示例#1
0
 protected internal CandleBuySellElement(CandleBuySellView view, PlotPane host, CandleSample sample, int x, float minScale, float maxScale) : base(host)
 {
   m_View = view;
   m_Sample = sample;
   m_ScaleMin = minScale;
   m_ScaleMax = maxScale;
  
   computeCoords();
   var h = Math.Max(m_Lay_BuyHeight, m_Lay_SellHeight);
   this.Region = new Rectangle(x, (int)(host.Height / host.Zoom) - h, CandleView.BAR_WIDTH, h);
 }
示例#2
0
 public void Replace(CandleSample sample)
 {
     TimeSpanMs = sample.TimeSpanMs;
     LowPrice   = sample.LowPrice;
     HighPrice  = sample.HighPrice;
     OpenPrice  = sample.OpenPrice;
     ClosePrice = sample.ClosePrice;
     BuyVolume  = sample.BuyVolume;
     SellVolume = sample.SellVolume;
     Count      = sample.Count;
 }
示例#3
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      public void AggregateSample(CandleSample sample)
      {
          if (sample==null) return;

          this.TimeSpanMs += sample.TimeSpanMs;

          if (sample.LowPrice<this.LowPrice) this.LowPrice = sample.LowPrice;
          if (sample.HighPrice>this.HighPrice) this.HighPrice = sample.HighPrice;

          this.BuyVolume += sample.BuyVolume;
          this.SellVolume += sample.SellVolume;

          this.ClosePrice = sample.ClosePrice;
      }
示例#4
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        public void AggregateSample(CandleSample sample)
        {
            if (sample == null)
            {
                return;
            }

            this.TimeSpanMs += sample.TimeSpanMs;

            if (sample.LowPrice < this.LowPrice)
            {
                this.LowPrice = sample.LowPrice;
            }
            if (sample.HighPrice > this.HighPrice)
            {
                this.HighPrice = sample.HighPrice;
            }

            this.BuyVolume  += sample.BuyVolume;
            this.SellVolume += sample.SellVolume;
            this.Count      += sample.Count;
            this.ClosePrice  = sample.ClosePrice;
        }
示例#5
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 protected override Elements.Element MakeSampleElement(TimeSeriesChart chart, PlotPane pane, CandleSample sample, int x, float minScale, float maxScale)
 {
   return new CandleBuySellElement(this, pane, sample, x, minScale, maxScale);
 }
示例#6
0
        /// <summary>
        /// Generates random market candle stream
        /// </summary>
        public static CandleSample[] GenerateRandom(int count,
                                                    DateTime startDate,
                                                    int msInterval,
                                                    int msIntervalDeviation,
                                                    int priceDirChangeEvery,
                                                    int priceChangeAccel,
                                                    float currentMidPrice)
        {
            if (count <= 0)
            {
                count = 1;
            }
            if (msInterval == 0)
            {
                msInterval = 1000;
            }
            if (priceDirChangeEvery <= 0)
            {
                priceDirChangeEvery = 11;
            }
            if (priceChangeAccel == 0)
            {
                priceChangeAccel = 8;
            }

            var result = new CandleSample[count];

            var dt     = startDate;
            var deltaT = msInterval;

            var priceVelocity = -1.0f + (2.0f * (float)ExternalRandomGenerator.Instance.NextRandomDouble);
            var priceSteps    = 0;

            var price = currentMidPrice;

            for (var i = 0; i < count; i++)
            {
                var sample = new CandleSample(dt);
                dt = dt.AddMilliseconds(deltaT);
                if (msIntervalDeviation != 0)
                {
                    deltaT += ExternalRandomGenerator.Instance.NextScaledRandomInteger(-msIntervalDeviation, msIntervalDeviation);
                    if (deltaT == 0)
                    {
                        deltaT = msInterval;
                    }
                    if (i % 8 == 0)
                    {
                        deltaT = msInterval;
                    }
                }


