public async Task <List <Candle> > GetCandles(BacktestOptions backtestOptions, IDataStoreBacktest dataStore)
{
if (backtestOptions.EndDate == DateTime.MinValue)
{
backtestOptions.EndDate = DateTime.UtcNow;
}
List <Candle> candles = await dataStore.GetBacktestCandlesBetweenTime(backtestOptions);
return(candles);
}
public static async Task <JArray> GetCacheAge(BacktestOptions backtestOptions, IDataStoreBacktest dataStore)
{
var jArrayResult = new JArray();
foreach (var globalSymbol in backtestOptions.Coins)
{
backtestOptions.Coin = globalSymbol;
//Candle currentHistoricalDataFirst = await dataStore.GetBacktestFirstCandle(backtestOptions);
//Candle currentHistoricalDataLast = await dataStore.GetBacktestLastCandle(backtestOptions);
#warning //TODO create a Count method
var data = await dataStore.GetBacktestCandlesBetweenTime(backtestOptions);
Candle currentHistoricalDataFirst = data.FirstOrDefault();
Candle currentHistoricalDataLast = data.LastOrDefault();
if (currentHistoricalDataFirst != null && currentHistoricalDataLast != null)
{
var dataFirst = currentHistoricalDataFirst.Timestamp.ToUniversalTime();
var dataLast = currentHistoricalDataLast.Timestamp.ToUniversalTime();
var minutes = dataLast.Subtract(dataFirst).TotalMinutes;
var numOfCandles = data.Count();
var numOfExpectedCandles = minutes / backtestOptions.CandlePeriod;
var currentResult = new JObject();
currentResult["Exchange"] = backtestOptions.Exchange.ToString();
currentResult["Coin"] = globalSymbol;
currentResult["CandlePeriod"] = backtestOptions.CandlePeriod;
currentResult["FirstCandleDate"] = dataFirst;
currentResult["LastCandleDate"] = dataLast;
currentResult["CandlesNum"] = numOfCandles;
currentResult["ExpectedCandlesNum"] = numOfExpectedCandles;
jArrayResult.Add(currentResult);
}
}
return(jArrayResult);
}
public static async Task FillCandlesGaps(Action <string> callback, BacktestOptions backtestOptions, IDataStoreBacktest dataStore)
{
BaseExchange baseExchangeApi = new BaseExchangeInstance().BaseExchange(backtestOptions.Exchange.ToString());
foreach (string globalSymbol in backtestOptions.Coins)
{
string exchangeSymbol = await baseExchangeApi.GlobalSymbolToExchangeSymbol(globalSymbol);
backtestOptions.Coin = globalSymbol;
string currentlyRunningString = backtestOptions.Exchange + "_" + globalSymbol + "_" + backtestOptions.CandlePeriod;
lock (CurrentlyRunningUpdates)
{
if (CurrentlyRunningUpdates.ContainsKey(currentlyRunningString))
{
callback($"\tUpdate still in process: {backtestOptions.Exchange.ToString()} " +
$"with Period {backtestOptions.CandlePeriod.ToString()}min for {globalSymbol} " +
$"from {backtestOptions.StartDate} UTC to {DateTime.UtcNow.RoundDown(TimeSpan.FromMinutes(backtestOptions.CandlePeriod))} UTC");
return;
}
CurrentlyRunningUpdates[currentlyRunningString] = backtestOptions;
}
//current db candles
var data = await dataStore.GetBacktestCandlesBetweenTime(backtestOptions);
Candle currentHistoricalDataFirst = data.FirstOrDefault();
Candle currentHistoricalDataLast = data.LastOrDefault();
//there are data
if (currentHistoricalDataFirst != null && currentHistoricalDataLast != null)
{
var dataFirst = currentHistoricalDataFirst.Timestamp.ToUniversalTime();
var dataLast = currentHistoricalDataLast.Timestamp.ToUniversalTime();
var minutes = dataLast.Subtract(dataFirst).TotalMinutes;
var numOfExpectedCandles = minutes / backtestOptions.CandlePeriod + 1;
var numOfCandles = data.Count();
callback($"\t- Check database\t: {backtestOptions.Exchange.ToString()} on {globalSymbol} " +
