public ResizeableArray <TradeInfoItem> DownloadTradeHistory(TickerInputInfo info, DateTime time)
{
CachedTradeHistory savedData = new CachedTradeHistory()
{
Exchange = info.Exchange, TickerName = info.TickerName, StartDate = info.StartDate, EndDate = info.EndDate, BaseCurrency = info.Ticker.BaseCurrency, MarketCurrency = info.Ticker.MarketCurrency
};
CachedTradeHistory cachedData = CachedTradeHistory.FromFile(CachedTradeHistory.Directory + "\\" + ((ISupportSerialization)savedData).FileName);
info.CheckUpdateTime();
if (cachedData != null)
{
if (info.StartDate != DateTime.MinValue && info.StartDate == cachedData.Items[0].Time.Date && info.EndDate.AddDays(-1) <= cachedData.Items.Last().Time.Date)
{
return(cachedData.Items);
}
}
DateTime start = info.StartDate.Date;
int intervalInSeconds = info.KlineIntervalMin * 60;
DateTime origin = start;
DateTime end = info.EndDate.Date;
ResizeableArray <TradeInfoItem> res = new ResizeableArray <TradeInfoItem>();
List <ResizeableArray <TradeInfoItem> > tmpList = new List <ResizeableArray <TradeInfoItem> >();
DownloadProgress = 0.0;
DownloadText = "Donwloading Trade History Data for " + info.Exchange + ":" + info.TickerName;
while (end > start)
{
ResizeableArray <TradeInfoItem> data = info.Ticker.Exchange.GetTrades(info.Ticker, start, end);
if (data == null || data.Count == 0)
{
break;
}
tmpList.Add(data);
DownloadProgress = 100 - (100 * (data.Last().Time - origin).TotalMinutes / (DateTime.UtcNow - origin).TotalMinutes);
var args = RaiseDownloadProgressChanged();
if (args.Cancel)
{
return(null);
}
Thread.Sleep(300);
end = data.Last().Time.AddMilliseconds(-1);
}
for (int i = tmpList.Count - 1; i >= 0; i--)
{
res.AddRangeReversed(tmpList[i]);
}
cachedData = savedData;
cachedData.Items = res;
cachedData.Save();
for (int i = 0; i < res.Count - 1; i++)
{
if (res[i].Time > res[i + 1].Time)
{
throw new Exception("TradeHistory Timing Error!");
}
}
return(res);
}
public override StrategyInputInfo CreateInputInfo()
{
StrategyInputInfo s = new StrategyInputInfo();
TickerInputInfo t = CreateTickerInputInfo();
t.Ticker = Ticker;
s.Tickers.Add(t);
return(s);
}
protected OrderBook DownloadOrderBook(TickerInputInfo ti)
{
int orderBookDepth = ti.OrderBookDepth == 0 ? OrderBook.Depth : ti.OrderBookDepth;
if (!ti.Ticker.UpdateOrderBook(orderBookDepth))
{
return(null);
}
OrderBook ob = new OrderBook(null);
ob.Assign(ti.Ticker.OrderBook);
return(ob);
}
public void Assign(StrategyInputInfo info)
{
Exchanges.Clear();
Tickers.Clear();
foreach (ExchangeInputInfo e in info.Exchanges)
{
Exchanges.Add((ExchangeInputInfo)e.Clone());
}
for (int i = 0; i < info.Tickers.Count; i++)
{
TickerInputInfo t = info.Tickers[i];
Tickers.Add((TickerInputInfo)t.Clone());
}
}
bool IStrategyDataProvider.Connect(StrategyInputInfo info)
{
StartTime = DateTime.MinValue;
EndTime = DateTime.MaxValue;
if (info.Strategy is ISimulationDataProvider)
{
((ISimulationDataProvider)info.Strategy).Connect();
StrategySimulationData data = GetSimulationData(info.Strategy);
if (data != null)
{
data.Connected = true;
StartTime = MaxTime(StartTime, data.GetStartTime());
EndTime = MinTime(EndTime, data.GetEndTime());
}
return(true);
}
for (int i = 0; i < info.Tickers.Count; i++)
{
TickerInputInfo ti = info.Tickers[i];
if (ti.Ticker.CandleStickData != null)
{
ti.Ticker.CandleStickData.Clear();
}
if (ti.Ticker.TradeHistory != null)
{
ti.Ticker.TradeHistory.Clear();
}
ti.Ticker.Exchange.EnterSimulationMode();
ti.Ticker.Exchange.StartListenTickerStream(ti.Ticker);
