public void TickInt()
{
Tick[] tape = TestBarList.SampleData();
BarListTracker blt = new BarListTracker(new[] { 3 }, new BarInterval[] { BarInterval.CustomTicks });
foreach (Tick k in tape)
blt.newTick(k);
Assert.AreEqual(4,blt[tape[0].symbol].Count);
}
public override void Reset()
{
// enable prompting of system parameters to user,
// so they do not have to recompile to change things
ParamPrompt.Popup(this, true,_black);
// only build bars for user's interval
blt = new BarListTracker(Interval);
// only calculate on new bars
blt.GotNewBar += new SymBarIntervalDelegate(blt_GotNewBar);
}
public SMAResponse(bool prompt)
{
// enable prompting of system parameters to user,
// so they do not have to recompile to change things
ParamPrompt.Popup(this,!prompt);
// only build bars for user's interval
blt = new BarListTracker(Interval);
// only calculate on new bars
blt.GotNewBar += new SymBarIntervalDelegate(blt_GotNewBar);
// set our indicator names, in case we import indicators into R
// or excel, or we want to view them in gauntlet or kadina
Indicators = new string[] { "SMA" };
}
public void DefaultInt()
{
BarListTracker blt = new BarListTracker();
blt.GotNewBar+=new SymBarIntervalDelegate(blt_GotNewBar);
Tick [] tape = TestBarList.SampleData();
// get second tape and change symbol
Tick[] tape2 = TestBarList.SampleData();
for (int i = 0; i<tape2.Length; i++)
tape2[i].symbol = "TST2";
// add ticks from both tape to tracker
for (int i = 0; i<tape.Length; i++)
{
blt.newTick(tape[i]);
blt.newTick(tape2[i]);
}
//make sure we got two symbols as bar events
Assert.AreEqual(2, syms.Count);
// make sure our symbols matched barlist count
Assert.AreEqual(blt.SymbolCount, syms.Count);
int secondcount = 0;
string symstring = string.Empty;
foreach (string sym in blt)
{
secondcount++;
symstring += sym;
}
// make sure enumeration equals symbol count
Assert.AreEqual(syms.Count, secondcount);
// make sure symbols are there
Assert.IsTrue(symstring.Contains("TST") && symstring.Contains("TST2"));
// change default interval
blt.DefaultInterval = BarInterval.Minute;
// make sure same on individual bars
Assert.AreEqual(blt.DefaultInterval,blt["TST"].DefaultInterval);
Assert.AreEqual(9, blt["TST"].IntervalCount(BarInterval.Minute));
Assert.AreEqual(3, blt["TST"].IntervalCount(BarInterval.FiveMin));
}
/// <summary>
/// load previous days bar data from tick files located in tradelink tick folder
/// </summary>
/// <param name="PreviousDay"></param>
/// <param name="syms"></param>
/// <param name="AttemptToLoadPreviousDayBars"></param>
/// <param name="_blt"></param>
/// <param name="NewBarEvents"></param>
/// <param name="deb"></param>
/// <returns></returns>
public static bool LoadPreviousBars(int PreviousDay, string[] syms, bool AttemptToLoadPreviousDayBars, ref BarListTracker _blt, SymBarIntervalDelegate NewBarEvents, DebugDelegate deb)
{
if (AttemptToLoadPreviousDayBars)
{
bool errors = false;
foreach (string sym in syms)
{
string fn = Util.TLTickDir + "\\" + sym + PreviousDay + TikConst.DOT_EXT;
if (System.IO.File.Exists(fn))
{
try
{
BarList test = BarListImpl.FromTIK(fn);
_blt[sym] = BarListImpl.FromTIK(fn, true, false, _blt[sym].CustomIntervals, _blt[sym].Intervals);
_blt[sym].GotNewBar += NewBarEvents;
if (deb != null)
deb(sym + " loaded historical bars from: " + fn);
}
catch (Exception ex)
{
errors = true;
if (deb != null)
{
deb(sym + " error loading historical bars from: " + fn);
deb(ex.Message + ex.StackTrace);
}
}
}
else
{
errors = true;
if (deb != null)
{
deb(sym + " starting from zero, no historical bar data at: " + fn);
}
}
}
return !errors;
}
return true;
}
/// <summary>
/// fill bars with arbitrary price data for a symbol
/// </summary>
/// <param name="sym"></param>
/// <param name="prices"></param>
/// <param name="startdate"></param>
/// <param name="blt"></param>
/// <param name="interval"></param>
/// <param name="debugs"></param>
/// <returns></returns>
