public override void Subscribe(string[] epics, IHandyTableListener tableListener)
{
Dictionary<string, List<CqlQuote>> priceData = GetReplayData(epics);
if (priceData.Count == 0)
return;
Calendar dayCalendar = new Calendar(priceData.First().Value[0].t);
foreach(var epic in epics){
// for each quote, associate the observed gains in the near future
var mktData = new MarketData(epic);
var wmaLow = new IndicatorEMA(mktData, 2);
var wmaMid = new IndicatorEMA(mktData, 10);
var wmaHigh = new IndicatorEMA(mktData, 30);
var wmaVeryHigh = new IndicatorEMA(mktData, 90);
var rsiShort = new IndicatorRSI(mktData, 1, 14);
var rsiLong = new IndicatorRSI(mktData, 2, 14);
var trendShort = new IndicatorTrend(mktData, 90, 14, false);
var trendLong = new IndicatorTrend(mktData, 180, 14, false);
var wmvolLow = new IndicatorWMVol(mktData, wmaLow, 60, 90);
var wmvolHigh = new IndicatorWMVol(mktData, wmaMid, 60, 90);
var volTrendLow = new IndicatorTrend(wmvolLow, 30, 6, true);
var volTrendHigh = new IndicatorTrend(wmvolHigh, 60, 6, true);
var allIndicators = new List<IndicatorWMA>();
allIndicators.Add(wmaLow);
allIndicators.Add(wmaMid);
allIndicators.Add(wmaHigh);
allIndicators.Add(wmaVeryHigh);
allIndicators.Add(rsiShort);
allIndicators.Add(rsiLong);
allIndicators.Add(trendShort);
allIndicators.Add(trendLong);
allIndicators.Add(wmvolLow);
allIndicators.Add(wmvolHigh);
allIndicators.Add(volTrendLow);
allIndicators.Add(volTrendHigh);
foreach (var quote in priceData[epic])
{
var mktDataValue = new Price(quote.MidPrice());
mktData.Process(quote.t, mktDataValue);
foreach (var ind in allIndicators)
ind.Process(quote.t, mktDataValue);
}
var expectations = new Dictionary<DateTime, KeyValuePair<CqlQuote, decimal>>();
var gainDistribution = new SortedList<int, DateTime>();
KeyValuePair<int, DateTime> minProfit = new KeyValuePair<int, DateTime>(1000000, DateTime.MinValue);
KeyValuePair<int, DateTime> maxProfit = new KeyValuePair<int, DateTime>(-1000000, DateTime.MinValue);
var rnd = new Random(155);
var tradingStart = Config.ParseDateTimeLocal(Config.Settings["TRADING_START_TIME"]);
var tradingStop = Config.ParseDateTimeLocal(Config.Settings["TRADING_STOP_TIME"]);
var wmaVeryHighStart = wmaVeryHigh.Average(tradingStart);
var amplitude = 100.0m;
foreach (var quote in priceData[epic])
{
if (quote.t.TimeOfDay < tradingStart.TimeOfDay || quote.t.TimeOfDay > tradingStop.TimeOfDay)
continue;
string evtName = "";
if (dayCalendar.IsNearEvent(mktData.Name, quote.t, ref evtName))
continue;
var futureVal = (mktData.TimeSeries.Max(quote.t.AddMinutes(5), quote.t.AddMinutes(20)) +
mktData.TimeSeries.Min(quote.t.AddMinutes(5), quote.t.AddMinutes(20))) / 2m;
var profit = (int)Math.Round(futureVal - quote.MidPrice());
expectations.Add(quote.t, new KeyValuePair<CqlQuote, decimal>(quote, profit));
if (gainDistribution.ContainsKey(profit))
{
if ((quote.t - gainDistribution[profit]).Hours > 3 && (rnd.Next(100) == 0))
gainDistribution[profit] = quote.t;
}
else
gainDistribution[profit] = quote.t;
if (profit < minProfit.Key)
minProfit = new KeyValuePair<int, DateTime>(profit, gainDistribution[profit]);