$"with Period {backtestOptions.CandlePeriod.ToString()}min " +
$"\tfrom {dataFirst} \tto {dataLast} UTC " +
$"expected:{numOfExpectedCandles}, have:{numOfCandles}");
if ((numOfExpectedCandles / numOfCandles) != 1) //found holes/multiple overall
{
callback($"\tFound overall holes\t: {backtestOptions.Exchange.ToString()} on {globalSymbol} " +
$"with Period {backtestOptions.CandlePeriod.ToString()}min " +
$"\tfrom {backtestOptions.StartDate.ToUniversalTime()} \tto {backtestOptions.EndDate.ToUniversalTime()} UTC " +
$"expected:{numOfExpectedCandles}, have:{numOfCandles}");
DateTime startDate = dataFirst;
DateTime endDate = dataLast;
//date range inspector
while (startDate < endDate.RoundDown(TimeSpan.FromMinutes(backtestOptions.CandlePeriod)))
{
backtestOptions.StartDate = startDate;
backtestOptions.EndDate = backtestOptions.StartDate.AddHours(1).RoundDown(TimeSpan.FromMinutes(backtestOptions.CandlePeriod));
//candles of sub-period
var data2 = await dataStore.GetBacktestCandlesBetweenTime(backtestOptions);
var minutes2 = backtestOptions.EndDate.Subtract(backtestOptions.StartDate).TotalMinutes;
var numOfExpectedCandles2 = (minutes2 / backtestOptions.CandlePeriod) + 1;
var numOfCandles2 = data2.Count();
callback($"\tCheck period\t: {backtestOptions.Exchange.ToString()} on {globalSymbol} " +
$"with Period {backtestOptions.CandlePeriod.ToString()}min " +
$"\tfrom {backtestOptions.StartDate.ToUniversalTime()} \tto {backtestOptions.EndDate.ToUniversalTime()} UTC " +
$"expected:{numOfExpectedCandles2}, have:{numOfCandles2} ");
//normalize dates
var expectedCandlesList = new List <DateTime>();
for (int i = 0; i < numOfExpectedCandles2; i++)
{
var t = backtestOptions.StartDate.AddMinutes(i * (int)backtestOptions.CandlePeriod.FromMinutesEquivalent());
expectedCandlesList.Add(t);
}
var newCandlesToAdd = new List <Candle>();
foreach (var expectedItem in expectedCandlesList)
{
Candle newAdd = null;
long min = long.MaxValue;
foreach (var dbItem in data2)
{
var d = Math.Abs(expectedItem.Subtract(dbItem.Timestamp).Ticks);
if (d == 0) //exact date
{
continue;
}
if (d < min)
{
min = d;
var n = dbItem.DeepClone();
n.Timestamp = expectedItem;
newAdd = n;
}
}
//if distance is less then period (e.g. 15min)
if (newAdd != null && TimeSpan.FromTicks(min).TotalMinutes <= (int)backtestOptions.CandlePeriod.FromMinutesEquivalent() / 2)
{
newCandlesToAdd.Add(newAdd);
}
}
if (newCandlesToAdd.Any())
{
foreach (var dbItem in data2)
{
callback($"\t b dbItem: {dbItem.Timestamp} {dbItem.Close}");
}
await dataStore.DeleteBacktestCandles(backtestOptions);
await dataStore.SaveBacktestCandlesBulkCheckExisting(newCandlesToAdd, backtestOptions);
data2 = await dataStore.GetBacktestCandlesBetweenTime(backtestOptions);
foreach (var dbItem in data2)
{
callback($"\t a dbItem: {dbItem.Timestamp} {dbItem.Close}");
}
}
if (numOfCandles2 == 0 || (numOfExpectedCandles2 / numOfCandles2) != 1) //found holes/multiple in period or no candles
{
if (numOfCandles2 < numOfExpectedCandles2) //holes or nothing
{
callback($"\tFound holes\t: {backtestOptions.Exchange.ToString()} on {globalSymbol} " +
$"with Period {backtestOptions.CandlePeriod.ToString()}min " +
$"\tfrom {backtestOptions.StartDate.ToUniversalTime()} \tto {backtestOptions.EndDate.ToUniversalTime()} UTC " +
$"expected:{numOfExpectedCandles2}, have:{numOfCandles2} ");
try
{
List <Candle> candlesToAdd = await baseExchangeApi.GetTickerHistory(exchangeSymbol,
backtestOptions.CandlePeriod.FromMinutesEquivalent(),
backtestOptions.StartDate,
backtestOptions.EndDate);