                priceSteps++;
                if (priceSteps >=
                    ExternalRandomGenerator.Instance.NextScaledRandomInteger(
                        priceDirChangeEvery - 4, priceDirChangeEvery + 4))
                {
                    var accel = (float)ExternalRandomGenerator.Instance.NextScaledRandomInteger(1, priceChangeAccel);
                    priceVelocity = -accel + (2.0f * accel * (float)ExternalRandomGenerator.Instance.NextRandomDouble);
                    priceSteps    = 0;
                }

                price += priceVelocity;

                var pSample = i > 0 ? result[i - 1] : null;

                sample.OpenPrice  = pSample != null ? pSample.ClosePrice : price;
                sample.ClosePrice = price
                                    + (float)ExternalRandomGenerator.Instance.NextScaledRandomDouble(-0.08f * currentMidPrice, +0.08f * currentMidPrice);
                sample.LowPrice = Math.Min(sample.OpenPrice, sample.ClosePrice)
                                  - (float)ExternalRandomGenerator.Instance.NextScaledRandomDouble(0, +0.05f * currentMidPrice);
                sample.HighPrice = Math.Max(sample.OpenPrice, sample.ClosePrice)
                                   + (float)ExternalRandomGenerator.Instance.NextScaledRandomDouble(0, +0.05f * currentMidPrice);
                sample.Count = 1;

                result[i] = sample;
            }

            return(result);
        }
示例#7
0
文件: CandleSample.cs 项目: yhhno/nfx
        /// <summary>
        /// Generates random market candle stream
        /// </summary>
        public static CandleSample[] GenerateRandom(int count,
            DateTime startDate,
            int msInterval,
            int msIntervalDeviation,
            int priceDirChangeEvery,
            int priceChangeAccel,
            float currentMidPrice)
        {
            if (count      <= 0) count = 1;
              if (msInterval == 0) msInterval = 1000;
              if (priceDirChangeEvery <= 0) priceDirChangeEvery = 11;
              if (priceChangeAccel    == 0) priceChangeAccel = 8;

              var result = new CandleSample[count];

              var dt     = startDate;
              var deltaT = msInterval;

              var priceVelocity = -1.0f + (2.0f*(float)ExternalRandomGenerator.Instance.NextRandomDouble);
              var priceSteps    = 0;

              var price = currentMidPrice;
              for (var i = 0; i < count; i++)
              {
            var sample = new CandleSample(dt);
            dt = dt.AddMilliseconds(deltaT);
            if (msIntervalDeviation != 0)
            {
              deltaT += ExternalRandomGenerator.Instance.NextScaledRandomInteger(-msIntervalDeviation, msIntervalDeviation);
              if (deltaT == 0) deltaT = msInterval;
              if (i%8    == 0) deltaT = msInterval;
            }

            priceSteps++;
            if (priceSteps >=
            ExternalRandomGenerator.Instance.NextScaledRandomInteger(
              priceDirChangeEvery - 4, priceDirChangeEvery + 4))
            {
              var accel = (float)ExternalRandomGenerator.Instance.NextScaledRandomInteger(1, priceChangeAccel);
              priceVelocity = -accel + (2.0f*accel*(float)ExternalRandomGenerator.Instance.NextRandomDouble);
              priceSteps = 0;
            }

            price += priceVelocity;

            var pSample = i > 0 ? result[i - 1] : null;

            sample.OpenPrice  = pSample != null ? pSample.ClosePrice : price;
            sample.ClosePrice = price
                          + (float)ExternalRandomGenerator.Instance.NextScaledRandomDouble(-0.08f*currentMidPrice, +0.08f*currentMidPrice);
            sample.LowPrice   = Math.Min(sample.OpenPrice, sample.ClosePrice)
                          - (float)ExternalRandomGenerator.Instance.NextScaledRandomDouble(0, +0.05f*currentMidPrice);
            sample.HighPrice  = Math.Max(sample.OpenPrice, sample.ClosePrice)
                          + (float)ExternalRandomGenerator.Instance.NextScaledRandomDouble(0, +0.05f*currentMidPrice);
            sample.Count      = 1;

