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version bump to 0.1.14

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Miha Kralj
2022-05-12 09:20:17 -07:00
parent 80991f38d7
commit 7dc024bc33
6 changed files with 187 additions and 174 deletions
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Source/Basics/Alphavantage_Feed.cs
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namespace QuanTAlib;
using System;
using System.Text.Json;
/* <summary>
Alphavantage - Free API to collect quotes for stock, Forex and crypto. It requires a (free) API key
Get API key at https://www.alphavantage.co/support/#api-key
Parameters:
Symbol: stock ("AAPL"), crypto ("BTC") or forex pair (divided by dash: "USD-EUR")
Extended: if true, return 2,000 rows. if false, return 100 rows
Interval: enum with options of Month, Week, Day, Hour, Min30, Min15, Min5, Min1
APIkey: unique Alphavantage API key
</summary> */
public class Alphavantage_Feed : TBars
{
//public enum Interval { Month, Week, Day, Hour, Min30, Min15, Min5, Min1}
public Alphavantage_Feed(string Symbol = "IBM", bool Extended = false, Interval Interval = Interval.Day, string APIkey = "demo")
{
string outputsize = "compact";
if (Extended) { outputsize = "full"; }
System.Net.Http.HttpClient client = new();
JsonElement json = new();
var tokens = Symbol.Split("-");
if (tokens.Count() > 1)
{
string req = "https://www.alphavantage.co/query?function=FX" + GetInterval(Interval) + "&from_symbol=" + tokens[0] + "&to_symbol=" + tokens[1] + "&outputsize=" + outputsize + "&apikey=" + APIkey;
var msg = client.GetStringAsync(req).Result;
var jres = JsonSerializer.Deserialize<JsonDocument>(msg).RootElement;
switch (Interval)
{
case Interval.Month: jres.TryGetProperty("Time Series FX (Monthly)", out json); break;
case Interval.Week: jres.TryGetProperty("Time Series FX (Weekly)", out json); break;
case Interval.Day: jres.TryGetProperty("Time Series FX (Daily)", out json); break;
case Interval.Hour: jres.TryGetProperty("Time Series FX (60min)", out json); break;
case Interval.Min30: jres.TryGetProperty("Time Series FX (30min)", out json); break;
case Interval.Min15: jres.TryGetProperty("Time Series FX (15min)", out json); break;
case Interval.Min5: jres.TryGetProperty("Time Series FX (5min)", out json); break;
case Interval.Min1: jres.TryGetProperty("Time Series FX (1min)", out json); break;
}
}
if (json.ValueKind == JsonValueKind.Undefined)
{
string req = "https://www.alphavantage.co/query?function=TIME_SERIES" + GetInterval(Interval) + "&symbol=" + Symbol + "&outputsize=" + outputsize + "&apikey=" + APIkey;
var msg = client.GetStringAsync(req).Result;
var jres = JsonSerializer.Deserialize<JsonDocument>(msg).RootElement;
switch (Interval)
{
case Interval.Month: jres.TryGetProperty("Monthly Time Series", out json); break;
case Interval.Week: jres.TryGetProperty("Weekly Time Series", out json); break;
case Interval.Day: jres.TryGetProperty("Time Series (Daily)", out json); break;
case Interval.Hour: jres.TryGetProperty("Time Series (60min)", out json); break;
case Interval.Min30: jres.TryGetProperty("Time Series (30min)", out json); break;
case Interval.Min15: jres.TryGetProperty("Time Series (15min)", out json); break;
case Interval.Min5: jres.TryGetProperty("Time Series (5min)", out json); break;
case Interval.Min1: jres.TryGetProperty("Time Series (1min)", out json); break;
}
}
if (json.ValueKind == JsonValueKind.Undefined)
{
string req;
if ((int)Interval < 3) { req = "https://www.alphavantage.co/query?function=DIGITAL_CURRENCY" + GetInterval(Interval) + "&symbol=" + Symbol + "&market=USD&&outputsize=" + outputsize + "&apikey=" + APIkey; }
else { req = "https://www.alphavantage.co/query?function=CRYPTO" + GetInterval(Interval) + "&symbol=" + Symbol + "&market=USD&&outputsize=" + outputsize + "&apikey=" + APIkey; }
var msg = client.GetStringAsync(req).Result;
var jres = JsonSerializer.Deserialize<JsonDocument>(msg).RootElement;
switch (Interval)
{
case Interval.Month: jres.TryGetProperty("Time Series (Digital Currency Monthly)", out json); break;
case Interval.Week: jres.TryGetProperty("Time Series (Digital Currency Weekly)", out json); break;
case Interval.Day: jres.TryGetProperty("Time Series (Digital Currency Daily)", out json); break;
case Interval.Hour: jres.TryGetProperty("Time Series Crypto (60min)", out json); break;
case Interval.Min30: jres.TryGetProperty("Time Series Crypto (30min)", out json); break;
