public IEnumerable <BfaPrivateExecution> GetPrivateExecutions(BfProductCode productCode, long before, Func <BfaPrivateExecution, bool> predicate)
{
while (true)
{
var execs = GetPrivateExecutions(productCode, ReadCountMax, before, 0).GetContent();
if (execs.Length == 0)
{
break;
}
foreach (var exec in execs)
{
if (!predicate(exec))
{
yield break;
}
yield return(exec);
}
if (execs.Length < ReadCountMax)
{
break;
}
before = execs.Last().ExecutionId;
}
}
public HistoricalOhlcSource(ICacheFactory cacheFactory, BfProductCode productCode, TimeSpan frameSpan, DateTime endFrom, TimeSpan span, string cacheFolderBasePath)
{
// Create database file if not exists automatically
_cache = cacheFactory.GetOhlcCache(productCode, frameSpan);
var requestedCount = Convert.ToInt32(span.TotalMinutes / frameSpan.TotalMinutes);
endFrom = endFrom.Round(frameSpan);
var startTo = endFrom - span + frameSpan;
var end = endFrom - span + frameSpan;
_source = Observable.Create <IFxOhlcvv>(observer =>
{
var query = _cache.GetOhlcsBackward(endFrom, span);
if (query.Count() == requestedCount)
{
query.ForEach(ohlc => observer.OnNext(ohlc));
}
else
{
// Cryptowatch accepts close-time based range
CryptowatchOhlcSource.Get(productCode, frameSpan, endFrom + frameSpan, startTo + frameSpan).OrderByDescending(e => e.Start).ForEach(ohlc =>
{
_cache.Add(new DbHistoricalOhlc(ohlc, frameSpan));
observer.OnNext(ohlc);
});
_cache.SaveChanges();
}
observer.OnCompleted();
return(() => { });
});
// Cryptowatchの取得リミットに到達していた場合の対処
}
static void StackExecutions(BitFlyerClient client, ICacheFactory factory, BfProductCode productCode, int count)
{
using (var cache = factory.GetExecutionCache(productCode))
{
var recs = cache.GetManageTable();
cache.CommitCount *= 100;
var completed = new ManualResetEvent(false);
var recordCount = 0;
var sw = new Stopwatch();
sw.Start();
new HistoricalExecutionSource(client, productCode, recs[0].EndExecutionId + count, recs[0].EndExecutionId).Subscribe(exec =>
{
cache.Add(exec);
if ((++recordCount % 10000) == 0)
{
Console.WriteLine("{0} {1} Completed {2} Elapsed", exec.ExecutedTime.ToLocalTime(), recordCount, sw.Elapsed);
}
},
() =>
{
cache.SaveChanges();
sw.Stop();
completed.Set();
});
completed.WaitOne();
cache.SaveChanges();
}
}
public BitFlyerResponse <string> CancelAllChildOrders(BfProductCode productCode)
{
return(CancelAllChildOrders(new BfCancelAllChildOrdersRequest
{
ProductCode = productCode,
}));
}
static void FillGaps(BitFlyerClient client, ICacheFactory factory, BfProductCode productCode)
{
using (var cache = factory.GetExecutionCache(productCode))
{
cache.CommitCount *= 100;
var completed = new ManualResetEvent(false);
var recordCount = 0;
var sw = new Stopwatch();
sw.Start();
cache.FillGaps(client).Subscribe(exec =>
{
if ((++recordCount % 10000) == 0)
{
Console.WriteLine("{0} {1} Completed {2} Elapsed", exec.ExecutedTime.ToLocalTime(), recordCount, sw.Elapsed);
}
},
() =>
{
cache.SaveChanges();
sw.Stop();
completed.Set();
});
completed.WaitOne();
}
}
public void StartExecutionSource(BfProductCode productCode)
{
if (_executionColdSources.TryGetValue(_availableMarkets[productCode], out IConnectableObservable <BfExecution> source))
{
source.Connect().AddTo(_disposables);
}
}
/// <summary>
/// List Orders
/// <see href="https://scrapbox.io/BitFlyerDotNet/GetChildOrders">Online help</see>
/// </summary>
/// <param name="productCode"></param>
/// <param name="orderState"></param>
/// <param name="count"></param>
/// <param name="before"></param>
/// <param name="after"></param>
/// <param name="childOrderId"></param>
/// <param name="childOrderAcceptanceId"></param>
/// <param name="parentOrderId"></param>
/// <returns></returns>
