nplot-gtk/lib/TradingDateTimeAxis.cs

714 строки
21 KiB
C#

/*
NPlot - A charting library for .NET
TradingDateTimeAxis.cs
Copyright (C) 2006
Pawel Konieczny
Redistribution and use of NPlot or parts there-of in source and
binary forms, with or without modification, are permitted provided
that the following conditions are met:
1. Re-distributions in source form must retain at the head of each
source file the above copyright notice, this list of conditions
and the following disclaimer.
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than your cost of physically performing source distribution,
on a medium customarily used for software interchange, or:
(b) reproduce the following text in the documentation, about
box or other materials intended to be read by human users
of the product that is provided to every human user of the
product:
"This product includes software developed as
part of the NPlot library project available
from: http://www.nplot.com/"
The words "This product" may optionally be replace with
the actual name of the product.
------------------------------------------------------------------------
THIS SOFTWARE IS PROVIDED BY THE AUTHOR ``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 AUTHOR 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
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(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.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;
}
}
}