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dotcover s1 .sln s1 s1 s2 s3 s4 s5 s1 s2 x x2 x3 x4 x5 x6 x1 sonarcube cleanup1 sonarcube cleanup2 sonarcube cleanup 3 fixes q q q q q q q q q1 q2 q q1 codacy 1
This commit is contained in:
Miha Kralj
+251
-285
@@ -1,6 +1,7 @@
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using System;
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using System.Collections.Generic;
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using System.Threading;
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using System.Security.Cryptography;
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using TradingPlatform.BusinessLayer;
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using TradingPlatform.BusinessLayer.Integration;
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@@ -73,31 +74,50 @@ namespace SyntheticVendorNamespace
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CreateMessageSymbol("W17", "2 Geometric Brownian motion", "QT", "USD", SymbolType.Synthetic)
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};
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/*
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Bond,
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CFD,
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Crypto,
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Debentures,
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Equities,
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ETF,
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FixedIncome,
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Forex,
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Forward,
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Futures,
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Indexes,
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Options,
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Spot,
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Synthetic,
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Swap,
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Warrants,
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/*
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Bond,
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CFD,
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Crypto,
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Debentures,
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Equities,
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ETF,
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FixedIncome,
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Forex,
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Forward,
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Futures,
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Indexes,
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Options,
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Spot,
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Synthetic,
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Swap,
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Warrants,
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*/
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*/
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}
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private MessageSymbol CreateMessageSymbol(
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public static VendorMetaData GetVendorMetaData()
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{
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return new VendorMetaData
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{
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VendorName = "Synthetic Vendor",
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VendorDescription = "A synthetic vendor for testing and demonstration purposes",
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GetDefaultConnections = () =>
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{
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var defaultConnection = Vendor.CreateDefaultConnectionInfo(
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"Synthetic Connection",
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"Synthetic Vendor",
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"", // Replace with actual path if you have a logo
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allowCreateCustomConnections: true
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);
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return new List<ConnectionInfo> { defaultConnection };
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}
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};
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}
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private static MessageSymbol CreateMessageSymbol(
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string id,
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string name,
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string exchangeId,
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@@ -127,27 +147,7 @@ namespace SyntheticVendorNamespace
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return messageSymbol;
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}
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public static VendorMetaData GetVendorMetaData()
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{
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return new VendorMetaData()
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{
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VendorName = "Synthetic Vendor",
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VendorDescription = "A synthetic vendor for testing and demonstration purposes",
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GetDefaultConnections = () =>
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{
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var defaultConnection = Vendor.CreateDefaultConnectionInfo(
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"Synthetic Connection",
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"Synthetic Vendor",
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"", // Replace with actual path if you have a logo
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allowCreateCustomConnections: true
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);
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return new List<ConnectionInfo> { defaultConnection };
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}
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};
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}
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private MessageSymbol CreateMessageSymbol(string id, string name, string exchangeId, string assetId, SymbolType type)
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private static MessageSymbol CreateMessageSymbol(string id, string name, string exchangeId, string assetId, SymbolType type)
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{
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return new MessageSymbol(id)
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{
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@@ -173,26 +173,26 @@ namespace SyntheticVendorNamespace
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LotStep = 0.01,
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MaxLot = 1000000,
