private void InitParametersRoundDigits()
{
ParametersRoundDigits = new int[steps.Length];
for (int i = 0; i < ParametersRoundDigits.Length; i++)
{
ParametersRoundDigits[i] = (int)GeneMath.Round(1 / (steps[i] * 10), 0).ToString().Length;
}
}
private void LoadTradeData(string tradeLogFilename)
{
InitParametersRoundDigits();
if (!File.Exists(tradeLogFilename))
{
return;
}
if (!Directory.Exists("bin"))
{
Directory.CreateDirectory("bin");
}
var indexes = GetIndexes();
var cultureInfo = CultureInfo.InvariantCulture;
var firstDealDate = DateTime.MinValue;
var lastDealDate = DateTime.MinValue;
allDates = new Dictionary <DateTime, float>();
{
#region Collecting aggregated variables values
var tempAgr = new ConcurrentDictionary <string, SortedDictionary <long, int>[]>();
using (StreamReader reader = new StreamReader(new FileStream(tradeLogFilename, FileMode.Open, FileAccess.Read, FileShare.Read, 1024 * 1024 * 512)))
{
var first = true;
reader.ReadLine();
var header = reader.ReadLine().Split(new char[] { ';' });
while (!reader.EndOfStream)
{
var data = reader.ReadLine().Split(new char[] { ';' });
DateTime date;
// if trade date/time can't be parsed correctly, than skip that trade
if (!DateTime.TryParse(data[OpenTime], cultureInfo, DateTimeStyles.AssumeLocal, out date))
{
continue;
}
if (!allDates.ContainsKey(date.Date))
{
allDates.Add(date.Date, 0);
}
// skip trade when it's open date/time not within specified interval
if (Parameters.UseTradeLogDateTimeFilter && (date < Parameters.TradeLogFilterStartDateTime || date > Parameters.TradeLogFilterEndDateTime))
{
continue;
}
if (first)
{
firstDealDate = date;
first = false;
}
lastDealDate = date;
var variables = new long[indexes.Length];//points является отдельной переменной и не входит в группу переменных variables
string agrExName = "";
for (int index = 0; index < indexes.Length; index++)
{
if (indexes[index].Type == IndexType.Absolute)
{
switch (indexes[index].IndexName)
{
case "Points":
break;
case "FPwr":
variables[index] = GetPowerLong(data[OpenMass], data[OpenAccel], steps[index]);
break;
case "APwr":
variables[index] = GetPowerLong(data[OpenAgrExMass], data[OpenAgrExAccel],
steps[index]);
break;
case "BPwr":
variables[index] = GetPowerLong(data[BBOAgrMass], data[BBOAgrAccel],
steps[index]);
break;
case "SPwr":
variables[index] = GetPowerLong(data[SumAgrMass], data[AveAgrAccel],
steps[index]);
break;
case "FAng":
variables[index] = GetAngleLong(data[OpenMass], data[OpenAccel], steps[index]);
break;
case "AAng":
variables[index] = GetAngleLong(data[OpenAgrExMass], data[OpenAgrExAccel],
steps[index]);
break;
case "BAng":
variables[index] = GetAngleLong(data[BBOAgrMass], data[BBOAgrAccel],
steps[index]);
break;
case "SAng":
variables[index] = GetAngleLong(data[SumAgrMass], data[AveAgrAccel],
steps[index]);
break;
case "OpenTrendMid":
double val;
Utils.TryParse(data[OpenTrendMid], out val);
if (val < 0)
{
agrExName = data[AgrEx] + 'd';
string makePositiveTrend = data[indexes[index].Column].Remove(0, 1);
Utils.ParseLongDualCulture(makePositiveTrend, steps[index],
out variables[index]);
}
else
{
agrExName = data[AgrEx] + 'u';
