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fixes candles timestamps validations #109

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fixes candles timestamps validations #109

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65ff68a
fixes candles timestamps validations with to datetime offsets in sequ…
ridicoulous Mar 17, 2020
89ec027
Merge pull request #2 from karlwancl/master
ridicoulous Dec 16, 2020
1b92a5e
Introduced new interface for candles with buys and sells volume, adde…
ridicoulous Dec 16, 2020
381fc8c
Merge branch 'master' of https://github.com/ridicoulous/Trady
ridicoulous Dec 16, 2020
ae5518d
added benchmarks
ridicoulous Jan 6, 2021
6a49d7a
Merge pull request #3 from ridicoulous/analyzable-tests
ridicoulous Jan 6, 2021
6633eb0
removed broking local test
ridicoulous Jan 6, 2021
28c9e9d
commented out stooq and yahoo tests that brokes test, waiting for mer…
ridicoulous Jan 6, 2021
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4 changes: 2 additions & 2 deletions Trady.Analysis/Trady.Analysis.csproj
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Expand Up @@ -40,8 +40,8 @@
<ItemGroup>
<PackageReference Include="Microsoft.CSharp" Version="4.7.0" />
<PackageReference Include="System.ValueTuple" Version="4.5.0" />
<PackageReference Include="Microsoft.CodeAnalysis.CSharp.Scripting" Version="3.4.0" />
<PackageReference Include="Microsoft.Extensions.Caching.Memory" Version="3.1.1" />
<PackageReference Include="Microsoft.CodeAnalysis.CSharp.Scripting" Version="3.5.0" />
<PackageReference Include="Microsoft.Extensions.Caching.Memory" Version="3.1.2" />
<PackageReference Include="System.Reflection.TypeExtensions" Version="4.7.0" />
</ItemGroup>
<ItemGroup>
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26 changes: 18 additions & 8 deletions Trady.Benchmark/Trady.Benchmarks.Version31/Program.cs
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Expand Up @@ -16,10 +16,10 @@
namespace Trady.Benchmarks.Version31
{
[Config(typeof(Config))]
[CoreJob]
[SimpleJob()]
public class Benchmark
{
private const int _n = 10000;
private const int _n = 100000;
private readonly IOhlcv[] _data;
private readonly ITickTrade[] _tradeData;

Expand All @@ -38,10 +38,10 @@ public Benchmark()

_tradeData = new ITickTrade[_n];
var d = DateTimeOffset.Now;
for(int i = 0; i < _n; i++)
{
_tradeData[i] = new Trade(d.AddSeconds(i), 1, 1);
}
for (int i = 0; i < _n; i++)
{
_tradeData[i] = new Trade(d.AddSeconds(i), 1, 1, i % 2 == 0);
}

}

Expand All @@ -51,8 +51,8 @@ public Config()
{
Add(StatisticColumn.P90);
}
}
}

[Benchmark]
public IReadOnlyList<IOhlcv> TransformToMonthly() => _data.Transform<PerMinute, Monthly>();

Expand Down Expand Up @@ -233,6 +233,16 @@ public Config()
public IReadOnlyList<IOhlcv> TransformFromTradesToDaily() => _tradeData.TransformToCandles<Daily>();
[Benchmark]
public IReadOnlyList<IOhlcv> TransformFromTradesToWeekly() => _tradeData.TransformToCandles<Weekly>();
[Benchmark]
public IReadOnlyList<IOhlcbsv> TransformFromTradesToMinuteBuySell() => _tradeData.TransformToCandles<PerMinute>();
[Benchmark]
public IReadOnlyList<IOhlcbsv> TransformFromTradesToHourlyBuySell() => _tradeData.TransformToCandles<Hourly>();
[Benchmark]
public IReadOnlyList<IOhlcbsv> TransformFromTradesToBeHourlyBuySell() => _tradeData.TransformToCandles<BiHourly>();
[Benchmark]
public IReadOnlyList<IOhlcbsv> TransformFromTradesToDailyBuySell() => _tradeData.TransformToCandles<Daily>();
[Benchmark]
public IReadOnlyList<IOhlcbsv> TransformFromTradesToWeeklyBuySell() => _tradeData.TransformToCandles<Weekly>();
}

public class Program
Expand Down
25 changes: 14 additions & 11 deletions Trady.Core/CandleExtension.cs
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Expand Up @@ -22,7 +22,7 @@ public static class IOhlcvDataExtension