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SymbolType = type
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/*
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SymbolType.Unknown,
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[EnumMember] Forex,
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[EnumMember] Equities,
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[EnumMember] CFD,
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[EnumMember] Indexes,
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[EnumMember] Futures,
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[EnumMember] Options,
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[EnumMember] ETF,
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[EnumMember] Crypto,
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[EnumMember] Synthetic,
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[EnumMember] Spot,
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[EnumMember] Forward,
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[EnumMember] FixedIncome,
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[EnumMember] Warrants,
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/*
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SymbolType.Unknown,
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[EnumMember] Forex,
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[EnumMember] Equities,
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[EnumMember] CFD,
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[EnumMember] Indexes,
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[EnumMember] Futures,
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[EnumMember] Options,
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[EnumMember] ETF,
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[EnumMember] Crypto,
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[EnumMember] Synthetic,
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[EnumMember] Spot,
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[EnumMember] Forward,
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[EnumMember] FixedIncome,
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[EnumMember] Warrants,
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[EnumMember] Debentures,
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[EnumMember] Bond,
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[EnumMember] Swap,
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*/
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[EnumMember] Debentures,
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[EnumMember] Bond,
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[EnumMember] Swap,
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*/
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};
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}
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@@ -213,7 +213,7 @@ namespace SyntheticVendorNamespace
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public override PingResult Ping()
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{
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return new PingResult()
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return new PingResult
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{
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State = PingEnum.Connected,
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PingTime = TimeSpan.FromMilliseconds(2),
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@@ -226,12 +226,7 @@ namespace SyntheticVendorNamespace
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public override void OnConnected(CancellationToken token)
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{
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// This method is called after a successful connection
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// You can initialize resources or start any necessary processes here
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base.OnConnected(token);
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// For example, you might want to push some initial messages or data
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// PushMessage(new MessageVendorEvent("SyntheticVendor connected successfully"));
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throw new NotImplementedException();
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}
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@@ -267,7 +262,10 @@ namespace SyntheticVendorNamespace
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var historyItems = new List<IHistoryItem>();
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var symbolId = requestParameters.SymbolId;
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if (string.IsNullOrEmpty(symbolId)) return historyItems;
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if (string.IsNullOrEmpty(symbolId))
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{
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return historyItems;
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}
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DateTime from = requestParameters.FromTime;
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DateTime to = requestParameters.ToTime;
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@@ -284,7 +282,9 @@ namespace SyntheticVendorNamespace
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{
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DateTime intervalEnd = currentTime.AddTicks(periodTimeSpan.Ticks * MAX_ITEMS_PER_REQUEST);
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if (intervalEnd > to)
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{
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intervalEnd = to;
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}
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while (currentTime <= intervalEnd)
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{
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@@ -293,7 +293,10 @@ namespace SyntheticVendorNamespace
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currentTime = currentTime.Add(periodTimeSpan);
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if (requestParameters.CancellationToken.IsCancellationRequested) return historyItems;
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if (requestParameters.CancellationToken.IsCancellationRequested)
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{
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return historyItems;
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}
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}
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currentTime = intervalEnd;
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@@ -306,7 +309,6 @@ namespace SyntheticVendorNamespace
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{
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switch (symbolId)
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{
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//case "W0": return GenerateConstant;
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case "W1": return GenerateSpike;
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case "W2": return GenerateDiracDelta;
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case "W3": return GenerateSquareWave;