Utils.ParseLongDualCulture(data[indexes[index].Column], steps[index],
out variables[index]);
}
break;
default:
Utils.ParseLongDualCulture(data[indexes[index].Column], steps[index], out variables[index]);
break;
}
}
else
{
float val, divisorVal;
Utils.ParseFloatDualCulture(data[indexes[index].Column], out val);
Utils.ParseFloatDualCulture(data[indexes[index].DivisorColumn], out divisorVal);
if (divisorVal != 0)
{
variables[index] = (int)GeneMath.Round(val / divisorVal * (1 / steps[index]));
}
else
{
variables[index] = (int)GeneMath.Round(val * 100 * (1 / steps[index]));
}
}
}
var symbolExchenge = data[symbol].Replace('/', '_') + "_" + agrExName;
SortedDictionary <long, int>[] symAgr;
if (!tempAgr.ContainsKey(symbolExchenge))
{
symAgr = new SortedDictionary <long, int> [indexes.Length];
tempAgr[symbolExchenge] = symAgr;
for (int i = 0; i < variables.Length; i++)
{
symAgr[i] = new SortedDictionary <long, int>();
}
}
else
{
symAgr = tempAgr[symbolExchenge];
}
for (int i = 0; i < variables.Length; i++)
{
var varAgr = symAgr[i];
if (!varAgr.ContainsKey(variables[i]))
{
varAgr[variables[i]] = 1;
}
else
{
varAgr[variables[i]]++;
}
}
}
}
#endregion
#region Aggregated values serialization
var serializer = new System.Runtime.Serialization.Formatters.Binary.BinaryFormatter();
foreach (var symExPair in tempAgr)
{
var symAgr = new AgrFeedData();
symAgr.Data = new SortedDictionary <int, long> [indexes.Length];
symAgr.VariablesBitLength = new int[symExPair.Value.Length];
var varIndex = 0;
foreach (var varValues in symExPair.Value)
{
var varAgr = new SortedDictionary <int, long>();
symAgr.Data[varIndex] = varAgr;
varValues.Add(varValues.Keys.ElementAt(0) - 1, 0);
varValues.Add(varValues.Keys.ElementAt(varValues.Keys.Count - 1) + 1, 0);
int i = 0;
var coef = varValues.Count == 1 ? 1 : GetNextPowerof2Dec1(varValues.Count - 1) / (float)(varValues.Count - 1);
var maxKey = 0;
var lastIndex = -1;
var lastValue = 0L;
foreach (var valuePair in varValues)
{
var index = (int)Math.Round(i * coef);
if (index - lastIndex > 1)
{
varAgr[index - 1] = lastValue;
}
varAgr[index] = valuePair.Key;
i++;
maxKey = index;
lastIndex = index;
lastValue = valuePair.Key;
}
foreach (var indexedPair in varAgr)
{
varValues[indexedPair.Value] = indexedPair.Key;
}
var bitsCount = GetBitsCount(maxKey);
symAgr.VariablesBitLength[varIndex] = (int)bitsCount;
varIndex++;
}
try
{
using (var stream = new FileStream($"bin\\{symExPair.Key}.bin", FileMode.Create))
{
serializer.Serialize(stream, symAgr);
}
}
catch (Exception ex)
{
MessageBox.Show(ex.Message + "\r\n" + ex.StackTrace);
}
}
#endregion
var logDaysCount = lastDealDate.Date.Subtract(firstDealDate.Date).Days;
var pointsDivizor = logDaysCount * ((Parameters.DatePriority - 1) == 0 ? 1 : Parameters.DatePriority - 1);
#region Tradelog parsing
using (StreamReader reader = new StreamReader(new FileStream(tradeLogFilename, FileMode.Open, FileAccess.Read, FileShare.Read, 1024 * 1024 * 512)))
{
reader.ReadLine();
var header = reader.ReadLine().Split(new char[] { ';' });
while (!reader.EndOfStream)
{
var data = reader.ReadLine().Split(new char[] { ';' });
DateTime date;
// if trade date/time can't be parsed correctly, than skip that trade
