public static void UpdateEma(Guid eventActionId)
{
using (var db = new PoloniexContext())
{
var eventAction = db.EventActions.Include(x => x.MovingAverageEventAction).Single(x => x.EventActionId == eventActionId);
var closingValue = db.CurrencyDataPoints
.Where(x => x.CurrencyPair == eventAction.MovingAverageEventAction.CurrencyPair)
.OrderByDescending(x => x.ClosingDateTime)
.First();
var prevEma = db.MovingAverages
.Where(x =>
x.MovingAverageType == eventAction.MovingAverageEventAction.MovingAverageType &&
x.CurrencyPair == eventAction.MovingAverageEventAction.CurrencyPair &&
x.Interval == eventAction.MovingAverageEventAction.Interval &&
x.MinutesPerInterval == eventAction.MovingAverageEventAction.MinutesPerInterval)
.OrderByDescending(x => x.ClosingDateTime)
.First();
// -15 seconds to account for timer skew
if (closingValue.ClosingDateTime >= prevEma.ClosingDateTime.AddSeconds(-15).AddMinutes(prevEma.MinutesPerInterval))
{
var curEma = new MovingAverage()
{
MovingAverageType = MovingAverageType.ExponentialMovingAverage,
CurrencyPair = eventAction.MovingAverageEventAction.CurrencyPair,
Interval = eventAction.MovingAverageEventAction.Interval,
MinutesPerInterval = eventAction.MovingAverageEventAction.MinutesPerInterval,
ClosingDateTime = DateTime.UtcNow,
MovingAverageValue = MovingAverageCalculations.CalculateEma(closingValue.ClosingValue, prevEma.MovingAverageValue, eventAction.MovingAverageEventAction.Interval),
LastClosingValue = closingValue.ClosingValue
};
db.MovingAverages.Add(curEma);
db.SaveChanges();
}
}
}
/* additional helpers */
public static void BackFillEma(string currencyPair, int interval, int minutesPerInterval, DateTime beginDateTime, DateTime endDateTime, decimal?prevEmaSeed = null)
{
// add time buffer to guarantee beginDate inclusive / endDate exclusive
var delEndDateTime = endDateTime.AddSeconds(30);
var delBeginDateTime = beginDateTime.AddSeconds(30);
List <CurrencyDataPoint> dataPoints;
List <decimal> smaInput;
decimal prevEma;
using (var db = new PoloniexContext())
{
var delMovingAverages = db.MovingAverages
.Where(x =>
x.CurrencyPair == currencyPair &&
x.Interval == interval &&
x.MinutesPerInterval == minutesPerInterval &&
x.ClosingDateTime <= delBeginDateTime &&
x.ClosingDateTime >= delEndDateTime);
db.MovingAverages.RemoveRange(delMovingAverages);
db.SaveChanges();
dataPoints = db.CurrencyDataPoints
.Where(x =>
x.CurrencyPair == currencyPair &&
x.ClosingDateTime <= beginDateTime &&
x.ClosingDateTime >= endDateTime)
.ToList();
if (prevEmaSeed == null)
{
smaInput = db.CurrencyDataPoints
.Where(x =>
x.CurrencyPair == currencyPair &&
x.ClosingDateTime < endDateTime)
.OrderBy(x => x.ClosingDateTime)
.Select(x => x.ClosingValue)
.Take(interval)
.ToList();
prevEma = MovingAverageCalculations.CalculateSma(smaInput);
}
else
{
prevEma = prevEmaSeed.Value;
}
}
// Begin calculating
List <MovingAverage> movingAveragesData = new List <MovingAverage>();
for (int i = 0; i < dataPoints.Count; i++)
{
if (i % minutesPerInterval == 0)
{
var newMovingAverage = new MovingAverage()
{
MovingAverageType = MovingAverageType.ExponentialMovingAverage,
CurrencyPair = currencyPair,
Interval = interval,
MinutesPerInterval = minutesPerInterval,
ClosingDateTime = dataPoints[i].ClosingDateTime,
MovingAverageValue = MovingAverageCalculations.CalculateEma(dataPoints[i].ClosingValue, prevEma, interval),
LastClosingValue = dataPoints[i].ClosingValue
};
movingAveragesData.Add(newMovingAverage);
prevEma = newMovingAverage.MovingAverageValue;
}
}
BulkInsertMovingAverages(movingAveragesData);
}
