/// <summary>
/// Analyze the list of market data, and return a number between -1 and 1 indicating favorability of the market
/// </summary>
/// <param name="marketBuffer"></param>
/// <returns>-1 to recommend a buy, 0 for no recommendation, and 1 to recomment a sell.</returns>
public float GetRecommendation(MarketUpdate currentValue, IEnumerable <MarketUpdate> marketBuffer)
{
var previousSmall = this.averageSmall.MovingAverage;
var previousLarge = this.averageLarge.MovingAverage;
var preDiff = previousSmall < previousLarge;
this.averageSmall.CalculateMovingAverage(currentValue.Close);
this.averageLarge.CalculateMovingAverage(currentValue.Close);
var postDiff = this.averageSmall.MovingAverage < this.averageLarge.MovingAverage;
if (preDiff && !postDiff)
{
// Buy! golden cross
return(-1);
}
if (!preDiff && postDiff)
{
// Sell! death cross
return(1);
}
//TODO: try to figure out probability of cross based on slope
return(0);
}
/// <summary>
/// This method gets called whenever new market data is pulled. Used to make buy/sell decisions
/// This is where we can aggregate some amount of the market data to do things like rolling averages
/// </summary>
/// <param name="value">The new market data</param>
public void OnNext(MarketUpdate value)
{
//Control size of the buffer
updates.AddFirst(value);
while ((value.Time - updates.Last.Value.Time) > maxDataSpan)
{
updates.RemoveLast();
}
var recommendations = indicators.Select(indicator => indicator.GetRecommendation(value, updates)).ToList();
//var message = String.Join('\t', recommendations.Zip(indicators, (rec, ind) => ind.PrintRecommendation(rec)));
//Console.Out.WriteLineAsync(message);
var recommendation = recommendations.Average();
if (recommendation <= -0.4)
{
// The closer to -1 it is, the higher percentage we should buy
var recommendationStrength = ((-recommendation - 0.4) / 0.6) * confidenceModifier;
Buy(this, new BuyRecommendation {
BuyAmount = this.Position.USD * recommendationStrength / value.High
});
}
else if (recommendation >= 0.4)
{
// The closer to 1 it is, the higher percentage we should sell
var recommendationStrength = ((recommendation - 0.4) / 0.6) * confidenceModifier;
Sell(this, new SellRecommendation {
SellAmount = this.Position.BTC * recommendationStrength
});
}
}
public Generator(Market market)
{
Market = market;
_random = new Random();
_marketUpdate = new MarketUpdate();
digits = CalculateDigitsOnTickSize(Market.TickSize);
_marketUpdate.MarketId = Market.MarketId;
}
public ActionResult <MarketUpdateDto> GetLastUpdateMarketById([FromRoute] long marketId)
{
MarketUpdate marketUpdate = new MarketUpdate();
_generatorService.LastMarketUpdates.TryGetValue(marketId, out marketUpdate);
return(Ok(_mapper.Map <MarketUpdateDto>(marketUpdate)));
}
protected override async Task PollSource()
{
foreach (var data in fileData)
{
await Task.Yield();
var update = new MarketUpdate(data.Open, data.Close, data.High, data.Low, UnixTimeToDateTime(data.Timestamp));
this.NotifyObservers(update);
}
}
protected override async Task PollSource()
{
while (true)
{
await Task.Delay(5000);
var update = new MarketUpdate(5, 9, 10, 4, DateTime.UtcNow);
this.NotifyObservers(update);
}
}
/// <summary>
/// A utility method used to push updated information to the observers
/// </summary>
/// <param name="update">The updated data snippit</param>
