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nplot/src/TradingDateTimeAxis.cs

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/*
* NPlot - A charting library for .NET
*
* TradingDateTimeAxis.cs
* Copyright (C) 2003-2006 Matt Howlett and others.
* All rights reserved.
*
* Redistribution and use in source and binary forms, with or without modification,
* are permitted provided that the following conditions are met:
*
* 1. Redistributions of source code must retain the above copyright notice, this
* list of conditions and the following disclaimer.
* 2. Redistributions in binary form must reproduce the above copyright notice,
* this list of conditions and the following disclaimer in the documentation
* and/or other materials provided with the distribution.
*
* THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS "AS IS" AND
* ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE IMPLIED
* WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE ARE DISCLAIMED.
* IN NO EVENT SHALL THE COPYRIGHT OWNER OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT,
* INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING,
* BUT NOT LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE,
* DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY THEORY OF
* LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT (INCLUDING NEGLIGENCE
* OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE OF THIS SOFTWARE, EVEN IF ADVISED
* OF THE POSSIBILITY OF SUCH DAMAGE.
*/
using System;
using System.Collections;
using System.Drawing;
namespace NPlot
{
/// <summary>
/// Provides a DateTime axis that removes non-trading days.
/// </summary>
public class TradingDateTimeAxis : DateTimeAxis
{
// we keep shadow "virtual" copies of WorldMin/Max for speed
// which are already remapped, so it is essential that changes
// to WorldMin/Max are captured here
private long endTradingTime_;
private long startTradingTime_;
private long tradingTimeSpan_;
private double virtualWorldMax_ = double.NaN;
private double virtualWorldMin_ = double.NaN;
/// <summary>
/// Constructor
/// </summary>
public TradingDateTimeAxis()
{
Init();
}
/// <summary>
/// Copy Constructor
/// </summary>
/// <param name="a">construct a TradingDateTimeAxis based on this provided axis.</param>
public TradingDateTimeAxis(Axis a) : base(a)
{
Init();
if (a is TradingDateTimeAxis)
DoClone((TradingDateTimeAxis) a, this);
else if (a is DateTimeAxis)
DoClone((DateTimeAxis) a, this);
else
{
DoClone(a, this);
NumberFormat = null;
}
}
/// <summary>
/// The axis world min value.
/// </summary>
public override double WorldMin
{
get { return base.WorldMin; }
set
{
base.WorldMin = value;
virtualWorldMin_ = SparseWorldRemap(value);
}
}
/// <summary>
/// The axis world max value.
/// </summary>
public override double WorldMax
{
get { return base.WorldMax; }
set
{
base.WorldMax = value;
virtualWorldMax_ = SparseWorldRemap(value);
}
}
/// <summary>
/// Optional time at which trading begins.
/// All data points earlied than that (same day) will be collapsed.
/// </summary>
public virtual TimeSpan StartTradingTime
{
get { return new TimeSpan(startTradingTime_); }
set
{
startTradingTime_ = value.Ticks;
tradingTimeSpan_ = endTradingTime_ - startTradingTime_;
}
}
/// <summary>
/// Optional time at which trading ends.
/// All data points later than that (same day) will be collapsed.
/// </summary>
public virtual TimeSpan EndTradingTime
{
get { return new TimeSpan(endTradingTime_); }
set
{
endTradingTime_ = value.Ticks;
tradingTimeSpan_ = endTradingTime_ - startTradingTime_;
}
}
/// <summary>
/// Get whether or not this axis is linear.
/// </summary>
public override bool IsLinear
{
get { return false; }
}
/// <summary>
/// World extent in virtual (sparse) units.
/// </summary>
public double SparseWorldLength
{
get { return SparseWorldRemap(WorldMax) - SparseWorldRemap(WorldMin); }
}
/// <summary>
/// Helper function for constructors.