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@@ -331,7 +333,7 @@ namespace SyntheticVendorNamespace
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public override HistoryMetadata GetHistoryMetadata(CancellationToken cancellationToken)
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{
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return new HistoryMetadata()
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return new HistoryMetadata
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{
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AllowedHistoryTypes = new HistoryType[]
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{
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@@ -360,71 +362,58 @@ namespace SyntheticVendorNamespace
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}
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/*******************************************************************************************************************************************/
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/*******************************************************************************************************************************************/
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/*******************************************************************************************************************************************/
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/*******************************************************************************************************************************************/
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/*******************************************************************************************************************************************/
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/*******************************************************************************************************************************************/
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/*******************************************************************************************************************************************/
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/*******************************************************************************************************************************************/
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/*******************************************************************************************************************************************/
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/*******************************************************************************************************************************************/
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/*******************************************************************************************************************************************/
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/*******************************************************************************************************************************************/
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/*******************************************************************************************************************************************/
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/*******************************************************************************************************************************************/
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private HistoryItemBar GenerateSpike(DateTime time, TimeSpan slice)
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{
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// Ensure we're working with UTC time
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DateTime utcTime = time.ToUniversalTime();
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// Calculate the number of hours since the epoch
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double hoursSinceEpoch = (utcTime - new DateTime(1970, 1, 1, 0, 0, 0, DateTimeKind.Utc)).TotalHours;
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// Calculate the position within the 25-hour cycle
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int cyclePosition = (int)Math.Floor(hoursSinceEpoch % 25);
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// Determine if this is a spike hour (hour 24 in the cycle) or the hour after
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bool isSpike = cyclePosition == 24;
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bool isAfterSpike = cyclePosition == 0;
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double openValue, closeValue;
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if (isSpike)
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private HistoryItemBar GenerateSpike(DateTime time, TimeSpan slice)
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{
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openValue = 0;
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closeValue = 100;
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}
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else if (isAfterSpike)
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{
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openValue = 100;
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closeValue = 0;
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}
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else
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{
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openValue = closeValue = 0.000001;
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// Ensure we're working with UTC time
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DateTime utcTime = time.ToUniversalTime();
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// Calculate the number of hours since the epoch
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double hoursSinceEpoch = (utcTime - new DateTime(1970, 1, 1, 0, 0, 0, DateTimeKind.Utc)).TotalHours;
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// Calculate the position within the 25-hour cycle
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int cyclePosition = (int)Math.Floor(hoursSinceEpoch % 25);
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// Determine if this is a spike hour (hour 24 in the cycle) or the hour after
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bool isSpike = cyclePosition == 24;
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bool isAfterSpike = cyclePosition == 0;
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double openValue, closeValue;
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if (isSpike)
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{
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openValue = 0;
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closeValue = 100;
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}
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else if (isAfterSpike)
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{
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openValue = 100;
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closeValue = 0;
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}
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else
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{
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openValue = closeValue = 0.000001;