if (!DateTime.TryParse(data[OpenTime], cultureInfo, DateTimeStyles.AssumeLocal, out date))
{
continue;
}
// skip trade when it's open date/time not within specified interval
if (Parameters.UseTradeLogDateTimeFilter && (date < Parameters.TradeLogFilterStartDateTime || date > Parameters.TradeLogFilterEndDateTime))
{
continue;
}
TradeInfo info = new TradeInfo();
info.openDate = date;
var pointsDays = date.Date.Subtract(firstDealDate.Date).Days;
var pointsMultiplier = (pointsDays / pointsDivizor + 1);
Utils.ParseFloatDualCulture(data[MAE], out info.MAE);
Utils.ParseFloatDualCulture(data[MFE], out info.MFE);
info.variables = new int[indexes.Length];//points является отдельной переменной и не входит в группу переменных variables
var variables = new long[indexes.Length];
string agrExName = "";
float dealPoints = 0;
for (int index = 0; index < indexes.Length; index++)
{
if (indexes[index].Type == IndexType.Absolute)
{
switch (indexes[index].IndexName)
{
case "Points":
float commission;
Utils.ParseFloatDualCulture(data[indexes[index].Column], out info.Points);
Utils.ParseFloatDualCulture(data[Profit], out info.Profit);
Utils.ParseFloatDualCulture(data[Commission], out commission);
if (info.Profit != 0)
{
info.PointsWithCommision = info.Points;
if (!Parameters.BTlog)
{
dealPoints = info.Points * (1 + commission / info.Profit) > 50 && Parameters.ProfitLimit ? 50 : info.Points * (1 + commission / info.Profit);
}
else
{
dealPoints = info.Points + commission > 50 && Parameters.ProfitLimit ? 50 : info.Points + commission;
}
info.Points = dealPoints * pointsMultiplier;
}
break;
case "FPwr":
variables[index] = GetPowerLong(data[OpenMass], data[OpenAccel], steps[index]);
break;
case "APwr":
variables[index] = GetPowerLong(data[OpenAgrExMass], data[OpenAgrExAccel], steps[index]);
break;
case "BPwr":
variables[index] = GetPowerLong(data[BBOAgrMass], data[BBOAgrAccel], steps[index]);
break;
case "SPwr":
variables[index] = GetPowerLong(data[SumAgrMass], data[AveAgrAccel], steps[index]);
break;
case "FAng":
variables[index] = GetAngleLong(data[OpenMass], data[OpenAccel], steps[index]);
break;
case "AAng":
variables[index] = GetAngleLong(data[OpenAgrExMass], data[OpenAgrExAccel], steps[index]);
break;
case "BAng":
variables[index] = GetAngleLong(data[BBOAgrMass], data[BBOAgrAccel], steps[index]);
break;
case "SAng":
variables[index] = GetAngleLong(data[SumAgrMass], data[AveAgrAccel], steps[index]);
break;
case "OpenTrendMid":
double val;
Utils.TryParse(data[OpenTrendMid], out val);
if (val < 0)
{
agrExName = data[AgrEx] + 'd';
string makePositiveTrend = data[indexes[index].Column].Remove(0, 1);
Utils.ParseLongDualCulture(makePositiveTrend, steps[index], out variables[index]);
}
else
{
agrExName = data[AgrEx] + 'u';
Utils.ParseLongDualCulture(data[indexes[index].Column], steps[index], out variables[index]);
}
break;
case "OpenSlip":
Utils.ParseFloatDualCulture(data[indexes[index].Column], out info.OpenSlip);
Utils.ParseLongDualCulture(data[indexes[index].Column], steps[index], out variables[index]);
break;
default:
Utils.ParseLongDualCulture(data[indexes[index].Column], steps[index], out variables[index]);