public static bool backfillbars(string sym, decimal[] prices, int startdate, ref BarListTracker blt, int interval, DebugDelegate debugs)
{
// ensure we have closing data
if (prices.Length == 0)
{
if (debugs != null)
debugs(sym + " no price data provided/available, will have to wait until bars are created from market.");
return false;
}
// get start day
int date = startdate;
// make desired numbers of ticks
DateTime n = DateTime.Now;
bool ok = true;
for (int i = prices.Length - 1; i >= 0; i--)
{
// get time now - exitlen*60
int nt = Util.ToTLTime(n.Subtract(new TimeSpan(0, i * interval, 0)));
Tick k = TickImpl.NewTrade(sym, date, nt, prices[i], 100, string.Empty);
ok &= k.isValid && k.isTrade;
blt.newTick(k);
}
if (ok && (debugs != null))
debugs(sym + " bars backfilled using: " + Calc.parray(prices));
return ok;
}
public void setup()
{
//AppDomain.CurrentDomain.UnhandledException += new UnhandledExceptionEventHandler(CurrentDomain_UnhandledException);
if (!isserverconok)
{
server = new TradeLink.Common.TLServer_WM();
con = new IQFeedHelper(server);
con.VerboseDebugging = verbosesetting;
con.SendDebug += new DebugDelegate(g.d);
// get login information
var data = Util.getfile(loginfile, g.d);
Assert.IsFalse(string.IsNullOrWhiteSpace(data), "no login info");
var li = data.Split(Environment.NewLine.ToCharArray(), StringSplitOptions.RemoveEmptyEntries);
Assert.AreEqual(3, li.Length, "missing login info");
// attempt to startup connection
con.Start(li[userr], li[pwr], li[prodr], Util.TLBuild());
// wait a moment
Util.sleep(4000);
Assert.IsTrue(isserverconok, "server connection failed");
}
if (isserverconok && !isclientconok)
{
var c = new TLClient_WM("tempiqclient", false);
c.VerboseDebugging = verbosesetting;
c.SendDebugEvent += new DebugDelegate(g.d);
if (c.ProvidersAvailable[0]!= Providers.IQFeed)
throw new Exception("unable to find test server");
c.Mode(0, false);
client = c;
client.gotUnknownMessage += new MessageDelegate(client_gotUnknownMessage);
// verify
Assert.IsTrue(isclientconok, "client connection failed");
}
// reset everything
mt = new MessageTracker();
mt.VerboseDebugging = verbosesetting;
blt = new BarListTracker();
mt.BLT = blt;
mt.SendDebug += new DebugDelegate(g.d);
mt.GotNewBar += new SymBarIntervalDelegate(mt_GotNewBar);
recvbarcount = 0;
msgok = true;
g.d("iqfeed started.");
// wait a moment
Util.sleep(1000);
}
string debug_message_from_constructor = ""; // need to store it and show on 1st tick, otherwise debug messages are wiped out when ticks start to arrive
public _TS_step_by_step()
: base()
{
System.Diagnostics.Debug.WriteLine("class _TS_step_by_step constructor entry point");
string[] args = MyGlobals.args; // extract main(args) from MyGlobals (we store main(args) in Kadina Program.cs, ASP, etc.)
if (args == null)
{
throw new Exception("you forgot to set MyGlobals.args (in Kadina or asp or in whatever you use)");
}
string response_config = "";
//string storage_service_config_jsonfile = "";
string rabbitmq_config_jsonfile = "";
var p = new OptionSet() {
{ "a|response-config=", "response json configuration file",
v => response_config = v },
//{ "c|storage-service-config=", "path to storage_service json configuration file",
// v => storage_service_config_jsonfile = v},
{"r|rabbitmq-config=", "path to rabbitmq json configuration file",
v => rabbitmq_config_jsonfile = v}
};
// parse cmd-line args
List<string> extra;
try
{
extra = p.Parse(args);
}
catch (OptionException e)
{
System.Diagnostics.Debug.WriteLine(e.Message);
System.Diagnostics.Debug.WriteLine("Try `--help' for more information.");
return;
}
// get settings from json file
if (response_config != "")
{
response_parameters_holder = new ResponseParametersHolder();
response_parameters_holder.parse_json_file(response_config);
bson = response_parameters_holder.bson;
//_ema_bar = Convert.ToInt32(bson["_ema_bar"]);
_ema_bar = BsonSerializer.Deserialize<int>(bson["_ema_bar"].ToJson());
_response_barsize_s = BsonSerializer.Deserialize<int>(bson["_response_barsize_s"].ToJson());