protected void NotifyObservers(MarketUpdate update)
{
try
{
if (_observers != null)
{
_observers.ForEach((observer) => observer.OnNext(update));
}
} catch (Exception e)
{
;
}
}
private async void btnAddStock_ClickAsync(object sender, EventArgs e)
{
string ticker = txtMarketQuote.Text;
try
{
YahooFinanceApi.Security sensex = await MarketUpdate.StockUpdate(ticker);
sqFileOperations.AddInFile(sensex.Symbol.ToString(), sensex.ShortName.ToString());
// ConfigurationManager.AppSettings.Add(sensex.Symbol.ToString(), sensex.ShortName.ToString());
}
catch (Exception ex) { MessageBox.Show("Quote not found"); }
ListViewPopulate();
}
/// <summary>
/// updates the current position based on the new market price
/// </summary>
/// <param name="update"></param>
/// <returns></returns>
private MarketUpdate UpdateModel(MarketUpdate update)
{
this.position.orders = position.orders.Where(order =>
{
switch (order.OrderType)
{
case OrderType.MarketBuy:
position.USD -= order.OrderQty * update.Open;
position.BTC += order.OrderQty;
Console.Out.WriteLineAsync($"{this.position}\t{this.position.BTC * update.Open + this.position.USD:C2}\tBought\t{order.OrderQty:F5} at {update.Open:F5}");
return(false);
case OrderType.MarketSell:
position.USD += order.OrderQty * update.Open;
position.BTC -= order.OrderQty;
Console.Out.WriteLineAsync($"{this.position}\t{this.position.BTC * update.Open + this.position.USD:C2}\tSold\t{order.OrderQty:F5} at {update.Open:F5}");
return(false);
case OrderType.LimitBuy:
if (DoesOrderExecute(order, update))
{
position.USD -= order.OrderQty * order.Price.Value;
position.BTC += order.OrderQty;
return(false);
}
break;
case OrderType.LimitSell:
if (DoesOrderExecute(order, update))
{
position.USD += order.OrderQty * order.Price.Value;
position.BTC -= order.OrderQty;
return(false);
}
break;
}
return(true);
}).ToList();
return(update);
}
/// <summary>
/// Analyze the list of market data, and return a number between -1 and 1 indicating favorability of the market
/// </summary>
/// <param name="marketBuffer"></param>
/// <returns>-1 to recommend a buy, 0 for no recommendation, and 1 to recomment a sell.</returns>
public float GetRecommendation(MarketUpdate currentValue, IEnumerable <MarketUpdate> marketBuffer)
{
var lastRsi = RSICalculator.RSI;
if (lastRsi == double.NaN || !RSICalculator.CalculateNextRSI(currentValue.Close))
{
return(0);
}
if (lastRsi < 30 && RSICalculator.RSI >= 30)
{
return(-1);
}
if (lastRsi > 70 && RSICalculator.RSI <= 70)
{
return(1);
}
return(0);
}
/// <summary>
/// This method gets called whenever new market data is pulled. Used to make buy/sell decisions
/// This is where we can aggregate some amount of the market data to do things like rolling averages
/// </summary>
/// <param name="value">The new market data</param>
public void OnNext(MarketUpdate value)
{
updates.AddFirst(value);
if (updates.Count > maxDataLength)
{
updates.RemoveLast();
}
var average = updates.Average(update => update.Open);
if (value.High < average)
{
Buy(this, new BuyRecommendation {
BuyAmount = this.Position.USD * 0.1 / value.High
});
}
if (value.Low > average)
{
Sell(this, new SellRecommendation {
SellAmount = this.Position.BTC * 0.1
});
}
}
private async System.Threading.Tasks.Task StockUpdateLatest(string ticker)
{
try
{
if (ticker.Contains("~"))
{