break;
}
}
else
{
float val, divisorVal;
Utils.ParseFloatDualCulture(data[indexes[index].Column], out val);
Utils.ParseFloatDualCulture(data[indexes[index].DivisorColumn], out divisorVal);
if (divisorVal != 0)
{
variables[index] = (int)GeneMath.Round(val / divisorVal * (1 / steps[index]));
}
else
{
variables[index] = (int)GeneMath.Round(val * 100 * (1 / steps[index]));
}
}
}
var symbolExchenge = data[symbol].Replace('/', '_') + "_" + agrExName;
var symAgr = tempAgr[symbolExchenge];
for (int index = 0; index < info.variables.Length; index++)
{
info.variables[index] = symAgr[index][variables[index]];
}
info.isArbitrage = Parameters.UseAllFilters ? info.Points > 0 : (((float)Math.Abs(info.MFE / info.MAE) > 2 || info.MAE == 0) && info.Points > 0);
List <TradeInfo> agrTrades = GetTradesList(data[symbol], agrExName);
agrTrades.Add(info);
bool isLastDeal = false;
if (reader.EndOfStream)
{
isLastDeal = true;
}
if (Parameters.isVolumeSet)
{
GetDayPoints(data[symbol], agrExName, date.Date, dealPoints, isLastDeal);
GetDayProfitExpectancy(data[symbol], agrExName, date.Date, info.MAE, info.MFE, dealPoints, isLastDeal);
}
if (Parameters.isMaxDDSet)
{
DateTime tradeClosed;
// if trade date/time can't be parsed correctly, than skip that trade
if (DateTime.TryParse(data[9], cultureInfo, DateTimeStyles.AssumeLocal, out tradeClosed))
{
GetDealPoints(data[symbol], agrExName, tradeClosed, dealPoints);
}
}
}
}
#endregion
}
GC.Collect(GC.MaxGeneration, GCCollectionMode.Forced, true);
}
public int[][] initialPositionOpt(int k)
{
int i, j, m, n, counter;
int[,] basic;
int[][] result;
// разобраться - возможно параметр таки только целый бывает
float l = Parameters.VariableNumberOfSlots;
basic = new int[(int)GeneMath.Round((float)(l + (l - 1) * l / 2)), 2];
counter = 0;
for (i = 0; i < l; i++)
{
for (j = 0; j < l - i; j++)
{
basic[counter, 0] = i;
basic[counter, 1] = j;
counter++;
}
}
int size = 0;
for (i = 0; i < k; i++)
{
counter = 0;
int jMax = (int)GeneMath.Round(GeneMath.Exp(GeneMath.Log(l + (l - 1) * l / 2) * i));
for (j = 1; j <= jMax; j++)
{
int mMax = (int)GeneMath.Round((float)(l + (l - 1) * l / 2)) - 1;
for (m = 0; m <= mMax; m++)
{
int nMax = (int)(GeneMath.Round(GeneMath.Exp(GeneMath.Log(l + (l - 1) * l / 2) * (k - 1 - i))) - 1);
for (n = 0; n <= nMax; n++)
{
counter++;
}
}
}
size = size > counter ? size : counter;
}
result = new int[size][];
for (i = 0; i < k; i++)
{
int jMax = (int)GeneMath.Round(GeneMath.Exp(GeneMath.Log(l + (l - 1) * l / 2) * i));
counter = 0;
for (j = 1; j <= jMax; j++)
{
int mMax = (int)GeneMath.Round((float)(l + (l - 1) * l / 2)) - 1;
for (m = 0; m <= mMax; m++)
{
int basicM0 = basic[m, 0];
int basicM1 = basic[m, 1];
int nMax = ((int)GeneMath.Round(GeneMath.Exp(GeneMath.Log(l + (l - 1) * l / 2) * (k - 1 - i)))) - 1;
for (n = 0; n <= nMax; n++)
{
if (i == 0)
{
result[counter] = new int[2];
result[counter][0] = basicM0;
result[counter][1] = basicM1;
}
else
{
int[] tmp = result[counter];
result[counter] = new int[tmp.Length + 2];
tmp.CopyTo(result[counter], 0);
result[counter][tmp.Length] = basicM0;
result[counter][tmp.Length + 1] = basicM1;
}
counter++;
}
}
}
}
return(result);
}
