/// <summary>
/// Calculated primary indicator data. If an indicator has several output,one is called "primary data"
/// and others are calles "exatra data".
/// </summary>
/// <param name="myData"> Data used to calculate indicator data.</param>
/// <param name="meta">Indicator meta data</param>
/// <param name="periods">List of indicator parametters</param>
/// <returns></returns>
public static DataSeries GetIndicatorData(application.AnalysisData myData, Meta meta)
{
string cacheName = myData.DataStockCode + "-" + meta.ClassType.Name;
object[] para = new object[1];
if (meta.InputDataType == typeof(DataBars))
{
para[0] = myData.Bars;
}
else
{
para[0] = myData.Close;
}
for (int idx = 0; idx < meta.Parameters.Length; idx++)
{
Array.Resize(ref para, para.Length + 1);
para[para.Length - 1] = meta.Parameters[idx];
cacheName += "-" + meta.Parameters[idx].ToString();
}
Array.Resize(ref para, para.Length + 1);
para[para.Length - 1] = meta.Name;
DataSeries indicatorSeries = (DataSeries)dataCache.Find(cacheName);
if (indicatorSeries == null)
{
indicatorSeries = (DataSeries)Activator.CreateInstance(meta.ClassType, para);
dataCache.Add(cacheName, indicatorSeries);
}
return(indicatorSeries);
}
/// <summary>
/// Calculated indicator data. If an indicator has several output,one is called "primary data"
/// and others are calles "exatra data".
/// </summary>
/// <param name="myData"> Data used to calculate indicator databases.</param>
/// <param name="meta">Indicator meta data</param>
/// <param name="periods">List of indicator parametters</param>
/// <returns></returns>
public static DataValues[] GetIndicatorData(application.AnalysisData myData, Meta meta)
{
string cacheName = myData.DataStockCode + "-" + meta.ClassType.Name;
object[] para = new object[1];
if (meta.InputDataType == typeof(DataBars))
{
para[0] = myData.Bars;
}
else
{
para[0] = myData.Close;
}
for (int idx = 0; idx < meta.Parameters.Length; idx++)
{
Array.Resize(ref para, para.Length + 1);
para[para.Length - 1] = meta.Parameters[idx];
cacheName += "-" + meta.Parameters[idx].ToString();
}
Array.Resize(ref para, para.Length + 1);
para[para.Length - 1] = meta.Name;
DataValues[] indicatorValues = (DataValues[])dataCache.Find(cacheName);
if (indicatorValues == null)
{
indicatorValues = new DataValues[meta.Output.Length];
DataSeries mainSeries = (DataSeries)Activator.CreateInstance(meta.ClassType, para);
indicatorValues[0] = new DataValues();
indicatorValues[0].Values = mainSeries.Values;
indicatorValues[0].FirstValidValue = mainSeries.FirstValidValue;
// Some indicator such as MACD having more than one output series.
// In such case, indicator form MUST have [form.ExtraInfo] propery to provide information for the output series.
if (meta.Output.Length > 1)
{
PropertyInfo propertyInfo = meta.ClassType.GetProperty("ExtraSeries");
if (propertyInfo != null)
{
DataSeries[] extraSeries = (DataSeries[])propertyInfo.GetValue(mainSeries, null);
for (int idx = 0, metaIdx = 1; idx < extraSeries.Length && metaIdx < meta.Output.Length; idx++, metaIdx++)
{
indicatorValues[metaIdx] = new DataValues();
indicatorValues[metaIdx].Values = extraSeries[idx].Values;
indicatorValues[metaIdx].FirstValidValue = extraSeries[idx].FirstValidValue;
}
}
}
dataCache.Add(cacheName, indicatorValues);
}
return(indicatorValues);
}
override protected void StrategyExecute()
{
int Bar = data.Close.Count - 1;
if (Bar <= 1)
{
return;
}
// Dong sau tao mot data moi cua ^VNINDEX
application.AnalysisData vnidxData = data.New("^VNINDEX");
int Barindex = vnidxData.Close.Count - 1;
if (Barindex <= 1)
{
return;
}
// if (Bar == vnidxData.Close.Count - 1)
{
int period = (int)parameters[0];
Indicators.ROCR100 roc = Indicators.ROCR100.Series(data.Close, period, "");
Indicators.ROCR100 roc_index = Indicators.ROCR100.Series(vnidxData.Close, period, "");
if (roc_index[Barindex] != 0)
{
double rs = roc[Bar] / roc_index[Barindex];
BusinessInfo info = new BusinessInfo();
info.Weight = rs * 100;
SelectStock(Bar, info);
}
//if (roc_index[Bar] != 0)
//{
// double rs = roc[Bar] / roc_index[Bar];
// BusinessInfo info = new BusinessInfo();
// info.Weight = rs * 100;
// SelectStock(Bar, info);
//}
}
}
//public static int CreateTradeAlert()
//{
// CreateTradeAlert(null, null, null);
//}
public static int CreateTradeAlert(onProcessStart onStartFunc, onProcessItem onProcessItemFunc, onProcessEnd onEndFunc)
{
DateTime frDate = common.Consts.constNullDate;
DateTime toDate = DateTime.Now;
//Run all strategy analysis for all stocks.