case Interval.Min15: jres.TryGetProperty("Time Series Crypto (15min)", out json); break;
case Interval.Min5: jres.TryGetProperty("Time Series Crypto (5min)", out json); break;
case Interval.Min1: jres.TryGetProperty("Time Series Crypto (1min)", out json); break;
}
}
if (json.ValueKind != JsonValueKind.Undefined)
{
foreach (var val in json.EnumerateObject()) { base.Add(GetOHLC(val)); }
}
}
private (DateTime t, double o, double h, double l, double c, double v) GetOHLC(JsonProperty json)
{
double o, h, l, c, v;
o = h = l = c = v = 0;
DateTime date = Convert.ToDateTime(json.Name);
foreach (var val in json.Value.EnumerateObject())
{
switch (val.Name)
{
case "1. open": o = Convert.ToDouble(val.Value.ToString()); break;
case "1b. open (USD)": o = Convert.ToDouble(val.Value.ToString()); break;
case "2. high": h = Convert.ToDouble(val.Value.ToString()); break;
case "2b. high (USD)": h = Convert.ToDouble(val.Value.ToString()); break;
case "3. low": l = Convert.ToDouble(val.Value.ToString()); break;
case "3b. low (USD)": l = Convert.ToDouble(val.Value.ToString()); break;
case "4. close": c = Convert.ToDouble(val.Value.ToString()); break;
case "4b. close (USD)": c = Convert.ToDouble(val.Value.ToString()); break;
case "5. adjusted close": c = Convert.ToDouble(val.Value.ToString()); break;
case "5. volume": v = Convert.ToDouble(val.Value.ToString()); break;
case "6. volume": v = Convert.ToDouble(val.Value.ToString()); break;
}
}
return (date, o, h, l, c, v);
}
}
Source/Basics/GBM_Feed.cs
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namespace QuanTAlib;
using System;
/* <summary>
GBM - Geometric Brownian Motion is a random simulator of market movement, returning List<Quote>
GBM can be used for testing indicators, validation and Monte Carlo simulations of strategies.
Sample usage:
GBM-Random data = new(); // generates 1 year (252) list of bars
GBM-Random data = new(Bars: 1000); // generates 1,000 bars
GBM-Random data = new(Bars: 252, Volatility: 0.05, Drift: 0.0005, Seed: 100.0)
Parameters
Bars: number of bars (quotes) requested
Volatility: how dymamic/volatile the series should be; default is 1
Drift: incremental drift due to annual interest rate; default is 5%
Seed: starting value of the random series; should not be 0
</summary> */
public class GBM_Feed : TBars
{
double seed;
readonly double drift, volatility;
public GBM_Feed(int Bars = 252, double Volatility = 1.0, double Drift = 0.05, double Seed = 100.0) {
seed = Seed;
volatility = Volatility*0.01;
drift = Drift*0.01;
for (int i = 0; i <Bars; i++) {
DateTime Timestamp = DateTime.Today.AddDays(i - Bars);
this.Add(Timestamp);
}
}
public void Add(DateTime timestamp, bool update = false) {
double Open = GBM_value(seed, volatility*volatility, drift);
double Close = GBM_value(Open, volatility, drift);
double OCMax = Math.Max(Open,Close);
double High = (GBM_value(seed, volatility*0.5, 0));
High = (High<OCMax)? 2*OCMax-High : High;
double OCMin = Math.Min(Open,Close);
double Low = (GBM_value(seed, volatility*0.5, 0));
Low = (Low>OCMin)? 2*OCMin-Low : Low;
double Volume = GBM_value(seed*10, volatility*2, Drift:0);
base.Add((timestamp, Open, High, Low, Close, Volume), update);
seed = Close;
}
private double GBM_value (double Seed, double Volatility, double Drift) {
Random rnd = new((int)(DateTime.UtcNow.Ticks));
double U1 = 1.0-rnd.NextDouble();
double U2 = 1.0-rnd.NextDouble();
double Z = Math.Sqrt(-2.0 * Math.Log(U1)) * Math.Sin(2.0 * Math.PI * U2);
return Seed * Math.Exp( Drift - (Volatility*Volatility*0.5) + Volatility * Z);
}
}
Source/Basics/RND_Feed.cs
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namespace QuanTAlib;
using System;
/* <summary>
Random Bars generator - used for testing, validation and fun
Returns 'bars' number of candles that follow common market movement.
volatility defines how 'jumpy' is the series of
startvalue defines beginning closing price that then guides the rest of series
</summary> */
public class RND_Feed : TBars
{
public RND_Feed(int bars, double volatility = 0.05, double startvalue = 100.0)
{
Random rnd = new();
double c = startvalue;
for (int i = 0; i < bars; i++)
{
double o = Math.Round(c + c * (volatility * 0.1 * rnd.NextDouble() - 0.005), 2);
double h = Math.Round(o + c * volatility * rnd.NextDouble(), 2);
double l = Math.Round(o - c * volatility * rnd.NextDouble(), 2);
c = Math.Round(l + (h - l) * rnd.NextDouble(), 2);
double v = Math.Round(1000 * rnd.NextDouble(), 2);
this.Add(DateTime.Today.AddDays(i - bars), o, h, l, c, v);
}
}
}