ticker = ticker.Split('~')[0];
}
else
{
ticker = ticker.Trim();
}
YahooFinanceApi.Security sensex = await MarketUpdate.StockUpdate(ticker);
lblRegularMarketPriceUpdate.Text = $"{Math.Round(sensex.RegularMarketPrice, 2)}";
lblRatesUpdateDifference.Text = $"{Math.Round(sensex.RegularMarketChange, 2)} ({Math.Round(sensex.RegularMarketChangePercent, 2)}%)";
if (sensex.RegularMarketChange > 0)
{
lblRatesUpdateDifference.ForeColor = Color.LightGreen;
lblRatesUpdateDifference.Text = $"+{lblRatesUpdateDifference.Text}";
}
else if (sensex.RegularMarketChange < 0)
{
lblRatesUpdateDifference.ForeColor = Color.Pink;
}
else
{
lblRatesUpdateDifference.ForeColor = Color.White;
}
long dateNumber = sensex.RegularMarketTime;
long beginTicks = new DateTime(1970, 1, 1, 0, 0, 0, DateTimeKind.Utc).Ticks;
DateTime dt = new DateTime(beginTicks + dateNumber * 10000000, DateTimeKind.Utc);
lblRatesUpdateDate.Text = dt.ToShortDateString();
lblMarketName.Text = sensex.ShortName.ToString();
lsbMarketDetails.Items.Clear();
lsbMarketDetails.Items.Add($"RegularMarketChange: {sensex.RegularMarketChange.ToString()}");
lsbMarketDetails.Items.Add($"RegularMarketChangePercent: {sensex.RegularMarketChangePercent.ToString()}");
lsbMarketDetails.Items.Add($"RegularMarketDayHigh: {sensex.RegularMarketDayHigh.ToString()}");
lsbMarketDetails.Items.Add($"RegularMarketDayLow: {sensex.RegularMarketDayLow.ToString()}");
lsbMarketDetails.Items.Add($"RegularMarketOpen: {sensex.RegularMarketOpen.ToString()}");
lsbMarketDetails.Items.Add($"RegularMarketPreviousClose: {sensex.RegularMarketPreviousClose.ToString()}");
lsbMarketDetails.Items.Add($"RegularMarketPrice: {sensex.RegularMarketPrice.ToString()}");
lsbMarketDetails.Items.Add($"RegularMarketTime:{dt.ToLocalTime().ToString()}");
//lsbMarketDetails.Items.Add($"RegularMarketVolume: {sensex.RegularMarketVolume.ToString()}");
lsbMarketDetails.Items.Add($"ShortName: {sensex.ShortName.ToString()}");
lsbMarketDetails.Items.Add($"ExchangeTimezoneName: {sensex.ExchangeTimezoneName.ToString()}");
lsbMarketDetails.Items.Add($"ExchangeTimezoneShortName: {sensex.ExchangeTimezoneShortName.ToString()}");
lsbMarketDetails.Items.Add($"SourceInterval: {sensex.SourceInterval.ToString()}");
lsbMarketDetails.Items.Add($"Symbol: {sensex.Symbol.ToString()}");
//lsbMarketDetails.Items.Add($"SharesOutstanding: {sensex.SharesOutstanding.ToString()}");
//lsbMarketDetails.Items.Add($"Ask: {sensex.Ask.ToString()}");
//lsbMarketDetails.Items.Add($"AskSize: {sensex.AskSize.ToString()}");
//lsbMarketDetails.Items.Add($"AverageDailyVolume10Day: {sensex.AverageDailyVolume10Day.ToString()}");
//lsbMarketDetails.Items.Add($"AverageDailyVolume3Month: {sensex.AverageDailyVolume3Month.ToString()}");
//lsbMarketDetails.Items.Add($"Bid: {sensex.Bid.ToString()}");
//lsbMarketDetails.Items.Add($"BidSize: {sensex.BidSize.ToString()}");
//lsbMarketDetails.Items.Add($"BookValue: {sensex.BookValue.ToString()}");
//lsbMarketDetails.Items.Add($"Currency: {sensex.Currency.ToString()}");
//lsbMarketDetails.Items.Add($"DividendDate: {sensex.DividendDate.ToString()}");
//lsbMarketDetails.Items.Add($"EarningsTimestamp: {sensex.EarningsTimestamp.ToString()}");
//lsbMarketDetails.Items.Add($"EarningsTimestampEnd: {sensex.EarningsTimestampEnd.ToString()}");
//lsbMarketDetails.Items.Add($"EarningsTimestampStart: {sensex.EarningsTimestampStart.ToString()}");