//ti.Ticker.Exchange.StartListenOrderBook(ti.Ticker);
//ti.Ticker.Exchange.StartListenTradeHistory(ti.Ticker);
//ti.Ticker.Exchange.StartListenTickerStream(ti.Ticker);
StrategySimulationData data = GetSimulationData(ti.Ticker);
if (data == null)
{
return(false);
}
data.Connected = true;
StartTime = MaxTime(StartTime, data.GetStartTime());
EndTime = MinTime(EndTime, data.GetEndTime());
}
LastTime = StartTime;
return(true);
}
bool IStrategyDataProvider.Disconnect(StrategyInputInfo info)
{
if (info == null)
{
return(true);
}
bool res = true;
for (int i = 0; i < info.Tickers.Count; i++)
{
TickerInputInfo ti = info.Tickers[i];
Exchange e = ((IStrategyDataProvider)this).GetExchange(ti.Exchange);
ti.Ticker = e.GetTicker(ti.TickerName);
res &= e.Disconnect(ti);
}
return(res);
}
bool IStrategyDataProvider.Connect(StrategyInputInfo info)
{
bool res = true;
for (int i = 0; i < info.Tickers.Count; i++)
{
TickerInputInfo ti = info.Tickers[i];
Exchange e = ((IStrategyDataProvider)this).GetExchange(ti.Exchange);
if (!e.Connect())
{
return(false);
}
ti.Ticker = e.GetTicker(ti.TickerName);
res &= e.Connect(ti);
}
return(res);
}
bool IStrategyDataProvider.Disconnect(StrategyInputInfo info)
{
if (info.Strategy is ISimulationDataProvider)
{
((ISimulationDataProvider)info.Strategy).Disconnect();
StrategySimulationData data = GetSimulationData(info.Strategy);
if (data != null)
{
data.Connected = false;
}
return(true);
}
for (int i = 0; i < info.Tickers.Count; i++)
{
TickerInputInfo ti = info.Tickers[i];
ti.Ticker.Exchange.ExitSimulationMode();
StrategySimulationData data = GetSimulationData(ti.Ticker);
if (data != null)
{
data.Connected = false;
}
}
return(true);
}
public virtual ResizeableArray <CandleStickData> DownloadCandleStickData(TickerInputInfo info)
{
CachedCandleStickData savedData = new CachedCandleStickData()
{
Exchange = info.Exchange, TickerName = info.TickerName, IntervalMin = info.KlineIntervalMin, StartDate = info.StartDate, EndDate = info.EndDate, BaseCurrency = info.Ticker.BaseCurrency, MarketCurrency = info.Ticker.MarketCurrency
};
CachedCandleStickData cachedData = CachedCandleStickData.FromFile(CachedCandleStickData.Directory + "\\" + ((ISupportSerialization)savedData).FileName);
info.CheckUpdateTime();
if (cachedData != null)
{
if (info.StartDate != DateTime.MinValue && info.StartDate == cachedData.Items[0].Time.Date && info.EndDate == cachedData.Items.Last().Time.Date)
{
return(cachedData.Items);
}
}
DateTime start = info.StartDate;
int intervalInSeconds = info.KlineIntervalMin * 60;
ResizeableArray <CandleStickData> res = new ResizeableArray <CandleStickData>();
int deltaCount = 500;
long minCount = (long)(SettingsStore.Default.SimulationSettings.KLineHistoryIntervalDays) * 24 * 60;
long candleStickCount = minCount / info.KlineIntervalMin;
long pageCount = candleStickCount / deltaCount;
int pageIndex = 0;
DownloadProgress = 0.0;
DownloadText = "Donwloading CandleStick Data for " + info.Exchange + ":" + info.TickerName;
if (!info.Ticker.Exchange.SupportCandleSticksRange)
{
ResizeableArray <CandleStickData> data = info.Ticker.GetCandleStickData(info.KlineIntervalMin, start, intervalInSeconds * deltaCount);
if (data == null)
{
return(null);
}
DownloadProgress = 100;
var args = RaiseDownloadProgressChanged();
if (args.Cancel)
{
return(null);
}
cachedData = savedData;
cachedData.Items = data;
cachedData.Save();
return(data);
}
while (start.Date < info.EndDate.Date)
{