//start tmp log
foreach (var dbItem in data2)
{
callback($"\t dbItem: {dbItem.Timestamp} {dbItem.Close}");
}
for (int i = 0; i < numOfExpectedCandles2; i++)
{
var t = backtestOptions.StartDate.AddMinutes(i * (int)backtestOptions.CandlePeriod.FromMinutesEquivalent());
callback($"\t expenctedItem: {t} ");
}
foreach (var excItem in candlesToAdd)
{
callback($"\t excItem: {excItem.Timestamp} {excItem.Close}");
}
//end tmp log
if (candlesToAdd?.Count < numOfExpectedCandles2)//got less candle that required
{
callback($"\tNot enought data from Exchange\t: {backtestOptions.Exchange.ToString()} on {globalSymbol} " +
$"with Period {backtestOptions.CandlePeriod.ToString()}min " +
$"\tfrom {backtestOptions.StartDate.ToUniversalTime()} \tto {backtestOptions.EndDate.ToUniversalTime()} UTC " +
$"expected:{numOfExpectedCandles2}, have:{numOfCandles2} ");
Candle lastPeriodCandle = null;
//exchange doesn't give data for period
if (candlesToAdd?.Count == 0)
{
if (data2.Count == 0) //no data on db
{
//precedent period
var backtestOptions2 = new BacktestOptions
{
DataFolder = backtestOptions.DataFolder,
Exchange = backtestOptions.Exchange,
Coin = backtestOptions.Coin,
CandlePeriod = backtestOptions.CandlePeriod,
EndDate = backtestOptions.StartDate
};
//last candle of precedent period
var c = await dataStore.GetBacktestCandlesBetweenTime(backtestOptions2);
lastPeriodCandle = c?.LastOrDefault();
//insert last candle of precedent period in candles to save
if (lastPeriodCandle != null)
{
var cc = lastPeriodCandle.DeepClone();
cc.Timestamp = startDate;
candlesToAdd.Add(cc);
}
}
else //data on db for period
{
//understand where is hole
var innerExpected = expectedCandlesList.DeepClone();
innerExpected.RemoveAll(i => data2.Select(d => d.Timestamp).Contains(i));
foreach (var expectedItem in innerExpected)
{
bool found = false;
for (int i = 0; i < data2.Count; i++)
{
if (expectedItem == data2[i].Timestamp)
{
found = true;
continue;
}
}
if (!found)
{
//find the close to
Candle newAdd = null;
long min = long.MaxValue;
foreach (var dbItem in data2)
{
var d = Math.Abs(expectedItem.Subtract(dbItem.Timestamp).Ticks);
if (d < min)
{
min = d;
if (min == 0) //exact date
{
continue;
}
var n = dbItem.DeepClone();
n.Timestamp = expectedItem;
newAdd = n;
}
}
if (newAdd != null)
{
candlesToAdd.Add(newAdd);
}
}
}
}
}
candlesToAdd = candlesToAdd.OrderBy(c => c.Timestamp).ToList();
var newCandlesToAdd2 = new List <Candle>();
//find definitive position
foreach (var excItem in candlesToAdd)
{
Candle newAdd = null;
long min = long.MaxValue;
foreach (var expectedItem in expectedCandlesList)
{
var d = Math.Abs(expectedItem.Subtract(excItem.Timestamp).Ticks);
if (d < min)
{
min = d;
var n = excItem.DeepClone();
n.Timestamp = expectedItem;
newAdd = n;
}
}
newCandlesToAdd2.Add(newAdd);
}
//fill holes
foreach (var expectedItem in expectedCandlesList)
{
Candle newAdd = null;
long min = long.MaxValue;
foreach (var dbItem in data2)
{
var d = Math.Abs(expectedItem.Subtract(dbItem.Timestamp).Ticks);
if (d < min)
{
min = d;
if (d == 0) //exact date
{
continue;
}
var n = dbItem.DeepClone();
n.Timestamp = expectedItem;
newAdd = n;
}
}
//if distance is less then period (e.g. 15min) and is not exact date
if (min > 0 && TimeSpan.FromTicks(min).TotalMinutes <= (int)backtestOptions.CandlePeriod.FromMinutesEquivalent() / 2)
{
newCandlesToAdd2.Add(newAdd);
}
else if (TimeSpan.FromTicks(min).TotalMinutes > (int)backtestOptions.CandlePeriod.FromMinutesEquivalent() / 2)//not found equivalence: clone
{
var cc = candlesToAdd.Last().DeepClone();