#region candle list transformation

public static IReadOnlyList<IOhlcv> Transform<TSourcePeriod, TTargetPeriod>(this IEnumerable<IOhlcv> candles)
public static IReadOnlyList<IOhlcv> Transform<TSourcePeriod, TTargetPeriod>(this IEnumerable<IOhlcv> candles, bool checkCandlesTimestampSequence = false)
where TSourcePeriod : IPeriod
where TTargetPeriod : IPeriod
{
Expand All @@ -32,7 +32,10 @@ public static IReadOnlyList<IOhlcv> Transform<TSourcePeriod, TTargetPeriod>(this
if (typeof(TSourcePeriod).Equals(typeof(TTargetPeriod)))
return candles.ToList();

if (!IsTimeframesValid<TSourcePeriod>(candles, out var err))
// To prevent lazy evaluated when compute
var orderedCandles = candles.OrderBy(c => c.DateTime).ToList();

if (!IsTimeframesValid<TSourcePeriod>(orderedCandles, out var err, checkCandlesTimestampSequence))
throw new InvalidTimeframeException(err.DateTime);

if (!IsTransformationValid<TSourcePeriod, TTargetPeriod>())
Expand All @@ -41,9 +44,6 @@ public static IReadOnlyList<IOhlcv> Transform<TSourcePeriod, TTargetPeriod>(this
var outputCandles = new List<IOhlcv>();
var periodInstance = Activator.CreateInstance<TTargetPeriod>();

// To prevent lazy evaluated when compute
var orderedCandles = candles.OrderBy(c => c.DateTime).ToList();

var periodStartTime = orderedCandles[0].DateTime;
var periodEndTime = periodInstance.NextTimestamp(periodStartTime);

Expand Down Expand Up @@ -76,16 +76,21 @@ private static void AddComputedCandleToOutput(List<IOhlcv> outputCandles, List<I
outputCandles.Add(computedCandle);
}

private static bool IsTimeframesValid<TPeriod>(IEnumerable<IOhlcv> candles, out IOhlcv err)
private static bool IsTimeframesValid<TPeriod>(IEnumerable<IOhlcv> candles, out IOhlcv err, bool checkCandlesTimestampSequence = false)
where TPeriod : IPeriod
{
var periodInstance = Activator.CreateInstance<TPeriod>();
err = default;
var offset = candles.Any() ? candles.First().DateTime.Offset.Hours : 0;
for (int i = 0; i < candles.Count() - 1; i++)
{
var nextTime = periodInstance.NextTimestamp(candles.ElementAt(i).DateTime);
var candleEndTime = new DateTimeOffset(nextTime.Date, TimeSpan.FromHours(offset));
var currentCandle = candles.ElementAt(i);
if (checkCandlesTimestampSequence && !periodInstance.IsTimestamp(currentCandle.DateTime))
{
err = candles.ElementAt(i);
return false;
}
var nextTime = periodInstance.NextTimestamp(currentCandle.DateTime);
var candleEndTime = new DateTimeOffset(nextTime.Date, nextTime.Offset);
if (candleEndTime > candles.ElementAt(i + 1).DateTime)
{
err = candles.ElementAt(i);
Expand Down Expand Up @@ -129,8 +134,6 @@ private static IOhlcv ComputeCandles(IEnumerable<IOhlcv> candles)
var volume = candles.Sum(stick => stick.Volume);
return new Candle(dateTime, open, high, low, close, volume);
}


