/// <summary>
/// Get a granularity in seconds
/// </summary>
/// <param name="granularity">The granularity</param>
/// <returns>How many seconds that granularity represents</returns>
public static int GetInSeconds(this CandlestickGranularity granularity)
{
return(granularity switch
{
CandlestickGranularity.S5 => 5,
CandlestickGranularity.S10 => 10,
CandlestickGranularity.S15 => 15,
CandlestickGranularity.S30 => 30,
CandlestickGranularity.M1 => 60,
CandlestickGranularity.M2 => (60 * 2),
CandlestickGranularity.M4 => (60 * 4),
CandlestickGranularity.M5 => (60 * 5),
CandlestickGranularity.M10 => (60 * 10),
CandlestickGranularity.M15 => (60 * 15),
CandlestickGranularity.M30 => (60 * 30),
CandlestickGranularity.H1 => (60 * 60),
CandlestickGranularity.H2 => (60 * 60 * 2),
CandlestickGranularity.H3 => (60 * 60 * 3),
CandlestickGranularity.H4 => (60 * 60 * 4),
CandlestickGranularity.H6 => (60 * 60 * 6),
CandlestickGranularity.H8 => (60 * 60 * 8),
CandlestickGranularity.H12 => (60 * 60 * 12),
CandlestickGranularity.D => (60 * 60 * 24),
CandlestickGranularity.W => (60 * 60 * 24 * 7),
CandlestickGranularity.M => (60 * 60 * 24 * 31),
_ => 5,
});
/// <summary>
/// Fetch candlestick data for an instrument.
/// </summary>
/// <param name="pairs">The instrument pair value</param>
/// <param name="queryNVC"></param>
/// <returns></returns>
public async Task <CandlestickResponse> GetInstrumentCandles(
InstrumentName instrument,
DateTime from,
DateTime to,
CandlestickGranularity granularity = null,
int count = 500,
WeeklyAlignment weeklyAlignment = null,
string price = "M",
bool smooth = false,
bool includeFirst = true,
int dailyAlignment = 17,
string alignmentTimezone = "America/New_York"
)
{
#region QueryNVC
NameValueCollection queryNVC = new NameValueCollection()
{
{ "count", count.ToString() },
{ "price", price },
{ "smooth", smooth.ToString() },
{ "includeFirst", includeFirst.ToString() },
{ "dailyAlignment", dailyAlignment.ToString() },
{ "alignmentTimeZone", alignmentTimezone }
};
if (from != null)
{
queryNVC.Add("from", from.ToUniversalTime().ToString());
}
if (to != null)
{
queryNVC.Add("to", to.ToUniversalTime().ToString());
}
if (granularity != null)
{
queryNVC.Add("granularity", granularity.ToString());
}
if (weeklyAlignment != null)
{
queryNVC.Add("weeklyAlignment", weeklyAlignment.ToString());
}
#endregion
string path = string.Format("instruments/{0}/candles", instrument);
string query = QueryFromNVC(queryNVC);
using (HttpResponseMessage response = await RequestAsync(EHostAPIType.REST, HttpMethod.Get, path, query))
{
if (response.StatusCode != HttpStatusCode.OK)
{
throw new HttpRequestException(JObject.Parse(await response.Content.ReadAsStringAsync())["errorMessage"].ToString());
}
using (Stream stream = await response.Content.ReadAsStreamAsync())
{
string jsonString = await new StreamReader(stream).ReadToEndAsync();
return(JsonConvert.DeserializeObject <CandlestickResponse>(jsonString, ErrorHandlingSetting));
}
}
}
/// <summary>
/// Is the timerange and granularity specifies more candles than Oanda can handle in one request?