ResizeableArray <CandleStickData> data = info.Ticker.GetCandleStickData(info.KlineIntervalMin, start, intervalInSeconds * deltaCount);
if (data == null || data.Count == 0)
{
start = start.AddSeconds(intervalInSeconds * deltaCount);
continue;
}
res.AddRange(data);
pageIndex++;
DownloadProgress = pageIndex * 100 / pageCount;
RaiseDownloadProgressChanged();
Thread.Sleep(300);
start = start.AddSeconds(intervalInSeconds * deltaCount);
}
cachedData = savedData;
cachedData.Items = res;
cachedData.Save();
return(res);
}
protected bool LoadDataForTickers(StrategyBase s)
{
StrategyInputInfo info = s.CreateInputInfo();
for (int i = 0; i < info.Tickers.Count; i++)
{
TickerInputInfo ti = info.Tickers[i];
Exchange e = ((IStrategyDataProvider)this).GetExchange(ti.Exchange);
if (e == null)
{
return(false);
}
ti.Ticker = e.GetTicker(ti.TickerName);
if (ti.Ticker == null)
{
return(false);
}
StrategySimulationData data = null;
SimulationData.TryGetValue(ti.Ticker, out data);
if (data == null)
{
data = new StrategySimulationData()
{
Ticker = ti.Ticker, Exchange = e, Strategy = s, TickerInfo = ti
}
}
;
if (!string.IsNullOrEmpty(ti.TickerSimulationDataFile))
{
data.UseTickerSimulationDataFile = true;
if (!ti.Ticker.CaptureDataHistory.Load(ti.TickerSimulationDataFile))
{
return(false);
}
data.CaptureDataHistory = ti.Ticker.CaptureDataHistory;
}
else
{
if (ti.UseKline)
{
if (data.CandleStickData == null)
{
data.CandleStickData = DownloadCandleStickData(ti);
}
data.CopyCandleSticksFromLoaded();
if (data.CandleStickData.Count == 0)
{
return(false);
}
}
data.OrderBook = DownloadOrderBook(ti);
if (data.OrderBook == null)
{
return(false);
}
}
if (!SimulationData.ContainsKey(ti.Ticker))
{
SimulationData.Add(ti.Ticker, data);
}
}
return(true);
}
public virtual ResizeableArray <TradeInfoItem> DownloadTrades(TickerInputInfo info)
{
ResizeableArray <TradeInfoItem> trades = DownloadTradeHistory(info, info.StartDate);
return(trades);
}
public ResizeableArray <TradeInfoItem> DownloadTradeHistory(TickerInputInfo info, DateTime time)
{
info.CheckUpdateTime();
CachedTradeHistory savedData = new CachedTradeHistory()
{
Exchange = info.Exchange, TickerName = info.TickerName, StartDate = info.StartDate, EndDate = info.EndDate, BaseCurrency = info.Ticker.BaseCurrency, MarketCurrency = info.Ticker.MarketCurrency
};
CachedTradeHistory cachedData = CachedTradeHistory.FromFile(CachedTradeHistory.Directory + "\\" + ((ISupportSerialization)savedData).FileName);
if (cachedData != null && cachedData.Items.Count > 0)
{
if (info.StartDate != DateTime.MinValue && info.StartDate == cachedData.Items[0].Time.Date && info.EndDate.AddDays(-1) <= cachedData.Items.Last().Time.Date)
{
LogManager.Default.Add(LogType.Log, this, "" + info.Exchange + ":" + info.TickerName, "load cached trade history", cachedData.StartDate + "-" + cachedData.EndDate + ": " + cachedData.Items.Count + " items");
return(cachedData.Items);
}
}
DateTime start = info.StartDate.Date;
int intervalInSeconds = info.KlineIntervalMin * 60;
DateTime origin = start;
DateTime end = info.EndDate.Date.AddHours(12);
if (end > DateTime.Now)
{
end = DateTime.Now.AddHours(-1);
}
ResizeableArray <TradeInfoItem> res = new ResizeableArray <TradeInfoItem>();
DownloadProgress = 0.0;
DownloadText = "Donwloading Trade History Data for " + info.Exchange + ":" + info.TickerName;
while (start < end)
{
DateTime localEnd = start.AddDays(1);
if (localEnd > end)
{
localEnd = end;
}
ResizeableArray <TradeInfoItem> data = info.Ticker.Exchange.GetTrades(info.Ticker, start, localEnd);
