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Push MarketData Changes.

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This commit is contained in:
Sean Kessler (Europa)
2026-03-10 21:43:40 -04:00
parent f248701d17
commit 22b387a2e3
5 changed files with 343 additions and 17 deletions
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177
MarketDataLib/CNNProcessing/DataProcessor.cs
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@@ -24,6 +24,7 @@ namespace MarketData.CNNProcessing
Height=height;
PenWidth=2f;
DrawingBrush=new SolidBrush(Color.Black);
DrawingBrushRed=new SolidBrush(Color.Red);
FillBrush=new SolidBrush(Color.White);
DrawPrice=true;
UseGrayScale=false;
@@ -59,6 +60,11 @@ namespace MarketData.CNNProcessing
/// </summary>
///<param name="value">Gets/Sets the drawing brush brush</param>
public Brush DrawingBrush{get;set;}
/// <summary>
/// DrawingBrush
/// </summary>
///<param name="value">Gets/Sets the drawing brush brush</param>
public Brush DrawingBrushRed{get;set;}
/// <summary>
/// DrawBlack
@@ -143,6 +149,29 @@ namespace MarketData.CNNProcessing
this.strFolderPath=strFolderPath;
if(!this.strFolderPath.EndsWith(@"\"))this.strFolderPath=this.strFolderPath+@"\";
}
/// <summary>
/// ClearFolderPath
/// </summary>
///<param name="testCases">The test cases</param>
public void ClearFolderPath()
{
if(String.IsNullOrEmpty(strFolderPath))throw new InvalidDataException($"{nameof(strFolderPath)} cannot be null");
if(!Directory.Exists(strFolderPath))
{
Directory.CreateDirectory(strFolderPath);
}
else
{
String[] pathFileNames = Directory.GetFiles(strFolderPath);
Console.WriteLine($"Deleting {pathFileNames.Length} files from {strFolderPath}");
foreach(String file in pathFileNames)
{
File.Delete(file);
}
}
}
public void ProcessData(TestCases testCases)
{
for(int index=0;index<testCases.Count;index++)
@@ -173,7 +202,7 @@ namespace MarketData.CNNProcessing
}
}
}
else // Bollinger bands
else if(testCase.TypeGenerate.Equals(TestCase.GenerateType.BollingerBand))// Bollinger bands
{
if(null==MovingAverageArray)
{
@@ -194,7 +223,6 @@ namespace MarketData.CNNProcessing
for(int avgIndex=0;avgIndex<MovingAverageArray.Length;avgIndex++)
{
int movingAverage=MovingAverageArray[avgIndex];
for(int penIndex=0;penIndex<PenWidthArray.Length;penIndex++)
{
float penWidth=PenWidthArray[penIndex];
@@ -208,7 +236,22 @@ namespace MarketData.CNNProcessing
}
}
}
}
} // Bollinger Bands
else if(testCase.TypeGenerate.Equals(TestCase.GenerateType.BollingerBandWithVIX))
{
for (int penIndex = 0; penIndex < PenWidthArray.Length; penIndex++)
{
float penWidth = PenWidthArray[penIndex];
for (int noiseIndex = 0; noiseIndex < NoiseArray.Length; noiseIndex++)
{
double noise = NoiseArray[noiseIndex];
String strPathFileName = CreateFileName(strFolderPath, testCase.Symbol, testCase.DayCount, index, penIndex, noiseIndex, testCase.TypeCase, testCase.TypeGenerate, testCase.PurchaseDate);
testCase.PathFileNames.Add(strPathFileName);
ProcessBollingerBandDataWithVolatility(testCase, penWidth, noise);
}
}
} // Bollinger Bands with ~VIX
else throw new InvalidDataException("Unknown option");
}
private String CreateFileName(String strFolderPath,String symbol,int dayCount,int index,int penIndex,int noiseIndex,TestCase.CaseType caseType,TestCase.GenerateType generateType,DateTime purchaseDate)
@@ -216,6 +259,132 @@ namespace MarketData.CNNProcessing
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);
}
/// <summary>
/// ProcessBollingerBandData item - Draws Price, K, L and Volatility
/// </summary>
///<param name="testCase">Symbol</param>
private void ProcessBollingerBandDataWithVolatility(TestCase testCase,float penWidth,double noise)
{
String symbolVolatility="^VIX";
DateGenerator dateGenerator=new DateGenerator();
int daysInPeriod=dateGenerator.DaysBetweenActual(testCase.PurchaseDate,testCase.HistDate);
daysInPeriod+=60;
Prices prices=PricingDA.GetPrices(testCase.Symbol,testCase.PurchaseDate,daysInPeriod);
Prices volatilityPrices=PricingDA.GetPrices(symbolVolatility,testCase.PurchaseDate,daysInPeriod);
BollingerBands bollingerBands=BollingerBandGenerator.GenerateBollingerBands(prices); // we want to grab K, L, and Close
bollingerBands=new BollingerBands(bollingerBands.Where(x=>x.Date>=testCase.HistDate).ToList());
float[] k=new float[bollingerBands.Count];
float[] l=new float[bollingerBands.Count];
float[] close=new float[bollingerBands.Count];
// Line up volatility dates with bollinger bands
DateTime minDate = bollingerBands.Min(x=>x.Date);
DateTime maxDate = bollingerBands.Max(x=>x.Date);