databases.tmpDS.stockCodeDataTable stockCodeTbl = new databases.tmpDS.stockCodeDataTable();
databases.DbAccess.LoadData(stockCodeTbl, AppTypes.CommonStatus.Enable);
application.AnalysisData data = new application.AnalysisData();
data.DataTimeRange = AppTypes.TimeRanges.None;
data.DataMaxCount = Settings.sysGlobal.AlertDataCount;
TradeAlertItem[] tradeAlertList = new TradeAlertItem[0];
StringCollection strategyList = new StringCollection();
for (int idx = 0; idx < StrategyData.MetaList.Values.Length; idx++)
{
application.Strategy.StrategyMeta meta = (application.Strategy.StrategyMeta)StrategyData.MetaList.Values[idx];
if (meta.Type != AppTypes.StrategyTypes.Strategy)
{
continue;
}
strategyList.Add(((application.Strategy.StrategyMeta)StrategyData.MetaList.Values[idx]).Code);
}
if (onStartFunc != null)
{
onStartFunc(stockCodeTbl.Count);
}
DateTime alertDate;
DateTime alertFrDate = toDate.Date;
DateTime alertToDate = toDate;
for (int stockCodeIdx = 0; stockCodeIdx < stockCodeTbl.Count; stockCodeIdx++)
{
if (onProcessItemFunc != null)
{
if (!onProcessItemFunc(stockCodeTbl[stockCodeIdx].code))
{
break;
}
}
//foreach (AppTypes.TimeScale timeScale in AppTypes.myTimeScales) //???
AppTypes.TimeScale timeScale = AppTypes.TimeScaleFromType(AppTypes.TimeScaleTypes.Day);
{
data.DataStockCode = stockCodeTbl[stockCodeIdx].code;
data.DataTimeScale = timeScale;
data.LoadData();
for (int strategyIdx = 0; strategyIdx < strategyList.Count; strategyIdx++)
{
StrategyData.ClearCache();
TradePoints advices = application.Strategy.StrategyLibs.AnalysisStrategy(data, strategyList[strategyIdx].Trim());
if ((advices == null) || (advices.Count == 0))
{
continue;
}
//Only check the last advices for alert
TradePointInfo tradeInfo = (TradePointInfo)advices[advices.Count - 1];
alertDate = DateTime.FromOADate(data.DateTime[tradeInfo.DataIdx]);
//Ignore alerts that out of date range.
if (alertDate < alertFrDate || alertDate > alertToDate)
{
continue;
}
Array.Resize(ref tradeAlertList, tradeAlertList.Length + 1);
tradeAlertList[tradeAlertList.Length - 1] = new TradeAlertItem(stockCodeTbl[stockCodeIdx].code.Trim(), strategyList[strategyIdx].Trim(),
timeScale, alertDate,
data.Close[tradeInfo.DataIdx],
data.Volume[tradeInfo.DataIdx], tradeInfo);
}
}
}
//Create alerts in the day
int noAlertCreated = CreateTradeAlert(tradeAlertList);
//Save last lun date
//SaveLastRunTime(toDate);
if (onEndFunc != null)
{
onEndFunc();
}
stockCodeTbl.Dispose();
return(noAlertCreated);
}
//public static int CreateTradeAlert()
//{
// CreateTradeAlert(null, null, null);
//}
public static int CreateTradeAlert(onProcessStart onStartFunc, onProcessItem onProcessItemFunc, onProcessEnd onEndFunc)
{
DateTime frDate = common.Consts.constNullDate;
DateTime toDate = DateTime.Now;
//Run all strategy analysis for all stocks.
databases.tmpDS.stockCodeDataTable stockCodeTbl = new databases.tmpDS.stockCodeDataTable();
databases.DbAccess.LoadData(stockCodeTbl, AppTypes.CommonStatus.Enable);
application.AnalysisData data = new application.AnalysisData();
data.DataTimeRange = AppTypes.TimeRanges.None;
data.DataMaxCount = Settings.sysGlobal.AlertDataCount;
TradeAlertItem[] tradeAlertList = new TradeAlertItem[0];
StringCollection strategyList = new StringCollection();
for (int idx = 0; idx < application.Strategy.StrategyData.MetaList.Values.Length; idx++)
{
application.Strategy.StrategyMeta meta = (application.Strategy.StrategyMeta)application.Strategy.StrategyData.MetaList.Values[idx];
if (meta.Type != AppTypes.StrategyTypes.Strategy) continue;
strategyList.Add(((application.Strategy.StrategyMeta)application.Strategy.StrategyData.MetaList.Values[idx]).Code);
}
if (onStartFunc != null) onStartFunc(stockCodeTbl.Count);
DateTime alertDate;
DateTime alertFrDate = toDate.Date;
DateTime alertToDate = toDate;
for (int stockCodeIdx = 0; stockCodeIdx < stockCodeTbl.Count; stockCodeIdx++)
{
if (onProcessItemFunc != null)
if (!onProcessItemFunc(stockCodeTbl[stockCodeIdx].code)) break;
//foreach (AppTypes.TimeScale timeScale in AppTypes.myTimeScales) //???
