411 lines
15 KiB
C#
Executable File
411 lines
15 KiB
C#
Executable File
using MarketData.Numerical;
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using MarketData.DataAccess;
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using MarketData.MarketDataModel;
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using MarketData.Generator;
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using MarketData.Utils;
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using SkiaSharp;
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namespace MarketData.CNNProcessing
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{
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public class DataProcessor
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{
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private String strFolderPath=default;
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private readonly SKColor colorBlack = new SKColor(0,0,0);
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private readonly SKColor colorWhite = new SKColor(255,255,255);
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private readonly SKColor colorRed = new SKColor(255,0,0);
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public DataProcessor(int width=640,int height=480)
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{
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Width=width;
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Height=height;
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PenWidth=2f;
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DrawingBrush = colorBlack;
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DrawingBrushRed = colorRed;
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FillBrush = colorWhite;
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DrawPrice=true;
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UseGrayScale=false;
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NoiseColor=colorWhite;
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strFolderPath=Directory.GetCurrentDirectory();
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}
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public bool Debug { get; set; } = false;
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/// <summary>
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/// Width
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/// </summary>
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///<param name="value">Gets/Sets the width of the output image</param>
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public int Width{get;set;}
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/// <summary>
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/// Height
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/// </summary>
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///<param name="value">Gets/Sets the height of the output image</param>
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public int Height{get;set;}
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/// <summary>
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/// PenWidth
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/// </summary>
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///<param name="value">Gets/Sets the width of the drawing pen</param>
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public float PenWidth{get;set;}
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/// <summary>
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/// FillBrush
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/// </summary>
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///<param name="value">Gets/Sets the background brush</param>
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public SKColor FillBrush { get; set;}
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/// <summary>
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/// DrawingBrush
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/// </summary>
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///<param name="value">Gets/Sets the drawing brush brush</param>
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public SKColor DrawingBrush{get;set;}
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/// <summary>
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/// DrawingBrushRed
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/// </summary>
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///<param name="value">Gets/Sets the drawing brush brush</param>
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public SKColor DrawingBrushRed{get;set;}
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/// <summary>
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/// DrawBlack
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/// </summary>
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///<param name="value">Sets up the canvas to do black drawing</param>
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public void DrawBlack()
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{
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DrawingBrush = colorBlack;
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FillBrush = colorWhite;
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}
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/// <summary>
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/// IncludePrice
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/// </summary>
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///<param name="value">Indicates whether we want to include price data in the graph</param>
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public bool DrawPrice{get; set;}
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/// <summary>
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/// UseGrayScale
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/// </summary>
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///<param name="value">Indicates whether we want to use grayscale.. default is B&W</param>
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public bool UseGrayScale{get; set;}
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/// <summary>
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/// DrawWhite
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/// </summary>
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///<param name="value">Sets up the canvas to do white drawing</param>
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public void DrawWhite()
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{
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DrawingBrush = colorBlack;
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FillBrush = colorWhite;
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}
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/// <summary>
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/// MovingAverageArray
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/// </summary>
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///<param name="MovingAverageArray">Gets/Sets the moving average array</param>
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public int[] MovingAverageArray{get; set; }
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/// <summary>
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/// PenWidthArray
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/// </summary>
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///<param name="PenWidthArray">Gets/Sets thepen width array</param>
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public float[] PenWidthArray{get; set; }
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/// <summary>
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/// NoiseArray
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/// </summary>
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///<param name="NoiseArray">Gets/Sets the noise array</param>
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public double[] NoiseArray{get; set; }
