protected override async Task OnGetHistoricalTradesAsync(Func <IEnumerable <ExchangeTrade>, bool> callback, string symbol, DateTime?startDate = null, DateTime?endDate = null)
{
HistoricalTradeHelperState state = new HistoricalTradeHelperState(this)
{
Callback = callback,
DirectionIsBackwards = false,
EndDate = endDate,
ParseFunction = (JToken token) =>
{
return(new ExchangeTrade
{
Amount = token["amount"].ConvertInvariant <decimal>(),
Price = token["price"].ConvertInvariant <decimal>(),
Timestamp = CryptoUtility.UnixTimeStampToDateTimeMilliseconds(token["timestampms"].ConvertInvariant <long>()),
Id = token["tid"].ConvertInvariant <long>(),
IsBuy = token["type"].ToStringInvariant() == "buy"
});
},
StartDate = startDate,
Symbol = symbol,
TimestampFunction = (DateTime dt) => ((long)CryptoUtility.UnixTimestampFromDateTimeMilliseconds(dt)).ToStringInvariant(),
Url = "/trades/[symbol]?limit_trades=100×tamp={0}"
};
await state.ProcessHistoricalTrades();
}
protected override async Task OnGetHistoricalTradesAsync(Func <IEnumerable <ExchangeTrade>, bool> callback, string symbol, DateTime?startDate = null, DateTime?endDate = null)
{
symbol = NormalizeSymbol(symbol);
string baseUrl = "/0/public/Trades?pair=" + symbol;
string url;
DateTime timestamp;
List <ExchangeTrade> trades = new List <ExchangeTrade>();
while (true)
{
url = baseUrl;
if (startDate != null)
{
url += "&since=" + (long)(CryptoUtility.UnixTimestampFromDateTimeMilliseconds(startDate.Value) * 1000000.0);
}
JToken result = await MakeJsonRequestAsync <JToken>(url);
if (result == null)
{
break;
}
JArray outerArray = result[symbol] as JArray;
if (outerArray == null || outerArray.Count == 0)
{
break;
}
if (startDate != null)
{
startDate = CryptoUtility.UnixTimeStampToDateTimeMilliseconds(result["last"].ConvertInvariant <double>() / 1000000.0d);
}
foreach (JArray array in outerArray.Children <JArray>())
{
timestamp = CryptoUtility.UnixTimeStampToDateTimeSeconds(array[2].ConvertInvariant <double>());
trades.Add(new ExchangeTrade
{
Amount = array[1].ConvertInvariant <decimal>(),
Price = array[0].ConvertInvariant <decimal>(),
Timestamp = timestamp,
Id = timestamp.Ticks,
IsBuy = array[3].ConvertInvariant <char>() == 'b'
});
}
trades.Sort((t1, t2) => t1.Timestamp.CompareTo(t2.Timestamp));
if (!callback(trades))
{
break;
}
trades.Clear();
if (startDate == null)
{
break;
}
Task.Delay(1000).Wait();
}
}
protected override async Task OnGetHistoricalTradesAsync(Func <IEnumerable <ExchangeTrade>, bool> callback, string symbol, DateTime?startDate = null, DateTime?endDate = null)
{
const int maxCount = 100;
symbol = NormalizeSymbol(symbol);
string baseUrl = "/trades/t" + symbol + "/hist?sort=" + (startDate == null ? "-1" : "1") + "&limit=" + maxCount;
string url;
List <ExchangeTrade> trades = new List <ExchangeTrade>();
decimal[][] tradeChunk;
while (true)
{
url = baseUrl;
if (startDate != null)
{
url += "&start=" + (long)CryptoUtility.UnixTimestampFromDateTimeMilliseconds(startDate.Value);
}
tradeChunk = await MakeJsonRequestAsync <decimal[][]>(url);
if (tradeChunk == null || tradeChunk.Length == 0)
{
break;
}
if (startDate != null)
{
startDate = CryptoUtility.UnixTimeStampToDateTimeMilliseconds((double)tradeChunk[tradeChunk.Length - 1][1]);
