public void TestCreateSmall()
{
//Prices 1.0 0.9, 1.1, 1.2
List <Price> prices = new List <Price>();
prices.Add(new Price(new DateTimeUTC(2000, 1, 1, 0, 0, 0), 1.0, 1.1));
prices.Add(new Price(new DateTimeUTC(2000, 1, 1, 0, 0, 1), 0.9, 1.0));
prices.Add(new Price(new DateTimeUTC(2000, 1, 1, 0, 0, 2), 1.1, 1.2));
prices.Add(new Price(new DateTimeUTC(2000, 1, 1, 0, 0, 3), 1.2, 1.3));
PriceSet price_set = new PriceSet(ToolsPrice.DefaultSymbolGBPUSD, prices.AsReadOnly());
List <IIndicator> indicators_features = new List <IIndicator>();
indicators_features.Add(new IndicatorRunningAverage(0));
indicators_features.Add(new IndicatorRunningAverage(1));
List <IIndicator> indicators_labels = new List <IIndicator>();
indicators_labels.Add(new IndicatorMagicProfit(0));
indicators_labels.Add(new IndicatorMagicProfit(1));
MarketModelSimulation market = new MarketModelSimulation(1000, price_set);
IDataSet <double, double> dataset = ToolsTradingDataSet.CreateDataSet(market, new IndicatorFusion(indicators_features), new IndicatorFusion(indicators_labels));
Assert.AreEqual(0.90, dataset.FeatureData[0][0], 0.0000001);
Assert.AreEqual(0.95, dataset.FeatureData[0][1], 0.0000001);
Assert.AreEqual(1.10, dataset.FeatureData[1][0], 0.0000001);
Assert.AreEqual(1.00, dataset.FeatureData[1][1], 0.0000001);
Assert.AreEqual(-0.1, dataset.LabelData[0][0], 0.0000001);
Assert.AreEqual(-0.1, dataset.LabelData[0][1], 0.0000001);
Assert.AreEqual(0.10, dataset.LabelData[0][2], 0.0000001);
Assert.AreEqual(-0.1, dataset.LabelData[0][3], 0.0000001);
Assert.AreEqual(-0.1, dataset.LabelData[1][0], 0.0000001);
Assert.AreEqual(-0.1, dataset.LabelData[1][1], 0.0000001);
Assert.AreEqual(0.0, dataset.LabelData[1][2], 0.0000001);
Assert.AreEqual(0.0, dataset.LabelData[1][3], 0.0000001);
}
public void TestCreateMedium()
{
PriceSet price_set = new PriceSet(ToolsPrice.DefaultSymbolGBPUSD, ToolsCollection.Select(ToolsPrice.GetPriceList(ToolsPrice.DefaultSymbolGBPUSD), 0, 40));
List <IIndicator> indicators_features = new List <IIndicator>();
indicators_features.Add(new IndicatorRunningAverage(0));
indicators_features.Add(new IndicatorRunningAverage(1));
List <IIndicator> indicators_labels = new List <IIndicator>();
indicators_labels.Add(new IndicatorMagicProfit(0));
indicators_labels.Add(new IndicatorMagicProfit(1));
MarketModelSimulation market = new MarketModelSimulation(1000, price_set);
IDataSet <double, double> dataset = ToolsTradingDataSet.CreateDataSet(market, new IndicatorFusion(indicators_features), new IndicatorFusion(indicators_labels));
Assert.AreEqual(39, dataset.InstanceCount);
Assert.AreEqual(2, dataset.FeatureCount);
Assert.AreEqual(4, dataset.LabelCount);
}
public void DoExperiment()
{
List <PriceCandle> all_data = ToolsPrice.GetPriceCandles();
// new DateTime(2016, 9, 3)
PlotLine2D line_plot_2d = new PlotLine2D();
for (int month_index = 1; month_index < 9; month_index++)
{
DateTimeUTC nfp_date = null;// ToolsTradingCalendarEvent.GetNFPDatetime(2016, month_index);
DateTimeUTC nfp_date_begin = nfp_date.AddMinutes(-100);
DateTimeUTC nfp_date_end = nfp_date.AddMinutes(100);
List <double> nfp_time = new List <double>();
List <double> nfp_bid = new List <double>();
double candle_time = 0;