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/// <summary>
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/// NoiseColor
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/// </summary>
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///<param name="NoiseColor">Gets/Sets the noise color</param>
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public SKColor NoiseColor{get; set; }
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/// <summary>
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/// UseNoise
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/// </summary>
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///<param name="seed">The seed value</param>
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///<param name="increment">The increment</param>
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///<param name="length">The size</param>
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public void UseNoise(double seed, double increment, int length, SKColor noiseColor)
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{
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NoiseColor=noiseColor;
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NoiseArray=new double[length+1];
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NoiseArray[0]=0.00;
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for(int index=1;index<length;index++)
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{
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NoiseArray[index]=seed;
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seed+=increment;
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}
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}
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/// <summary>
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/// SetOutputFolderPath
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/// </summary>
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///<param name="testCases">The test cases</param>
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public void SetOutputFolderPath(String strFolderPath)
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{
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this.strFolderPath=strFolderPath;
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if(!this.strFolderPath.EndsWith(@"/"))this.strFolderPath=this.strFolderPath+@"/";
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}
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/// <summary>
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/// ClearFolderPath
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/// </summary>
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///<param name="testCases">The test cases</param>
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public void ClearFolderPath()
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{
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if(String.IsNullOrEmpty(strFolderPath))throw new InvalidDataException($"{nameof(strFolderPath)} cannot be null");
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if(!Directory.Exists(strFolderPath))
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{
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Directory.CreateDirectory(strFolderPath);
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}
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else
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{
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String[] pathFileNames = Directory.GetFiles(strFolderPath);
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Console.WriteLine($"Deleting {pathFileNames.Length} files from {strFolderPath}");
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foreach(String file in pathFileNames)
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{
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File.Delete(file);
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}
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}
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}
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public void ProcessData(TestCases testCases)
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{
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for(int index=0;index<testCases.Count;index++)
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{
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TestCase testCase=testCases[index];
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ProcessData(testCase,index);
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}
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}
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/// <summary>
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/// ProcessData item
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/// </summary>
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///<param name="testCases">The test cases</param>
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public void ProcessData(TestCase testCase,int index=0)
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{
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if(null==PenWidthArray)PenWidthArray=new float[]{PenWidth};
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if(null==NoiseArray)NoiseArray=new double[]{0.00};
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if(testCase.TypeGenerate.Equals(TestCase.GenerateType.BollingerBand))
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{
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testCase.PathFileNames.Add(CreateFileName(testCase.HomePath,testCase.Symbol,testCase.DayCount,0,0,0,TestCase.CaseType.Test,TestCase.GenerateType.BollingerBand,testCase.PurchaseDate));
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ProcessBollingerBandData(testCase,PenWidthArray[0],NoiseArray[0]);
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}
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else if(testCase.TypeGenerate.Equals(TestCase.GenerateType.BollingerBandWithVIX))
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{
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testCase.PathFileNames.Add(CreateFileName(testCase.HomePath,testCase.Symbol,testCase.DayCount,0,0,0,TestCase.CaseType.Test,TestCase.GenerateType.BollingerBandWithVIX,testCase.PurchaseDate));
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ProcessBollingerBandDataWithVolatility(testCase,PenWidthArray[0],NoiseArray[0]);
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}
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}
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private String CreateFileName(String strFolderPath,String symbol,int dayCount,int index,int penIndex,int noiseIndex,TestCase.CaseType caseType,TestCase.GenerateType generateType,DateTime purchaseDate)
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{
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if(!strFolderPath.EndsWith("/"))strFolderPath+="/";
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return String.Format("{0}{1}_{2}_{3}_{4}_{5}_{6}_{7}_{8}d.jpg",strFolderPath,symbol,index,penIndex,noiseIndex,caseType.ToString(),generateType.ToString(),Utility.DateToLong(purchaseDate),dayCount);
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}
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/// <summary>
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/// ProcessBollingerBandData item
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/// </summary>
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///<param name="testCase">Symbol</param>
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private void ProcessBollingerBandData(TestCase testCase,float penWidth,double noise)
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{
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DateGenerator dateGenerator=new DateGenerator();
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int daysInPeriod=dateGenerator.DaysBetweenActual(testCase.PurchaseDate,testCase.HistDate);
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daysInPeriod+=60;