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}
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return new HistoryItemBar
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{
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TicksLeft = time.Ticks,
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TicksRight = time.Add(slice).Ticks - 1,
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Open = openValue,
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High = Math.Max(openValue, closeValue),
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Low = Math.Min(openValue, closeValue),
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Close = closeValue,
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Volume = Math.Abs(closeValue - openValue),
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Ticks = time.Add(slice).Ticks - time.Ticks
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};
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}
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return new HistoryItemBar
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{
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TicksLeft = time.Ticks,
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TicksRight = time.Add(slice).Ticks - 1,
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Open = openValue,
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High = Math.Max(openValue, closeValue),
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Low = Math.Min(openValue, closeValue),
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Close = closeValue,
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Volume = Math.Abs(closeValue - openValue),
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Ticks = time.Add(slice).Ticks - time.Ticks
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};
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}
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private static readonly double[] distributionValues = new double[]
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{
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0.010, // Extreme left tail
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0.050, // Left tail
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0.200, // Left of center
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0.480, // Center (peak)
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0.200, // Right of center
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0.050, // Right tail
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0.010 // Extreme right tail
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};
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private HistoryItemBar GenerateDiracDelta(DateTime time, TimeSpan slice)
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{
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@@ -497,7 +486,7 @@ namespace SyntheticVendorNamespace
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double value = 50 + 50 * Math.Sin(cyclePosition * frequency); // Oscillate between 0 and 100
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double nextValue = 50 + 50 * Math.Sin((cyclePosition + slice.TotalMinutes) * frequency);
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double factor = 0.6 * Math.Abs (nextValue - value);
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double factor = 0.6 * Math.Abs(nextValue - value);
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return new HistoryItemBar
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{
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@@ -505,8 +494,8 @@ namespace SyntheticVendorNamespace
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TicksRight = time.Add(slice).Ticks - 1,
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Open = value,
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High = Math.Max(value, nextValue)+factor,
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Low = Math.Min(value, nextValue)-factor,
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High = Math.Max(value, nextValue) + factor,
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Low = Math.Min(value, nextValue) - factor,
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Close = nextValue,
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Volume = Math.Abs(nextValue - value) * 100, // Volume proportional to price change
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@@ -607,26 +596,6 @@ namespace SyntheticVendorNamespace
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};
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}
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private HistoryItemBar GeneratePulseWave(DateTime time, TimeSpan slice)
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{
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double hours = (time - DateTime.UnixEpoch).TotalHours;
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double period = 24; // 24-hour period
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double position = hours % period;
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double value = position < period / 5 ? 100 : -100; // 20% duty cycle
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return new HistoryItemBar
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{
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TicksLeft = time.Ticks,
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TicksRight = time.Add(slice).Ticks - 1,
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Open = value,
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High = 100,
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Low = -100,
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Close = value,
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Volume = 100,
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Ticks = 100
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};
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}
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private HistoryItemBar GenerateTriangleWave(DateTime time, TimeSpan slice)
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{
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double hours = (time - DateTime.UnixEpoch).TotalHours;
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@@ -787,9 +756,6 @@ namespace SyntheticVendorNamespace
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double period = 12.0;
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double frequency = 2 * Math.PI / period; // Frequency for a 5-hour period
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// Determine the start of the current 5-hour cycle
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double cycleStartTime = Math.Floor(hours / period) * period;
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// Calculate the phase of the signal within the current 5-hour cycle
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double phase = frequency * (hours % period);
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@@ -824,8 +790,8 @@ namespace SyntheticVendorNamespace
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private double currentFrequency = Math.PI / 220.0; // Initial frequency
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private double accumulatedPhase = 0;
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private double lastCloseValue = 0; // To store the last close value