if (profit > maxProfit.Key)
maxProfit = new KeyValuePair<int, DateTime>(profit, gainDistribution[profit]);
quote.b = (quote.b - wmaVeryHighStart.Bid) / amplitude;
quote.o = (quote.o - wmaVeryHighStart.Offer) / amplitude;
}
gainDistribution = new SortedList<int,DateTime>((from elt in gainDistribution
where !isTooClose(elt, gainDistribution)
select elt).ToDictionary(keyVal => keyVal.Key, keyVal => keyVal.Value));
int nbPoints = 10;
int idxProfit = 0;
KeyValuePair<int, DateTime> nextProfit = minProfit;
var selection = new SortedList<DateTime, KeyValuePair<int, CqlQuote>>();
while (idxProfit++ < nbPoints)
{
selection.Add(gainDistribution[nextProfit.Key], new KeyValuePair<int, CqlQuote>(nextProfit.Key, expectations[gainDistribution[nextProfit.Key]].Key));
var nextKeyVal = gainDistribution.FirstOrDefault(keyVal => keyVal.Key > nextProfit.Key &&
keyVal.Key >= ((decimal)minProfit.Key + (decimal)idxProfit * (decimal)(maxProfit.Key - minProfit.Key) / (decimal)nbPoints));
if (nextKeyVal.Equals(default(KeyValuePair<int, DateTime>)))
break;
nextProfit = nextKeyVal;
}
foreach (var dt in selection.Keys)
{
bool allValid = true;
foreach (var ind in allIndicators)
{
if (ind.TimeSeries[dt] == null)
{
allValid = false;
break;
}
}
if (!allValid)
continue;
PublisherConnection.Instance.Insert(dt, wmaLow, (wmaLow.TimeSeries[dt].Value.Value.Mid() - wmaVeryHighStart.Mid()) / amplitude);
PublisherConnection.Instance.Insert(dt, wmaMid, (wmaMid.TimeSeries[dt].Value.Value.Mid() - wmaVeryHighStart.Mid()) / amplitude);
PublisherConnection.Instance.Insert(dt, wmaHigh, (wmaHigh.TimeSeries[dt].Value.Value.Mid() - wmaVeryHighStart.Mid()) / amplitude);
PublisherConnection.Instance.Insert(dt, wmaVeryHigh, (wmaVeryHigh.TimeSeries[dt].Value.Value.Mid() - wmaVeryHighStart.Mid()) / amplitude);
PublisherConnection.Instance.Insert(dt, rsiShort, (rsiShort.TimeSeries[dt].Value.Value.Mid() - 50m) / amplitude);
PublisherConnection.Instance.Insert(dt, rsiLong, (rsiLong.TimeSeries[dt].Value.Value.Mid() - 50m) / amplitude);
PublisherConnection.Instance.Insert(dt, trendShort, trendShort.TimeSeries[dt].Value.Value.Mid() / 1000m);
PublisherConnection.Instance.Insert(dt, trendLong, trendLong.TimeSeries[dt].Value.Value.Mid() / 1000m);
PublisherConnection.Instance.Insert(dt, wmvolLow, wmvolLow.TimeSeries[dt].Value.Value.Mid() / 10m);
PublisherConnection.Instance.Insert(dt, wmvolHigh, wmvolHigh.TimeSeries[dt].Value.Value.Mid() / 10m);
PublisherConnection.Instance.Insert(dt, volTrendLow, volTrendLow.TimeSeries[dt].Value.Value.Mid());
PublisherConnection.Instance.Insert(dt, volTrendHigh, volTrendHigh.TimeSeries[dt].Value.Value.Mid());
PublisherConnection.Instance.Insert(dt, epic, new Value((double)selection[dt].Key / ((double)amplitude / 2.0)));
}
priceData[epic] = selection.Values.Select(kv => kv.Value).ToList();
}
replay(priceData, tableListener);
}
static bool isNearEvent(KeyValuePair<int, DateTime> keyVal, Calendar dayCalendar, string ccyPair)
{
string evtName = "";
return dayCalendar.IsNearEvent(ccyPair, keyVal.Value, ref evtName);
}