public static StockBarSerie CreateDailyBarSerie(string name, string shortName, StockTick[] ticks)
{
// Arguments check
if (ticks == null || ticks.Count() == 0)
{
throw new ArgumentNullException("ticks", "ticks must contain at least one tick");
}
StockBarSerie barSerie = new StockBarSerie(name, shortName, StockBar.StockBarType.Daily);
barSerie.AppendDailyBars(ticks);
return barSerie;
}
public static StockBarSerie CreateIntradayBarSerie(string name, string shortName, int duration, StockTick[] ticks)
{
// Arguments check
if (duration < 1)
{
throw new ArgumentOutOfRangeException("tickNumber", duration, "duration must be greater or equal to one minute");
}
if (ticks == null || ticks.Count() == 0)
{
throw new ArgumentNullException("ticks", "ticks must contain at least one tick");
}
StockBarSerie barSerie = new StockBarSerie(name, shortName, StockBar.StockBarType.Intraday);
barSerie.Duration = duration;
barSerie.AppendIntradayBars(ticks);
return barSerie;
}
/// <summary>
/// Parse a Euronext file and return a tick array.
/// </summary>
/// <param name="fileName">Name of the ruonext file to be parsed</param>
/// <param name="lastClose">Value of previous session close, if unknown set is to any value <=0 </param>
/// <returns></returns>
public static StockTick[] ParseEuronextFile(string fileName, double lastClose)
{
StreamReader reader = new StreamReader(fileName);
reader.ReadLine();
reader.ReadLine();
string line = reader.ReadLine();
string[] fieldNames = line.Split('\t');
line = reader.ReadLine();
string[] fields = line.Split('\t');
string date1 = fields[Array.IndexOf(fieldNames, "Date")].Remove(9);
System.DateTime dataDate;
if (!DateTime.TryParse(date1, out dataDate))
{
throw new System.Exception("Invalid Euronext file, date not found");
}
line = reader.ReadLine();
line = reader.ReadLine();
//
List<string[]> tickList = new List<string[]>();
while (!reader.EndOfStream)
{
line = reader.ReadLine();
tickList.Add(line.Split('\t'));
}
reader.Close();
tickList.Reverse();
// Create the array
StockTick[] ticks = new StockTick[tickList.Count];
int i = 0;
bool upTick = true;
double value, previousValue = lastClose;
foreach (string[] tickFields in tickList)
{
value = double.Parse(tickFields[2]);
if (value < previousValue) // Check the up or down ticks at the open using the last close value
{
upTick = false;
}
else if (value > previousValue)
{
upTick = true;
}
long volume = 0;
long.TryParse(tickFields[3], out volume);
ticks[i++] = new StockTick(dataDate.Add(TimeSpan.Parse(tickFields[0])), int.Parse(tickFields[1]), value
, volume, upTick);
previousValue = value;
}
return ticks;
}
public static StockBarSerie CreateRangeBarSerie(string name, string shortName, double range, StockTick[] ticks)
{
// Arguments check
if (ticks == null || ticks.Count() == 0)
{
throw new ArgumentNullException("ticks", "ticks must contain at least one tick");
}
if (range < (ticks[0].Value / 10000))
{
throw new ArgumentOutOfRangeException("range", range, "range must be greater or equal to 0,01% of the value");
}
StockBarSerie barSerie = new StockBarSerie(name, shortName, StockBar.StockBarType.Range);
barSerie.Range = range;
barSerie.AppendRangeBars(ticks);
return barSerie;
}
private void AppendTickBars(StockTick[] ticks)
{
int tickCount = 0;
double low = double.MaxValue;
double high = double.MinValue;
double open = 0, close = 0;
long volume = 0, upVolume = 0;
int upTick = 0;
List<StockBar> bars = null;
DateTime openDate = new DateTime();
if (this.StockBars != null)
{
StockBar lastBar = this.StockBars[this.StockBars.Length - 1];
bars = this.StockBars.ToList();
if (!lastBar.Complete)
{
tickCount = lastBar.TICK;
open = lastBar.OPEN;
high = lastBar.HIGH;
low = lastBar.LOW;
close = lastBar.CLOSE;