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private double accumulatedPhase;
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private double lastCloseValue; // To store the last close value
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private HistoryItemBar GenerateFMSignal(DateTime time, TimeSpan slice)
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{
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@@ -915,81 +881,81 @@ namespace SyntheticVendorNamespace
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private double previousClose = 50;
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private const double meanPrice = 50;
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private double previousClose = 50;
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private const double meanPrice = 50;
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private HistoryItemBar GeneratePinkNoise(DateTime time, TimeSpan slice)
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{
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double volatility = 2;
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double meanReversionStrength = 0.1;
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// Generate open price
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double openNoise = GeneratePinkNoiseValue();
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double open = previousClose + volatility * openNoise + meanReversionStrength * (meanPrice - previousClose);
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// Generate close price
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double closeNoise = GeneratePinkNoiseValue();
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double close = open + volatility * closeNoise + meanReversionStrength * (meanPrice - open);
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// Determine High and Low
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double high = Math.Max(open, close);
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double low = Math.Min(open, close);
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// Add variation to High and Low
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double highNoise = Math.Abs(GeneratePinkNoiseValue());
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high += volatility * highNoise;
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double lowNoise = Math.Abs(GeneratePinkNoiseValue());
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low -= volatility * lowNoise;
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double volume = Math.Abs(GeneratePinkNoiseValue()) * 1000 + 100;
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// Update previous close for the next iteration
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previousClose = close;
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return new HistoryItemBar
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{
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TicksLeft = time.Ticks,
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TicksRight = time.Add(slice).Ticks - 1,
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Open = open,
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High = high,
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Low = low,
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Close = close,
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Volume = volume,
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Ticks = slice.Ticks
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};
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}
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private const int NumOctaves = 6;
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private double[] pinkNoiseState = new double[NumOctaves];
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private double GeneratePinkNoiseValue()
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{
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double total = 0;
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for (int i = 0; i < NumOctaves; i++)
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private HistoryItemBar GeneratePinkNoise(DateTime time, TimeSpan slice)
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{
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double white = random.NextDouble() * 2 - 1;
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pinkNoiseState[i] = (pinkNoiseState[i] + white) * 0.5;
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total += pinkNoiseState[i] * Math.Pow(2, -i);
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double volatility = 2;
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double meanReversionStrength = 0.1;
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// Generate open price
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double openNoise = GeneratePinkNoiseValue();
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double open = previousClose + volatility * openNoise + meanReversionStrength * (meanPrice - previousClose);
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// Generate close price
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double closeNoise = GeneratePinkNoiseValue();
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double close = open + volatility * closeNoise + meanReversionStrength * (meanPrice - open);
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// Determine High and Low
|
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double high = Math.Max(open, close);
|
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double low = Math.Min(open, close);
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||||
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// Add variation to High and Low
|
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double highNoise = Math.Abs(GeneratePinkNoiseValue());
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high += volatility * highNoise;
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double lowNoise = Math.Abs(GeneratePinkNoiseValue());
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low -= volatility * lowNoise;
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double volume = Math.Abs(GeneratePinkNoiseValue()) * 1000 + 100;
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// Update previous close for the next iteration
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previousClose = close;
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return new HistoryItemBar
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{
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||||
TicksLeft = time.Ticks,
|
||||
TicksRight = time.Add(slice).Ticks - 1,
|
||||
Open = open,
|
||||
High = high,
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Low = low,
|
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Close = close,
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Volume = volume,
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Ticks = slice.Ticks
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};
|
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}
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// Normalize
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return total / NumOctaves;
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}
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||||
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private const int NumOctaves = 6;