cc.Timestamp = expectedItem;
newCandlesToAdd2.Add(cc);
}
}
await dataStore.SaveBacktestCandlesBulkCheckExisting(newCandlesToAdd2, backtestOptions);
callback($"\tUpdated cloning\t: {backtestOptions.Exchange.ToString()} on {globalSymbol} " +
$"with Period {backtestOptions.CandlePeriod.ToString()}min " +
$"\tfrom {backtestOptions.StartDate.ToUniversalTime()} \tto {backtestOptions.EndDate.ToUniversalTime()} UTC ");
startDate = backtestOptions.EndDate;
}
else //got right num of candles
{
await dataStore.SaveBacktestCandlesBulkCheckExisting(candlesToAdd, backtestOptions);
callback($"\tUpdated from Exchange\t: {backtestOptions.Exchange.ToString()} on {globalSymbol} " +
$"with Period {backtestOptions.CandlePeriod.ToString()}min " +
$"\tfrom {backtestOptions.StartDate.ToUniversalTime()} \tto {backtestOptions.EndDate.ToUniversalTime()} UTC ");
startDate = candlesToAdd.Last().Timestamp.ToUniversalTime();
}
}
catch (Exception e)
{
callback($"\tError while updating from\t: {backtestOptions.Exchange.ToString()} on {globalSymbol} " +
$"with Period {backtestOptions.CandlePeriod.ToString()}min " +
$"\tfrom {backtestOptions.StartDate.ToUniversalTime()} \tto {backtestOptions.EndDate.ToUniversalTime()} UTC ");
startDate = backtestOptions.EndDate;
continue;
}
}
else if (numOfCandles2 > numOfExpectedCandles2) //multiple
{
callback($"\tFound multiple\t: {backtestOptions.Exchange.ToString()} on {globalSymbol} " +
$"with Period {backtestOptions.CandlePeriod.ToString()}min " +
$"\tfrom {backtestOptions.StartDate.ToUniversalTime()} \tto {backtestOptions.EndDate.ToUniversalTime()} UTC " +
$"expected:{numOfExpectedCandles2}, have:{numOfCandles2} ");
foreach (var dbItem in data2)
{
callback($"\t dbItem: {dbItem.Timestamp} {dbItem.Close}");
}
await dataStore.DeleteBacktestCandles(backtestOptions);
var expectedCandlesList2 = new List <DateTime>();
for (int i = 0; i < numOfExpectedCandles2; i++)
{
var t = backtestOptions.StartDate.AddMinutes(i * (int)backtestOptions.CandlePeriod.FromMinutesEquivalent());
expectedCandlesList2.Add(t);
}
List <Candle> candlesToAdd = await baseExchangeApi.GetTickerHistory(exchangeSymbol,
backtestOptions.CandlePeriod.FromMinutesEquivalent(),
backtestOptions.StartDate,
backtestOptions.EndDate);
var newCandlesToAdd2 = new List <Candle>();
foreach (var expectedItem in expectedCandlesList2)
{
Candle newAdd = null;
long min = long.MaxValue;
foreach (var excItem in candlesToAdd)
{
var d = Math.Abs(expectedItem.Subtract(excItem.Timestamp).Ticks);
if (d < min)
{
min = d;
var n = excItem.DeepClone();
n.Timestamp = expectedItem;
newAdd = n;
}
}
//if distance is less then period (e.g. 15min)
if (newAdd != null && TimeSpan.FromTicks(min).TotalMinutes <= (int)backtestOptions.CandlePeriod.FromMinutesEquivalent() / 2)
{
newCandlesToAdd2.Add(newAdd);
}
}
await dataStore.SaveBacktestCandlesBulkCheckExisting(newCandlesToAdd2, backtestOptions);
var data3 = await dataStore.GetBacktestCandlesBetweenTime(backtestOptions);
foreach (var dbItem in data3)
{
callback($"\t dbItem: {dbItem.Timestamp} {dbItem.Close}");
}
startDate = newCandlesToAdd.Last().Timestamp.ToUniversalTime();
}
}
else
{
callback($"\tNo update\t: {backtestOptions.Exchange.ToString()} on {globalSymbol} " +
$"with Period {backtestOptions.CandlePeriod.ToString()}min " +
$"\tfrom {backtestOptions.StartDate.ToUniversalTime()} \tto {backtestOptions.EndDate.ToUniversalTime()} UTC ");
startDate = backtestOptions.EndDate;
}
}
}
}
lock (CurrentlyRunningUpdates)
{
CurrentlyRunningUpdates.Remove(currentlyRunningString);
}
}
}