AppTypes.TimeScale timeScale = AppTypes.TimeScaleFromType(AppTypes.TimeScaleTypes.Day);
{
data.DataStockCode = stockCodeTbl[stockCodeIdx].code;
data.DataTimeScale = timeScale;
data.LoadData();
for (int strategyIdx = 0; strategyIdx < strategyList.Count; strategyIdx++)
{
application.Strategy.StrategyData.ClearCache();
application.Strategy.StrategyData.TradePoints advices = application.Strategy.StrategyLibs.AnalysisStrategy(data, strategyList[strategyIdx].Trim());
if ( (advices == null) || (advices.Count==0)) continue;
//Only check the last advices for alert
TradePointInfo tradeInfo = (TradePointInfo)advices[advices.Count-1];
alertDate = DateTime.FromOADate(data.DateTime[tradeInfo.DataIdx]);
//Ignore alerts that out of date range.
if (alertDate < alertFrDate || alertDate > alertToDate) continue;
Array.Resize(ref tradeAlertList, tradeAlertList.Length + 1);
tradeAlertList[tradeAlertList.Length - 1] = new TradeAlertItem(stockCodeTbl[stockCodeIdx].code.Trim(), strategyList[strategyIdx].Trim(),
timeScale, alertDate,
data.Close[tradeInfo.DataIdx],
data.Volume[tradeInfo.DataIdx],tradeInfo);
}
}
}
//Create alerts in the day
int noAlertCreated = CreateTradeAlert(tradeAlertList);
//Save last lun date
//SaveLastRunTime(toDate);
if (onEndFunc != null) onEndFunc();
stockCodeTbl.Dispose();
return noAlertCreated;
}
/// <summary>
/// Get data and store in cache. Depend on forceReadNew, cached data can be used to boost perfomance
/// </summary>
/// <param name="timeRange"></param>
/// <param name="timeScaleCode"></param>
/// <param name="code"></param>
/// <param name="forceReadNew"> if true always read from database, ignore the cached data</param>
/// <returns>Data key used for data accessing</returns>
public string LoadAnalysisData(string code,commonClass.DataParams dataParam, bool forceReadNew)
{
try
{
string cacheName = MakeCacheKey(code, dataParam);
if (forceReadNew || sysDataCache.Find(cacheName) == null)
{
application.AnalysisData myData = new application.AnalysisData(code, dataParam);
sysDataCache.Add(cacheName, myData);
}
return cacheName;
}
catch (Exception ex)
{
WriteSysLogLocal("WS002",ex);
}
return null;
}
public static void CreateTradeAlert(onProcessStart onStartFunc, onProcessItem onProcessItemFunc, onProcessEnd onEndFunc)
{
DateTime frDate = common.Consts.constNullDate;
DateTime toDate = DateTime.Now;
//Run all strategy analysis for all stocks.
data.tmpDS.stockCodeDataTable stockCodeTbl = new data.tmpDS.stockCodeDataTable();
application.DbAccess.LoadData(stockCodeTbl, AppTypes.CommonStatus.Enable);
application.AnalysisData data = new application.AnalysisData();
TradeAlert[] tradeAlertList = new TradeAlert[0];
StringCollection strategyList = new StringCollection();
for (int idx = 0; idx < application.Strategy.Data.MetaList.Values.Length; idx++)
{
application.Strategy.Meta meta = (application.Strategy.Meta)application.Strategy.Data.MetaList.Values[idx];
if (meta.Type != AppTypes.StrategyTypes.Strategy) continue;
strategyList.Add(((application.Strategy.Meta)application.Strategy.Data.MetaList.Values[idx]).Code);
}
if (onStartFunc != null) onStartFunc(stockCodeTbl.Count);
//Alert on last month data
data.DataTimeRange = Settings.sysAlertTimeRange; ;
DateTime alertDate;
DateTime alertFrDate = toDate.Date;
DateTime alertToDate = toDate;
for (int stockCodeIdx = 0; stockCodeIdx < stockCodeTbl.Count; stockCodeIdx++)
{
if (onProcessItemFunc != null)
if (!onProcessItemFunc(stockCodeTbl[stockCodeIdx].code)) break;
foreach (AppTypes.TimeScale timeScale in AppTypes.myTimeScales) //??