|
||||
private readonly double[] pinkNoiseState = new double[NumOctaves];
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||||
private double GeneratePinkNoiseValue()
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||||
{
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||||
double total = 0;
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||||
|
||||
for (int i = 0; i < NumOctaves; i++)
|
||||
{
|
||||
double white = random.NextDouble() * 2 - 1;
|
||||
pinkNoiseState[i] = (pinkNoiseState[i] + white) * 0.5;
|
||||
total += pinkNoiseState[i] * Math.Pow(2, -i);
|
||||
}
|
||||
|
||||
// Normalize
|
||||
return total / NumOctaves;
|
||||
}
|
||||
|
||||
|
||||
|
||||
private double lastValue = 0;
|
||||
private double lastValue;
|
||||
|
||||
private HistoryItemBar GenerateBrownNoise(DateTime time, TimeSpan slice)
|
||||
{
|
||||
double dt = slice.TotalDays / 365.0; // Time step in years
|
||||
double sigma = 25.0; // Annual volatility
|
||||
private HistoryItemBar GenerateBrownNoise(DateTime time, TimeSpan slice)
|
||||
{
|
||||
double dt = slice.TotalDays / 365.0; // Time step in years
|
||||
double sigma = 25.0; // Annual volatility
|
||||
|
||||
double increment = GenerateGaussian(0, sigma * Math.Sqrt(dt));
|
||||
double open = lastValue * (1 + GenerateGaussian(0, 0.05));
|
||||
double close = open + increment;
|
||||
double increment = GenerateGaussian(0, sigma * Math.Sqrt(dt));
|
||||
double open = lastValue * (1 + GenerateGaussian(0, 0.05));
|
||||
double close = open + increment;
|
||||
|
||||
// Simulate intra-period high and low
|
||||
double high = Math.Max(open, close);
|
||||
@@ -997,81 +963,81 @@ private HistoryItemBar GenerateBrownNoise(DateTime time, TimeSpan slice)
|
||||
double low = Math.Min(open, close);
|
||||
low -= low * Math.Abs(GenerateGaussian(0, 0.06));
|
||||
|
||||
lastValue = close;
|
||||
lastValue = close;
|
||||
|
||||
return new HistoryItemBar
|
||||
{
|
||||
TicksLeft = time.Ticks,
|
||||
TicksRight = time.Add(slice).Ticks - 1,
|
||||
Open = open,
|
||||
High = high,
|
||||
Low = low,
|
||||
Close = close,
|
||||
Volume = Math.Abs(close - open) * 1000, // Simplified volume calculation
|
||||
Ticks = slice.Ticks
|
||||
};
|
||||
}
|
||||
// Helper method to generate Gaussian distributed random numbers
|
||||
private double GenerateGaussian(double mean, double stdDev)
|
||||
{
|
||||
double u1 = 1.0 - random.NextDouble(); // Uniform(0,1] random doubles
|
||||
double u2 = 1.0 - random.NextDouble();
|
||||
double randStdNormal = Math.Sqrt(-2.0 * Math.Log(u1)) * Math.Sin(2.0 * Math.PI * u2);
|
||||
return mean + stdDev * randStdNormal;
|
||||
}
|
||||
return new HistoryItemBar
|
||||
{
|
||||
TicksLeft = time.Ticks,
|
||||
TicksRight = time.Add(slice).Ticks - 1,
|
||||
Open = open,
|
||||
High = high,
|
||||
Low = low,
|
||||
Close = close,
|
||||
Volume = Math.Abs(close - open) * 1000, // Simplified volume calculation
|
||||
Ticks = slice.Ticks
|
||||
};
|
||||
}
|
||||
// Helper method to generate Gaussian distributed random numbers
|
||||
private double GenerateGaussian(double mean, double stdDev)
|
||||
{
|
||||
double u1 = 1.0 - random.NextDouble(); // Uniform(0,1] random doubles
|
||||
double u2 = 1.0 - random.NextDouble();
|
||||
double randStdNormal = Math.Sqrt(-2.0 * Math.Log(u1)) * Math.Sin(2.0 * Math.PI * u2);
|
||||
return mean + stdDev * randStdNormal;
|
||||
}
|
||||
|
||||
|
||||
|
||||
private double GBMLastClose = 100; // Starting price
|
||||
private readonly double GBMMu = 0.05; // Annual drift
|
||||
private readonly double GBMSigma = 0.2; // Annual volatility
|
||||
private double GBMLastClose = 100; // Starting price
|
||||
private readonly double GBMMu = 0.05; // Annual drift
|
||||
private readonly double GBMSigma = 0.2; // Annual volatility
|
||||
|
||||
private HistoryItemBar GenerateGBM(DateTime time, TimeSpan slice)
|
||||
{
|
||||
// Convert time slice to years
|
||||
double dt = slice.TotalDays / 365.0;
|
||||
private HistoryItemBar GenerateGBM(DateTime time, TimeSpan slice)
|
||||
{
|
||||
// Convert time slice to years
|
||||
double dt = slice.TotalDays / 365.0;
|
||||
|
||||
// Generate a random normal variable for the main price movement
|
||||
double epsilon = GenerateGaussian(0, 1);
|
||||
// Generate a random normal variable for the main price movement
|
||||
double epsilon = GenerateGaussian(0, 1);
|
||||
|
||||
// Calculate the price movement using GBM equation
|
||||
double drift = (GBMMu - 0.5 * GBMSigma * GBMSigma) * dt;
|
||||
double diffusion = GBMSigma * Math.Sqrt(dt) * epsilon;
|
||||
double returnValue = Math.Exp(drift + diffusion);
|
||||
// Calculate the price movement using GBM equation
|
||||
double drift = (GBMMu - 0.5 * GBMSigma * GBMSigma) * dt;
|
||||
double diffusion = GBMSigma * Math.Sqrt(dt) * epsilon;
|
||||
double returnValue = Math.Exp(drift + diffusion);
|
||||
|
||||
// Add variability between previous close and current open
|
||||
double openVariability = GBMLastClose * GBMSigma * Math.Sqrt(dt) * GenerateGaussian(0, 1) * 0.1;
|
||||
double open = GBMLastClose + openVariability;
|
||||
// Add variability between previous close and current open
|
||||
double openVariability = GBMLastClose * GBMSigma * Math.Sqrt(dt) * GenerateGaussian(0, 1) * 0.1;
|
||||
double open = GBMLastClose + openVariability;
|
||||
|
||||
// Calculate new close price
|
||||
double close = open * returnValue;
|
||||
// Calculate new close price
|
||||
double close = open * returnValue;
|
||||
|
||||
// Generate High and Low values
|
||||
double highLowRange = Math.Max(Math.Abs(close - open), GBMLastClose * GBMSigma * Math.Sqrt(dt) * Math.Abs(GenerateGaussian(0, 1)));
|
||||
double high = Math.Max(open, close) + highLowRange * 0.5;
|
||||
double low = Math.Min(open, close) - highLowRange * 0.5;
|
||||
// Generate High and Low values
|
||||
double highLowRange = Math.Max(Math.Abs(close - open), GBMLastClose * GBMSigma * Math.Sqrt(dt) * Math.Abs(GenerateGaussian(0, 1)));
|
||||
double high = Math.Max(open, close) + highLowRange * 0.5;
|
||||
double low = Math.Min(open, close) - highLowRange * 0.5;
|
||||
|
||||
// Generate volume (you may want to adjust this based on your needs)
|
||||
double volume = Math.Max(100, 1000 * Math.Abs(close - open) + 500 * GenerateGaussian(0, 1));
|
||||
// Generate volume (you may want to adjust this based on your needs)
|
||||
double volume = Math.Max(100, 1000 * Math.Abs(close - open) + 500 * GenerateGaussian(0, 1));
|
||||
|
||||
// Update last close for next iteration
|
||||
GBMLastClose = close;
|
||||
// Update last close for next iteration
|
||||
GBMLastClose = close;
|
||||
|
||||
return new HistoryItemBar
|
||||
{
|
||||
TicksLeft = time.Ticks,
|
||||
TicksRight = time.Add(slice).Ticks - 1,
|
||||
Open = open,
|
||||
High = high,
|
||||
Low = low,
|
||||
Close = close,
|
||||
Volume = volume,
|
||||
Ticks = slice.Ticks
|
||||
};
|
||||
}
|
||||
return new HistoryItemBar
|
||||
{
|
||||
TicksLeft = time.Ticks,
|
||||
TicksRight = time.Add(slice).Ticks - 1,
|
||||
Open = open,
|
||||
High = high,
|
||||
Low = low,
|
||||
Close = close,
|
||||
Volume = volume,
|
||||
Ticks = slice.Ticks
|
||||
};
|
||||
}
|
||||
|
||||
private double FBMLastClose = 100; // Starting price
|
||||
private double FBMHurst = 0.85; // Hurst parameter (0.5 < H < 1 for persistent fBm)
|
||||
private readonly double FBMHurst = 0.85; // Hurst parameter (0.5 < H < 1 for persistent fBm)
|
||||
private readonly double FBMSigma = 0.25; // Volatility parameter
|
||||
private readonly double FBMDrift = 0.001; // drift
|
||||
|
||||
|
||||
Reference in New Issue
Block a user