205 lines
14 KiB
C#
205 lines
14 KiB
C#
using System;
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using System.IO;
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using MarketData.DataAccess;
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using MarketData.MarketDataModel;
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using MarketData.Numerical;
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using System.Drawing;
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using System.Collections.Generic;
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using MarketData.Utils;
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using System.Threading.Tasks;
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using System.Text;
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namespace MarketData.CNNProcessing
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{
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public class CNNProcessor
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{
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private CNNProcessor()
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{
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}
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public static void GenerateTraining()
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{
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TestCases testCases=new TestCases();
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DataProcessor dataProcessor=new DataProcessor();
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dataProcessor.Width=128;
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dataProcessor.Height=128;
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int dayCount=270;
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// dataProcessor.UseGrayScale=true;
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// dataProcessor.PenWidth=1;
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dataProcessor.PenWidthArray=new float[]{.50f,.75f,1.00f,1.12f,1.25f,1.31f,1.37f,1.50f,1.56f,1.62f,1.75f,1.87f,2.00f};
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// dataProcessor.PenWidthArray=new float[]{.50f,.625f,.75f,.875f,1.00f,1.06f,1.12f,1.185f,1.25f,1.28f,1.31f,1.37f,1.435f,1.50f,1.56f,1.59f,1.62f,1.685f,1.75f,1.87f,1.935f,2.00f};
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// dataProcessor.PenWidthArray=new float[]{0.550000f,0.600000f,0.650000f,0.700000f,0.750000f,0.800000f,0.850000f,0.900000f,0.950000f,1.000000f,1.050000f,1.100000f,1.150000f,1.200000f,1.250000f,1.300000f,1.350000f,1.400000f,1.450000f,1.500000f,1.550000f,1.600000f,1.650000f,1.700000f,1.750000f,1.800000f,1.850000f,1.900000f,1.950000f,2.000000f}
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// dataProcessor.PenWidthArray=new float[]{0.515000f,0.530000f,0.545000f,0.560000f,0.575000f,0.590000f,0.605000f,0.620000f,0.635000f,0.650000f,0.665000f,0.680000f,0.695000f,0.710000f,0.725000f,0.740000f,0.755000f,0.770000f,0.785000f,0.800000f,0.815000f,0.830000f,0.845000f,0.860000f,0.875000f,0.890000f,0.905000f,0.920000f,0.935000f,0.950000f,0.965000f,0.980000f,0.995000f,1.010000f,1.025000f,1.040000f,1.055000f,1.070000f,1.085000f,1.100000f,1.115000f,1.130000f,1.145000f,1.160000f,1.175000f,1.190000f,1.205000f,1.220000f,1.235000f,1.250000f,1.265000f,1.280000f,1.295000f,1.310000f,1.325000f,1.340000f,1.355000f,1.370000f,1.385000f,1.400000f,1.415000f,1.430000f,1.445000f,1.460000f,1.475000f,1.490000f,1.505000f,1.520000f,1.535000f,1.550000f,1.565000f,1.580000f,1.595000f,1.610000f,1.625000f,1.640000f,1.655000f,1.670000f,1.685000f,1.700000f,1.715000f,1.730000f,1.745000f,1.760000f,1.775000f,1.790000f,1.805000f,1.820000f,1.835000f,1.850000f,1.865000f,1.880000f,1.895000f,1.910000f,1.925000f,1.940000f,1.955000f,1.970000f,1.985000f,2.000000f};
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// [0] Data
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testCases.Add(new TestCase("ICPT",DateTime.Parse("12/31/2019"),dayCount,TestCase.CaseType.Training,TestCase.GenerateType.BollingerBand));
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testCases.Add(new TestCase("AMD",DateTime.Parse("09/28/2018"),dayCount,TestCase.CaseType.Training,TestCase.GenerateType.BollingerBand));
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testCases.Add(new TestCase("AVAV",DateTime.Parse("09/28/2018"),dayCount,TestCase.CaseType.Training,TestCase.GenerateType.BollingerBand));
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testCases.Add(new TestCase("ULH",DateTime.Parse("08/31/2018"),dayCount,TestCase.CaseType.Training,TestCase.GenerateType.BollingerBand));
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testCases.Add(new TestCase("ADT",DateTime.Parse("11/29/2019"),dayCount,TestCase.CaseType.Training,TestCase.GenerateType.BollingerBand));
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testCases.Add(new TestCase("VC",DateTime.Parse("11/29/2019"),dayCount,TestCase.CaseType.Training,TestCase.GenerateType.BollingerBand));
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testCases.Add(new TestCase("VIVO",DateTime.Parse("07/31/2020"),dayCount,TestCase.CaseType.Training,TestCase.GenerateType.BollingerBand));
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testCases.Add(new TestCase("AKS",DateTime.Parse("12/30/2016"),dayCount,TestCase.CaseType.Training,TestCase.GenerateType.BollingerBand));
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testCases.Add(new TestCase("PRO",DateTime.Parse("07/31/2019"),dayCount,TestCase.CaseType.Training,TestCase.GenerateType.BollingerBand));
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testCases.Add(new TestCase("RCKT",DateTime.Parse("01/31/2020"),dayCount,TestCase.CaseType.Training,TestCase.GenerateType.BollingerBand));
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testCases.Add(new TestCase("ENPH",DateTime.Parse("01/29/2021"),dayCount,TestCase.CaseType.Training,TestCase.GenerateType.BollingerBand));