//lsbMarketDetails.Items.Add($"EpsForward: {sensex.EpsForward.ToString()}");
//lsbMarketDetails.Items.Add($"EpsTrailingTwelveMonths: {sensex.EpsTrailingTwelveMonths.ToString()}");
//lsbMarketDetails.Items.Add($"Exchange: {sensex.Exchange.ToString()}");
// lsbMarketDetails.Items.Add($"ExchangeDataDelayedBy: {sensex.ExchangeDataDelayedBy.ToString()}");
//lsbMarketDetails.Items.Add($"FiftyDayAverage: {sensex.FiftyDayAverage.ToString()}");
//lsbMarketDetails.Items.Add($"FiftyDayAverageChange: {sensex.FiftyDayAverageChange.ToString()}");
//lsbMarketDetails.Items.Add($"FiftyDayAverageChangePercent: {sensex.FiftyDayAverageChangePercent.ToString()}");
//lsbMarketDetails.Items.Add($"FiftyTwoWeekHigh: {sensex.FiftyTwoWeekHigh.ToString()}");
//lsbMarketDetails.Items.Add($"FiftyTwoWeekHighChange: {sensex.FiftyTwoWeekHighChange.ToString()}");
//lsbMarketDetails.Items.Add($"FiftyTwoWeekHighChangePercent: {sensex.FiftyTwoWeekHighChangePercent.ToString()}");
//lsbMarketDetails.Items.Add($"FiftyTwoWeekLow: {sensex.FiftyTwoWeekLow.ToString()}");
//lsbMarketDetails.Items.Add($"FiftyTwoWeekLowChange: {sensex.FiftyTwoWeekLowChange.ToString()}");
//lsbMarketDetails.Items.Add($"FiftyTwoWeekLowChangePercent: {sensex.FiftyTwoWeekLowChangePercent.ToString()}");
//lsbMarketDetails.Items.Add($"FinancialCurrency: {sensex.FinancialCurrency.ToString()}");
//lsbMarketDetails.Items.Add($"ForwardPE: {sensex.ForwardPE.ToString()}");
//lsbMarketDetails.Items.Add($"FullExchangeName: {sensex.FullExchangeName.ToString()}");
//lsbMarketDetails.Items.Add($"GmtOffSetMilliseconds: {sensex.GmtOffSetMilliseconds.ToString()}");
//lsbMarketDetails.Items.Add($"Language: {sensex.Language.ToString()}");
//lsbMarketDetails.Items.Add($"LongName: {sensex.LongName.ToString()}");
//lsbMarketDetails.Items.Add($"Market: {sensex.Market.ToString()}");
//lsbMarketDetails.Items.Add($"MarketCap: {sensex.MarketCap.ToString()}");
//lsbMarketDetails.Items.Add($"MarketState: {sensex.MarketState.ToString()}");
//lsbMarketDetails.Items.Add($"MessageBoardId: {sensex.MessageBoardId.ToString()}");
//lsbMarketDetails.Items.Add($"PriceHint: {sensex.PriceHint.ToString()}");
//lsbMarketDetails.Items.Add($"PriceToBook: {sensex.PriceToBook.ToString()}");
//lsbMarketDetails.Items.Add($"QuoteSourceName: {sensex.QuoteSourceName.ToString()}");
//lsbMarketDetails.Items.Add($"QuoteType: {sensex.QuoteType.ToString()}");
//lsbMarketDetails.Items.Add($"Tradeable: {sensex.Tradeable.ToString()}");
//lsbMarketDetails.Items.Add($"TrailingAnnualDividendRate: {sensex.TrailingAnnualDividendRate.ToString()}");
//lsbMarketDetails.Items.Add($"TrailingAnnualDividendYield: {sensex.TrailingAnnualDividendYield.ToString()}");
//lsbMarketDetails.Items.Add($"TrailingPE: {sensex.TrailingPE.ToString()}");
//lsbMarketDetails.Items.Add($"TwoHundredDayAverage: {sensex.TwoHundredDayAverage.ToString()}");
//lsbMarketDetails.Items.Add($"TwoHundredDayAverageChange: {sensex.TwoHundredDayAverageChange.ToString()}");
//lsbMarketDetails.Items.Add($"TwoHundredDayAverageChangePercent: {sensex.TwoHundredDayAverageChangePercent.ToString()}");
}
catch (Exception ex) { MessageBox.Show(ex.StackTrace); }
}
private bool DoesOrderExecute(Order o, MarketUpdate u)
{
return(o.Price.HasValue &&
o.Price.Value >= u.Low &&
o.Price.Value <= u.High);
}