/// </summary>
private void Init()
{
startTradingTime_ = 0;
endTradingTime_ = TimeSpan.TicksPerDay;
tradingTimeSpan_ = endTradingTime_ - startTradingTime_;
virtualWorldMin_ = SparseWorldRemap(WorldMin);
virtualWorldMax_ = SparseWorldRemap(WorldMax);
}
/// <summary>
/// Deep copy of DateTimeAxis.
/// </summary>
/// <returns>A copy of the DateTimeAxis Class.</returns>
public override object Clone()
{
TradingDateTimeAxis a = new TradingDateTimeAxis();
// ensure that this isn't being called on a derived type. If it is, then oh no!
if (GetType() != a.GetType())
{
throw new NPlotException("Clone not defined in derived type. Help!");
}
DoClone(this, a);
return a;
}
/// <summary>
/// Helper method for Clone.
/// </summary>
/// <param name="a">The cloned target object.</param>
/// <param name="b">The cloned source object.</param>
protected static void DoClone(TradingDateTimeAxis b, TradingDateTimeAxis a)
{
DateTimeAxis.DoClone(b, a);
a.startTradingTime_ = b.startTradingTime_;
a.endTradingTime_ = b.endTradingTime_;
a.tradingTimeSpan_ = b.tradingTimeSpan_;
a.WorldMin = b.WorldMin;
a.WorldMax = b.WorldMax;
}
/// <summary>
/// World to physical coordinate transform.
/// </summary>
/// <param name="coord">The coordinate value to transform.</param>
/// <param name="physicalMin">The physical position corresponding to the world minimum of the axis.</param>
/// <param name="physicalMax">The physical position corresponding to the world maximum of the axis.</param>
/// <param name="clip">if false, then physical value may extend outside worldMin / worldMax. If true, the physical value returned will be clipped to physicalMin or physicalMax if it lies outside this range.</param>
/// <returns>The transformed coordinates.</returns>
/// <remarks>
/// Not sure how much time is spent in this often called function. If it's lots, then
/// worth optimizing (there is scope to do so).
/// </remarks>
public override PointF WorldToPhysical(
double coord,
PointF physicalMin,
PointF physicalMax,
bool clip)
{
// (1) account for reversed axis. Could be tricky and move
// this out, but would be a little messy.
PointF _physicalMin;
PointF _physicalMax;
if (Reversed)
{
_physicalMin = physicalMax;
_physicalMax = physicalMin;
}
else
{
_physicalMin = physicalMin;
_physicalMax = physicalMax;
}
// (2) if want clipped value, return extrema if outside range.
if (clip)
{
if (WorldMin < WorldMax)
{
if (coord > WorldMax)
{
return _physicalMax;
}
if (coord < WorldMin)
{
return _physicalMin;
}
}
else
{
if (coord < WorldMax)
{
return _physicalMax;
}
if (coord > WorldMin)
{
return _physicalMin;
}
}
}
// (3) we are inside range or don't want to clip.
coord = SparseWorldRemap(coord);
double range = virtualWorldMax_ - virtualWorldMin_;
double prop = ((coord - virtualWorldMin_)/range);
//double range = WorldMax - WorldMin;
//double prop = (double)((coord - WorldMin) / range);
//if (range1 != range)
// range1 = range;
// Force clipping at bounding box largeClip times that of real bounding box
// anyway. This is effectively at infinity.
const double largeClip = 100.0;
if (prop > largeClip && clip)
prop = largeClip;
if (prop < -largeClip && clip)
prop = -largeClip;
if (range == 0)
{
if (coord >= virtualWorldMin_)
prop = largeClip;
if (coord < virtualWorldMin_)
prop = -largeClip;
}
// calculate the physical coordinate.
PointF offset = new PointF(
(float) (prop*(_physicalMax.X - _physicalMin.X)),
(float) (prop*(_physicalMax.Y - _physicalMin.Y)));
return new PointF(_physicalMin.X + offset.X, _physicalMin.Y + offset.Y);
}
/// <summary>
/// Transforms a physical coordinate to an axis world
/// coordinate given the physical extremites of the axis.