volume = lastBar.VOLUME;
upVolume = lastBar.UPVOLUME;
upTick = lastBar.UPTICK;
openDate = lastBar.DATE;
bars.RemoveAt(bars.Count - 1);
}
}
else
{
bars = new List<StockBar>();
}
foreach (StockTick tick in ticks)
{
if (tickCount == this.TickNumber)
{
bars.Add(new StockBar(open, high, low, close, volume, upVolume, this.TickNumber, upTick, openDate));
tickCount = 0;
}
if (tickCount == 0)
{ // This is the first tick of a new bar
tickCount = 1;
close = low = high = open = tick.Value;
volume = tick.Volume;
openDate = tick.Date;
if (tick.UpTick)
{
upTick = 1;
upVolume = volume;
}
else
{
upTick = 0;
upVolume = 0;
}
}
else
{
tickCount++;
low = Math.Min(low, tick.Value);
high = Math.Max(high, tick.Value);
close = tick.Value;
volume += tick.Volume;
if (tick.UpTick)
{
upTick++;
upVolume += tick.Volume;
}
}
}
bars.Add(new StockBar(open, high, low, close, volume, upVolume, tickCount, upTick, openDate));
if (tickCount < this.TickNumber)
{
bars.Last().Complete = false;
}
this.StockBars = bars.ToArray();
}
private void AppendRangeBars(StockTick[] ticks)
{
int tickCountInBar = 0;
double low = double.MaxValue;
double high = double.MinValue;
double open = 0, close = 0;
long volume = 0, upVolume = 0;
int upTick = 0;
List<StockBar> bars = null;
DateTime openDate = new DateTime();
if (this.StockBars != null)
{
StockBar lastBar = this.StockBars[this.StockBars.Length - 1];
bars = this.StockBars.ToList();
if (!lastBar.Complete)
{
tickCountInBar = lastBar.TICK;
open = lastBar.OPEN;
high = lastBar.HIGH;
low = lastBar.LOW;
close = lastBar.CLOSE;
volume = lastBar.VOLUME;
upVolume = lastBar.UPVOLUME;
upTick = lastBar.UPTICK;
openDate = lastBar.DATE;
bars.RemoveAt(bars.Count - 1);
}
}
else
{
bars = new List<StockBar>();
}
System.TimeSpan minSpan = System.TimeSpan.FromSeconds(1);
StockTick tick = null;
for (int i = 0; i < ticks.Length; i++)
{
tick = ticks[i];
if (tickCountInBar > 0)
{
// Check if current tick is in range
if (tick.Value - low >= Range)
{ // overshooting the upside
close = low + Range;
high = close;
bars.Add(new StockBar(open, high, low, close, volume, upVolume, tickCountInBar, upTick, openDate));
TimeSpan timeSpan = minSpan;
while (close + Range <= tick.Value)
{
open = low = close;
close = high = close + Range;
bars.Add(new StockBar(open, high, low, close, 0, 0, 0, 0, tick.Date + timeSpan));
timeSpan = timeSpan.Add(minSpan);
}
tickCountInBar = 1;
open = close;
low = close;
high = close;
volume = tick.Volume;
openDate = tick.Date;
if (tick.UpTick)
{
upTick = 1;
upVolume = tick.Volume;
}
else
{
upTick = 0;
upVolume = 0;
}
}
else if (high - tick.Value >= Range)
{ // Overshooting the downside
close = high - Range;
low = close;
bars.Add(new StockBar(open, high, low, close, volume, upVolume, tickCountInBar, upTick, openDate));
TimeSpan timeSpan = minSpan;
while (close - Range >= tick.Value)
{
open = high = close;
close = low = close - Range;
bars.Add(new StockBar(open, high, low, close, 0, 0, 0, 0, tick.Date + timeSpan));
timeSpan = timeSpan.Add(minSpan);
}
tickCountInBar = 1;
open = close;
low = close;
high = close;
volume = tick.Volume;
openDate = tick.Date;
if (tick.UpTick)
{
upTick = 1;
upVolume = tick.Volume;
}
else
{
upTick = 0;
upVolume = 0;
}
}
else
{ // We are in the range
tickCountInBar++;
low = Math.Min(low, tick.Value);
high = Math.Max(high, tick.Value);
close = tick.Value;
volume += tick.Volume;
if (tick.UpTick)
{
upTick++;
upVolume += tick.Volume;
}
}
}
else
{ // First tick in bar
if (bars.Count == 0)
{ // This is the first tick ever
tickCountInBar = 1;
close = low = high = open = tick.Value;
volume = tick.Volume;
openDate = tick.Date;
if (tick.UpTick)
{
upTick = 1;
upVolume = volume;
}
else
{
upTick = 0;
upVolume = 0;
}
}
}
}