public Task <BitFlyerResponse <BfaChildOrder[]> > GetChildOrdersAsync(
BfProductCode productCode,
BfOrderState orderState,
int count,
uint before,
uint after,
string childOrderId,
string childOrderAcceptanceId,
string parentOrderId,
CancellationToken ct
)
{
var query = string.Format("product_code={0}{1}{2}{3}{4}{5}{6}{7}",
productCode.ToEnumString(),
orderState != BfOrderState.Unknown ? "&child_order_state=" + orderState.ToEnumString() : "",
(count > 0) ? $"&count={count}" : "",
(before > 0) ? $"&before={before}" : "",
(after > 0) ? $"&after={after}" : "",
!string.IsNullOrEmpty(childOrderId) ? "&child_order_id=" + childOrderId : "",
!string.IsNullOrEmpty(childOrderAcceptanceId) ? "&child_order_acceptance_id=" + childOrderAcceptanceId : "",
!string.IsNullOrEmpty(parentOrderId) ? "&parent_order_id=" + parentOrderId : ""
);
return(GetPrivateAsync <BfaChildOrder[]>(nameof(GetChildOrders), query, ct));
}
public IEnumerable <BfaChildOrder> GetChildOrders(BfProductCode productCode, BfOrderState orderState, uint before, Func <BfaChildOrder, bool> predicate)
{
while (true)
{
var orders = GetChildOrders(productCode, orderState, ReadCountMax, before).GetContent();
if (orders.Length == 0)
{
break;
}
foreach (var order in orders)
{
if (!predicate(order))
{
yield break;
}
yield return(order);
}
if (orders.Length < ReadCountMax)
{
break;
}
before = orders.Last().PagingId;
}
}
/// <summary>
/// Send a New Order
/// <see href="https://scrapbox.io/BitFlyerDotNet/SendChildOrder">Online help</see>
/// </summary>
/// <param name="productCode"></param>
/// <param name="orderType"></param>
/// <param name="side"></param>
/// <param name="price"></param>
/// <param name="size"></param>
/// <param name="minuteToExpire"></param>
/// <param name="timeInForce"></param>
/// <returns></returns>
public Task <BitFlyerResponse <BfChildOrderResponse> > SendChildOrderAsync(
BfProductCode productCode,
BfOrderType orderType,
BfTradeSide side,
decimal price,
decimal size,
int minuteToExpire,
BfTimeInForce timeInForce,
CancellationToken ct
)
{
var request = new BfChildOrderRequest
{
ProductCode = productCode,
ChildOrderType = orderType,
Side = side,
Price = price,
Size = size,
MinuteToExpire = minuteToExpire,
TimeInForce = timeInForce,
};
Validate(ref request);
return(SendChildOrderAsync(request, ct));
}
public IEnumerable <BfaChildOrder> GetChildOrders(BfProductCode productCode, DateTime after) => GetChildOrders(productCode, BfOrderState.Active, 0, e => e.ChildOrderDate >= after) .Concat(GetChildOrders(productCode, BfOrderState.Completed, 0, e => e.ChildOrderDate >= after)) .Concat(GetChildOrders(productCode, BfOrderState.Canceled, 0, e => e.ChildOrderDate >= after)) .Concat(GetChildOrders(productCode, BfOrderState.Expired, 0, e => e.ChildOrderDate >= after)) .Concat(GetChildOrders(productCode, BfOrderState.Rejected, 0, e => e.ChildOrderDate >= after)) .OrderByDescending(e => e.PagingId);
// Parent orders
public void Insert(BfProductCode productCode, BfParentOrderRequest req, BfParentOrderResponse resp)
{
ParentOrders.Add(new DbParentOrder(productCode, req, resp));
for (int childOrderIndex = 0; childOrderIndex < req.Parameters.Count; childOrderIndex++)
{
ChildOrders.Add(new DbChildOrder(req, resp, childOrderIndex));
}
}
public BfxMarket(BfxAccount account, BfProductCode productCode, BfxConfiguration config)
{
_account = account;
ProductCode = productCode;
Config = config ?? new BfxConfiguration();
_serverTimeSpan = TimeSpan.Zero;
_account.RealtimeSource.ConnectionResumed += ConnectionResumed;
}
public IObservable <IBfExecution> GetExecutionCachedSource(BfProductCode productCode, int before)
{
return(_sources.GetOrAdd(productCode, _ => { return new ConcurrentDictionary <int, ExecutionCachedSource>(); })