#endregion candle list transformation
}
}
34 changes: 34 additions & 0 deletions Trady.Core/CandleWithBuysAndSells.cs
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@@ -0,0 +1,34 @@
using System;
using Trady.Core.Infrastructure;

namespace Trady.Core
{
public class CandleWithBuysAndSells : IOhlcbsv
{
public CandleWithBuysAndSells(DateTimeOffset dateTime, decimal open, decimal high, decimal low, decimal close, decimal sellsVolume, decimal buysVolume)
{
DateTime = dateTime;
Open = open;
High = high;
Low = low;
Close = close;
BuysVolume = buysVolume;
SellsVolume = sellsVolume;
Volume = sellsVolume + buysVolume;
}

public DateTimeOffset DateTime { get; set; }

public decimal Open { get; set; }

public decimal High { get; set; }

public decimal Low { get; set; }

public decimal Close { get; set; }

public decimal Volume { get; set; }
public decimal BuysVolume { get; set; }
public decimal SellsVolume { get; set; }
}
}
15 changes: 15 additions & 0 deletions Trady.Core/Infrastructure/IOhlcbsv.cs
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@@ -0,0 +1,15 @@
using System;
using System.Collections.Generic;
using System.Text;

namespace Trady.Core.Infrastructure
{
/// <summary>
/// The same as IOhlcv extended by sells and buys volumes
/// </summary>
public interface IOhlcbsv:IOhlcv
{
decimal BuysVolume { get; set; }
decimal SellsVolume { get; set; }
}
}
3 changes: 2 additions & 1 deletion Trady.Core/Infrastructure/ITickTrade.cs
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Expand Up @@ -7,6 +7,7 @@ namespace Trady.Core.Infrastructure
public interface ITickTrade : ITick
{
decimal Price { get; set; }
decimal Volume { get; set; }
decimal Volume { get; set; }
bool IsSell { get; set; }
}
}
5 changes: 3 additions & 2 deletions Trady.Core/Trade.cs
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Expand Up @@ -7,15 +7,16 @@ namespace Trady.Core
{
public class Trade : ITickTrade
{
public Trade(DateTimeOffset date, decimal price, decimal volume)
public Trade(DateTimeOffset date, decimal price, decimal volume, bool isSell)
{
DateTime = date;
Price = price;
Volume = volume;
IsSell = isSell;
}
public decimal Price { get; set; }
public decimal Volume { get ; set ; }
public DateTimeOffset DateTime { get; set; }

public bool IsSell { get; set; }
}
}
25 changes: 19 additions & 6 deletions Trady.Core/TradeExtensions.cs
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Expand Up @@ -9,10 +9,10 @@ namespace Trady.Core
{
public static class TradeExtensions
{
public static IReadOnlyList<IOhlcv> TransformToCandles<TTargetPeriod>(this IEnumerable<ITickTrade> trades)
public static IReadOnlyList<IOhlcbsv> TransformToCandles<TTargetPeriod>(this IEnumerable<ITickTrade> trades)
where TTargetPeriod : IPeriod
{
var outputCandles = new List<IOhlcv>();
var outputCandles = new List<IOhlcbsv>();

if (!trades.Any())
return outputCandles;
Expand Down Expand Up @@ -45,13 +45,13 @@ public static IReadOnlyList<IOhlcv> TransformToCandles<TTargetPeriod>(this IEnum

