nplot-gtk/lib/TradingDateTimeAxis.cs

/*
NPlot - A charting library for .NET

TradingDateTimeAxis.cs
Copyright (C) 2006
Pawel Konieczny

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THIS SOFTWARE IS PROVIDED BY THE AUTHOR ``AS IS'' AND ANY EXPRESS OR
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*/

using System;
using System.Drawing;
using System.Collections;


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


		/// <summary>
		/// The axis world min value.
		/// </summary>
		public override double WorldMin
		{
			get 
			{ 
				return base.WorldMin; 
			}
			set
			{
				base.WorldMin = value;
				virtualWorldMin_ = SparseWorldRemap(value);
			}
		}
		private double virtualWorldMin_ = double.NaN;


		/// <summary>
		/// The axis world max value.
		/// </summary>
		public override double WorldMax
		{
			get 
			{ 
				return base.WorldMax;
			}
			set
			{
				base.WorldMax = value;
				virtualWorldMax_ = SparseWorldRemap(value);
			}
		}
		private double virtualWorldMax_ = double.NaN;


		/// <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_;
			}
		}
		private long 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_;
			}
		}
		private long endTradingTime_;

		private long tradingTimeSpan_;


		/// <summary>
		/// Get whether or not this axis is linear.
		/// </summary>
		public override bool IsLinear
		{
			get
			{
				return false;
			}
		}


		/// <summary>
		/// Constructor
		/// </summary>
		public TradingDateTimeAxis() : base()
		{
			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);
				this.NumberFormat = null;
			}
		}


		/// <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 (this.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 (this.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 = (double)((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 (this.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 (double)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 (double)(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>
		/// World extent in virtual (sparse) units.
		/// </summary>
		public double SparseWorldLength
		{
			get
			{
				return SparseWorldRemap(WorldMax) - SparseWorldRemap(WorldMin);
			}
		}


		/// <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 * (double)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 * (double)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)this.WorldMin );
				DateTime worldMaxDate = new DateTime( (long)this.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) )
				{
					this.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) )
				{
					this.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
				{
					this.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 = (double)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 >= this.WorldMin && world <= this.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 ( this.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;
		}
	}
}