volatilityPrices = new Prices(volatilityPrices.Where(x=>x.Date<=maxDate && x.Date>=minDate).OrderBy(x=>x.Date).ToList()); // most historical date in lowest index
float[] v=volatilityPrices.GetPrices();
float minV=Numerics.Min(ref v); // get the minimum volatility value
double minP=bollingerBands.Min(x=>x.Close); // get minimum price
double factor=minP/minV; // determine scaling factor
for(int index=0;index<v.Length;index++)
{
double item = v[index];
item*=factor;
v[index]=(float)Math.Log(item)*1000.00f;
}
// populate the arrays in reverse order so that we have the most historical date in the lowest index
for(int index=bollingerBands.Count-1;index>=0;index--)
{
BollingerBandElement bollingerBandElement=bollingerBands[index];
k[bollingerBands.Count-index-1]=(float)Math.Log(bollingerBandElement.K)*1000.00f; // put the data in log form
l[bollingerBands.Count-index-1]=(float)Math.Log(bollingerBandElement.L)*1000.00f; // put the data in log form
close[bollingerBands.Count-index-1]=(float)Math.Log(bollingerBandElement.Close)*1000.00f; // put the data in log form
}
Numerics.ZeroForNaNOrInfinity(ref k);
Numerics.ZeroForNaNOrInfinity(ref l);
Numerics.ZeroForNaNOrInfinity(ref close);
Numerics.ZeroForNaNOrInfinity(ref v);
float maxY=Math.Max(Math.Max(Numerics.Max(ref l),Math.Max(Numerics.Max(ref close),Numerics.Max(ref k))),Numerics.Max(ref v));
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;
float maxX=close.Length;
float minX=0.00f;
Pen pen=new Pen(DrawingBrush,penWidth);
Pen redPen=new Pen(DrawingBrushRed,penWidth);
ImageHelper imageHelper=new ImageHelper();
PointMapping pointMapping=new PointMapping(Width,Height,maxX,minX,maxY,minY);
imageHelper.CreateImage(Width,Height,pointMapping);
imageHelper.Fill(FillBrush);
LineSegments lineSegments=new LineSegments();
// draw volatility
for(int index=0;index<v.Length;index++)
{
if(0==index)continue;
Point p1=new Point(index-1,(int)v[index-1]);
Point p2=new Point(index,(int)v[index]);
lineSegments.Add(p1,p2);
}
imageHelper.DrawPath(redPen,lineSegments);
// draw prices
lineSegments.Clear();
for(int index=0;index<close.Length && DrawPrice;index++)
{
if(0==index)continue;
Point p1=new Point(index-1,(int)close[index-1]);
Point p2=new Point(index,(int)close[index]);
lineSegments.Add(p1,p2);
}
imageHelper.DrawPath(pen,lineSegments);
// draw k
lineSegments.Clear();
for(int index=0;index<k.Length;index++)
{
if(0==index)continue;
Point p1=new Point(index-1,(int)k[index-1]);
Point p2=new Point(index,(int)k[index]);
lineSegments.Add(p1,p2);
}
imageHelper.DrawPath(pen,lineSegments);
// draw l
lineSegments.Clear();
for(int index=0;index<l.Length;index++)
{
if(0==index)continue;
Point p1=new Point(index-1,(int)l[index-1]);
Point p2=new Point(index,(int)l[index]);
lineSegments.Add(p1,p2);
}
imageHelper.DrawPath(pen,lineSegments);
if(0.00!=noise)imageHelper.AddNoise(NoiseColor,noise);
if(testCase.TypeOutput.Equals(TestCase.OutputType.OutputFile))
{
MDTrace.WriteLine(LogLevel.DEBUG,$"Writing {testCase.LastPathFileName}");
if(File.Exists(testCase.LastPathFileName))File.Delete(testCase.LastPathFileName);
if(UseGrayScale)imageHelper.SaveGrayScaleJPG(testCase.LastPathFileName);
else imageHelper.Save(testCase.LastPathFileName);
// else imageHelper.SaveBlackAndWhiteJPG(testCase.LastPathFileName);
}
else
{
testCase.Streams.Add(imageHelper.ToStream());
// testCase.Streams.Add(imageHelper.SaveBlackAndWhiteJPG());
}
}
/// <summary>
/// Generate Bollinger Band Data
/// </summary>
/// <param name="testCase"></param>
/// <param name="movingAverageDays"></param>
/// <param name="penWidth"></param>
/// <param name="noise"></param>
private void ProcessBollingerBandData(TestCase testCase,int movingAverageDays,float penWidth,double noise)
{
int bufferDays=60;
@@ -377,6 +546,7 @@ namespace MarketData.CNNProcessing
if(testCase.TypeOutput.Equals(TestCase.OutputType.OutputFile))
{
MDTrace.WriteLine(LogLevel.DEBUG,$"Writing {testCase.LastPathFileName}");
if(File.Exists(testCase.LastPathFileName))File.Delete(testCase.LastPathFileName);
if(UseGrayScale)imageHelper.SaveGrayScaleJPG(testCase.LastPathFileName);
else imageHelper.SaveBlackAndWhiteJPG(testCase.LastPathFileName);
@@ -426,6 +596,7 @@ namespace MarketData.CNNProcessing
if(testCase.TypeOutput.Equals(TestCase.OutputType.OutputFile))
{
MDTrace.WriteLine(LogLevel.DEBUG,$"Writing {testCase.LastPathFileName}");
if(File.Exists(testCase.LastPathFileName))File.Delete(testCase.LastPathFileName);
if(UseGrayScale)imageHelper.SaveGrayScaleJPG(testCase.LastPathFileName);
else imageHelper.SaveBlackAndWhiteJPG(testCase.LastPathFileName);