return outputCandles;
}
private static void AddComputedCandleToOutput(List<IOhlcv> outputCandlesFromTrades, List<ITickTrade> tempTrades)
private static void AddComputedCandleToOutput(List<IOhlcbsv> outputCandlesFromTrades, List<ITickTrade> tempTrades)
{
var computedCandle = ComputeCandles(tempTrades);
if (computedCandle != null)
outputCandlesFromTrades.Add(computedCandle);
}
private static IOhlcv ComputeCandles(IEnumerable<ITickTrade> trades)
private static IOhlcbsv ComputeCandles(IEnumerable<ITickTrade> trades)
{
if (!trades.Any())
return null;
Expand All @@ -61,8 +61,21 @@ private static IOhlcv ComputeCandles(IEnumerable<ITickTrade> trades)
var high = trades.Max(trade => trade.Price);
var low = trades.Min(trade => trade.Price);
var close = trades.Last().Price;
var volume = trades.Sum(stick => stick.Volume);
return new Candle(dateTime, open, high, low, close, volume);
var sells = 0m;
var buys = 0m;

foreach(var trade in trades)
{
if (trade.IsSell)
{
sells += trade.Volume;
}
else
{
buys += trade.Volume;
}
}
return new CandleWithBuysAndSells(dateTime, open, high, low, close, sells,buys);
}
}
}
2 changes: 1 addition & 1 deletion Trady.Core/Trady.Core.csproj
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Expand Up @@ -41,7 +41,7 @@
<ItemGroup>
</ItemGroup>
<ItemGroup>
<PackageReference Include="System.ValueTuple" Version="4.4.0" />
<PackageReference Include="System.ValueTuple" Version="4.5.0" />
<PackageReference Include="System.Dynamic.Runtime" Version="4.3.0" />
</ItemGroup>
</Project>
2 changes: 1 addition & 1 deletion Trady.Importer.AlphaVantage/AlphaVantageImporter.cs
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Expand Up @@ -94,7 +94,7 @@ protected HttpClient Client
var culture = "en-US";
var cultureInfo = new CultureInfo(culture);
var candles = new List<IOhlcv>();
using(var csvReader = new CsvReader(textReader, new Configuration() { CultureInfo = cultureInfo, Delimiter = ",", HasHeaderRecord = true }))
using(var csvReader = new CsvReader(textReader, new CsvConfiguration(cultureInfo) { Delimiter = ",", HasHeaderRecord = true }))
{
bool isHeaderBypassed = false;
while (csvReader.Read())
Expand Down
2 changes: 1 addition & 1 deletion Trady.Importer.AlphaVantage/Trady.Importer.AlphaVantage.csproj
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Expand Up @@ -15,7 +15,7 @@
</PropertyGroup>

<ItemGroup>
<PackageReference Include="CsvHelper" Version="7.1.1" />
<PackageReference Include="CsvHelper" Version="15.0.1" />
</ItemGroup>

<ItemGroup>
Expand Down
2 changes: 1 addition & 1 deletion Trady.Importer.Csv/CsvImporter.cs
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Expand Up @@ -45,7 +45,7 @@ public CsvImporter(string path, CsvImportConfiguration configuration): this(path
{
using (var fs = File.OpenRead(_path))
using (var sr = new StreamReader(fs))
using (var csvReader = new CsvReader(sr, new Configuration() { CultureInfo = _culture, Delimiter = string.IsNullOrWhiteSpace(_delimiter) ? "," : _delimiter, HasHeaderRecord = _hasHeader }))
using (var csvReader = new CsvReader(sr, new CsvConfiguration(_culture) { Delimiter = string.IsNullOrWhiteSpace(_delimiter) ? "," : _delimiter, HasHeaderRecord = _hasHeader }))
{
var candles = new List<IOhlcv>();
bool isHeaderBypassed = false;
Expand Down
2 changes: 1 addition & 1 deletion Trady.Importer.Csv/Trady.Importer.Csv.csproj
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Expand Up @@ -34,7 +34,7 @@
<LangVersion>latest</LangVersion>
</PropertyGroup>
<ItemGroup>
<PackageReference Include="CsvHelper" Version="7.1.1" />
<PackageReference Include="CsvHelper" Version="15.0.1" />
</ItemGroup>
<ItemGroup>
<ProjectReference Include="..\Trady.Core\Trady.Core.csproj" />
Expand Down
2 changes: 1 addition & 1 deletion Trady.Importer.Yahoo/Trady.Importer.Yahoo.csproj
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Expand Up @@ -34,7 +34,7 @@
<LangVersion>latest</LangVersion>
</PropertyGroup>
<ItemGroup>
<PackageReference Include="YahooFinanceApi" Version="2.1.1" />
<PackageReference Include="YahooFinanceApi" Version="2.1.2" />
</ItemGroup>
<ItemGroup>
<ProjectReference Include="..\Trady.Core\Trady.Core.csproj" />
Expand Down
53 changes: 30 additions & 23 deletions Trady.Test/ImporterTest.cs
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Expand Up @@ -10,6 +10,11 @@
//using Trady.Importer.Quandl;
using Trady.Importer.Stooq;
using Trady.Importer.Yahoo;
using Trady.Core;
using Trady.Core.Period;
using System.Collections.Generic;
using System.IO;
using CsvHelper;