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Prices prices=PricingDA.GetPrices(testCase.Symbol,testCase.PurchaseDate,daysInPeriod);
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BollingerBands bollingerBands=BollingerBandGenerator.GenerateBollingerBands(prices); // we want to grab K, L, and Close
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bollingerBands=new BollingerBands(bollingerBands.Where(x=>x.Date>=testCase.HistDate).ToList());
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float[] k=new float[bollingerBands.Count];
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float[] l=new float[bollingerBands.Count];
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float[] close=new float[bollingerBands.Count];
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// populate the arrays in reverse order so that we have the most historical date in the lowest index
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for(int index=bollingerBands.Count-1;index>=0;index--)
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{
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BollingerBandElement bollingerBandElement=bollingerBands[index];
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k[bollingerBands.Count-index-1]=(float)Math.Log(bollingerBandElement.K)*1000.00f;
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l[bollingerBands.Count-index-1]=(float)Math.Log(bollingerBandElement.L)*1000.00f;
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close[bollingerBands.Count-index-1]=(float)Math.Log(bollingerBandElement.Close)*1000.00f;
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}
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Numerics.ZeroForNaNOrInfinity(ref k);
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Numerics.ZeroForNaNOrInfinity(ref l);
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Numerics.ZeroForNaNOrInfinity(ref close);
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float maxY=Math.Max(Numerics.Max(ref l),Math.Max(Numerics.Max(ref close),Numerics.Max(ref k)));
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float minY=Math.Min(Numerics.Min(ref l),Math.Min(Numerics.Min(ref close),Numerics.Min(ref k)))-5f;
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float maxX=close.Length;
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float minX=0.00f;
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ImageHelper imageHelper=new ImageHelper();
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PointMapping pointMapping=new PointMapping(Width,Height,maxX,minX,maxY,minY);
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imageHelper.CreateImage(Width,Height,pointMapping);
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imageHelper.Fill(FillBrush);
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// draw price
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if(DrawPrice)imageHelper.DrawSeries(DrawingBrushRed,penWidth,close);
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// draw k
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imageHelper.DrawSeries(DrawingBrushRed,penWidth,k);
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// draw l
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imageHelper.DrawSeries(DrawingBrushRed,penWidth,l);
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if(0.00!=noise)imageHelper.AddNoise(NoiseColor,noise);
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if(Debug || testCase.TypeOutput.Equals(TestCase.OutputType.OutputFile))
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{
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MDTrace.WriteLine(LogLevel.DEBUG,$"Writing {testCase.LastPathFileName}");
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if(null==testCase.LastPathFileName)testCase.PathFileNames.Add($"{strFolderPath}{testCase.Symbol}.jpg");
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if(File.Exists(testCase.LastPathFileName))File.Delete(testCase.LastPathFileName);
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if(UseGrayScale)imageHelper.SaveGrayScaleJPG(testCase.LastPathFileName);
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else imageHelper.SaveBlackAndWhiteJPG(testCase.LastPathFileName);
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}
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if(testCase.TypeOutput.Equals(TestCase.OutputType.OutputStream))
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{
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testCase.Streams.Add(imageHelper.SaveBlackAndWhiteJPG());
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}
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}
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/// <summary>
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/// ProcessBollingerBandDataWithVolatility item - Draws Price, K, L and Volatility
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/// </summary>
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///<param name="testCase">Symbol</param>
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private void ProcessBollingerBandDataWithVolatility(TestCase testCase,float penWidth,double noise)
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{
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String symbolVolatility="^VIX";
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DateGenerator dateGenerator=new DateGenerator();
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int daysInPeriod=dateGenerator.DaysBetweenActual(testCase.PurchaseDate,testCase.HistDate);
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daysInPeriod+=60;
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Prices prices=PricingDA.GetPrices(testCase.Symbol,testCase.PurchaseDate,daysInPeriod);
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Prices volatilityPrices=PricingDA.GetPrices(symbolVolatility,testCase.PurchaseDate,daysInPeriod);
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BollingerBands bollingerBands=BollingerBandGenerator.GenerateBollingerBands(prices); // we want to grab K, L, and Close
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bollingerBands=new BollingerBands(bollingerBands.Where(x=>x.Date>=testCase.HistDate).ToList());
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float[] k=new float[bollingerBands.Count];
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float[] l=new float[bollingerBands.Count];
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float[] close=new float[bollingerBands.Count];
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// Line up volatility dates with bollinger bands
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DateTime minDate = bollingerBands.Min(x=>x.Date);
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DateTime maxDate = bollingerBands.Max(x=>x.Date);
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volatilityPrices = new Prices(volatilityPrices.Where(x=>x.Date<=maxDate && x.Date>=minDate).OrderBy(x=>x.Date).ToList()); // most historical date in lowest index
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float[] v=volatilityPrices.GetPrices();
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float minV=Numerics.Min(ref v); // get the minimum volatility value
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double minP=bollingerBands.Min(x=>x.Close); // get minimum price
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double factor=minP/minV; // determine scaling factor
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for(int index=0;index<v.Length;index++)
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{
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double item = v[index];
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item*=factor;
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v[index]=(float)Math.Log(item)*1000.00f;
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}
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// populate the arrays in reverse order so that we have the most historical date in the lowest index
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for(int index=bollingerBands.Count-1;index>=0;index--)