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testCases.Add(new TestCase("ACLS",DateTime.Parse("11/30/2017"),dayCount,TestCase.CaseType.Training,TestCase.GenerateType.BollingerBand));
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testCases.Add(new TestCase("KURA",DateTime.Parse("11/30/2020"),dayCount,TestCase.CaseType.Training,TestCase.GenerateType.BollingerBand));
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testCases.Add(new TestCase("PTLA",DateTime.Parse("03/29/2019"),dayCount,TestCase.CaseType.Training,TestCase.GenerateType.BollingerBand));
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testCases.Add(new TestCase("SSRI",DateTime.Parse("07/29/2016"),dayCount,TestCase.CaseType.Training,TestCase.GenerateType.BollingerBand));
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testCases.Add(new TestCase("CORE",DateTime.Parse("09/28/2018"),dayCount,TestCase.CaseType.Training,TestCase.GenerateType.BollingerBand));
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testCases.Add(new TestCase("OKTA",DateTime.Parse("06/28/2019"),dayCount,TestCase.CaseType.Training,TestCase.GenerateType.BollingerBand));
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testCases.Add(new TestCase("CTMX",DateTime.Parse("03/29/2018"),dayCount,TestCase.CaseType.Training,TestCase.GenerateType.BollingerBand));
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testCases.Add(new TestCase("TDOC",DateTime.Parse("08/31/2018"),dayCount,TestCase.CaseType.Training,TestCase.GenerateType.BollingerBand));
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testCases.Add(new TestCase("WRD",DateTime.Parse("05/31/2018"),dayCount,TestCase.CaseType.Training,TestCase.GenerateType.BollingerBand));
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testCases.Add(new TestCase("FTCH",DateTime.Parse("12/31/2020"),dayCount,TestCase.CaseType.Training,TestCase.GenerateType.BollingerBand));
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testCases.Add(new TestCase("COKE",DateTime.Parse("10/30/2015"),dayCount,TestCase.CaseType.Training,TestCase.GenerateType.BollingerBand));
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dataProcessor.SetOutputFolderPath(@"C:\boneyard\DeepLearning\ModelInputData\0");
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dataProcessor.ProcessData(testCases);
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testCases.Clear();
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// [1] Data
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testCases.Add(new TestCase("AG",DateTime.Parse("03/31/2016"),dayCount,TestCase.CaseType.Training,TestCase.GenerateType.BollingerBand));
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testCases.Add(new TestCase("NKTR",DateTime.Parse("11/30/2017"),dayCount,TestCase.CaseType.Training,TestCase.GenerateType.BollingerBand));
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testCases.Add(new TestCase("ABX",DateTime.Parse("03/31/2016"),dayCount,TestCase.CaseType.Training,TestCase.GenerateType.BollingerBand));
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testCases.Add(new TestCase("PTON",DateTime.Parse("09/30/2020"),dayCount,TestCase.CaseType.Training,TestCase.GenerateType.BollingerBand));
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testCases.Add(new TestCase("CLVS",DateTime.Parse("03/31/2017"),dayCount,TestCase.CaseType.Training,TestCase.GenerateType.BollingerBand));
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testCases.Add(new TestCase("TREE",DateTime.Parse("06/30/2017"),dayCount,TestCase.CaseType.Training,TestCase.GenerateType.BollingerBand));
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testCases.Add(new TestCase("BTG",DateTime.Parse("04/29/2016"),dayCount,TestCase.CaseType.Training,TestCase.GenerateType.BollingerBand));
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testCases.Add(new TestCase("SIG",DateTime.Parse("03/31/2021"),dayCount,TestCase.CaseType.Training,TestCase.GenerateType.BollingerBand));
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testCases.Add(new TestCase("COOP",DateTime.Parse("09/30/2020"),dayCount,TestCase.CaseType.Training,TestCase.GenerateType.BollingerBand));
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testCases.Add(new TestCase("THC",DateTime.Parse("03/29/2018"),dayCount,TestCase.CaseType.Training,TestCase.GenerateType.BollingerBand));
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testCases.Add(new TestCase("ARWR",DateTime.Parse("07/31/2019"),dayCount,TestCase.CaseType.Training,TestCase.GenerateType.BollingerBand));
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testCases.Add(new TestCase("BAND",DateTime.Parse("06/30/2020"),dayCount,TestCase.CaseType.Training,TestCase.GenerateType.BollingerBand));
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testCases.Add(new TestCase("TSLA",DateTime.Parse("07/31/2020"),dayCount,TestCase.CaseType.Training,TestCase.GenerateType.BollingerBand));
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testCases.Add(new TestCase("VEDL",DateTime.Parse("08/31/2016"),dayCount,TestCase.CaseType.Training,TestCase.GenerateType.BollingerBand));
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testCases.Add(new TestCase("GTHX",DateTime.Parse("04/30/2018"),dayCount,TestCase.CaseType.Training,TestCase.GenerateType.BollingerBand));
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testCases.Add(new TestCase("PDD",DateTime.Parse("05/29/2020"),dayCount,TestCase.CaseType.Training,TestCase.GenerateType.BollingerBand));
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testCases.Add(new TestCase("KRO",DateTime.Parse("01/31/2017"),dayCount,TestCase.CaseType.Training,TestCase.GenerateType.BollingerBand));
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testCases.Add(new TestCase("CPRI",DateTime.Parse("01/29/2021"),dayCount,TestCase.CaseType.Training,TestCase.GenerateType.BollingerBand));
