public static TradingData fetchRandomSeries(int timestepRange)
{
TradingData series;
do
{
Random rnd = new Random();
int startIndex = rnd.Next(0, allData.Length - timestepRange + 1);
TimeStepDataPiece[] randomSet = new TimeStepDataPiece[timestepRange];
for (int i = 0; i < timestepRange; ++i)
{
randomSet[i] = allData[startIndex + i];
}
series = new TradingData(randomSet);
} while (series.MaximumGainFactor < 1.3 || series.MaximumLossFactor < 1.6);
return(series);
}
public static void initializeData()
{
Console.Write("Loading data set... ");
// A piece of data looks like the following.
// {"date":1482565500,"high":7.22192054,"low":7.22192054,"open":7.22192054,"close":7.22192054,"volume":0,"quoteVolume":0,"weightedAverage":7.22192054}
JArray dataArray = JArray.Parse(File.ReadAllText("../../eth_esdt_poloniex.json"));
allData = new TimeStepDataPiece[dataArray.Count];
int[] cciRanges = new int[] { 2, 5, 10, 20, 50, 100, 200, 500, 1000 };
MovingAverageTracker[] movingAverageTrackers = new MovingAverageTracker[cciRanges.Length];
int index = 0;
foreach (int cciRange in cciRanges)
{
movingAverageTrackers[index++] = new MovingAverageTracker(cciRange);
}
index = 0;
foreach (JObject o in dataArray.Children <JObject>())
{
double high = -1.0;
double low = -1.0;
double close = -1.0;
double weightedAverage = -1.0;
foreach (JProperty p in o.Properties())
{
string name = p.Name;
string value = (string)p.Value;
switch (name)
{
case "high":
high = Double.Parse(value);
break;
case "low":
low = Double.Parse(value);
break;
case "close":
close = Double.Parse(value);
break;
case "weightedAverage":
weightedAverage = Double.Parse(value);
break;
}
}
if (high < 0.0 || low < 0.0 || close < 0.0 || weightedAverage < 0.0)
{
throw new Exception("One of the following properties: {\"high\", \"low\", \"close\". \"weightedAverage\"} was not found in the current piece of JSON data.\n " + o.ToString());
}
double typicalPrice = (high + low + close) / 3.0;
double[] ccis = new double[cciRanges.Length];
int cciIndex = 0;
foreach (MovingAverageTracker mat in movingAverageTrackers)
{
mat.feedNextValue(typicalPrice);
// CCI calculation. Divided by 1.5 rather than .0015 so that the majority range from -1 to 1 rahter than -100 to 100.
ccis[cciIndex++] = (typicalPrice - mat.MovingAverage) / (mat.calcStdDev() * 1.5);
}
allData[index++] = new TimeStepDataPiece(typicalPrice, ccis, cciRanges);
}
Console.WriteLine("Loaded.");
}