            result[i] = sample;
              }

              return result;
        }
示例#8
0
文件: CandleSample.cs 项目: yhhno/nfx
 public void Replace(CandleSample sample)
 {
     TimeSpanMs = sample.TimeSpanMs;
       LowPrice   = sample.LowPrice;
       HighPrice  = sample.HighPrice;
       OpenPrice  = sample.OpenPrice;
       ClosePrice = sample.ClosePrice;
       BuyVolume  = sample.BuyVolume;
       SellVolume = sample.SellVolume;
       Count      = sample.Count;
 }
示例#9
0
        /// <summary>
        /// Synthesizes a stream of candle samples from Quote and Trade samples coming from the market (i.e SecDB file)
        /// </summary>
        /// <param name="source">Source of market data</param>
        /// <param name="secSamplingPeriod">The output sampling period</param>
        /// <param name="funcQuote">Aggregation func for Quote, if null default is used which aggregates best bid</param>
        /// <param name="funcTrade">Aggregation func for Quote, if null default is used which aggregates buy and sell volumes</param>
        /// <returns>Synthesized candle stream</returns>
        public static IEnumerable <CandleSample> SynthesizeCandles(this IEnumerable <ITimeSeriesSample> source,
                                                                   uint secSamplingPeriod,
                                                                   Action <CandleSample, SecDBFileReader.QuoteSample, int> funcQuote = null,
                                                                   Action <CandleSample, SecDBFileReader.TradeSample, int> funcTrade = null)
        {
            if (source == null)
            {
                yield break;
            }

            if (funcQuote == null)
            {
                funcQuote = (cs, qs, i) =>
                {
                    var bestBid = qs.Bids.LastOrDefault();
                    if (Math.Abs(bestBid.Price) < float.Epsilon)
                    {
                        return;
                    }

                    if (i == 0)
                    {
                        cs.OpenPrice = bestBid.Price;
                    }

                    cs.HighPrice  = Math.Max(cs.HighPrice, bestBid.Price);
                    cs.LowPrice   = Math.Abs(cs.LowPrice) > float.Epsilon ? Math.Min(cs.LowPrice, bestBid.Price) : bestBid.Price;
                    cs.ClosePrice = bestBid.Price;
                };
            }

            if (funcTrade == null)
            {
                funcTrade = (cs, ts, i) =>
                {
                    if (!ts.IsQty)
                    {
                        return;
                    }

                    if (ts.Side == SecDBFileReader.TradeSample.SideType.Buy)
                    {
                        cs.BuyVolume += ts.Qty;
                    }
                    else
                    {
                        cs.SellVolume += ts.Qty;
                    }
                };
            }

            CandleSample emit = null;

            var filteredSamples = source.Where(s => s is SecDBFileReader.QuoteSample ||
                                               s is SecDBFileReader.TradeSample);

            var aggregateCount = 0;

            foreach (var sample in filteredSamples)
            {
                if (emit != null && (sample.TimeStamp - emit.TimeStamp).TotalSeconds > secSamplingPeriod)
                {
                    emit.TimeSpanMs = (long)(sample.TimeStamp - emit.TimeStamp).TotalMilliseconds;

                    yield return(emit);

                    emit = null;
                }

                if (emit == null)
                {
                    emit           = new CandleSample(sample.TimeStamp);
                    aggregateCount = 0;
                }

                var qts = sample as SecDBFileReader.QuoteSample;
                if (qts != null)
                {
                    funcQuote(emit, qts, aggregateCount);
                }

                var tds = sample as SecDBFileReader.TradeSample;
                if (tds != null)
                {
                    funcTrade(emit, tds, aggregateCount);
                }