namespace Trady.Test
{
Expand All @@ -36,6 +41,8 @@ public ImporterTest()
//}

// TODO: test later
/**/

[TestMethod]
public void ImportByQuandlYahoo()
{
Expand Down Expand Up @@ -79,30 +86,30 @@ public void ImportByAlphaVantage_Hourly()
var candle = candles.FirstOrDefault();
Assert.IsNotNull(candle);
}
//Waiting for merge pull request for update CSV helper library
// [TestMethod]
// public void ImportByYahoo()
// {
// var importer = new YahooFinanceImporter();
// var candle = importer.ImportAsync("^GSPC", new DateTime(2017, 1, 3), new DateTime(2017, 1, 4)).Result.First(); // Endtime stock history exclusive
// Assert.AreEqual(candle.Open, 2251.570068m);
// Assert.AreEqual(candle.High, 2263.879883m);
// Assert.AreEqual(candle.Low, 2245.129883m);
// Assert.AreEqual(candle.Close, 2257.830078m);
// Assert.AreEqual(candle.Volume, 3_770_530_000);
// }

[TestMethod]
public void ImportByYahoo()
{
var importer = new YahooFinanceImporter();
var candle = importer.ImportAsync("^GSPC", new DateTime(2017, 1, 3), new DateTime(2017, 1, 4)).Result.First(); // Endtime stock history exclusive
Assert.AreEqual(candle.Open, 2251.570068m);
Assert.AreEqual(candle.High, 2263.879883m);
Assert.AreEqual(candle.Low, 2245.129883m);
Assert.AreEqual(candle.Close, 2257.830078m);
Assert.AreEqual(candle.Volume, 3_770_530_000);
}

[TestMethod]
public void ImportByStooq()
{
var importer = new StooqImporter();
var candle = importer.ImportAsync("^SPX", new DateTime(2017, 1, 3), new DateTime(2017, 1, 3)).Result.First(); // Endtime stock history inclusive
Assert.AreEqual(candle.Open, 2251.57m);
Assert.AreEqual(candle.High, 2263.88m);
Assert.AreEqual(candle.Low, 2245.13m);
Assert.AreEqual(candle.Close, 2257.83m);
Assert.AreEqual(candle.Volume, 644_640_832);
}
//[TestMethod]
// public void ImportByStooq()
// {
// var importer = new StooqImporter();
// var candle = importer.ImportAsync("^SPX", new DateTime(2017, 1, 3), new DateTime(2017, 1, 3)).Result.First(); // Endtime stock history inclusive
// Assert.AreEqual(candle.Open, 2251.57m);
// Assert.AreEqual(candle.High, 2263.88m);
// Assert.AreEqual(candle.Low, 2245.13m);
// Assert.AreEqual(candle.Close, 2257.83m);
// Assert.AreEqual(candle.Volume, 644_640_832);
// }

[TestMethod]
public void ImportFromCsv()
Expand Down
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