double subtract = 0;
foreach (PriceCandle candle in all_data)
{
if ((nfp_date_begin <= candle.OpenTime) && (candle.OpenTime < nfp_date_end))
{
if (candle_time == 0)
{
subtract = candle.OpenBid;
}
nfp_time.Add(candle_time);
nfp_time.Add(candle_time);
nfp_time.Add(candle_time);
nfp_time.Add(candle_time);
nfp_bid.Add(candle.OpenBid);
nfp_bid.Add(candle.LowBid);
nfp_bid.Add(candle.HighBid);
nfp_bid.Add(candle.CloseBid);
candle_time++;
}
}
line_plot_2d.AddSeries(nfp_time, nfp_bid, Color.Black);
}
ToolsPlotting.WriteToFile(ToolsTradingDataSet.GetPath() + "nfp.png", line_plot_2d, 800, 800);
}
internal void DoExperiment()
{
ToolsPrice.ComposeBinary(ToolsPrice.DefaultSymbolGBPUSD);
PriceSet price_set = ToolsPrice.GetPriceSet(ToolsPrice.DefaultSymbolGBPUSD).SubSet(new DateTimeUTC(2016, 10, 17), new DateTimeUTC(2016, 10, 20));
//PlotLine2D line_plot_2d_0 = new PlotLine2D();
//ToolsTradingPlotting.AddPrice(line_plot_2d_0, price_set, TimeScale.Spot, PriceType.Bid, Color.Blue);
//ToolsTradingPlotting.AddPrice(line_plot_2d_0, price_set, TimeScale.Spot, PriceType.Mean, Color.Green);
//ToolsTradingPlotting.AddPrice(line_plot_2d_0, price_set, TimeScale.Spot, PriceType.Ask, Color.Red);
//ToolsTradingPlotting.AddPrice(line_plot_2d_0, price_set, TimeScale.Day1, PriceType.Bid, Color.Black);
//ToolsTradingPlotting.AddPrice(line_plot_2d_0, price_set, TimeScale.Day1, PriceType.Mean, Color.Green);
//ToolsTradingPlotting.AddPrice(line_plot_2d_0, price_set, TimeScale.Day1, PriceType.Ask, Color.Red);
//ToolsTradingPlotting.WriteToFile(ToolsTradingDataSet.GetPath() + "TestPlot0.png", line_plot_2d_0);
IIndicator indicator = new IndicatorMagicProfit(60);
PlotLine2D line_plot_2d_1 = new PlotLine2D();
ToolsTradingPlotting.AddIndicatorResult(line_plot_2d_1, price_set, indicator, new Color[] { Color.Red, Color.Green }, new int[] { 0, 1 });
ToolsTradingPlotting.WriteToFile(ToolsTradingDataSet.GetPath() + "TestPlot3.png", line_plot_2d_1);
//ToolsTradingPlotting.PlotPriceBid(ToolsTradingDataSet.GetPath() + "prices.png", prices);
//ToolsTradingPlotting.PlotIndicatorResult(ToolsTradingDataSet.GetPath() + "indicator_0.png", prices, indicator_0, color_list, index_list, true);
//ToolsTradingPlotting.PlotIndicatorResult(ToolsTradingDataSet.GetPath() + "indicator_1.png", prices, indicator_1, color_list, index_list, true);
//IPolicyTemplate policy = new PolicyTemplateJaapBands();
//MarketManagerSimulation exchange = new MarketManagerSimulation(10000, price_set);
//MarketResult market_result = exchange.Run(policy.Instance());
//Console.WriteLine(market_result.EndCash + " in: " + market_result.Market.ClosedOrders.Count);
//PlotLine2D line_plot_2d_0 = new PlotLine2D();
//ToolsTradingPlotting.AddBidAskTrades(line_plot_2d_0, market_result);
//ToolsTradingPlotting.WriteToFile(ToolsTradingDataSet.GetPath() + "TestPlot0.png", line_plot_2d_0);
//PlotLine2D line_plot_2d_1 = new PlotLine2D();
//ToolsTradingPlotting.AddCashEquity(line_plot_2d_1, market_result);
//ToolsTradingPlotting.WriteToFile(ToolsTradingDataSet.GetPath() + "TestPlot1.png", line_plot_2d_1);
}
public void DoExperiment()
{
PriceSet price_set = ToolsPrice.GetPriceSet(ToolsPrice.DefaultSymbolGBPUSD);
List <IIndicator> indicators = new List <IIndicator>();