}
foreach (decimal[] tradeChunkPiece in tradeChunk)
{
trades.Add(new ExchangeTrade {
Amount = Math.Abs(tradeChunkPiece[2]), IsBuy = tradeChunkPiece[2] > 0m, Price = tradeChunkPiece[3], Timestamp = CryptoUtility.UnixTimeStampToDateTimeMilliseconds((double)tradeChunkPiece[1]), Id = (long)tradeChunkPiece[0]
});
}
trades.Sort((t1, t2) => t1.Timestamp.CompareTo(t2.Timestamp));
if (!callback(trades))
{
break;
}
trades.Clear();
if (tradeChunk.Length < maxCount || startDate == null)
{
break;
}
await Task.Delay(5000);
}
}
public static void CreateBinFileFromCSVFiles(string outputFile, params string[] inputFiles)
{
unsafe
{
Trade trade = new Trade();
byte[] bytes = new byte[16];
fixed(byte *ptr = bytes)
{
foreach (string file in inputFiles)
{
using (StreamReader reader = new StreamReader(file, CryptoUtility.UTF8EncodingNoPrefix))
using (Stream writer = File.Create(outputFile))
{
string line;
string[] lines;
DateTime dt;
while ((line = reader.ReadLine()) != null)
{
lines = line.Split(',');
if (lines.Length == 3)
{
dt = CryptoUtility.UnixTimeStampToDateTimeSeconds(double.Parse(lines[0]));
trade.Ticks = (long)CryptoUtility.UnixTimestampFromDateTimeMilliseconds(dt);
trade.Price = float.Parse(lines[1]);
trade.Amount = float.Parse(lines[2]);
if (trade.Amount > 0.01f && trade.Price > 0.5f)
{
*(Trade *)ptr = trade;
writer.Write(bytes, 0, bytes.Length);
}
}
}
}
}
}
}
}
protected override async Task OnGetHistoricalTradesAsync(Func <IEnumerable <ExchangeTrade>, bool> callback, string symbol, DateTime?startDate = null, DateTime?endDate = null)
{
/* [ {
* "a": 26129, // Aggregate tradeId
* "p": "0.01633102", // Price
* "q": "4.70443515", // Quantity
* "f": 27781, // First tradeId
* "l": 27781, // Last tradeId
* "T": 1498793709153, // Timestamp
* "m": true, // Was the buyer the maker?
* "M": true // Was the trade the best price match?
* } ] */
HistoricalTradeHelperState state = new HistoricalTradeHelperState(this)
{
Callback = callback,
EndDate = endDate,
ParseFunction = (JToken token) =>
{
DateTime timestamp = CryptoUtility.UnixTimeStampToDateTimeMilliseconds(token["T"].ConvertInvariant <long>());
return(new ExchangeTrade
{
Amount = token["q"].ConvertInvariant <decimal>(),
Price = token["p"].ConvertInvariant <decimal>(),
Timestamp = timestamp,
Id = token["a"].ConvertInvariant <long>(),
IsBuy = token["m"].ConvertInvariant <bool>()
});
},
StartDate = startDate,
Symbol = symbol,
TimestampFunction = (DateTime dt) => ((long)CryptoUtility.UnixTimestampFromDateTimeMilliseconds(dt)).ToStringInvariant(),
Url = "/aggTrades?symbol=[symbol]&startTime={0}&endTime={1}",
};
await state.ProcessHistoricalTrades();
}
/// <summary>
/// Update the trade info via API
/// </summary>
public void Update()
{
Ticker = ExchangeInfo.API.GetTicker(Symbol);
RecentTrades = ExchangeInfo.API.GetRecentTrades(Symbol).ToArray();
if (RecentTrades.Length == 0)
{
Trade = new Trade();
}
else
{
Trade = new Trade {
Amount = (float)RecentTrades[RecentTrades.Length - 1].Amount, Price = (float)RecentTrades[RecentTrades.Length - 1].Price, Ticks = (long)CryptoUtility.UnixTimestampFromDateTimeMilliseconds(RecentTrades[RecentTrades.Length - 1].Timestamp)
};
}
Orders = ExchangeInfo.API.GetOrderBook(Symbol);
}