/// </summary>
/// <param name="granularity">The granularity to check</param>
/// <param name="from">From date time</param>
/// <param name="to">To date time</param>
/// <returns></returns>
public static bool AreMultipleQueriesRequired(this CandlestickGranularity granularity, DateTime from, DateTime to)
{
// Always convert dates to UTC when working with Oanda
from = from.ToUniversalTime();
to = to.ToUniversalTime();
// Check the number of candles
return(granularity.GetNumberOfCandlesForTimeRange(from, to) > OANDA_MAX_CANDLES);
}
public CandlestickResponse(
string instrument,
CandlestickGranularity granularity,
ImmutableList <CandleStick> candles)
{
Instrument = instrument;
Granularity = granularity;
Candles = candles;
}
public async Task <CandlestickResponse> GetInstrumentCandles(
InstrumentName instrument,
DateTime from,
DateTime to,
CandlestickGranularity granularity = null,
int count = 500,
WeeklyAlignment weeklyAlignment = null
)
{
return(await GetInstrumentCandles(instrument, from, to, granularity, count, weeklyAlignment));
}
/// <summary>
/// Calculate number of candles in a time range
/// </summary>
/// <param name="granularity">Granularity of the candles</param>
/// <param name="from">The from date</param>
/// <param name="to">The to date</param>
/// <returns></returns>
public static double GetNumberOfCandlesForTimeRange(this CandlestickGranularity granularity, DateTime from, DateTime to)
{
// Always convert dates to UTC when working with Oanda
from = from.ToUniversalTime();
to = to.ToUniversalTime();
// Check not to enter endless loops
if (from > to)
{
throw new ArgumentException("The 'to' time cannot be before the 'to' time.");
}
// Return the number of candles
return((to - from).TotalSeconds / granularity.GetInSeconds());
}
/// <summary>
/// Get the last N candles for the instrument asynchronously
/// </summary>
/// <param name="granularity">Granularity of the candles</param>
/// <param name="n">How many candles to get</param>
/// <param name="pricingComponents">The pricing components to consider (bid, mid, ask)</param>
/// <returns>Enumerable collection of candles</returns>
public async Task <IEnumerable <Candlestick> > GetLastNCandlesAsync(CandlestickGranularity granularity, int n, IEnumerable <PricingComponent>?pricingComponents = null)
{
if (n > 5000)
{
throw new Exception("Maximum 5000 candles are allowed");
}
var candlesResponse = await _connection.InstrumentApi.GetInstrumentCandlesAsync(
instrument : _instrument,
granularity : granularity,
count : n,
price : ResolvePricingComponents(pricingComponents)
);
return(candlesResponse.Candles);
}
/// <summary>
/// Get the candles for the instrument for the timeperiod passed asynchronously
/// </summary>
/// <param name="granularity">Granularity of the candles</param>
/// <param name="from">The time the candles should start with</param>
/// <param name="to">The time the candles should end with</param>
/// <param name="pricingComponents">The pricing components to consider (bid, mid, ask)</param>
/// <returns>Enumerable collection of candles</returns>
public async Task <IEnumerable <Candlestick> > GetCandlesByTimeAsync(CandlestickGranularity granularity, DateTime from, DateTime to, IEnumerable <PricingComponent>?pricingComponents = null)
{
// Always convert dates to UTC when working with Oanda
from = from.ToUniversalTime();
to = to.ToUniversalTime();
if (granularity.AreMultipleQueriesRequired(from, to))
{
var candlesRange = granularity.ExplodeToMultipleCandleRanges(from, to);
var candleResponses = new List <CandlesResponse>();
foreach (var candleFromToRange in candlesRange)
{
candleResponses.Add(
await _connection.InstrumentApi.GetInstrumentCandlesAsync(
instrument: _instrument,
granularity: granularity,
price: ResolvePricingComponents(pricingComponents),
from: candleFromToRange.From.ToOandaDateTime(_connection.DateTimeFormat),
to: candleFromToRange.To.ToOandaDateTime(_connection.DateTimeFormat),
acceptDatetimeFormat: _connection.DateTimeFormat
)
);
}
return(candleResponses.SelectMany(cr => cr.Candles));
}
else
{
var candlesResponse = await _connection.InstrumentApi.GetInstrumentCandlesAsync(
instrument : _instrument,
granularity : granularity,
price : ResolvePricingComponents(pricingComponents),
from : from.ToOandaDateTime(_connection.DateTimeFormat),
to : to.ToOandaDateTime(_connection.DateTimeFormat),
acceptDatetimeFormat : _connection.DateTimeFormat
);
return(candlesResponse.Candles);
}
}
/// <summary>
/// Explode a datetime range to multiple to fit in to Oanda API limitation
/// </summary>
/// <param name="granularity"></param>
/// <param name="from"></param>
/// <param name="to"></param>
/// <returns></returns>
public static IEnumerable <DateTimeRange> ExplodeToMultipleCandleRanges(this CandlestickGranularity granularity, DateTime from, DateTime to)
{
// Always convert dates to UTC when working with Oanda
from = from.ToUniversalTime();
to = to.ToUniversalTime();
// Make the timerange calulation
var numberOfCandles = granularity.GetNumberOfCandlesForTimeRange(from, to);
var numberOfQueries = Math.Ceiling(numberOfCandles / OANDA_MAX_CANDLES);
var candleRanges = new List <DateTimeRange>();
for (var i = 0; i <= (numberOfQueries - 1); i++)
{
candleRanges.Add(new DateTimeRange()
{
From = from.AddSeconds(i * OANDA_MAX_CANDLES * granularity.GetInSeconds()),
To = (i == (numberOfQueries - 1)) ? to : from.AddSeconds(((i + 1) * OANDA_MAX_CANDLES * granularity.GetInSeconds()) - 1)
});
}
// Return the tim ranges created
return(candleRanges);
}
public Task <CandlesResponse> GetCandles(
CancellationToken cancellationToken,
string instrument,
DateTime from,
DateTime?to,
CandlestickGranularity granularity)
{
var apiUrl = $"{OandaUrls.Instruments}/{instrument}/candles";
var queryParams = new Dictionary <string, string>();
queryParams.Add("from", FormatDateTimeToQuery(from));
if (to.HasValue)
{
queryParams.Add("to", FormatDateTimeToQuery(to.Value));
}
queryParams.Add("granularity", granularity.ToString());
var queryString = string.Join("&", queryParams.Select(x => $"{x.Key}={x.Value}"));
return(ApiClient.MakeGetRequestAsync <CandlesResponse>($"{apiUrl}?{queryString}", cancellationToken));
}
