public static List<Stock> Categorize(List<Stock> nonCategorizedStockList, int numberOfGenus, int numberOfDaysAsReferencingPeriod, string additionalArgs)
{
List<Stock> toReturn = new List<Stock>();
numberOfGenus = (int)Math.Floor(numberOfGenus / 2.0);
double peak;
double trough;
foreach (Stock eachStock in nonCategorizedStockList)
{
findChangePeakTrough(eachStock.priceList, out peak, out trough);
List<Tick> priceList = new List<Tick>();
Console.WriteLine("UPDOWN: Stock " + eachStock.stockCode + " has a peak of " + peak + ", a trough of " + trough);
foreach (Tick tick in eachStock.priceList)
{
GenusTick genusTick = new GenusTick();
genusTick.id = tick.id;
genusTick.Time = tick.Time;
genusTick.degreeOfChange = 0;
if (!double.IsInfinity(((NumericTick)tick).adjustedChange))
{
if (((NumericTick)tick).adjustedChange > 0)
{
for (int i = 0; i < numberOfGenus; i++)
{
if (((NumericTick)tick).adjustedChange > (Math.Max(peak,trough) * i / numberOfGenus))
{
genusTick.degreeOfChange = i + 1;
}
}
}
else if (((NumericTick)tick).adjustedChange < 0)
{
for (int i = 0; i < numberOfGenus; i++)
{
if (((NumericTick)tick).adjustedChange < (Math.Max(peak, trough) * i / numberOfGenus))
{
genusTick.degreeOfChange = -i - 1;
}
}
}
}
priceList.Add(genusTick);
}
eachStock.priceList = priceList;
}
return nonCategorizedStockList;
}
public static List<Stock> Categorize(List<Stock> nonCategorizedStockList, int numberOfGenus, int numberOfDaysAsReferencingPeriod, string additionalArgs)
{
bool notUsingReferiod = (numberOfDaysAsReferencingPeriod == 0);
Dictionary<Stock, List<double>> avgPriceOfRefPeriodDict = new Dictionary<Stock, List<double>>();
double error;
double pricePeak;
double priceTrough;
double priceAvg;
double priceSum;
int refPeriodPointer;
int noOfPeriod;
int denominator;
error = 0.01 / numberOfGenus;
Console.WriteLine("\nNumber of genus: " + numberOfGenus + ", number of days as ref period: " + numberOfDaysAsReferencingPeriod);
numberOfGenus = (int)Math.Floor((double)numberOfGenus / 2);
// calculate the average price of each refencing period
foreach (Stock eachStock in nonCategorizedStockList)
{
if (notUsingReferiod)
{
numberOfDaysAsReferencingPeriod = eachStock.priceList.Count;
}
List<double> avgPriceOfRefPeriodList = new List<double>();
priceSum = 0.0;
denominator = 0;
noOfPeriod = (int)Math.Ceiling(eachStock.priceList.Count / (double)numberOfDaysAsReferencingPeriod);
Console.WriteLine("\nABVBLW: Stock " + eachStock.stockCode + " has " + noOfPeriod + " referencing period");
Console.WriteLine("ABVBLW: Stock " + eachStock.stockCode + ", tick #0, start of a referencing period");
for (int i = 0; i < eachStock.priceList.Count; i++)
{
if (numberOfDaysAsReferencingPeriod != 0 && i != 0 && i % numberOfDaysAsReferencingPeriod == 0)
{
// end of a referencing period, take the average of these prices and add to the list
avgPriceOfRefPeriodList.Add(priceSum / denominator);
priceSum = 0.0;
denominator = 0;
Console.WriteLine("ABVBLW: Stock " + eachStock.stockCode + ", tick #" + i + ", start of a referencing period");
}
// in the referencing period, add the price to sum
priceSum += ((NumericTick)eachStock.priceList[i]).adjustedClose;