.GetOrAdd(before, __ =>
{
return new ExecutionCachedSource(_client, _cacheFactory.GetExecutionCache(productCode), productCode, before);
}));
}
public BfDbContextSqlServer(string connStr, BfProductCode productCode)
: base(new DbContextOptionsBuilder <BfDbContextSqlServer>().Options)
{
ConnStr = connStr;
ProductCode = productCode;
ChangeTracker.QueryTrackingBehavior = QueryTrackingBehavior.NoTracking;
Database.SetCommandTimeout(CommandTimeout);
}
static IDisposable SubscribeTickerSource(RealtimeSourceFactory factory, BfProductCode productCode)
{
var source = factory.GetTickerSource(productCode);
return(source.Subscribe(ticker =>
{
Console.WriteLine($"{ticker.Timestamp} P:{ticker.LastTradedPrice} A:{ticker.BestAsk} B:{ticker.BestBid}");
}));
}
public void InsertIfNotExits(BfProductCode productCode, BfaPrivateExecution exec)
{
var rec = GetExecutions().Where(e => e.ExecutionId == exec.ExecutionId).FirstOrDefault();
if (rec == default)
{
Executions.Add(new DbPrivateExecution(productCode, exec));
}
}
public static void Classinitialize(TestContext context)
{
_productCode = Enum.Parse <BfProductCode>(context.Properties["ProductCode"].ToString());
// ApiKey and ApiSecret are defined in PrivateTest.runsettings
// Should copy that file to any other directory such as desktop and fill them.
_key = context.Properties["ApiKey"].ToString();
_secret = context.Properties["ApiSecret"].ToString();
}
static IDisposable SubscribeExecutionSource(RealtimeSourceFactory factory, BfProductCode productCode)
{
var source = factory.GetExecutionSource(productCode);
return(source.Subscribe(exec =>
{
Console.WriteLine($"{exec.ExecutedTime} P:{exec.Price} A:{exec.Side} B:{exec.Size}");
}));
}
public static void Classinitialize(TestContext context)
{
_productCode = Enum.Parse <BfProductCode>(context.Properties["ProductCode"].ToString());
_key = context.Properties["ApiKey"].ToString();
_secret = context.Properties["ApiSecret"].ToString();
_client = new BitFlyerClient(_key, _secret);
_cacheDirectoryPath = context.Properties["CacheDirectoryPath"].ToString();
_connStr = "data source=" + Path.Combine(_cacheDirectoryPath, "TradingApiTests.db3");
//_connStr = "data source=" + Path.Combine(_cacheDirectoryPath, "account.db3");
}
public BfaParentOrder GetParentOrder(BfProductCode productCode, BfaParentOrderDetail detail)
{
var result = GetParentOrders(productCode, count: 1, before: detail.PagingId + 1).GetContent();
if (result.Length == 0)
{
throw new KeyNotFoundException();
}
return(result[0]);
}
// Message builders
public static BfParentOrderRequestParameter Market(BfProductCode productCode, BfTradeSide side, decimal size)
{
return(new ()
{
ProductCode = productCode,
ConditionType = BfOrderType.Market,
Side = side,
Size = size,
});
}
/// <summary>
/// Execution History
/// <see href="https://scrapbox.io/BitFlyerDotNet/GetExecutions">Online help</see>
/// </summary>
/// <param name="productCode"></param>
/// <param name="count"></param>
/// <param name="before"></param>
/// <param name="after"></param>
/// <returns></returns>
public Task <BitFlyerResponse <BfaExecution[]> > GetExecutionsAsync(BfProductCode productCode, long count, long before, long after, CancellationToken ct)
{
var query = string.Format("product_code={0}{1}{2}{3}",
productCode.ToEnumString(),
(count > 0) ? $"&count={count}" : "",
(before > 0) ? $"&before={before}" : "",
(after > 0) ? $"&after={after}" : ""
);
return(GetAsync <BfaExecution[]>(nameof(GetExecutions), query, ct));
}
public DbParentOrder(BfProductCode productCode, BfaParentOrderDetail order)
{
ProductCode = productCode;
PagingId = order.PagingId;
OrderId = order.ParentOrderId;