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testCases.Add(new TestCase("SQ",DateTime.Parse("08/31/2020"),dayCount,TestCase.CaseType.Training,TestCase.GenerateType.BollingerBand));
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testCases.Add(new TestCase("EHTH",DateTime.Parse("02/28/2019"),dayCount,TestCase.CaseType.Training,TestCase.GenerateType.BollingerBand));
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testCases.Add(new TestCase("NVCR",DateTime.Parse("10/30/2020"),dayCount,TestCase.CaseType.Training,TestCase.GenerateType.BollingerBand));
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testCases.Add(new TestCase("FRPT",DateTime.Parse("07/31/2018"),dayCount,TestCase.CaseType.Training,TestCase.GenerateType.BollingerBand));
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testCases.Add(new TestCase("TLRD",DateTime.Parse("01/31/2018"),dayCount,TestCase.CaseType.Training,TestCase.GenerateType.BollingerBand));
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testCases.Add(new TestCase("BVN",DateTime.Parse("05/31/2016"),dayCount,TestCase.CaseType.Training,TestCase.GenerateType.BollingerBand));
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testCases.Add(new TestCase("DNR",DateTime.Parse("06/29/2018"),dayCount,TestCase.CaseType.Training,TestCase.GenerateType.BollingerBand));
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dataProcessor.SetOutputFolderPath(@"C:\boneyard\DeepLearning\ModelInputData\1");
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dataProcessor.ProcessData(testCases);
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}
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public static void GenerateGeneralizedData()
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{
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TestCases testCases=new TestCases();
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DataProcessor dataProcessor=new DataProcessor();
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dataProcessor.Width=128;
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dataProcessor.Height=128;
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dataProcessor.PenWidth=1;
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int dayCount=270;
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string[,] s=new string[,]{{"CWH","01/31/2020"},{"DISCA","02/26/2021"},{"ANAB","02/28/2018"},{"SPWR","07/31/2017"},{"DNLI","12/31/2020"},{"IDTI","11/30/2015"},{"PRO","07/31/2019"},{"ACLS","11/30/2017"},{"TDOC","08/31/2018"},{"ATHM","08/31/2017"},{"SIG","10/30/2020"},{"DOCU","05/29/2020"},{"MTDR","03/31/2021"},{"NTLA","12/31/2020"},{"SE","06/30/2020"},{"BAND","06/30/2020"},{"PDD","05/29/2020"},{"CRSP","03/29/2018"},{"DAC","04/30/2021"}};
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for(int index=0;index<s.Length/2;index++)
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{
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String symbol=s[index,0];
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DateTime purchaseDate=DateTime.Parse(s[index,1]);
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TestCase testCase=new TestCase(symbol,purchaseDate,dayCount,TestCase.CaseType.Test,TestCase.GenerateType.BollingerBand);
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testCases.Add(testCase);
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}
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dataProcessor.SetOutputFolderPath(@"C:\boneyard\DeepLearning\IndividualValidationCases");
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dataProcessor.ProcessData(testCases);
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}
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public static String Predict()
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{
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return "";
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}
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public static void TestPredictAPI()
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{
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// String strPathOutputFile=@"C:\boneyard\DeepLearning\TestPredictAPIOutput\outputcases_europa.csv";
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// CNNClient cnnClient=new CNNClient("http://127.0.0.1:5000");
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String strPathOutputFile=@"C:\boneyard\DeepLearning\TestPredictAPIOutput\outputcases_ganymede.csv";
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CNNClient cnnClient=new CNNClient("http://192.168.0.151:5000");
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if(!cnnClient.Ping())
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{
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Console.WriteLine("Model server is not reachable.");
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return;
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}
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DataProcessor dataProcessor=new DataProcessor();
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dataProcessor.Width=128;
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dataProcessor.Height=128;
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dataProcessor.PenWidth=1;
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int dayCount=270;
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if(File.Exists(strPathOutputFile))
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{
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try{File.Delete(strPathOutputFile);}
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catch(Exception exception)
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{
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Console.WriteLine(String.Format("Exception:{0}",exception.ToString()));
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throw;
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}
