public Fibonacci(BarSpud values, int nDays) : base(values.manager)
{
this.values = dependsOn(values);
this.nDays = nDays;
highestHigh = values.high.highest(this.nDays);
lowestLow = values.low.lowest(this.nDays);
}
public BarSpudGraph(BarSpud bars, Collectible collectible, DispatcherObject dispatchTo) : base(parent => new BarSpudPane(bars, collectible, (BarSpudGraph)parent, dispatchTo))
{
barSpud = bars;
MasterPane.InnerPaneGap = 0;
MasterPane.Margin.All = 0;
addBars();
}
BarSpud barSpud()
{
var spud = new BarSpud(manager());
spud.times.prepare();
return(spud);
}
public BarSpudGraphable(BarSpud bars)
{
this.bars = bars;
timeIndices = bars.timeLookup();
bars.valueSet += bar => timeIndices[bar.time] = 0;
bars.pushedDown += () => timeIndices = bars.timeLookup();
}
public void testSymbolValueLive()
{
Log.setFile(@"C:\logs\jefftest");
SystemTimeSeriesTable.SYSTEM_TS.insert("testone", "ASCII", "ActiveMQ", "somedangtopic");
AsciiTable.SYSTEM_ASCII.insert("testone", @"\\nysrv37\share\Tools\RightEdge\TransitionTest\TY1C.full.csv", true, 1);
var manager = new SpudManager();
var barSpud = new BarSpud(manager);
var barSpud2 = new BarSpud(manager);
var symbol = new Symbol("testone");
var spud = symbol.doubles(barSpud);
var spud2 = new Symbol("RE.TEST.TY.1C").doubles(barSpud2);
manager.newBar();
barSpud.set(new Bar(1, 3, 1, 2, O.date("2008/08/06")));
barSpud2.set(new Bar(1, 3, 1, 2, O.date("2008/08/06")));
manager.newTick();
spud.doSubscribe();
barSpud.lastTickedAt(O.date("2008/08/06 11:22:34"));
spud2.doSubscribe();
IsTrue(spud2.isDirty());
symbol.javaSymbol().jmsLive().topic().send("value=97.1|timestamp=2008/08/06 11:22:33|MSTimestamp=2008/06/05 13:10:08");
Bombs(() => LogC.info("" + spud[0]), "stale");
symbol.javaSymbol().jmsLive().topic().send("value=97.2|timestamp=2008/08/06 11:22:34|MSTimestamp=2008/06/05 13:10:08");
O.wait(() => spud[0] == 97.2);
barSpud.lastTickedAt(O.date("2008/08/06 11:22:35"));
spud.allowStaleTicks();
AreEqual(97.2, spud[0]);
AreEqual(116.140625, spud2[0]);
}
public DoubleSpudGraphable(string name, Spud <double> doubles, BarSpud bars)
{
this.name = name;
this.doubles = doubles;
timeIndices = bars.timeLookup();
bars.valueSet += bar => timeIndices[bar.time] = 0;
bars.pushedDown += () => timeIndices = bars.timeLookup();
}
public static SymbolSpud <double> doubles(Symbol symbol, BarSpud spud, double?defalt, bool noLiveUpdates)
{
if (!valuesCache.ContainsKey(symbol))
{
var observations = symbol.observations();
datesCache[symbol] = convert <Date, DateTime>(list <Date>(observations.times()), date);
valuesCache[symbol] = list(observations.values());
}
return(new SymbolValueSpud(symbol, spud, datesCache[symbol], valuesCache[symbol], defalt, noLiveUpdates));
}
public static SymbolSpud <Bar> bars(Symbol symbol, BarSpud spud)
{
if (!barsCache.ContainsKey(symbol))
{
var jbars = list <systemdb.data.Bar>(symbol.bars());
barsCache[symbol] = convert(jbars, jbar => new Bar(jbar));
datesCache[symbol] = convert(barsCache[symbol], bar => bar.time);
}
return(new SymbolBarSpud(symbol, spud, datesCache[symbol], barsCache[symbol]));
}
public BarSpudPane(BarSpud bars, Collectible symbol, BarSpudGraph parent, DispatcherObject dispatchTo) : base(parent, dates(bars))
{
this.bars = bars;
this.symbol = symbol;
parentTyped = parent;
this.dispatchTo = dispatchTo;
XAxis.Scale.Min = Math.Max(0, bars.count() - 100);
XAxis.Scale.Max = bars.count() + 5;
XAxis.Scale.IsVisible = false;
}
public void testAggregation()
{
values = new BarSpud(manager);
indicator = new IntervalSpud(values, Interval.DAILY);
addPoint(new Bar(1, date("2009/01/01 09:00:00")), new Bar(1, date("2009/01/01 09:00:00")));
addPoint(new Bar(2, date("2009/01/01 09:05:00")), new Bar(1, 2, 1, 2, date("2009/01/01 09:05:00")));
addPoint(new Bar(1.5, date("2009/01/01 23:59:59")), new Bar(1, 2, 1, 1.5, date("2009/01/01 23:59:59")));
addPoint(new Bar(3, date("2009/01/02 00:00:00")), new Bar(3, 3, 3, 3, date("2009/01/02 00:00:00")));
addPoint(new Bar(2, date("2009/01/02 00:00:01")), new Bar(3, 3, 2, 2, date("2009/01/02 00:00:01")));
AreEqual(2, indicator.count());
}
protected SymbolSpud(Symbol symbol, BarSpud bars, IEnumerable <DateTime> dates, IEnumerable <T> ts, bool noLiveUpdates) : base(bars.manager)
{
this.symbol = symbol;
this.noLiveUpdates = noLiveUpdates;
bars_ = dependsOn(bars);
if (!noLiveUpdates)