_stop_k = BsonSerializer.Deserialize<double>(bson["_stop_k"].ToJson());
_target_price_k = BsonSerializer.Deserialize<double>(bson["_target_price_k"].ToJson());
//_target_price_k = Convert.ToDouble(bson["_target_price_k"]);
// Custom name of response set by you
Name = BsonSerializer.Deserialize<string>(bson["name"].ToJson());
//debug_message_from_constructor = "parsed json file - OK (set slow_ma=" + _slow_ma_bar + " fast_ma=" + _fast_ma_bar;
//D(debug_message_from_constructor); // wtf? why this message never showed up? seems messages are cleaned right before 1st GotTick();
//ResponseParametersHolder storage_service_parameters_holder = new ResponseParametersHolder();
//storage_service_parameters_holder.parse_json_file(storage_service_config_jsonfile);
//storage_service_parameters_bson = storage_service_parameters_holder.bson;
ResponseParametersHolder rabbitmq_parameters_holder = new ResponseParametersHolder();
rabbitmq_parameters_holder.parse_json_file(rabbitmq_config_jsonfile);
rabbitmq_parameters_bson = rabbitmq_parameters_holder.bson;
call_me_from_child_constructor();
}
// track_symbols_NewTxt() called when new text label is added
track_symbols.NewTxt += new TextIdxDelegate(track_symbols_NewTxt);
// Names of the indicators used by your response. Length must correspond to
// actual indicator values send with SendIndicators event
Indicators = GenericTracker.GetIndicatorNames(gens());
//[_response_barsize_s, 22]
track_barlists = new BarListTracker(new int[] { _response_barsize_s, 22 }, new BarInterval[] { BarInterval.CustomTime, BarInterval.CustomTime });
track_barlists.GotNewBar += new SymBarIntervalDelegate(GotNewBar);
}
public void DefaultIntervalsAndInitilizedFields()
{
var blt_t300 = new BarListTracker(new int[] { 300 }, new BarInterval[] { BarInterval.CustomTime });
var blt_v10000 = new BarListTracker(new int[] { 10000}, new BarInterval[] { BarInterval.CustomVol});
g.d(blt_v10000.DefaultInterval.ToString());
g.d(blt_t300.DefaultInterval.ToString());
Assert.AreEqual(blt_v10000.Intervals.Length, blt_v10000.CustomIntervals.Length, "vol mismatch custom/intervals");
Assert.AreEqual(10000, blt_v10000.CustomIntervals[0], "vol wrong interval size");
Assert.AreEqual(BarInterval.CustomVol, blt_v10000.Intervals[0], "vol wrong interval type");
Assert.AreEqual(blt_t300.Intervals.Length, blt_t300.CustomIntervals.Length,"mismatch custom/intervals");
Assert.AreEqual(300, blt_t300.CustomIntervals[0], "wrong interval size");
Assert.AreEqual(BarInterval.CustomTime,blt_t300.Intervals[0] , "wrong interval type");
}
public void Initialize()
{
dailyBarTracker = new BarListTracker(BarInterval.Day);
intraBarTracker = new BarListTracker(BarInterval.FiveMin);
}
/// <summary>
/// fill bars with arbitrary price data for a symbol
/// </summary>
/// <param name="sym"></param>
/// <param name="prices"></param>
/// <param name="startdate"></param>
/// <param name="blt"></param>
/// <param name="interval"></param>
/// <param name="debugs"></param>
/// <returns></returns>
public static bool backfillbars(string sym, decimal[] prices, int startdate, int starttime, ref BarListTracker blt, int interval, DebugDelegate debugs)
{
// ensure we have closing data
if (prices.Length == 0)
{
if (debugs != null)
debugs(sym + " no price data provided/available, will have to wait until bars are created from market.");
return false;
}
// make desired numbers of ticks
DateTime n = Util.ToDateTime(startdate, starttime);
bool ok = true;
List<string> bfd = new List<string>();
for (int i = prices.Length - 1; i >= 0; i--)
{
// get time now - exitlen*60
var ndt = n.Subtract(new TimeSpan(0, i * interval, 0));
int nt = Util.ToTLTime(ndt);
int nd = Util.ToTLDate(ndt);
Tick k = TickImpl.NewTrade(sym, nd, nt, prices[i], 100, string.Empty);
ok &= k.isValid && k.isTrade;
bfd.Add(nd.ToString() + nt.ToString() + "=" + prices[i]);
if (i <= 2)
debugs(nd + " " + nt);
blt.newTick(k);
}
if (ok && (debugs != null))
debugs(sym + " bars backfilled using: " + Util.join(bfd));
return ok;
}
