);
}
}
private void 近傍ポジション変化_Click(object sender, EventArgs e)
{
RunTask(sender, report => {
report.Version = 3;
report.IsForceOverride = true;
report.Comment = "";
report.SetHeader("date_time", "pre_pl", "cur_pl", "pre_ps", "cur_ps", "low", "high", "close");
using (DBUtils.OpenThreadConnection()) {
OrderBookDao.Entity preOrderBook = null;
foreach (var orderBook in GetOrderBooks())
{
if (preOrderBook != null)
{
var candle = Candlestick.Aggregate(new CandlesticksGetter()
{
Granularity = "M10",
Start = orderBook.NormalizedDateTime.AddMinutes(-20),
Count = 2
}.Execute());
if (orderBook.NormalizedDateTime == new DateTime(2016, 2, 22, 10, 40, 0, DateTimeKind.Local))
{
int a = 1;
}
float prePl = 0, prePs = 0;
float curPl = 0, curPs = 0;
foreach (var pp in GetRangePricePoint(orderBook, candle.Low, candle.High))
{
curPl += pp.Pl;
curPs += pp.Ps;
}
foreach (var pp in GetRangePricePoint(preOrderBook, candle.Low, candle.High))
{
prePl += pp.Pl;
prePs += pp.Ps;
}
report.WriteLine(orderBook.DateTime, prePl, curPl, prePs, curPs, candle.Low, candle.High, candle.Close);
}
preOrderBook = orderBook;
}
}
});
}
public List <Candlestick[]> GetCandlesticksEachDate()
{
DateTime oldDate = new DateTime();
Candlestick[] hmList = null;
List <Candlestick[]> result = new List <Candlestick[]>();
foreach (var c in candlesticksM30)
{
DateTime shiftedTime = c.Time.AddHours(this.ShiftHour);
if (!oldDate.Equals(shiftedTime.Date))
{
hmList = new Candlestick[48];
result.Add(hmList);
oldDate = shiftedTime.Date;
}
hmList[shiftedTime.Hour * 2 + (shiftedTime.Minute == 30 ? 1 : 0)] = c;
}
return(result);
}
static public Candlestick Aggregate(IEnumerable <Candlestick> l)
{
Candlestick result = new Candlestick();
result.High = float.MinValue;
result.Low = float.MaxValue;
bool isOpen = true;
foreach (var c in l)
{
if (isOpen)
{
result.DateTime = c.DateTime;
if (c.IsNull)
{
result.Open = 0;
}
else
{
result.Open = c.Open;
}
isOpen = false;
}
if (c.IsNull)
{
continue;
}
result.Close = c.Close;
if (result.IsNull == false)
{
result.High = Math.Max(result.High, c.High);
result.Low = Math.Min(result.Low, c.Low);
}
}
if (isOpen)
{
throw new Exception();
}
return(result);
}
public IEnumerable <Candlestick> Read(string filePath)
{
var file = new StreamReader(filePath);
string line;
while (true)
{
line = file.ReadLine();
if (line == null)
{
break;
}
var e = line.Split(',');
Candlestick c = new Candlestick();
c.DateTime = DateTime.Parse(e[0] + " " + e[1]);
c.Open = float.Parse(e[2]);
c.High = float.Parse(e[3]);
c.Low = float.Parse(e[4]);
c.Close = float.Parse(e[5]);
yield return(c);
}
file.Close();
}
private IEnumerable <Tuple <DateTime, float> > CheckWeekTrade(IEnumerable <Candlestick> list, int[] tradeTimes)
{
DayOfWeek oldDayOfWeek = new DayOfWeek();
Candlestick[] hmList = null;
List <Candlestick[]> dateList = new List <Candlestick[]>();
foreach (var c in list)
{
if (hmList == null || oldDayOfWeek > c.Time.DayOfWeek)
{
hmList = new Candlestick[48 * 7];
dateList.Add(hmList);
}
oldDayOfWeek = c.Time.DayOfWeek;
hmList[(int)c.Time.DayOfWeek * 48 + c.Time.Hour * 2 + (c.Time.Minute == 30 ? 1 : 0)] = c;
}
foreach (var hml in dateList)
{
if (tradeTimes.Count(tt => hml[tt].Open == 0) >= 1)
{
continue;
}
float sd = hml[tradeTimes[1]].Close - hml[tradeTimes[0]].Open;
float ed = hml[tradeTimes[3]].Close - hml[tradeTimes[2]].Open;
if (sd > 0)
{
yield return(new Tuple <DateTime, float>(hml[tradeTimes[0]].Time, -ed));
}
else if (sd < 0)
{
yield return(new Tuple <DateTime, float>(hml[tradeTimes[0]].Time, ed));
}
}
}
private IEnumerable <Tuple <DateTime, float, bool> > CheckTrade(IEnumerable <Candlestick> list, int[] tradeTimes)
{
DateTime oldDate = new DateTime();
Candlestick[] hmList = null;
List <Candlestick[]> dateList = new List <Candlestick[]>();
foreach (var c in list)
{
if (!oldDate.Equals(c.Time.Date))
{
hmList = new Candlestick[48];
dateList.Add(hmList);
oldDate = c.Time.Date;
}
hmList[c.Time.Hour * 2 + (c.Time.Minute == 30 ? 1 : 0)] = c;
}
foreach (var hml in dateList)
{
if (tradeTimes.Count(tt => hml[tt].Open == 0) >= 1)
{
continue;
}
float sd = hml[tradeTimes[1]].Close - hml[tradeTimes[0]].Open;