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{
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BollingerBandElement bollingerBandElement=bollingerBands[index];
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k[bollingerBands.Count-index-1]=(float)Math.Log(bollingerBandElement.K)*1000.00f; // put the data in log form
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l[bollingerBands.Count-index-1]=(float)Math.Log(bollingerBandElement.L)*1000.00f; // put the data in log form
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close[bollingerBands.Count-index-1]=(float)Math.Log(bollingerBandElement.Close)*1000.00f; // put the data in log form
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}
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Numerics.ZeroForNaNOrInfinity(ref k);
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Numerics.ZeroForNaNOrInfinity(ref l);
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Numerics.ZeroForNaNOrInfinity(ref close);
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Numerics.ZeroForNaNOrInfinity(ref v);
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float maxY=Math.Max(Math.Max(Numerics.Max(ref l),Math.Max(Numerics.Max(ref close),Numerics.Max(ref k))),Numerics.Max(ref v));
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float minY=Math.Min(Math.Min(Numerics.Min(ref l),Math.Min(Numerics.Min(ref close),Numerics.Min(ref k))),Numerics.Min(ref v))-5f;
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float maxX=close.Length;
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float minX=0.00f;
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// Pen pen=new Pen(DrawingBrush,penWidth);
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// Pen redPen=new Pen(DrawingBrushRed,penWidth);
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ImageHelper imageHelper=new ImageHelper();
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PointMapping pointMapping=new PointMapping(Width,Height,maxX,minX,maxY,minY);
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imageHelper.CreateImage(Width,Height,pointMapping);
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imageHelper.Fill(FillBrush);
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// draw volatility
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imageHelper.DrawSeries(DrawingBrushRed,penWidth,v);
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// draw prices
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if(DrawPrice)imageHelper.DrawSeries(DrawingBrush,penWidth,close);
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// draw k
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imageHelper.DrawSeries(DrawingBrush,penWidth,k);
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// draw l
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imageHelper.DrawSeries(DrawingBrush,penWidth,l);
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if(0.00!=noise)imageHelper.AddNoise(NoiseColor,noise);
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if(testCase.TypeOutput.Equals(TestCase.OutputType.OutputFile))
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{
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MDTrace.WriteLine(LogLevel.DEBUG,$"Writing {testCase.LastPathFileName}");
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if(File.Exists(testCase.LastPathFileName))File.Delete(testCase.LastPathFileName);
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if(UseGrayScale)imageHelper.SaveGrayScaleJPG(testCase.LastPathFileName);
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else imageHelper.Save(testCase.LastPathFileName);
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}
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else
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{
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testCase.Streams.Add(imageHelper.ToStream());
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}
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}
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/// <summary>
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/// ProcessPriceData item
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/// </summary>
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///<param name="testCase">TestCase</param>
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private void ProcessPriceData(TestCase testCase,float penWidth,double noise)
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{
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Prices prices=PricingDA.GetPrices(testCase.Symbol,testCase.PurchaseDate,testCase.HistDate);
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prices.Reverse(); // get the most historical date into the lowest index
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float[] priceArray=prices.GetPrices();
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for(int index=0;index<priceArray.Length;index++)
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{
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priceArray[index]=(float)Math.Log((double)priceArray[index])*1000.00f;
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}
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Numerics.ZeroForNaNOrInfinity(ref priceArray);
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float maxY=Numerics.Max(ref priceArray);
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float minY=Numerics.Min(ref priceArray)-5f;
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float maxX=priceArray.Length;
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float minX=0.00f;
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ImageHelper imageHelper=new ImageHelper();
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PointMapping pointMapping=new PointMapping(Width,Height,maxX,minX,maxY,minY);
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imageHelper.CreateImage(Width,Height,pointMapping);
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imageHelper.Fill(FillBrush);
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LineSegments lineSegments=new LineSegments();
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for(int index=0;index<priceArray.Length;index++)
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{
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if(0==index)continue;
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SKPoint p1=new SKPoint(index-1,(int)priceArray[index-1]);
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SKPoint p2=new SKPoint(index,(int)priceArray[index]);
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lineSegments.Add(p1,p2);
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}
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imageHelper.DrawPath(DrawingBrush,penWidth,lineSegments);
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if(0.00!=noise)imageHelper.AddNoise(NoiseColor,noise);
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if(testCase.TypeOutput.Equals(TestCase.OutputType.OutputFile))
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{
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MDTrace.WriteLine(LogLevel.DEBUG,$"Writing {testCase.LastPathFileName}");
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if(File.Exists(testCase.LastPathFileName))File.Delete(testCase.LastPathFileName);
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if(UseGrayScale)imageHelper.SaveGrayScaleJPG(testCase.LastPathFileName);
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else imageHelper.SaveBlackAndWhiteJPG(testCase.LastPathFileName);
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}
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else
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{
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testCase.Streams.Add(imageHelper.SaveBlackAndWhiteJPG());
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}
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}
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}
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}
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