bars.Add(new StockBar(open, high, low, close, volume, upVolume, tickCountInBar, upTick, openDate));
if ((high - low) < this.Range)
{
bars.Last().Complete = false;
}
this.StockBars = bars.ToArray();
}
private void AppendIntradayBars(StockTick[] ticks)
{
int tickCountInBar = 0;
double low = double.MaxValue;
double high = double.MinValue;
double open = 0, close = 0;
long volume = 0, upVolume = 0;
int upTick = 0;
TimeSpan durationSpan = TimeSpan.FromMinutes(this.Duration);
StockSession session = new StockSession(new TimeSpan(9, 0, 0), new TimeSpan(17, 40, 0));
TimeSpan tickTime = session.OpenTime;
StockTick tick = null;
DateTime day = ticks[0].Date.Date;
TimeSpan currentTime = session.OpenTime;
int i = 0;
List<StockBar> bars = null;
if (this.StockBars != null)
{
bars = this.StockBars.ToList();
}
else
{
bars = new List<StockBar>();
}
while (currentTime <= session.CloseTime && i < ticks.Length)
{
if (tickTime >= currentTime + durationSpan)
{ // Next tick is after the current bar close
if (tickCountInBar == 0)
{
// No tick in bar
bars.Add(new StockBar(close, close, close, close, 0, 0, 0, 0, day + currentTime));
currentTime += durationSpan;
}
else
{
// Create new bar
bars.Add(new StockBar(open, high, low, close, volume, upVolume, tickCountInBar, upTick, day + currentTime));
currentTime += durationSpan;
tickCountInBar = 0;
volume = 0;
upVolume = 0;
upTick = 0;
low = double.MaxValue;
high = double.MinValue;
}
}
else
{ // Current tick is in the current bar
tick = ticks[i];
if (tickCountInBar == 0)
{
open = tick.Value;
}
tickCountInBar++;
low = Math.Min(low, tick.Value);
high = Math.Max(high, tick.Value);
close = tick.Value;
volume += tick.Volume;
if (tick.UpTick)
{
upTick++;
upVolume += tick.Volume;
}
if (++i < ticks.Length)
{
tick = ticks[i];
tickTime = tick.Date.TimeOfDay;
}
else
{
tick = null;
}
}
}
if (tick == null)
{
// We reached the end of the ticks, let create the last bar
bars.Add(new StockBar(open, high, low, close, volume, upVolume, tickCountInBar, upTick, day + currentTime));
}
this.StockBars = bars.ToArray();
}
private void AppendDailyBars(StockTick[] ticks)
{
double low = double.MaxValue;
double high = double.MinValue;
double open = ticks.First().Value, close = 0;
long volume = 0, upVolume = 0;
int upTick = 0;
List<StockBar> bars = null;
if (this.StockBars != null)
{
bars = this.StockBars.ToList();
}
else
{
bars = new List<StockBar>();
}
foreach (StockTick tick in ticks)
{
low = Math.Min(low, tick.Value);
high = Math.Max(high, tick.Value);
close = tick.Value;
volume += tick.Volume;
if (tick.UpTick)
{
upTick++;
upVolume += tick.Volume;
}
}
close = ticks.Last().Value;
bars.Add(new StockBar(open, high, low, close, volume, upVolume, ticks.Length, upTick, ticks.First().Date.Date));
this.StockBars = bars.ToArray();
}
public void Append(StockTick[] ticks)
{
switch (this.BarType)
{
case StockBar.StockBarType.Intraday:
this.AppendIntradayBars(ticks);
break;
case StockBar.StockBarType.Daily:
this.AppendDailyBars(ticks);
break;
case StockBar.StockBarType.Range:
this.AppendRangeBars(ticks);
break;
case StockBar.StockBarType.Tick:
this.AppendTickBars(ticks);
break;
default:
throw new System.NotSupportedException("Unknown bar type");
}
}
public static StockBarSerie CreateTickBarSerie(string name, string shortName, int tickNumber, StockTick[] ticks)
{
// Arguments check
if (tickNumber < 1)
{
throw new ArgumentOutOfRangeException("tickNumber", tickNumber, "TickNumber must be greater or equal to one");
}
if (ticks == null || ticks.Count() == 0)
{
throw new ArgumentNullException("ticks", "ticks must contain at least one tick");
}
StockBarSerie barSerie = new StockBarSerie(name, shortName, StockBar.StockBarType.Tick);
barSerie.TickNumber = tickNumber;
barSerie.AppendTickBars(ticks);
return barSerie;
}
