/// <summary>
/// Retrieve candles from a file containing transactions
/// </summary>
/// <param name="from"></param>
/// <param name="to"></param>
/// <param name="candleDurationInMinutes"></param>
/// <param name="pair"></param>
/// <param name="inputFile"></param>
/// <returns></returns>
public List<OHLC> GetCandlesFromCSVTransactions(DateTime from, DateTime? to, int candleDurationInMinutes, CurrencyPair pair, string inputFile = null)
{
if (string.IsNullOrEmpty(inputFile))
{
inputFile = GetTransactionsStoreFileName(pair);
}
if (!File.Exists(inputFile))
{
return new List<OHLC>();
}
var fromTimeStamp = BitstampAPI.UnixTimeHelper.GetFromDateTime(from);
var toTimeStamp = to != null ? BitstampAPI.UnixTimeHelper.GetFromDateTime(to.Value) : (uint?)null;
long? nextStamp = null;
int candleDurationInSeconds = candleDurationInMinutes * 60;
List<decimal> pricesForCurrentCandle = new List<decimal>();
List<OHLC> candles = new List<OHLC>();
using (var sr = new StreamReader(inputFile))
{
while (!sr.EndOfStream)
{
var line = sr.ReadLine();
var buf = line.Split(new[] { ',' });
long transTimeStamp = Convert.ToInt64(buf[0]);
if (transTimeStamp < fromTimeStamp)
{
continue;
}
decimal price = Convert.ToDecimal(buf[1], CultureInfo.InvariantCulture);
if (nextStamp == null)
{
nextStamp = transTimeStamp + candleDurationInSeconds;
}
if (transTimeStamp < nextStamp)
{
pricesForCurrentCandle.Add(price);
}
else//New candle
{
OHLC ohlc = new OHLC();
if (pricesForCurrentCandle.Count > 0)
{
ohlc = new OHLC
{
Open = pricesForCurrentCandle.First(),
High = pricesForCurrentCandle.Max(),
Low = pricesForCurrentCandle.Min(),
Close = pricesForCurrentCandle.Last(),
Date = BitstampAPI.UnixTimeHelper.ConvertToDateTime((uint)nextStamp)
};
}
else//No prices for this candle... use previous candle's close value
{
var prev = candles.Last();
ohlc = new OHLC
{
Open = prev.Close,
High = prev.Close,
Low = prev.Close,
Close = prev.Close,
Date = BitstampAPI.UnixTimeHelper.ConvertToDateTime((uint)nextStamp)
};
}
candles.Add(ohlc);
nextStamp = nextStamp + candleDurationInSeconds;
pricesForCurrentCandle.Clear();
if (toTimeStamp != null && nextStamp > toTimeStamp.Value)
{
break;
}
}
}
}//using
return candles;
}
public Advice GetAdvice(IList<OHLC> candles)
{
var shortMA = Analysis.MovingAverages.CalculateEMA(candles, _shortEMAPeriod);
var longMA = Analysis.MovingAverages.CalculateEMA(candles, _longEMAPeriod);
if (shortMA == null || longMA == null)
{
return Advice.None;
}
int firstIndex = _longEMAPeriod - 1;
if (candles.Count < _longEMAPeriod + _signalPeriod - 1)
{
return Advice.None;
}
int i = candles.Count - 1;
var emaDiff = new OHLC[i - firstIndex + 1];
for (int k = firstIndex; k <= i; k++)
{
emaDiff[k - firstIndex] = new OHLC
{
Close = (decimal)shortMA.Output[k - shortMA.Begin] - (decimal)longMA.Output[k - longMA.Begin]
};
}
var signal = Analysis.MovingAverages.CalculateEMA(emaDiff, _signalPeriod);
if (signal == null)
{
return Advice.None;
}
var macdDiff = shortMA.Output[i - shortMA.Begin] - longMA.Output[i - longMA.Begin] - signal.Output[i - firstIndex - signal.Begin];
if (macdDiff > 0.025/* settings.thresholds.up*/)
{
// new trend detected
if (this._trend.Direction != TrendDirection.Up)
// reset the state for the new trend
this._trend = new Trend
{
Duration = 0,
Persisted = false,
Direction = TrendDirection.Up,
Adviced = false
};
this._trend.Duration++;
//log.debug('In uptrend since', this.trend.duration, 'candle(s)');
if (this._trend.Duration >= 1/*settings.thresholds.persistence*/)
this._trend.Persisted = true;
if (this._trend.Persisted && !this._trend.Adviced)
{
this._trend.Adviced = true;
return Advice.Buy;
}
else return Advice.None;
}
else if (macdDiff < -0.025/* settings.thresholds.down*/)
{
// new trend detected
if (this._trend.Direction != TrendDirection.Down)
// reset the state for the new trend
this._trend = new Trend
{
Duration = 0,
Persisted = false,
Direction = TrendDirection.Down,
Adviced = false
};
this._trend.Duration++;
//log.debug('In downtrend since', this.trend.duration, 'candle(s)');
if (this._trend.Duration >= 1/*settings.thresholds.persistence*/)
{
this._trend.Persisted = true;
}
if (this._trend.Persisted && !this._trend.Adviced)
{
this._trend.Adviced = true;
return Advice.Sell;
}
else
return Advice.None;
}
else
{
return Advice.None;
}
}