/// </summary>
/// <param name="p">the point to convert</param>
/// <param name="physicalMin">the physical minimum extremity of the axis</param>
/// <param name="physicalMax">the physical maximum extremity of the axis</param>
/// <param name="clip">whether or not to clip the world value to lie in the range of the axis if it is outside.</param>
/// <returns></returns>
public override double PhysicalToWorld(
PointF p,
PointF physicalMin,
PointF physicalMax,
bool clip)
{
// (1) account for reversed axis. Could be tricky and move
// this out, but would be a little messy.
PointF _physicalMin;
PointF _physicalMax;
if (Reversed)
{
_physicalMin = physicalMax;
_physicalMax = physicalMin;
}
else
{
_physicalMin = physicalMin;
_physicalMax = physicalMax;
}
// normalised axis dir vector
float axis_X = _physicalMax.X - _physicalMin.X;
float axis_Y = _physicalMax.Y - _physicalMin.Y;
float len = (float) Math.Sqrt(axis_X*axis_X + axis_Y*axis_Y);
axis_X /= len;
axis_Y /= len;
// point relative to axis physical minimum.
PointF posRel = new PointF(p.X - _physicalMin.X, p.Y - _physicalMin.Y);
// dist of point projection on axis, normalised.
float prop = (axis_X*posRel.X + axis_Y*posRel.Y)/len;
//double world = prop * (WorldMax - WorldMin) + WorldMin;
double world = prop*(virtualWorldMax_ - virtualWorldMin_) + virtualWorldMin_;
world = ReverseSparseWorldRemap(world);
// if want clipped value, return extrema if outside range.
if (clip)
{
world = Math.Max(world, WorldMin);
world = Math.Min(world, WorldMax);
}
return world;
}
/// <summary>
/// Remap a world coordinate into a "virtual" world, where non-trading dates and times are collapsed.
/// </summary>
/// <remarks>
/// This code works under asumption that there are exactly 24*60*60 seconds in a day
/// This is strictly speaking not correct but apparently .NET 2.0 does not count leap seconds.
/// Luckilly, Ticks == 0 =~= 0001-01-01T00:00 =~= Monday
/// First tried a version fully on floating point arithmetic,
/// but failed hopelessly due to rounding errors.
/// </remarks>
/// <param name="coord">world coordinate to transform.</param>
/// <returns>equivalent virtual world coordinate.</returns>
protected double SparseWorldRemap(double coord)
{
long ticks = (long) coord;
long whole_days = ticks/TimeSpan.TicksPerDay;
long ticks_in_last_day = ticks%TimeSpan.TicksPerDay;
long full_weeks = whole_days/7;
long days_in_last_week = whole_days%7;
if (days_in_last_week >= 5)
{
days_in_last_week = 5;
ticks_in_last_day = 0;
}
if (ticks_in_last_day < startTradingTime_) ticks_in_last_day = startTradingTime_;
else if (ticks_in_last_day > endTradingTime_) ticks_in_last_day = endTradingTime_;
ticks_in_last_day -= startTradingTime_;
long whole_working_days = (full_weeks*5 + days_in_last_week);
long working_ticks = whole_working_days*tradingTimeSpan_;
long new_ticks = working_ticks + ticks_in_last_day;
return new_ticks;
}
/// <summary>
/// Remaps a "virtual" world coordinates back to true world coordinates.
/// </summary>
/// <param name="coord">virtual world coordinate to transform.</param>
/// <returns>equivalent world coordinate.</returns>
protected double ReverseSparseWorldRemap(double coord)
{
long ticks = (long) coord;
//ticks += startTradingTime_;
long ticks_in_last_day = ticks%tradingTimeSpan_;
ticks /= tradingTimeSpan_;
long full_weeks = ticks/5;
long week_part = ticks%5;
long day_ticks = (full_weeks*7 + week_part)*TimeSpan.TicksPerDay;
return (day_ticks + ticks_in_last_day + startTradingTime_);
}
/// <summary>
/// Adds a delta amount to the given world coordinate in such a way that
/// all "sparse gaps" are skipped. In other words, the returned value is
/// in delta distance from the given in the "virtual" world.