{
data.DataStockCode = stockCodeTbl[stockCodeIdx].code;
data.DataTimeScale = timeScale;
data.LoadData();
for (int strategyIdx = 0; strategyIdx < strategyList.Count; strategyIdx++)
{
application.Strategy.Data.ClearCache();
application.Strategy.Data.TradePoints advices = application.Strategy.Libs.Analysis(data, strategyList[strategyIdx].Trim());
if (advices == null) continue;
for (int idx3 = 0; idx3 < advices.Count; idx3++)
{
TradePointInfo tradeInfo = (TradePointInfo)advices[idx3];
alertDate = DateTime.FromOADate(data.DateTime[tradeInfo.DataIdx]);
//Ignore alerts that out of date range.
if (alertDate < alertFrDate || alertDate > alertToDate) continue;
Array.Resize(ref tradeAlertList, tradeAlertList.Length + 1);
tradeAlertList[tradeAlertList.Length-1] = new TradeAlert(stockCodeTbl[stockCodeIdx].code.Trim(), strategyList[strategyIdx].Trim(),
timeScale, alertDate,
data.Close[tradeInfo.DataIdx],
data.Volume[tradeInfo.DataIdx],tradeInfo);
}
}
}
}
stockCodeTbl.Dispose();
//Create alerts in the day
CreateTradeAlert(tradeAlertList);
//Save last lun date
SaveLastRunTime(toDate);
if (onEndFunc != null) onEndFunc();
}
public static void CreateTradeAlert(onProcessStart onStartFunc, onProcessItem onProcessItemFunc, onProcessEnd onEndFunc)
{
DateTime frDate = common.Consts.constNullDate;
DateTime toDate = DateTime.Now;
//Run all strategy analysis for all stocks.
data.tmpDS.stockCodeDataTable stockCodeTbl = new data.tmpDS.stockCodeDataTable();
application.DbAccess.LoadData(stockCodeTbl, AppTypes.CommonStatus.Enable);
application.AnalysisData data = new application.AnalysisData();
TradeAlert[] tradeAlertList = new TradeAlert[0];
StringCollection strategyList = new StringCollection();
for (int idx = 0; idx < application.Strategy.Data.MetaList.Values.Length; idx++)
{
application.Strategy.Meta meta = (application.Strategy.Meta)application.Strategy.Data.MetaList.Values[idx];
if (meta.Type != AppTypes.StrategyTypes.Strategy)
{
continue;
}
strategyList.Add(((application.Strategy.Meta)application.Strategy.Data.MetaList.Values[idx]).Code);
}
if (onStartFunc != null)
{
onStartFunc(stockCodeTbl.Count);
}
//Alert on last month data
data.DataTimeRange = Settings.sysAlertTimeRange;;
DateTime alertDate;
DateTime alertFrDate = toDate.Date;
DateTime alertToDate = toDate;
for (int stockCodeIdx = 0; stockCodeIdx < stockCodeTbl.Count; stockCodeIdx++)
{
if (onProcessItemFunc != null)
{
if (!onProcessItemFunc(stockCodeTbl[stockCodeIdx].code))
{
break;
}
}
foreach (AppTypes.TimeScale timeScale in AppTypes.myTimeScales) //??
{
data.DataStockCode = stockCodeTbl[stockCodeIdx].code;
data.DataTimeScale = timeScale;
data.LoadData();
for (int strategyIdx = 0; strategyIdx < strategyList.Count; strategyIdx++)
{
application.Strategy.Data.ClearCache();
application.Strategy.Data.TradePoints advices = application.Strategy.Libs.Analysis(data, strategyList[strategyIdx].Trim());
if (advices == null)
{
continue;
}
for (int idx3 = 0; idx3 < advices.Count; idx3++)
{
TradePointInfo tradeInfo = (TradePointInfo)advices[idx3];
alertDate = DateTime.FromOADate(data.DateTime[tradeInfo.DataIdx]);
//Ignore alerts that out of date range.
if (alertDate < alertFrDate || alertDate > alertToDate)
{
continue;
}
Array.Resize(ref tradeAlertList, tradeAlertList.Length + 1);
tradeAlertList[tradeAlertList.Length - 1] = new TradeAlert(stockCodeTbl[stockCodeIdx].code.Trim(), strategyList[strategyIdx].Trim(),
timeScale, alertDate,
data.Close[tradeInfo.DataIdx],
data.Volume[tradeInfo.DataIdx], tradeInfo);
}
}
}
}
stockCodeTbl.Dispose();
//Create alerts in the day
CreateTradeAlert(tradeAlertList);
//Save last lun date
SaveLastRunTime(toDate);
if (onEndFunc != null)
{
onEndFunc();
}
}
