source: branches/HeuristicLab.DataImporter/HeuristicLab.DataImporter.Command/ChangeColumnGroup/CreateTimeSeriesColumnsCommand.cs @ 11997

#region License Information
/* HeuristicLab
 * Copyright (C) 2002-2013 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
 *
 * This file is part of HeuristicLab.
 *
 * HeuristicLab is free software: you can redistribute it and/or modify
 * it under the terms of the GNU General Public License as published by
 * the Free Software Foundation, either version 3 of the License, or
 * (at your option) any later version.
 *
 * HeuristicLab is distributed in the hope that it will be useful,
 * but WITHOUT ANY WARRANTY; without even the implied warranty of
 * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
 * GNU General Public License for more details.
 *
 * You should have received a copy of the GNU General Public License
 * along with HeuristicLab. If not, see <http://www.gnu.org/licenses/>.
 */
#endregion

using System.Collections.Generic;
using System.Linq;
using System.Windows.Forms.DataVisualization.Charting;
using HeuristicLab.DataImporter.Data;
using HeuristicLab.DataImporter.Data.CommandBase;
using HeuristicLab.DataImporter.Data.Model;
using HeuristicLab.Persistence.Default.CompositeSerializers.Storable;

namespace HeuristicLab.DataImporter.Command {
  [StorableClass]
  [ViewableCommandInfo("Create time series columns", 1, ColumnGroupState.DoubleColumnSelected, "Column Commands",
    Position = 16, SelectedColumns = 4)]
  public class CreateTimeSeriesColumnsCommand : ColumnGroupCommandWithAffectedColumnsBase {
    private int addedColumnsCount;
    [StorableConstructor]
    protected CreateTimeSeriesColumnsCommand(bool deserializing) : base(deserializing) { }
    public CreateTimeSeriesColumnsCommand(DataSet dataSet, string columnGroupName, int[] affectedColumns)
      : base(dataSet, columnGroupName, affectedColumns) {
    }

    public override string Description {
      get { return "Create time series columns"; }
    }

    public override void Execute() {
      base.Execute();
      if (AffectedColumns.Length != 4) throw new CommandExecutionException("The selected columns must include high, low, open, and close price.", this);
      string[] seriesNames = { "high", "low", "open", "close" };
      Chart chart1 = new Chart();
      // Y = high
      // Y2 = low
      // Y3 = open
      // Y4 = close
      List<DoubleColumn> columns = new List<DoubleColumn>();
      for (int i = 0; i < 4; i++) {
        int columnIndex = AffectedColumns[i];
        DoubleColumn doubleColumn = ColumnGroup.GetColumn(columnIndex) as DoubleColumn;
        if (doubleColumn == null) throw new CommandExecutionException("The selection column does not contain double columns.", this);
        columns.Add(doubleColumn);
      }
      Series series = new Series();
      series.ChartArea = "Default";
      series.ChartType = SeriesChartType.Stock;
      series.Name = "Input";
      series.YValuesPerPoint = 4;
      for (int i = 0; i < columns[0].TotalValuesCount; i++) {
        DataPoint point = new DataPoint();
        List<double> values = new List<double>();
        for (int j = 0; j < 4; j++) {
          double? v = (double?)columns[j].GetValue(i);
          if (!v.HasValue) throw new CommandExecutionException("Columns must not contain missing values.", this);
          values.Add(v.Value);
        }
        point.YValues = values.ToArray();
        series.Points.AddXY(i, values[0]);
        series.Points[i].YValues[1] = values[1];
        series.Points[i].YValues[2] = values[2];
        series.Points[i].YValues[3] = values[3];
      }
      chart1.Series.Add(series);


      DoubleColumn firstAffectedColumn = (DoubleColumn)ColumnGroup.GetColumn(AffectedColumns[0]);
      int lastAffectedColumn = AffectedColumns[3];

      // formulas using only the close price
      FinancialFormula[] formulae = new FinancialFormula[] { 
        FinancialFormula.DetrendedPriceOscillator, 
        FinancialFormula.MovingAverageConvergenceDivergence,
        FinancialFormula.Performance, 
        FinancialFormula.RateOfChange, 
        FinancialFormula.RelativeStrengthIndex, 
        FinancialFormula.StandardDeviation };
      int currentColumnIndex = lastAffectedColumn + 1;
      addedColumnsCount = 0;
      foreach (var formula in formulae) {
        chart1.DataManipulator.FinancialFormula(formula, "10", "Input:Y4", "Indicators");

        DoubleColumn newColumn = (DoubleColumn)firstAffectedColumn.CreateCopyOfColumnWithoutValues();
        newColumn.Name = formula + "(" + firstAffectedColumn.Name + ")";
        for (int i = 0; i < chart1.Series["Indicators"].Points.First().XValue; i++) {
          newColumn.AddValue(null);
        }
        foreach (var value in chart1.Series["Indicators"].Points) {
          newColumn.AddValue(value.YValues[0]);
        }
        this.ColumnGroup.InsertColumn(currentColumnIndex, newColumn);
        currentColumnIndex++;
        addedColumnsCount++;
      }

      // Formulas with two input value
      formulae = new FinancialFormula[] {
        FinancialFormula.MassIndex,
        FinancialFormula.VolatilityChaikins
      };
      foreach (var formula in formulae) {
        chart1.DataManipulator.FinancialFormula(formula, "20", "Input:Y,Input:Y2", "Indicators");

