I've just started my algo journey and have been following a youtuber called AC who has done a series on learning to algo on cTrader. Ideal.
I recently followed one of his videos to the letter, THE letter, most of it worked but the modifications to the scrips failed on the very last hurdle, that is to get the ATR header onto the top row of the output excel file.
After wasting a few hours going over the video I have given up, what on earth letter or character have I missed out that it wouldn't complete this basic function?
Here's the script for the market data extractor with the modifications. All things are present, line for line with how the guy went through it on youTube.
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.WEuropeStandardTime, AccessRights = AccessRights.FileSystem)]
public class MarketDataExtractor : Robot
{
public enum enumModeType
{
DOMLive,
BarChartHist,
TickHist
}
// [Parameter("TypeMode", Group = "TypeMode Settings", DefaultValue = enumModeType.DOMLive)]
//public enumModeType modeType { get; set; }
[Parameter("Data Dir", DefaultValue = "D:\\Data")]
public string DataDir { get; set; }
private string fiName;
private System.IO.FileStream fstream;
private System.IO.StreamWriter fwriter;
private enumModeType extractMode = enumModeType.DOMLive;
private AverageTrueRange atr;
protected override void OnStart()
{
atr = Indicators.AverageTrueRange(14, MovingAverageType.Exponential);
var ticktype = Bars.TimeFrame.ToString();
extractMode = (IsBacktesting == false ? enumModeType.DOMLive : (ticktype.Contains("Tick") ? enumModeType.TickHist : enumModeType.BarChartHist));
string csvhead = (extractMode.Equals(enumModeType.BarChartHist) ? "date,open,high,low,close,volume,atr\n" : (extractMode.Equals(enumModeType.TickHist) ? "date;ask;bid\n" : "date;askPrice;bidPrice;Pricespread;askCount;bidCount;VwapAsk;VwapBid;AdjPriceSpread;volumeAsk;volumeBid;volumeSpread\n"));
fiName = DataDir + "\\" + "export-" + Symbol.Name + "-" + ticktype + "-" + extractMode.ToString() + ".csv";
if (System.IO.File.Exists(fiName) == false)
System.IO.File.WriteAllText(fiName, csvhead);
Print("fiName=" + fiName);
fstream = File.Open(fiName, FileMode.Open, FileAccess.Write, FileShare.ReadWrite);
Print("File is Open");
fstream.Seek(0, SeekOrigin.End);
fwriter = new System.IO.StreamWriter(fstream, System.Text.Encoding.UTF8, 1);
Print("Fwriter is created");
fwriter.AutoFlush = true;
Print("done onStart()");
}
protected Tuple<double, double> vwap_price(cAlgo.API.Collections.IReadonlyList<cAlgo.API.MarketDepthEntry> mkentries)
{
double volumeSum = 0.0;
double pvSum = 0.0;
for (int i = 0; i < mkentries.Count; i++)
{
var domEntries = mkentries[i];
pvSum += (double)domEntries.Price * (double)domEntries.Volume;
volumeSum += (double)domEntries.Volume;
}
if (volumeSum == 0)
{
return Tuple.Create(0.0, 0.0);
}
else
{
return Tuple.Create((pvSum / volumeSum), volumeSum);
}
}
protected override void OnTick()
{
if (extractMode.Equals(enumModeType.TickHist))
{
var sa = new System.Collections.Generic.List<string>();
var barTime = Bars.OpenTimes.LastValue;
//var barTime = Server.Time;
var timestr = barTime.ToString("yyyy-MM-dd HH:mm:ss.fff");
sa.Add(timestr);
sa.Add(Symbol.Ask.ToString("F6"));
sa.Add(Symbol.Bid.ToString("F6"));
var sout = string.Join(";", sa);
fwriter.WriteLine(sout);
fwriter.Flush();
}
else if (extractMode.Equals(enumModeType.DOMLive))
{
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.Name);
var priceVolAdjAsk = vwap_price(mkdepth.AskEntries);
var priceVolAdjBid = vwap_price(mkdepth.BidEntries);
var priceAdjAsk = priceVolAdjAsk.Item1;
var priceAdjBid = priceVolAdjBid.Item1;
var priceAdjSpread = priceAdjAsk - priceAdjBid;
var volAdjAsk = priceVolAdjAsk.Item2;
var volAdjBid = priceVolAdjBid.Item2;
var volAdjSpread = volAdjBid - volAdjAsk;
if ((priceAdjAsk == 0.0) && (priceAdjBid == 0.0))
return;
sa.Add(timestr);
sa.Add(Symbol.Ask.ToString("F6"));
sa.Add(Symbol.Bid.ToString("F6"));
sa.Add(Symbol.Spread.ToString("F6"));
sa.Add(mkdepth.AskEntries.Count.ToString("F2"));
sa.Add(mkdepth.BidEntries.Count.ToString("F2"));
sa.Add(priceAdjAsk.ToString("F6"));
sa.Add(priceAdjBid.ToString("F6"));
sa.Add(priceAdjSpread.ToString("F6"));
sa.Add(volAdjAsk.ToString("F2"));
sa.Add(volAdjBid.ToString("F2"));
sa.Add(volAdjSpread.ToString("F2"));
var sout = string.Join(";", sa);
fwriter.WriteLine(sout);
fwriter.Flush();
}
}
protected override void OnBar()
{
if (extractMode.Equals(enumModeType.BarChartHist))
{
var sa = new System.Collections.Generic.List<string>();
var barTime = Bars.OpenTimes.Last(1);
var atr = Indicators.AverageTrueRange(14, MovingAverageType.Exponential);
// var barTime = Server.Time;
var timestr = barTime.ToString("yyyy-MM-dd HH:mm:ss.fff");
sa.Add(timestr);
sa.Add(Bars.OpenPrices.Last(1).ToString("F6"));
sa.Add(Bars.HighPrices.Last(1).ToString("F6"));
sa.Add(Bars.LowPrices.Last(1).ToString("F6"));
sa.Add(Bars.ClosePrices.Last(1).ToString("F6"));
sa.Add(Bars.TickVolumes.Last(1).ToString("F6"));
sa.Add((atr.Result.Last(1) / Symbol.PipSize).ToString("F3"));
var sout = string.Join(",", sa);
fwriter.WriteLine(sout);
fwriter.Flush();
}
}
protected override void OnStop()
{
Print("OnStop()");
fwriter.Close();
fstream.Close();
}
}
}