indicators.Add(new IndicatorRunningAverage(4));
indicators.Add(new IndicatorRunningAverage(6));
indicators.Add(new IndicatorRunningAverage(8));
indicators.Add(new IndicatorRunningAverage(10));
indicators.Add(new IndicatorRunningAverage(12));
IIndicator feature_indicator = new IndicatorFusion(indicators);
IIndicator label_indicator = new IndicatorMagicProfit(60);
MarketModelSimulation market = new MarketModelSimulation(1000, price_set);
DataSet <double, double> dataset = ToolsTradingDataSet.CreateDataSet(market, feature_indicator, label_indicator);
ITemplateModelLabel <double, double> template = null;//new TemplateModelLibSVMCSVC();
IModelLabel <double, double> model = template.GenerateModel(dataset);
//TODO change everyting into templates
List <IIndicator> indicators_2 = new List <IIndicator>();
indicators_2.Add(new IndicatorRunningAverage(4));
indicators_2.Add(new IndicatorRunningAverage(6));
indicators_2.Add(new IndicatorRunningAverage(8));
indicators_2.Add(new IndicatorRunningAverage(10));
indicators_2.Add(new IndicatorRunningAverage(12));
IIndicator feature_indicator_2 = new IndicatorFusion(indicators_2);
//Build actual incator
IIndicator indicator_0 = new IndicatorMagicProfit(60);
IIndicator indicator_1 = new IndicatorMachineLearning(feature_indicator_2, model, "Profit_long_ml");
IList <Color> color_list = new Color[] { Color.Black };
IList <int> index_list = new int[] { 0 };
ToolsTradingPlotting.PlotIndicatorResult(ToolsTradingDataSet.GetPath() + "indicator_0.png", price_set, indicator_0, color_list, index_list, false);
ToolsTradingPlotting.PlotIndicatorResult(ToolsTradingDataSet.GetPath() + "indicator_1.png", price_set, indicator_1, color_list, index_list, false);
}
public void DoExperiment()
{
ToolsPrice.ComposeBinary(ToolsPrice.DefaultSymbolGBPUSD);
PriceSet price_set = ToolsPrice.GetPriceSet(ToolsPrice.DefaultSymbolGBPUSD).SubSet(new DateTimeUTC(2016, 10, 17), new DateTimeUTC(2016, 10, 20));
IIndicator indicator_feature = new IndicatorSuperBollinger();
IIndicator indicator_label = new IndicatorMagicProfit(60);
MarketModelSimulation market0 = new MarketModelSimulation(10000, price_set);
MarketModelSimulation market1 = new MarketModelSimulation(10000, price_set);
double[] time = new double[price_set.Prices.Count];
for (int price_index = 0; price_index < price_set.Prices.Count; price_index++)
{
time[price_index] = price_set.Prices[price_index].Time.Ticks;
}
Tuple <double[, ], bool[]> tuple0 = indicator_feature.ComputeAll(market0, price_set.Second1.Count);
Tuple <double[, ], bool[]> tuple1 = indicator_label.ComputeAll(market1, price_set.Second1.Count);
List <string[]> list_string = new List <string[]>();
for (int index_0 = 0; index_0 < tuple0.Item2.Length; index_0++)
{
if (tuple0.Item2[index_0] && tuple1.Item2[index_0])
{
double[] array_double = ToolsCollection.Append(tuple0.Item1.Select1DIndex0(index_0), tuple1.Item1.Select1DIndex0(index_0));
string[] array_string = new string[array_double.Length];
for (int index_1 = 0; index_1 < array_double.Length; index_1++)
{
array_string[index_1] = array_double[index_1].ToString(CultureInfo.InvariantCulture);
}
list_string.Add(array_string);
}
}