if (data == null || data.Count == 0)
{
LogManager.Default.Add(LogType.Error, this, info.TickerName, "cannot download trade history", start + "-" + localEnd);
start = start.AddDays(1);
continue;
}
localEnd = data.Last().Time;
DownloadProgress = (data.Last().Time - origin).TotalMinutes / (DateTime.UtcNow - origin).TotalMinutes * 100;
var args = RaiseDownloadProgressChanged();
if (args != null && args.Cancel)
{
return(null);
}
//Thread.Sleep(300);
LogManager.Default.Add(LogType.Success, this, info.TickerName, "trade history downloaded", start + "-" + localEnd);
if (res.Last() != null && res.Last().Time == data[0].Time)
{
DownloadProgress = 100;
break;
}
start = data.Last().Time.AddSeconds(+1);
res.AddRange(data);
}
RaiseDownloadProgressChanged();
for (int i = 0; i < res.Count - 1; i++)
{
if (res[i].Time > res[i + 1].Time)
{
LogManager.Default.Add(LogType.Success, this, info.TickerName, "trade history timing error", start + "-" + end);
throw new Exception("TradeHistory Timing Error!");
}
}
cachedData = savedData;
cachedData.Items = res;
if (savedData.Items.Count > 0)
{
savedData.StartDate = savedData.Items[0].Time;
savedData.EndDate = savedData.Items.Last().Time;
}
cachedData.Save();
return(res);
}
protected virtual ResizeableArray <CandleStickData> DownloadCandleStickData(TickerInputInfo info)
{
CachedCandleStickData savedData = new CachedCandleStickData()
{
Exchange = info.Exchange, TickerName = info.TickerName, IntervalMin = info.KlineIntervalMin
};
CachedCandleStickData cachedData = CachedCandleStickData.FromFile(CachedCandleStickData.Directory + "\\" + ((ISupportSerialization)savedData).FileName);
if (cachedData != null)
{
// outdated
if (SettingsStore.Default.SimulationSettings.StartTime.Date == cachedData.Items[0].Time.Date)
{
return(cachedData.Items);
}
}
DateTime start = DateTime.UtcNow.Date;
int intervalInSeconds = info.KlineIntervalMin * 60;
//int candleStickCount = 10000;
start = start.AddDays(-SettingsStore.Default.SimulationSettings.KLineHistoryIntervalDays);// .AddSeconds(-intervalInSeconds * candleStickCount);
ResizeableArray <CandleStickData> res = new ResizeableArray <CandleStickData>();
//List<ResizeableArray<CandleStickData>> splitData = new List<ResizeableArray<CandleStickData>>();
int deltaCount = 500;
long minCount = (long)(SettingsStore.Default.SimulationSettings.KLineHistoryIntervalDays) * 24 * 60;
long candleStickCount = minCount / info.KlineIntervalMin;
long pageCount = candleStickCount / deltaCount;
int pageIndex = 0;
DownloadProgress = 0.0;
if (!info.Ticker.Exchange.SupportCandleSticksRange)
{
ResizeableArray <CandleStickData> data = info.Ticker.GetCandleStickData(info.KlineIntervalMin, start, intervalInSeconds * deltaCount);
if (data == null)
{
return(null);
}
DownloadProgress = 100;
RaiseDownloadProgressChanged();
cachedData = savedData;
cachedData.Items = data;
cachedData.Save();
return(data);
}
//for(int i = 0; i < candleStickCount / deltaCount; i++) {
while (start.Date < DateTime.Now.Date)
{
ResizeableArray <CandleStickData> data = info.Ticker.GetCandleStickData(info.KlineIntervalMin, start, intervalInSeconds * deltaCount);
if (data == null || data.Count == 0)
{
start = start.AddSeconds(intervalInSeconds * deltaCount);
continue;
}
res.AddRange(data);
pageIndex++;
DownloadProgress = pageIndex * 100 / pageCount;
RaiseDownloadProgressChanged();
Thread.Sleep(300);
start = start.AddSeconds(intervalInSeconds * deltaCount);
}
cachedData = savedData;
cachedData.Items = res;
cachedData.Save();
return(res);
}