                aggregateCount++;
            }

            if (emit != null)
            {
                yield return(emit);
            }
        }
示例#10
0
 protected override Elements.Element MakeSampleElement(TimeSeriesChart chart, PlotPane pane, CandleSample sample, int x, float minScale, float maxScale)
 {
   return null;
 }
示例#11
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    /// <summary>
    /// Synthesizes a stream of candle samples from Quote and Trade samples coming from the market (i.e SecDB file)
    /// </summary>
    /// <param name="source">Source of market data</param>
    /// <param name="secSamplingPeriod">The output sampling period</param>
    /// <param name="funcQuote">Aggregation func for Quote, if null default is used which aggregates best bid</param>
    /// <param name="funcTrade">Aggregation func for Quote, if null default is used which aggregates buy and sell volumes</param>
    /// <returns>Synthesized candle stream</returns>
    public static IEnumerable<CandleSample> SynthesizeCandles(this IEnumerable<ITimeSeriesSample> source, 
                                                              uint secSamplingPeriod,
                                                              Action<CandleSample, SecDBFileReader.QuoteSample, int> funcQuote = null,
                                                              Action<CandleSample, SecDBFileReader.TradeSample, int> funcTrade = null
                                                             )
    {
      if (source==null) yield break;

      if (funcQuote==null)
        funcQuote = (cs, qs, i) =>
        {
           var bestBid = qs.Bids.LastOrDefault();
           if (bestBid.Price!=0)
           {
             if (i==0) cs.OpenPrice = bestBid.Price;
             
             cs.HighPrice = Math.Max(cs.HighPrice, bestBid.Price);
             
             cs.LowPrice  = cs.LowPrice!=0f ? Math.Min( cs.LowPrice , bestBid.Price) : bestBid.Price;

             cs.ClosePrice = bestBid.Price;
           }
        };

      if (funcTrade==null)
        funcTrade = (cs, ts, i) =>
        {
          if (ts.IsQty) 
          {
            if (ts.Side==SecDBFileReader.TradeSample.SideType.Buy)
              cs.BuyVolume += ts.Qty;
            else
              cs.SellVolume += ts.Qty;
          }
        };


      CandleSample emit = null;

      var filteredSamples = source.Where( s => s is SecDBFileReader.QuoteSample ||
                                               s is SecDBFileReader.TradeSample);

      var aggregateCount = 0;
      foreach(var sample in filteredSamples)
      {
        if (emit!=null && (sample.TimeStamp - emit.TimeStamp).TotalSeconds > secSamplingPeriod)
        {
          emit.TimeSpanMs = (long)(sample.TimeStamp - emit.TimeStamp).TotalMilliseconds;

          yield return emit;
          emit = null;
        }

        if (emit==null)
        {
          emit = new CandleSample(sample.TimeStamp);
          aggregateCount = 0;
        }

        var qts = sample as SecDBFileReader.QuoteSample;
        if (qts!=null)
        {
          funcQuote(emit, qts, aggregateCount);
        }

        var tds = sample as SecDBFileReader.TradeSample;
        if (tds!=null)
        {
          funcTrade(emit, tds, aggregateCount);
        }
        
        aggregateCount++;
      }

      if (emit!=null)
        yield return emit;
    } 
示例#12
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        private void tmrUpdate_Tick(object sender, EventArgs e)
        {
            if (!chkRealtime.Checked) return;

              var series = chart.Series as CandleTimeSeries;
              if (series==null) return;
              if (m_OriginalDataFromFile==null) return;

              var sample = m_OriginalDataFromFile.Skip(timerX).FirstOrDefault();
              if (sample==null)
              {
               timerX = 0;
               sample = m_OriginalDataFromFile.Skip(timerX).FirstOrDefault();
              }
              else
               timerX++;

              if (sample==null) return;

              var last = series.DataReveresed.First();

              var newSample = new CandleSample(last.TimeStamp.AddSeconds(m_SecResolution))
              {
            OpenPrice = sample.OpenPrice,
            ClosePrice = sample.ClosePrice,
            HighPrice = sample.HighPrice,
            LowPrice = sample.LowPrice,
            BuyVolume = sample.BuyVolume,
            SellVolume = sample.SellVolume,
            TimeSpanMs = sample.TimeSpanMs
              };

              series.Add( newSample );

              updateLevels(series);

              chart.NotifySeriesChange();
        }