OrderType = order.OrderMethod;
ExpireDate = order.ExpireDate;
TimeInForce = order.TimeInForce;
AcceptanceId = order.ParentOrderAcceptanceId;
}
public DbParentOrder(BfProductCode productCode, BfParentOrderRequest req, BfParentOrderResponse resp)
{
ProductCode = productCode;
OrderType = req.OrderMethod;
TimeInForce = req.TimeInForce;
if (TimeInForce == BfTimeInForce.NotSpecified)
{
TimeInForce = BfTimeInForce.GTC;
}
AcceptanceId = resp.ParentOrderAcceptanceId;
}
public BitFlyerResponse <BfExecution[]> GetExecutions(BfProductCode productCode, int count = 0, int before = 0, int after = 0)
{
var query = string.Format("product_code={0}{1}{2}{3}",
productCode.ToEnumString(),
(count > 0) ? $"&count={count}" : "",
(before > 0) ? $"&before={before}" : "",
(after > 0) ? $"&after={after}" : ""
);
return(Get <BfExecution[]>(nameof(GetExecutions), query));
}
public DbChildOrder(BfProductCode productCode, BfaChildOrder order)
{
ProductCode = productCode;
Side = order.Side;
OrderType = order.ChildOrderType;
OrderSize = order.Size;
ChildOrderIndex = -1;
Update(order);
}
public BitFlyerResponse <BfaChildOrder[]> GetChildOrders(
BfProductCode productCode,
BfOrderState orderState = BfOrderState.Unknown,
int count = 0,
uint before = 0,
uint after = 0,
string childOrderId = null,
string childOrderAcceptanceId = null,
string parentOrderId = null
)
=> GetChildOrdersAsync(productCode, orderState, count, before, after, childOrderId, childOrderAcceptanceId, parentOrderId, CancellationToken.None).Result;
public BitFlyerResponse <BfParentOrder[]> GetParentOrders(BfProductCode productCode, BfOrderState orderState = BfOrderState.Unknown, int count = 0, int before = 0, int after = 0)
{
var query = string.Format("product_code={0}{1}{2}{3}",
productCode.ToEnumString(),
orderState != BfOrderState.Unknown ? "&parent_order_state=" + orderState.ToEnumString() : "",
(count > 0) ? $"&count={count}" : "",
(before > 0) ? $"&before={before}" : "",
(after > 0) ? $"&after={after}" : ""
);
return(PrivateGet <BfParentOrder[]>(nameof(GetParentOrders), query));
}
/// <summary>
/// List Parent Orders
/// <see href="https://scrapbox.io/BitFlyerDotNet/GetParentOrders">Online help</see>
/// </summary>
/// <param name="productCode"></param>
/// <param name="orderState"></param>
/// <param name="count"></param>
/// <param name="before"></param>
/// <param name="after"></param>
/// <returns></returns>
public Task <BitFlyerResponse <BfaParentOrder[]> > GetParentOrdersAsync(BfProductCode productCode, BfOrderState orderState, int count, uint before, uint after, CancellationToken ct)
{
var query = string.Format("product_code={0}{1}{2}{3}",
productCode.ToEnumString(),
orderState != BfOrderState.Unknown ? "&parent_order_state=" + orderState.ToEnumString() : "",
(count > 0) ? $"&count={count}" : "",
(before > 0) ? $"&before={before}" : "",
(after > 0) ? $"&after={after}" : ""
);
return(GetPrivateAsync <BfaParentOrder[]>(nameof(GetParentOrders), query, ct));
}
/// <summary>
/// Cancel parent order
/// <see href="https://scrapbox.io/BitFlyerDotNet/CancelParentOrder">Online help</see>
/// </summary>
/// <param name="productCode"></param>
/// <param name="parentOrderId"></param>
/// <param name="parentOrderAcceptanceId"></param>
/// <returns></returns>
public async Task <BitFlyerResponse <string> > CancelParentOrderAsync(BfProductCode productCode, string parentOrderId, string parentOrderAcceptanceId, CancellationToken ct)
{
var request = new BfCancelParentOrderRequest
{
ProductCode = productCode,
ParentOrderId = parentOrderId,
ParentOrderAcceptanceId = parentOrderAcceptanceId
};
Validate(ref request);
return(await PostPrivateAsync <string>(nameof(CancelParentOrder), request, ct));
}