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}
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StreamWriter streamWriter=new StreamWriter(new FileStream(strPathOutputFile,FileMode.CreateNew));
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string[,] s=new string[,]{{"CWH","01/31/2020"},{"DISCA","02/26/2021"},{"ANAB","02/28/2018"},{"SPWR","07/31/2017"},{"DNLI","12/31/2020"},{"IDTI","11/30/2015"},{"PRO","07/31/2019"},{"ACLS","11/30/2017"},{"TDOC","08/31/2018"},{"ATHM","08/31/2017"},{"SIG","10/30/2020"},{"DOCU","05/29/2020"},{"MTDR","03/31/2021"},{"NTLA","12/31/2020"},{"SE","06/30/2020"},{"BAND","06/30/2020"},{"PDD","05/29/2020"},{"CRSP","03/29/2018"},{"DAC","04/30/2021"}};
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streamWriter.WriteLine("Symbol,Date,Response,Response,Raw Response");
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MDTrace.WriteLine(LogLevel.DEBUG,"Symbol,Date,Response,Response,Raw Response");
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for(int index=0;index<s.Length/2;index++)
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{
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StringBuilder sb=new StringBuilder();
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String symbol=s[index,0];
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DateTime purchaseDate=DateTime.Parse(s[index,1]);
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TestCase testCase=new TestCase(symbol,purchaseDate,dayCount,TestCase.CaseType.Test,TestCase.GenerateType.BollingerBand,TestCase.OutputType.OutputStream);
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dataProcessor.ProcessData(testCase);
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// testCase.Responses.Add(cnnClient.Predict(CNNClient.Model.lenet5,testCase.LastStream));
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testCase.Responses.Add(cnnClient.Predict(CNNClient.Model.resnet50,testCase.LastStream));
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String strPredictionResponse=testCase.LastResponse;
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String strPredictionResult=strPredictionResponse.Substring(strPredictionResponse.IndexOf("-->")+3);
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int result=int.Parse(Utility.BetweenString(strPredictionResult,"[[","]"));
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String strPredictionValue=strPredictionResponse.Substring(0,strPredictionResponse.IndexOf("-->"));
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double value=double.Parse(Utility.BetweenString(strPredictionValue,"[[","]"));
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sb.Append(symbol);
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sb.Append(",");
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sb.Append(Utility.AddQuotes(Utility.DateTimeToStringMMSDDSYYYY(purchaseDate)));
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sb.Append(",");
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sb.Append(Utility.AddQuotes(Utility.FormatNumber(value,8,false))).Append(",").Append(Utility.AddQuotes(result.ToString()));
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sb.Append(",").Append(Utility.AddQuotes(strPredictionResponse));
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MDTrace.WriteLine(LogLevel.DEBUG,sb.ToString());
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streamWriter.WriteLine(sb.ToString());
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}
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streamWriter.Flush();
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streamWriter.Close();
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streamWriter.Dispose();
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}
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public static void divide(double divisions,double seedMin,double seedMax)
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{
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double skip=(seedMax-seedMin)/divisions;
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List<double> array=new List<double>();
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for(double seed=seedMax;seed>=seedMin;seed-=skip)
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{
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if(array.Count==divisions)break;
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array.Add(seed);
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}
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for(int index=array.Count-1;index>=0;index--)
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{
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Console.Write(String.Format("{0}f,",Utility.FormatNumber(array[index],6)));
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}
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Console.WriteLine("");
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}
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}
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//TestCases minerviniCases=new TestCases();
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//minerviniCases.Add(new TestCase("SNAP",DateTime.Parse("07-08-2020"),DateTime.Parse("09-13-2020")));
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//minerviniCases.Add(new TestCase("TAL",DateTime.Parse("03-05-2020"),DateTime.Parse("06-01-2020")));
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//minerviniCases.Add(new TestCase("TSM",DateTime.Parse("02-25-2020"),DateTime.Parse("07-01-2020")));
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//minerviniCases.Add(new TestCase("TGT",DateTime.Parse("05-15-2020"),DateTime.Parse("08-03-2020")));
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//dataProcessor.ProcessData(minerviniCases);
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}
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