        DoubleColumn newColumn = (DoubleColumn)firstAffectedColumn.CreateCopyOfColumnWithoutValues();
        newColumn.Name = formula + "(" + firstAffectedColumn.Name + ")";
        for (int i = 0; i < chart1.Series["Indicators"].Points.First().XValue; i++) {
          newColumn.AddValue(null);
        }
        foreach (var value in chart1.Series["Indicators"].Points) {
          newColumn.AddValue(value.YValues[0]);
        }
        this.ColumnGroup.InsertColumn(currentColumnIndex, newColumn);
        currentColumnIndex++;
        addedColumnsCount++;
      }

      // Williams %R
      {
        chart1.DataManipulator.FinancialFormula(FinancialFormula.WilliamsR, "Input:Y,Input:Y2,Input:Y4", "Indicators");
        DoubleColumn newColumn = (DoubleColumn)firstAffectedColumn.CreateCopyOfColumnWithoutValues();
        newColumn.Name = "WilliamsR(" + firstAffectedColumn.Name + ")";
        for (int i = 0; i < chart1.Series["Indicators"].Points.First().XValue; i++) {
          newColumn.AddValue(null);
        }
        foreach (var value in chart1.Series["Indicators"].Points) {
          newColumn.AddValue(value.YValues[0]);
        }
        this.ColumnGroup.InsertColumn(currentColumnIndex, newColumn);
        currentColumnIndex++;
        addedColumnsCount++;
      }

      // StochasticIndicator
      {
        chart1.DataManipulator.FinancialFormula(FinancialFormula.StochasticIndicator, "15", "Input:Y,Input:Y2,Input:Y4", "Indicators,SMA");
        DoubleColumn newColumn = (DoubleColumn)firstAffectedColumn.CreateCopyOfColumnWithoutValues();
        newColumn.Name = "StochasticIndicator(" + firstAffectedColumn.Name + ")";
        for (int i = 0; i < chart1.Series["Indicators"].Points.First().XValue; i++) {
          newColumn.AddValue(null);
        }
        foreach (var value in chart1.Series["Indicators"].Points) {
          newColumn.AddValue(value.YValues[0]);
        }
        this.ColumnGroup.InsertColumn(currentColumnIndex, newColumn);
        currentColumnIndex++;
        addedColumnsCount++;

        DoubleColumn newColumnSma = (DoubleColumn)firstAffectedColumn.CreateCopyOfColumnWithoutValues();
        newColumnSma.Name = "StochasticIndicator-SMA(" + firstAffectedColumn.Name + ")";
        for (int i = 0; i < chart1.Series["SMA"].Points.First().XValue; i++) {
          newColumnSma.AddValue(null);
        }
        foreach (var value in chart1.Series["SMA"].Points) {
          newColumnSma.AddValue(value.YValues[0]);
        }
        this.ColumnGroup.InsertColumn(currentColumnIndex, newColumnSma);
        currentColumnIndex++;
        addedColumnsCount++;
      }


      // All other formulas.
      formulae = new FinancialFormula[] {
        FinancialFormula.AverageTrueRange,
        FinancialFormula.CommodityChannelIndex,
      };
      foreach (var formula in formulae) {
        chart1.DataManipulator.FinancialFormula(formula, "Input:Y,Input:Y2,Input:Y4", "Indicators");
        DoubleColumn newColumn = (DoubleColumn)firstAffectedColumn.CreateCopyOfColumnWithoutValues();
        newColumn.Name = formula + "(" + firstAffectedColumn.Name + ")";
        for (int i = 0; i < chart1.Series["Indicators"].Points.First().XValue; i++) {
          newColumn.AddValue(null);
        }
        foreach (var value in chart1.Series["Indicators"].Points) {
          newColumn.AddValue(value.YValues[0]);
        }
        this.ColumnGroup.InsertColumn(currentColumnIndex, newColumn);
        currentColumnIndex++;
        addedColumnsCount++;
      }

      // moving averages.
      formulae = new FinancialFormula[] {
        FinancialFormula.ExponentialMovingAverage,
        FinancialFormula.MovingAverage,
        FinancialFormula.TriangularMovingAverage,
        FinancialFormula.TripleExponentialMovingAverage, 
        FinancialFormula.WeightedMovingAverage,
      };
      foreach (var formula in formulae) {
        chart1.DataManipulator.FinancialFormula(formula, "15", "Input:Y4", "Indicators");
        DoubleColumn newColumn = (DoubleColumn)firstAffectedColumn.CreateCopyOfColumnWithoutValues();
        newColumn.Name = formula + "(" + firstAffectedColumn.Name + ")";
        for (int i = 0; i < chart1.Series["Indicators"].Points.First().XValue; i++) {
          newColumn.AddValue(null);
        }
        foreach (var value in chart1.Series["Indicators"].Points) {
          newColumn.AddValue(value.YValues[0]);
        }
        this.ColumnGroup.InsertColumn(currentColumnIndex, newColumn);
        currentColumnIndex++;
        addedColumnsCount++;
      }

      ColumnGroup.FireChanged();
    }

    public override void UndoExecute() {
      base.UndoExecute();
      int lastAffectedColumnIndex = AffectedColumns[3];
      for (int i = 0; i < addedColumnsCount; i++)
        this.ColumnGroup.RemoveColumn(lastAffectedColumnIndex + 1);
      addedColumnsCount = 0;
      ColumnGroup.FireChanged();
    }
  }
}