denominator++;
}
if (denominator > 0)
{
avgPriceOfRefPeriodList.Add(priceSum / denominator);
}
avgPriceOfRefPeriodDict.Add(eachStock, avgPriceOfRefPeriodList);
}
Console.WriteLine();
// discretize the stock price according to their own referencing period average price
foreach (Stock eachStock in nonCategorizedStockList)
{
noOfPeriod = (int)Math.Ceiling(eachStock.priceList.Count / (double)numberOfDaysAsReferencingPeriod);
refPeriodPointer = -1;
priceAvg = -0.1;
List<Tick> refPeriodTickList = null;
List<Tick> categorizedStockList = new List<Tick>();
for (int i = 0; i < eachStock.priceList.Count; i++)
{
if (numberOfDaysAsReferencingPeriod != 0 && i % numberOfDaysAsReferencingPeriod == 0)
{
// get the average of this referencing period from the list
refPeriodPointer = (int)Math.Floor(i / (double)numberOfDaysAsReferencingPeriod);
priceAvg = avgPriceOfRefPeriodDict[eachStock][refPeriodPointer];
if (refPeriodPointer + 1 != noOfPeriod)
{
refPeriodTickList = eachStock.priceList.GetRange(refPeriodPointer * numberOfDaysAsReferencingPeriod, numberOfDaysAsReferencingPeriod);
}
else
{
refPeriodTickList = eachStock.priceList.GetRange(refPeriodPointer * numberOfDaysAsReferencingPeriod, eachStock.priceList.Count - refPeriodPointer * numberOfDaysAsReferencingPeriod);
}
}
findPricePeakTrough(refPeriodTickList, out pricePeak, out priceTrough);
if (i % numberOfDaysAsReferencingPeriod == 0)
{
Console.WriteLine("ABVBLW: Stock " + eachStock.stockCode + ", Ref P #" + refPeriodPointer +
", average: " + priceAvg + ", peak: " + pricePeak + ", trough: " + priceTrough);
}
// divide the interval
NumericTick thisNumericTick = (NumericTick)eachStock.priceList[i];
GenusTick convertedGenusTick = new GenusTick();
convertedGenusTick.id = thisNumericTick.id;
convertedGenusTick.Time = thisNumericTick.Time;
if (Math.Abs(thisNumericTick.adjustedClose - priceAvg) / priceAvg <= error)
{
convertedGenusTick.degreeOfChange = 0;
}
else if (thisNumericTick.adjustedClose > priceAvg)
{
for (int j = 0; j < numberOfGenus; j++)
{
if (thisNumericTick.adjustedClose > priceAvg + ((pricePeak - priceAvg) * j / numberOfGenus))
{
convertedGenusTick.degreeOfChange = j + 1;
}
}
}
else if (thisNumericTick.adjustedClose < priceAvg)
{
for (int j = 0; j < numberOfGenus; j++)
{
if (thisNumericTick.adjustedClose < priceAvg - ((priceAvg - priceTrough) * j / numberOfGenus))
{
convertedGenusTick.degreeOfChange = -j - 1;
}
}
}
categorizedStockList.Add(convertedGenusTick);
}
eachStock.priceList = categorizedStockList;
}
return nonCategorizedStockList;
}
// assisting recursive method for the above public method interface
private static void SequenceString(int numberOfGenus, int numberInSequence, int seqID, int[] intermidiate, List<string> resultList)
{
if (seqID == numberInSequence)
{
Tick[] ticks = new Tick[numberInSequence];
for (int i = 0; i < numberInSequence; i++)
{
ticks[i] = new GenusTick(intermidiate[i]);
}
resultList.Add(SequenceString(ticks));
}
else
{
for (int i = 0; i < numberOfGenus; i++)
{
intermidiate[seqID] = i - (int)Math.Floor(numberOfGenus / 2.0);
SequenceString(numberOfGenus, numberInSequence, seqID + 1, (int[])intermidiate.Clone(), resultList);
}
}
}