ToolsIOCSV.WriteCSVFile(ToolsTradingDataSet.GetPath() + "data.csv", ToolsCollection.ConvertToArray2D(list_string));
}
public void DoExperiment()
{
PriceSet price_set = ToolsPrice.GetPriceSet(ToolsPrice.DefaultSymbolGBPUSD);
List <IPolicy> policies = new List <IPolicy>();
double long_threshold = 10 * Math.Pow(10, -6);
double short_threshold = -10 * Math.Pow(10, -6);
for (int index = 0; index < 1; index++)
{
policies.Add(new PolicyTemplateJaapBands().Instance());
}
MarketResult[] market_results = new MarketResult[policies.Count];
Parallel.For(0, policies.Count, index =>
{
MarketManagerSimulation exchange = new MarketManagerSimulation(10000, price_set);
market_results[index] = exchange.Run(policies[index]);
});
List <Tuple <MarketResult, IPolicy> > accepted_policy = new List <Tuple <MarketResult, IPolicy> >();
for (int index = 0; index < market_results.Length; index++)
{
// if(market_results[index].Market.ClosedOrders.Count > 9 && market_results[index].EndCash > 10000)
// {
accepted_policy.Add(new Tuple <MarketResult, IPolicy>(market_results[index], policies[index]));
// }
}
for (int index = 0; index < accepted_policy.Count; index++)
{
var xx = accepted_policy[index];
Console.WriteLine(xx.Item1.EndCash + " in: " + xx.Item1.Market.ClosedOrders.Count);
ToolsTradingPlotting.PlotMarketResult(ToolsTradingDataSet.GetPath() + "Trades" + index + ".png", xx.Item1);
}
}
private static void CreateEventCSV()
{
// read CSV
string[,] source = ToolsIOCSV.ReadCSVFile(ToolsTradingDataSet.GetPath() + "events.csv", Delimiter.SemiColon);
//Allocate new array
List <string[]> result_list = new List <string[]>();
string[] exclusion = new string[] { "day", "Day", "Data" };
//For each other column
for (int index_0 = 0; index_0 < source.GetLength(0); index_0++)
{
if (!ExtensionsString.ContainsAny(source[index_0, 2], exclusion))
{
string[] result = new string[3]; // Date symbol impact
//Find dat
DateTime week_start = DateTime.Parse(source[index_0, 0]);
int year = week_start.Year;
int month = ToolsForexFactory.MonthToInt(source[index_0, 1].Split(' ')[0]);
int day = int.Parse(source[index_0, 1].Split(' ')[1]);
if ((week_start.Month == 12) && (month == 1))
{
year++;
}
int hour = int.Parse(source[index_0, 2].Split(':')[0]);
int minute = int.Parse(source[index_0, 2].Split(':')[1].Substring(0, 2));
if (source[index_0, 2].Contains("pm"))
{
hour = hour + 12;
}
if (hour == 24)
{
hour = 0;
DateTime date_time = new DateTime(year, month, day, hour, minute, 0);
date_time = date_time.AddDays(1);
result[0] = ToolsTime.DateTimeToUnixTimestampInt32(date_time).ToString();
}
else
{
DateTime date_time = new DateTime(year, month, day, hour, minute, 0);
result[0] = ToolsTime.DateTimeToUnixTimestampInt32(date_time).ToString();
}
result[1] = source[index_0, 3];
switch (source[index_0, 4])
{
case "Non-Economic":
result[2] = "0"; // Impacs
break;
case "Low Impact Expected":
result[2] = "1"; // Impacs
break;
case "Medium Impact Expected":
result[2] = "2"; // Impacs
break;
case "High Impact Expected":
result[2] = "3"; // Impacs
break;
default:
throw new Exception("Unknown impact");
}
result_list.Add(result);
}
}
ToolsIOCSV.WriteCSVFile(ToolsTradingDataSet.GetPath() + "events_small.csv", ToolsCollection.ConvertToArray2D(result_list));
}
