Как-то давно хотел протестировать свой советник на реальных ТИКОВЫХ котировках в Metatrader 4, но в интернете не нашел, где можно их скачать. А тут на днях установил cTrader от IC Markets, и удивился что в нем есть реальные ТИКОВЫЕ котировки истории с ихнего сервера начиная с 2014 года. Осталось только выгрузить их в CSV и использовать скрипт CSV2FXT.
Код для выгрузки котировок:
Если создал топик не в той теме, просьба модераторов не ругать сильно и перенести.
Код для выгрузки котировок:
C#:
using System;
using System.Linq;
using System.IO;
using cAlgo.API;
using cAlgo.API.Indicators;
using cAlgo.API.Internals;
using cAlgo.Indicators;
namespace cAlgo
{
[Robot(TimeZone = TimeZones.UTC, AccessRights = AccessRights.FileSystem)]
public class DataExportTicks : Robot
{
// QUESTION: How do I set default Source Timeframe to T1 (1 tick)
//[Parameter("TimeFrame ")]
//public TimeFrame TFrame { get; set; }
// QUESTION: How do I get Backteset to default to 1 tick from server
// so don't have to manually reset?
[Parameter("MA Type")]
public MovingAverageType MAType { get; set; }
[Parameter("Data Dir", DefaultValue = "c:\\download\\calgo")]
public string DataDir { get; set; }
private string fiName;
private System.IO.FileStream fstream;
private System.IO.StreamWriter fwriter;
private string csvhead = "date,bid,ask,bidvol,askvol\n";
protected override void OnStart()
{
var ticktype = MarketSeries.TimeFrame.ToString();
fiName = DataDir + "\\" + "exp-" + Symbol.Code + "-ticks.csv";
Print("fiName=" + fiName);
if (System.IO.File.Exists(fiName) == false)
{
// generate new file with CSV header only if
// one does not already exist.
System.IO.File.WriteAllText(fiName, csvhead);
}
// had to open file this way to prevent .net from locking it and preventing
// access by other processes when using to download live ticks.
fstream = File.Open(fiName, FileMode.Open, FileAccess.Write, FileShare.ReadWrite);
// setup to append to end of file
Print("File is Open");
fstream.Seek(0, SeekOrigin.End);
// write stream has to be created after seek due to .net wierdness
// creating with 0 prevents buffering since we want tick data
// to be available to consumers right away.
fwriter = new System.IO.StreamWriter(fstream, System.Text.Encoding.UTF8, 1);
// QUESTION: How to tell when in Backtest mode so we
// can create the stream with a large buffer and turn off
// auto flush to improve IO performance.
Print("Fwriter is created");
fwriter.AutoFlush = true;
// with autoflush true will autocleanup
// since we can not close since we may run forever
Print("done onStart()");
}
protected double vol_weighted_price(cAlgo.API.Collections.IReadonlyList<cAlgo.API.MarketDepthEntry> mkentries)
{
double weightdiv = 0.0;
double tsum = 0.0;
for (int i = 0; i < mkentries.Count; i++)
{
var aent = mkentries[i];
tsum += (double)aent.Price * (double)aent.Volume;
weightdiv += (double)aent.Volume;
}
if (weightdiv == 0)
{
return 0;
}
else
{
return tsum / weightdiv;
}
}
protected double vol_weighted_cnt(cAlgo.API.Collections.IReadonlyList<cAlgo.API.MarketDepthEntry> mkentries)
{
double weightdiv = 0.0;
double tsum = 0.0;
for (int i = 0; i < mkentries.Count; i++)
{
var aent = mkentries[i];
tsum += (double)aent.Volume * (double)aent.Price;
weightdiv += (double)aent.Price;
}
if (weightdiv == 0)
{
return 0;
}
else
{
return tsum / weightdiv;
}
}
protected override void OnTick()
{
var sa = new System.Collections.Generic.List<string>();
//var barTime = MarketSeries.OpenTime.LastValue;
var barTime = Server.Time;
var timestr = barTime.ToString("yyyy.MM.dd HH:mm:ss.fff");
//MarketDepth mkdepth = MarketData.GetMarketDepth(Symbol.Code);
var volAdjAsk = Symbol.Ask;
var volAdjBid = Symbol.Bid;
//var volAdjSpread = volAdjAsk - volAdjBid;
//var volCntAsk = vol_weighted_cnt(mkdepth.AskEntries) / 100000.0;
//var volCntBid = vol_weighted_cnt(mkdepth.BidEntries) / 100000.0;
//var vonCntBuyVsSell = volCntAsk - volCntBid;
//if ((volAdjAsk == 0.0) && (volAdjBid == 0.0))
//{
// return;
//}
sa.Add(timestr);
sa.Add(volAdjBid.ToString("F6").Replace(",", "."));
sa.Add(volAdjAsk.ToString("F6").Replace(",", "."));
sa.Add("1.0");
sa.Add("1.0");
var sout = string.Join(",", sa);
//System.IO.File.AppendAllText(fiName, sout);
fwriter.WriteLine(sout);
fwriter.Flush();
}
protected override void OnStop()
{
Print("OnStop()");
fwriter.Close();
fstream.Close();
// Put your deinitialization logic here
}
}
}Если создал топик не в той теме, просьба модераторов не ругать сильно и перенести.
Последнее редактирование модератором: