public async void BackTest()
{
logger.Trace("Starting BackTest");
IList <Asset> BackTestAssets = new List <Asset>();
IList <Asset> CompletedTrades = new List <Asset>();
// flags.
bool hasTrade = false;
MarketCandle buyCandle = null, sellCandle = null;
var tickers = await api.GetTickersAsync();
tickers = tickers.Where(t => t.Value.Volume.QuoteCurrency == "USD" &&
!coinsToRemove.Contains(t.Value.Volume.BaseCurrency)
);
foreach (var ticker in tickers)
{
BackTestAssets.Add(new Asset {
Ticker = ticker.Key, BaseCurrency = ticker.Value.Volume.BaseCurrency
});
}
int numTickers = BackTestAssets.Count();
for (int idx = 0; idx < numTickers; idx++)
{
try
{
var asset = BackTestAssets[idx];
// get 4-hour candles
var candles = (await api.GetCandlesAsync(asset.Ticker, 8 * 60 * 60, null, null)).ToArray();
IList <Quote> history = new List <Quote>();
foreach (var candle in candles)
{
history.Add(new Quote
{
Date = candle.Timestamp,
Open = candle.OpenPrice,
High = candle.HighPrice,
Low = candle.LowPrice,
Close = candle.ClosePrice,
Volume = (decimal)candle.QuoteCurrencyVolume
});
}
// calculate RSI(14)
IList <HeikinAshiResult> ha = Indicator.GetHeikinAshi(history).ToArray();
IList <HeikinAshi> ashiList = new List <HeikinAshi>();
foreach (var item in ha)
{
ashiList.Add(new HeikinAshi(item));
}
// remember to throw out the last candle because that is the active candle that is not completed yet.
hasTrade = false;
for (int j = 1; j < candles.Length - 2; j++)
{
// remember to throw out the last candle because that is the active candle that is not completed yet.
// var completedRSI = rsi[j];
// var previousRSI = rsi[j - 1];
var completedAshi = ashiList[j];
var previousAshi = ashiList[j - 1];
var isBuy = completedAshi.Signal == HeikinAshi.HeikinAshiSignal.STRONGBUY && previousAshi.Signal != HeikinAshi.HeikinAshiSignal.STRONGBUY;
var isSellProfit = completedAshi.Signal == HeikinAshi.HeikinAshiSignal.STRONGSELL || previousAshi.Signal == HeikinAshi.HeikinAshiSignal.SELL;
if (isBuy && !hasTrade)
{
hasTrade = true;
buyCandle = candles[j + 1];
// Debug.WriteLine($"Buy, {buyCandle.OpenPrice}, {buyCandle.HighPrice}");
}
if (isSellProfit && hasTrade)
{
hasTrade = false;
sellCandle = candles[j + 1];
var lowPL = (sellCandle.LowPrice - buyCandle.HighPrice) / buyCandle.HighPrice * 100;
var pl = (sellCandle.OpenPrice - buyCandle.OpenPrice) / buyCandle.OpenPrice * 100;
Debug.WriteLine($"{asset.Ticker}, {buyCandle.Timestamp}, {sellCandle.Timestamp}, {sellCandle.LowPrice}, {sellCandle.HighPrice}, {lowPL:0.00}, {pl:0.00}");
}
}
// unclosed trades.
if (hasTrade)
{
sellCandle = candles[candles.Length - 1];
var lowPL = (sellCandle.LowPrice - buyCandle.HighPrice) / buyCandle.HighPrice * 100;
var pl = (sellCandle.OpenPrice - buyCandle.OpenPrice) / buyCandle.OpenPrice * 100;
Debug.WriteLine($"{asset.Ticker}, {buyCandle.Timestamp}, {sellCandle.Timestamp}, {sellCandle.LowPrice}, {sellCandle.HighPrice}, {lowPL:0.00}, {pl:0.00}, Unclosed ");
}
}
catch (Exception ex)
{
}
}
Debug.WriteLine("========= end backtesting =========");
}
public async Task <IWebSocket> GetWebsocketKlines(IEnumerable <string> streamTickers, KlineInterval interval)
{
string combined = string.Join("/", streamTickers.Select(s => s.ToLower() + "@" + interval.ToString()));
return(await api.ConnectWebSocketAsync($"/stream?streams={combined}", (_socket, msg) =>
{
string json = msg.ToStringFromUTF8();
//logger.Trace($"Kline Data:{json}");
var klinedata = JsonConvert.DeserializeObject <KlineStream>(json);
DateTime dt = CryptoUtility.ParseTimestamp(klinedata.Data.EventTime, TimestampType.UnixMilliseconds);
/*
* logger.Trace($"EventTime:" + dt);
* logger.Trace($"KLineData:{klinedata.Data.kline.kLineClosed}:{klinedata.Data.MarketSymbol}:{klinedata.Data.kline.OpenTimestamp}");
* logger.Trace($"KLineData:{klinedata.Data.kline.kLineClosed}:{klinedata.Data.MarketSymbol}:{klinedata.Data.kline.Open}:{klinedata.Data.kline.High}:{klinedata.Data.kline.Low}:{klinedata.Data.kline.Close}");
* logger.Trace($"KLineData:{klinedata.Data.kline.kLineClosed}:{klinedata.Data.MarketSymbol}:{klinedata.Data.kline.BaseVolume}:{klinedata.Data.kline.QuoteVolume}");
* logger.Trace($"KLineData:{klinedata.Data.kline.kLineClosed}:{klinedata.Data.MarketSymbol}:{klinedata.Data.kline.TakerBaseVolume}:{klinedata.Data.kline.TakerQuoteVolume}");
*/
if (klinedata.Data.kline.kLineClosed == true)
{
/*
* logger.Trace($"EventTime:" + dt);
* logger.Trace($"KLineData:{klinedata.Data.kline.kLineClosed}:{klinedata.Data.MarketSymbol}:{klinedata.Data.kline.OpenTimestamp}");
* logger.Trace($"KLineData:{klinedata.Data.kline.kLineClosed}:{klinedata.Data.MarketSymbol}:{klinedata.Data.kline.Open}:{klinedata.Data.kline.High}:{klinedata.Data.kline.Low}:{klinedata.Data.kline.Close}");
* logger.Trace($"KLineData:{klinedata.Data.kline.kLineClosed}:{klinedata.Data.MarketSymbol}:{klinedata.Data.kline.BaseVolume}:{klinedata.Data.kline.QuoteVolume}");
* logger.Trace($"KLineData:{klinedata.Data.kline.kLineClosed}:{klinedata.Data.MarketSymbol}:{klinedata.Data.kline.TakerBaseVolume}:{klinedata.Data.kline.TakerQuoteVolume}");
*/
MarketCandle candle = new MarketCandle();
candle.OpenPrice = klinedata.Data.kline.Open;
candle.HighPrice = klinedata.Data.kline.High;
candle.LowPrice = klinedata.Data.kline.Low;
candle.ClosePrice = klinedata.Data.kline.Close;
candle.PeriodSeconds = (int)interval;
candle.BaseCurrencyVolume = (double)klinedata.Data.kline.BaseVolume;
candle.QuoteCurrencyVolume = (double)klinedata.Data.kline.QuoteVolume;
/*
* candle.BaseCurrencyVolume = (double)klinedata.Data.kline.TakerBaseVolume;
* candle.QuoteCurrencyVolume = (double)klinedata.Data.kline.TakerQuoteVolume;
*/
candle.Timestamp = klinedata.Data.kline.OpenTimestamp;
if (!TickerKLines.ContainsKey(klinedata.Data.MarketSymbol))
{
TickerKLines[klinedata.Data.MarketSymbol] = new List <MarketCandle>();
}
TickerKLines[klinedata.Data.MarketSymbol].Add(candle);
}
/*
* string marketSymbol = update.Data.MarketSymbol;
* ExchangeOrderBook book = new ExchangeOrderBook { SequenceId = update.Data.FinalUpdate, MarketSymbol = marketSymbol, LastUpdatedUtc = CryptoUtility.UnixTimeStampToDateTimeMilliseconds(update.Data.EventTime) };
* foreach (List<object> ask in update.Data.Asks)
* {
* var depth = new ExchangeOrderPrice { Price = ask[0].ConvertInvariant<decimal>(), Amount = ask[1].ConvertInvariant<decimal>() };
* book.Asks[depth.Price] = depth;
* }
* foreach (List<object> bid in update.Data.Bids)
* {
* var depth = new ExchangeOrderPrice { Price = bid[0].ConvertInvariant<decimal>(), Amount = bid[1].ConvertInvariant<decimal>() };
* book.Bids[depth.Price] = depth;
* }
* callback(book);
*/
return Task.CompletedTask;
}, (_sock) =>
{
logger.Trace("KLine socket connected");
return Task.CompletedTask;
}));
}
public SymbolTrend(int timeframe)
{
TimeframeInHours = timeframe;
TrendRaw = 0M;
Candle = null;
}
public static XCandle ToXCandle(this MarketCandle candle)
{
return(new XCandle(candle.ExchangeName, candle.Name, candle.Timestamp, candle.PeriodSeconds, candle.OpenPrice, candle.HighPrice, candle.LowPrice, candle.ClosePrice, (decimal)candle.BaseVolume, (decimal)candle.ConvertedVolume, candle.WeightedAverage));
}
