public static TPManager AddPair(CurrencyPair pair)
{
if (tradePairs == null)
{
tradePairs = new Utility.TSList <TPManager>();
}
TPManager tpMan = new TPManager(pair);
tpMan.Setup();
tpMan.RecalculateVolatility();
tpMan.Start();
tradePairs.Add(tpMan);
return(tpMan);
}
public static void AddPairLocal(CurrencyPair pair)
{
// adds the pair without pulling any data, using only what's available from file
if (tradePairs == null)
{
tradePairs = new Utility.TSList <TPManager>();
}
TPManager tpMan = new TPManager(pair);
tpMan.Setup(false);
tpMan.RecalculateVolatility();
Console.WriteLine("Added Pair " + pair + " Locally.");
tpMan.Start();
tradePairs.Add(tpMan);
}
private static double RunSimulationInstance(CurrencyPair pair, Trading.TPManager tempTPManager, TickerChangedEventArgs[] tickers)
{
wallet.Reset();
Trading.Manager.UpdateWallet();
Data.Store.ClearTickerData();
for (int z = 0; z < 100; z++)
{
Data.Store.AddTickerData(tickers[z]);
}
Utility.TradeTracker.ClearAll();
tempTPManager.Reset();
for (int z = 100; z < tickers.Length; z++)
{
Data.Store.AddTickerData(tickers[z]);
tempTPManager.UpdatePredictors();
tempTPManager.EvaluateAndTrade();
Trading.Manager.UpdateWalletValue(pair.QuoteCurrency);
if (z % 5000 == 0)
{
Console.WriteLine("Progress: " + z + " / " + tickers.Length);
}
}
IDictionary <string, PoloniexAPI.WalletTools.IBalance> balances = wallet.GetBalancesAsync().Result;
KeyValuePair <string, PoloniexAPI.WalletTools.IBalance>[] balancesArray = balances.ToArray();
double btcValue = 0;
for (int z = 0; z < balancesArray.Length; z++)
{
btcValue += balancesArray[z].Value.BitcoinValue;
}
return(btcValue);
}
// ----------------------
public static void SimulateAll()
{
// -----------------------------
// load trade data
// -----------------------------
Utility.TSList <Utility.TSList <TickerChangedEventArgs> > fullTickerList = Data.Store.LoadTradeData(false);
if (fullTickerList == null)
{
throw new Exception("Data store loaded NULL tickers");
}
List <TickerChangedEventArgs> allTickers = new List <TickerChangedEventArgs>();
for (int i = 0; i < fullTickerList.Count; i++)
{
for (int j = 0; j < fullTickerList[i].Count; j++)
{
allTickers.Add(fullTickerList[i][j]);
}
}
allTickers.Sort();
// -----------------------------
// setup optimizers
// -----------------------------
// todo: ...
// -----------------------------
// setup TPManagers
// -----------------------------
List <Trading.TPManager> tpManagers = new List <Trading.TPManager>();
for (int i = 0; i < fullTickerList.Count; i++)
{
CurrencyPair pair = fullTickerList[i].First().CurrencyPair;
Data.Store.allowUpdatePairs.Add(pair);
Trading.TPManager currTPMan = new Trading.TPManager(pair);
tpManagers.Add(currTPMan);
}
// -----------------------------
// genetic loop
// -----------------------------
int iterations = 0;
double bestScore = 0;
bool lastImproved = false;
while (true)
{
CLI.Manager.PrintNote("Starting Training Session (" + bestScore.ToString("F8") + ")");
// reset the system
wallet.Reset();
Trading.Manager.UpdateWallet();
Data.Store.ClearTickerData();
Utility.TradeTracker.ClearAll();
// add first 10000
int startIndex = 0;
long endTime = allTickers.First().Timestamp + 25200; // 7 hours
for (int i = 0; i < allTickers.Count; i++)
{
if (allTickers[i].Timestamp > endTime)
{
break;
}
AddTicker(allTickers[i], null, false);
startIndex = i;
}
// rebuild TPManagers
for (int i = 0; i < tpManagers.Count; i++)
{
tpManagers[i].Reset();
}
// add all tickers
for (int i = startIndex; i < allTickers.Count; i++)
{
AddTicker(allTickers[i], tpManagers, true);
if (i % 100 == 0)
{
float percent = (((float)i) / allTickers.Count) * 100;
Console.WriteLine("Progress: " + percent.ToString("F2") + "%");
}
}
// score performance, revert or save
IDictionary <string, PoloniexAPI.WalletTools.IBalance> balances = wallet.GetBalancesAsync().Result;
KeyValuePair <string, PoloniexAPI.WalletTools.IBalance>[] balancesArray = balances.ToArray();
double btcValue = 0;
for (int z = 0; z < balancesArray.Length; z++)
{
btcValue += balancesArray[z].Value.BitcoinValue;
}
if (btcValue > bestScore)
{
// save result (with optimizer values)
// todo:
// SaveResultsToFile(btcValue, optimizers);
bestScore = btcValue;
lastImproved = true;
CLI.Manager.PrintNote("New Best: " + bestScore.ToString("F8") + " BTC");
Console.WriteLine("Simulation Result: " + bestScore.ToString("F8") + " BTC");
}
else
{
// todo: revert optimizers
/*
* for (int i = 0; i < optimizers.Length; i++) {
* optimizers[i].Revert();
* }
*/
lastImproved = false;
}
iterations++;
return;
}
}