/// </summary>
/// <param name="coord">world coordinate to shift.</param>
/// <param name="delta">shif amount in "virtual" units.</param>
/// <returns></returns>
public double SparseWorldAdd(double coord, double delta)
{
return ReverseSparseWorldRemap(SparseWorldRemap(coord) + delta);
}
/// <summary>
/// Check whether the given coordinate falls within defined trading hours.
/// </summary>
/// <param name="coord">world coordinate in ticks to check.</param>
/// <returns>true if in trading hours, false if in non-trading gap.</returns>
public bool WithinTradingHours(double coord)
{
long ticks = (long) coord;
long whole_days = ticks/TimeSpan.TicksPerDay;
long ticks_in_last_day = ticks%TimeSpan.TicksPerDay;
long days_in_last_week = whole_days%7;
if (days_in_last_week >= 5)
return false;
if (ticks_in_last_day < startTradingTime_) return false;
if (ticks_in_last_day >= endTradingTime_) return false;
return true;
}
/// <summary>
/// Check whether the given coordinate falls on trading days.
/// </summary>
/// <param name="coord">world coordinate in ticks to check.</param>
/// <returns>true if on Mon - Fri.</returns>
public bool OnTradingDays(double coord)
{
long ticks = (long) coord;
long whole_days = ticks/TimeSpan.TicksPerDay;
long days_in_last_week = whole_days%7;
return (days_in_last_week < 5);
}
/// <summary>
/// Determines the positions of all Large and Small ticks.
/// </summary>
/// <remarks>
/// The method WorldTickPositions_FirstPass() from the base works just fine, except that it
/// does not account for non-trading gaps in time, therefore, when less than two days are visible
/// an own algorithm is used (to show intraday time). Otherwise the base class implementation is used
/// but the output is corrected to remove ticks on non-trading days (Sat, Sun).
/// </remarks>
/// <param name="physicalMin">The physical position corresponding to the world minimum of the axis.</param>
/// <param name="physicalMax">The physical position corresponding to the world maximum of the axis.</param>
/// <param name="largeTickPositions">ArrayList containing the positions of the large ticks.</param>
/// <param name="smallTickPositions">null</param>
internal override void WorldTickPositions_FirstPass(
Point physicalMin,
Point physicalMax,
out ArrayList largeTickPositions,
out ArrayList smallTickPositions
)
{
if (LargeTickStep != TimeSpan.Zero || SparseWorldLength > 2.0*tradingTimeSpan_) // utilise base class
{
ArrayList largeTickPositions_FirstPass;
base.WorldTickPositions_FirstPass(physicalMin, physicalMax, out largeTickPositions_FirstPass, out smallTickPositions);
if (largeTickPositions_FirstPass.Count < 2)
{
// leave it alone, whatever that single tick may be (better something than nothing...)
largeTickPositions = largeTickPositions_FirstPass;
}
else if ((double) largeTickPositions_FirstPass[1] - (double) largeTickPositions_FirstPass[0] > 27.0*TimeSpan.TicksPerDay)
{
// For distances between ticks in months or longer, just accept all ticks
largeTickPositions = largeTickPositions_FirstPass;
}
else
{
// for daily ticks, ignore non-trading hours but obey (skip) non-trading days
largeTickPositions = new ArrayList();
foreach (object tick in largeTickPositions_FirstPass)
{
if (OnTradingDays((double) tick))
largeTickPositions.Add(tick);
}
}
}
else // intraday ticks, own algorithm
{
smallTickPositions = null;
largeTickPositions = new ArrayList();
TimeSpan timeLength = new TimeSpan((long) SparseWorldLength);
DateTime worldMinDate = new DateTime((long) WorldMin);
DateTime worldMaxDate = new DateTime((long) WorldMax);
DateTime currentTickDate;
long skip; // in time ticks
// The following if-else flow establishes currentTickDate to the beginning of series
// and skip to the optimal distance between ticks
// if less than 10 minutes, then large ticks on second spacings.