float ed = hml[tradeTimes[3]].Close - hml[tradeTimes[2]].Open;
if (sd > 0)
{
yield return(new Tuple <DateTime, float, bool>(hml[tradeTimes[0]].Time, -ed, false));
}
else if (sd < 0)
{
yield return(new Tuple <DateTime, float, bool>(hml[tradeTimes[0]].Time, ed, true));
}
}
}
static public Candlestick Create(IEnumerable <Candlestick> l)
{
Candlestick result = new Candlestick();
result.High = float.MinValue;
result.Low = float.MaxValue;
bool isOpen = true;
foreach (var c in l)
{
if (isOpen)
{
result.Open = c.Open;
isOpen = false;
}
else
{
result.Close = c.Close;
}
result.High = Math.Max(result.High, c.High);
result.Low = Math.Min(result.Low, c.Low);
}
return(result);
}
public Candlestick Add(Candlestick candle)
{
return(Candlestick.Aggregate(new Candlestick[] { this, candle }));
}
private IEnumerable <Candlestick> GetM30Candles(TimeSpan span)
{
return(Candlestick.Aggregate(GetM10Candles(span), 3));
}
public Current(CurrentEnumrator enumerator, Candlestick candlestick)
{
this.enumerator = enumerator;
this.candlestick = candlestick;
}
private IEnumerable <Tuple <int[], int[]> > GetBestTradeTimePinBar(IEnumerable <Candlestick> list, int limit)
{
DateTime oldDate = new DateTime();
Candlestick[] hmList = null;
List <Candlestick[]> dateList = new List <Candlestick[]>();
foreach (var c in list)
{
if (!oldDate.Equals(c.Time.Date))
{
hmList = new Candlestick[48];
dateList.Add(hmList);
oldDate = c.Time.Date;
}
hmList[c.Time.Hour * 2 + (c.Time.Minute == 30 ? 1 : 0)] = c;
}
List <Tuple <int[], int[]> > summary = new List <Tuple <int[], int[]> >();
for (int s1 = 0; s1 < 48 - 12; s1++)
{
for (int e1 = s1 + 1; e1 < s1 + 12; e1++)
{
for (int s2 = e1 + 1; s2 < 48 - 12; s2++)
{
for (int e2 = s2 + 1; e2 < s2 + 12; e2++)
{
int[] dayResult = new int[12];
summary.Add(new Tuple <int[], int[]>(new int[] { s1, e1, s2, e2 }, dayResult));
foreach (var hml in dateList)
{
try {
if (hml[e1].Close == 0 || hml[s1].Open == 0 || hml[s2].Open == 0 || hml[e2].Close == 0)
{
continue;
}
float d1 = hml[e1].Close - hml[s1].Open;
float d2 = hml[e2].Close - hml[s2].Open;
var c1 = Candlestick.Create(hml.Skip(s1).Take(e1 - s1 + 1));
int barType;
if (c1.IsPinbar(true, 0.3f, 0.1f))
{
barType = 1;
}
else if (c1.IsPinbar(false, 0.3f, 0.1f))
{
barType = 2;
}
else
{
barType = 0;
}
dayResult[GetBestTradeTimePinBarResultIndex(d1 >= 0, d2 >= 0, barType)]++;
} catch (Exception) {
}
}
}
}
}
}
int best = 0;
foreach (var t in summary.OrderByDescending(t =>
new int[] { 0, 1, 2 }.Max(barType => t.Item2[GetBestTradeTimePinBarResultIndex(true, false, barType)]) +
new int[] { 0, 1, 2 }.Max(barType => t.Item2[GetBestTradeTimePinBarResultIndex(false, true, barType)])))
{
if (best >= limit)
{
break;
}
yield return(t);
best++;
}
}
private IEnumerable <Tuple <int[], int[]> > GetBestTradeWeekTime(IEnumerable <Candlestick> list, int limit)
{
DayOfWeek oldDayOfWeek = new DayOfWeek();
Candlestick[] hmList = null;
List <Candlestick[]> dateList = new List <Candlestick[]>();
foreach (var c in list)
{
if (hmList == null || oldDayOfWeek > c.Time.DayOfWeek)
{
hmList = new Candlestick[48 * 7];
dateList.Add(hmList);
}
oldDayOfWeek = c.Time.DayOfWeek;
hmList[(int)c.Time.DayOfWeek * 48 + c.Time.Hour * 2 + (c.Time.Minute == 30 ? 1 : 0)] = c;
}
List <Tuple <int[], int[]> > summary = new List <Tuple <int[], int[]> >();
for (int s1 = 0; s1 < 7 * 48 - 6; s1++)
{
for (int e1 = s1 + 1; e1 < s1 + 6; e1++)
{
for (int s2 = e1 + 1; s2 < 7 * 48 - 6; s2++)
{
for (int e2 = s2 + 1; e2 < s2 + 6; e2++)
{
int[] dayResult = new int[4];
bool f = false;
foreach (var hml in dateList)
{
try {
float d1 = hml[e1].Close - hml[s1].Open;
float d2 = hml[e2].Close - hml[s2].Open;
if (hml[e1].Close == 0 || hml[s1].Open == 0 || hml[s2].Open == 0 || hml[e2].Close == 0)
{
continue;
}
dayResult[(d1 >= 0 ? 0 : 2) + (d2 >= 0 ? 0 : 1)]++;
f = true;
} catch (Exception) {
}
}
if (f)
{
summary.Add(new Tuple <int[], int[]>(new int[] { s1, e1, s2, e2 }, dayResult));
}
}
}
}
}
int i = 0;
foreach (var t in summary.OrderByDescending(t => (float)(t.Item2[1] + t.Item2[2]) /*/ t.Item2.Sum()*/))
{
if (i >= limit)
{
break;
}
yield return(t);
i++;
}
}