public void GetEventPointsTest()
{
const String KTB_SPOT_10YR_PATH = @"C:\MadViperData\ktb\output\2011_07_13_38000_ktb_spot_market_data_KR1035027161_period.txt";
const String KTB_FUTURE_10YR_PATH = @"C:\MadViperData\ktb\output\2011_07_13_25412_future_market_data_167FC000_period.txt";
PeriodicMarketDataCollection spot = new PeriodicMarketDataCollection(KTB_SPOT_10YR_PATH);
PeriodicMarketDataCollection future = new PeriodicMarketDataCollection(KTB_FUTURE_10YR_PATH);
EventPointsFinder target = new EventPointsFinder();
//skip
// List<EventPoint> eventPoints = target.GetEventPoints(spot, future, TradingDirection.Long);
}
double GetAvgPrice(PeriodicMarketDataCollection data)
{
long count = 0;
double sum = 0;
foreach (RawMarketData rmd in data.Rmds)
{
if (rmd.CurPrice == 0 ||
rmd.CurPrice == double.MaxValue ||
rmd.CurPrice == double.MinValue)
{
continue;
}
++count;
sum += rmd.CurPrice;
}
return sum / count;
}
private void button1_Click(object sender, EventArgs e)
{
try
{
String spotPath = textBox1.Text;
String futurePath = textBox2.Text;
String filePath = textBox3.Text;
PeriodicMarketDataCollection spot = new PeriodicMarketDataCollection(spotPath);
PeriodicMarketDataCollection future = new PeriodicMarketDataCollection(futurePath);
EventPointsFileWriter writer = new EventPointsFileWriter();
writer.WriteTo(filePath, spot, future, TradingDirection.Long);
}
catch (System.Exception ex)
{
logger.Error(ex.ToString());
}
}
void LoadPeriodicMarketData(DateTime targetDate)
{
String KTB_SPOT_PATH = String.Format("{0}{1}_38000_ktb_spot_market_data_{2}_period.txt",
PATH,
targetDate.ToString("yyyy_MM_dd"),
SPOT_10YR);
String KTB_FUTURE_PATH = String.Format("{0}{1}_25412_future_market_data_{2}_period.txt",
PATH,
targetDate.ToString("yyyy_MM_dd"),
FUTURE_10YR);
_dataSpot10yr = new PeriodicMarketDataCollection(KTB_SPOT_PATH);
_dataFuture10yr = new PeriodicMarketDataCollection(KTB_FUTURE_PATH);
_regression = new PairMarketDataRegression(
60 * 60 * 6,
1000,
60 * 60 * 6 * 3,
new RegressionPolicyDefault());
}
PeriodicMarketDataCollection GetPeriodicCollection(String code, DateTime targetDate)
{
String dateStringWithUnderScore = targetDate.ToString("yyyy_MM_dd");
String origin = MarketDataConverter.GetSpotOrigin(dateStringWithUnderScore);
String dest = MarketDataConverter.GetDest(code, origin);
dest = String.Format("{0}\\{1}", DayDataToDBConst.kPATH, dest);
PeriodicMarketDataCollection output = new PeriodicMarketDataCollection(dest);
return output;
}
void LoadMarketData()
{
_dataSpot10yr = new PeriodicMarketDataCollection(KTB_SPOT_PATH);
_dataFuture10yr = new PeriodicMarketDataCollection(KTB_FUTURE_PATH);
SetBasicInfo();
}