{
manager.onLive += doSubscribe;
}
data = dictionary(dates, ts);
datesReverse = list(dates);
datesReverse.Reverse();
}
void populateSlippageCache(Symbol symbol)
{
var manager = new SpudManager();
var bars = bars_[symbol];
var spud = new BarSpud(manager);
var calculator = symbol.slippageCalculator(spud);
each(sort(bars.Keys), date => {
spud.set(bars[date]);
slippageCache.get(date)[symbol] = calculator.slippage();
manager.newBar();
});
}
public void testSymbolValueSpud()
{
var manager = new SpudManager();
var barSpud = new BarSpud(manager);
var spud = new Symbol("RE.TEST.TY.1C").doubles(barSpud);
barSpud.set(new Bar(1, 3, 1, 2, O.date("2007/01/02")));
AreEqual(105.04687500, spud[0]);
// test barSPud has date, but spud does not
manager.newBar();
barSpud.set(new Bar(1, 3, 1, 2, O.date("2007/01/06")));
AreEqual(105.32812500, spud[0]);
}
static Spud <double> commoditySignal(int signal, BarSpud bars)
{
Converter <string, Spud <double> > spud = name => {
var result = new Symbol(name).doubles(bars);
result.allowStaleTicks();
return(result);
};
switch (signal)
{
case 1: return(spud("HG.3N"));
case 2: return(spud("GC.3N"));
case 3: return(spud("NG.3N"));
case 4: return(spud("CL.3N"));
}
throw Bomb.toss("Unknown Signal Type" + signal);
}
public void testSymbolBarSpud()
{
var manager = new SpudManager();
var barSpud = new BarSpud(manager);
var symbol = new Symbol("RE.TEST.TY.1C");
var spud = symbol.bars(barSpud);
barSpud.set(new Bar(1, 3, 1, 2, O.date("2007/01/02")));
AreEqual(105.04687500, spud[0].close);
barSpud.lastTickedAt(O.date("2007/01/02 12:34:55"));
symbol.javaSymbol().jmsLive().publish(new JTick(98, 100, 96, 99, 93, O.jDate("2007/01/02 12:34:56")));
O.sleep(250);
AreEqual(105.04687500, spud[0].close);
manager.goLive();
symbol.javaSymbol().jmsLive().publish(new JTick(98, 100, 96, 99, 93, O.jDate("2007/01/02 12:34:57")));
O.wait(() => spud[0].time.Equals(date("2007/01/02 12:34:57")));
AreEqual(98.0, spud[0].close);
AreEqual(93.0, spud[0].low);
}
public void testFibonacci()
{
values = new BarSpud(values.manager);
indicator = new Fibonacci((BarSpud)values, 20);
var testBar1 = bar(1, 1, 1, 1);
var testBar2 = bar(1, 2, 0, 1);
addPoint(testBar1, new BreakPoints(testBar1, 1, 1));
AreEqual(indicator[0].fibo0(), 1);
AreEqual(indicator[0].fibo38(), 1);
AreEqual(indicator[0].fibo50(), 1);
AreEqual(indicator[0].fibo62(), 1);
AreEqual(indicator[0].fibo100(), 1);
addPoint(testBar2, new BreakPoints(testBar2, 2, 0));
AreEqual(indicator[0].fibo0(), 0);
AreEqual(indicator[0].fibo38(), 0.764);
AreEqual(indicator[0].fibo50(), 1);
AreEqual(indicator[0].fibo62(), 1.236);
AreEqual(indicator[0].fibo100(), 2);
}
public TimesTwo(Symbol symbol, BarSpud bars) : base(symbol, bars)
{
}
public CdsSlippage(Symbol symbol, BarSpud bars) : base(symbol, bars)
{
spreads = symbol.relatedSuffix("SPREAD").doubles(bars);
dv01 = symbol.relatedSuffix("DV01").doubles(bars);
}
protected SymbolSpud(Symbol symbol, BarSpud bars, IEnumerable <DateTime> dates, IEnumerable <T> ts) : this(symbol, bars, dates, ts, false)
{
}
public SymbolBarSpud(Symbol symbol, BarSpud spud, IEnumerable <DateTime> dates, IEnumerable <Bar> bars)
: base(symbol, spud, dates, bars)
{
}
public SymbolValueSpud(Symbol symbol, BarSpud spud, IEnumerable <DateTime> dates, IEnumerable <double> bars, double?defalt, bool noLiveUpdates)
: base(symbol, spud, dates, bars, noLiveUpdates)
{
this.defalt = defalt;
}
public static SymbolSpud <double> doubles(Symbol symbol1, BarSpud spud, bool noLiveUpdates)
{
return(doubles(symbol1, spud, null, noLiveUpdates));
}
public static SymbolSpud <double> doubles(Symbol symbol, BarSpud spud, double?defalt)
{
return(doubles(symbol, spud, defalt, false));
}
public static SymbolSpud <double> doubles(Symbol symbol, BarSpud spud)
{
return(doubles(symbol, spud, null));
}
protected SlippageCalculator(Symbol symbol, BarSpud bars)
{
this.symbol = symbol;
this.bars = bars;
}
// (high + low + close) / 3
static Spud <double> priceSeries(BarSpud bars)
{
var highLow = new Plus(bars.high, bars.low);
return(new Divide(new Plus(bars.close, highLow), bars.constant(3.0)));
}
public Fixed(Symbol symbol, BarSpud bars) : base(symbol, bars)
{
}
public BasicTimeVaryingSlippage(Symbol symbol, BarSpud bars) : base(symbol, bars)
{
}
public SlippageBombs(Symbol symbol, BarSpud bars) : base(symbol, bars)
{
}