if (timeLength < new TimeSpan(0, 0, 10, 0, 0))
{
LargeTickLabelType_ = LargeTickLabelType.hourMinuteSeconds;
int secondsSkip;
if (timeLength < new TimeSpan(0, 0, 0, 10, 0))
secondsSkip = 1;
else if (timeLength < new TimeSpan(0, 0, 0, 20, 0))
secondsSkip = 2;
else if (timeLength < new TimeSpan(0, 0, 0, 50, 0))
secondsSkip = 5;
else if (timeLength < new TimeSpan(0, 0, 2, 30, 0))
secondsSkip = 15;
else
secondsSkip = 30;
int second = worldMinDate.Second;
second -= second%secondsSkip;
currentTickDate = new DateTime(
worldMinDate.Year,
worldMinDate.Month,
worldMinDate.Day,
worldMinDate.Hour,
worldMinDate.Minute,
second, 0);
skip = secondsSkip*TimeSpan.TicksPerSecond;
}
// Less than 2 hours, then large ticks on minute spacings.
else if (timeLength < new TimeSpan(0, 2, 0, 0, 0))
{
LargeTickLabelType_ = LargeTickLabelType.hourMinute;
int minuteSkip;
if (timeLength < new TimeSpan(0, 0, 10, 0, 0))
minuteSkip = 1;
else if (timeLength < new TimeSpan(0, 0, 20, 0, 0))
minuteSkip = 2;
else if (timeLength < new TimeSpan(0, 0, 50, 0, 0))
minuteSkip = 5;
else if (timeLength < new TimeSpan(0, 2, 30, 0, 0))
minuteSkip = 15;
else //( timeLength < new TimeSpan( 0,5,0,0,0) )
minuteSkip = 30;
int minute = worldMinDate.Minute;
minute -= minute%minuteSkip;
currentTickDate = new DateTime(
worldMinDate.Year,
worldMinDate.Month,
worldMinDate.Day,
worldMinDate.Hour,
minute, 0, 0);
skip = minuteSkip*TimeSpan.TicksPerMinute;
}
// Else large ticks on hour spacings.
else
{
LargeTickLabelType_ = LargeTickLabelType.hourMinute;
int hourSkip;
if (timeLength < new TimeSpan(0, 10, 0, 0, 0))
hourSkip = 1;
else if (timeLength < new TimeSpan(0, 20, 0, 0, 0))
hourSkip = 2;
else
hourSkip = 6;
int hour = worldMinDate.Hour;
hour -= hour%hourSkip;
currentTickDate = new DateTime(
worldMinDate.Year,
worldMinDate.Month,
worldMinDate.Day,
hour, 0, 0, 0);
skip = hourSkip*TimeSpan.TicksPerHour;
}
// place ticks
while (currentTickDate < worldMaxDate)
{
double world = currentTickDate.Ticks;
if (!WithinTradingHours(world))
{
// add gap boundary instead
world = ReverseSparseWorldRemap(SparseWorldRemap(world)); // moves forward
long gap = (long) world;
gap -= gap%skip;
currentTickDate = new DateTime(gap);
}
if (world >= WorldMin && world <= WorldMax)
{
largeTickPositions.Add(world);
}
currentTickDate = currentTickDate.AddTicks(skip);
}
}
}
/// <summary>
/// Get an appropriate label name, given the DateTime of a label
/// </summary>
/// <param name="tickDate">the DateTime to get the label name for</param>
/// <returns>A label name appropriate to the supplied DateTime.</returns>
protected override string LargeTickLabel(DateTime tickDate)
{
string label;
if (NumberFormat == null
&& (LargeTickLabelType_ == LargeTickLabelType.hourMinute ||
LargeTickLabelType_ == LargeTickLabelType.hourMinuteSeconds)
&& tickDate.TimeOfDay == StartTradingTime)
{
// in such case always show the day date
label = (tickDate.Day).ToString();
label += " ";
label += tickDate.ToString("MMM");
}
else
{
label = base.LargeTickLabel(tickDate);
}
return label;
}
}
}
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