private BitfinexWebSocketWrapper SubscribeChannel(string channelName, Symbol symbol)
{
var channel = new Channel(channelName, symbol);
var webSocket = GetFreeWebSocket(channel);
webSocket.Send(JsonConvert.SerializeObject(new
{
@event = "subscribe",
channel = channelName,
pair = _symbolMapper.GetBrokerageSymbol(symbol)
}));
return(webSocket);
}
/// <summary>
/// Places a new order and assigns a new broker ID to the order
/// </summary>
/// <param name="order">The order to be placed</param>
/// <returns>True if the request for a new order has been placed, false otherwise</returns>
public override bool PlaceOrder(Order order)
{
var parameters = new JsonObject
{
{ "symbol", _symbolMapper.GetBrokerageSymbol(order.Symbol) },
{ "amount", order.Quantity.ToStringInvariant() },
{ "type", ConvertOrderType(_algorithm.BrokerageModel.AccountType, order.Type) },
{ "price", GetOrderPrice(order).ToStringInvariant() }
};
var orderProperties = order.Properties as BitfinexOrderProperties;
if (orderProperties != null)
{
if (order.Type == OrderType.Limit)
{
var flags = 0;
if (orderProperties.Hidden)
{
flags |= OrderFlags.Hidden;
}
if (orderProperties.PostOnly)
{
flags |= OrderFlags.PostOnly;
}
parameters.Add("flags", flags);
}
}
var clientOrderId = GetNextClientOrderId();
parameters.Add("cid", clientOrderId);
_orderMap.TryAdd(clientOrderId, order);
var obj = new JsonArray {
0, "on", null, parameters
};
var json = JsonConvert.SerializeObject(obj);
WebSocket.Send(json);
return(true);
}
/// <summary>
/// Gets the history for the requested security
/// </summary>
/// <param name="request">The historical data request</param>
/// <returns>An enumerable of bars covering the span specified in the request</returns>
public override IEnumerable <BaseData> GetHistory(Data.HistoryRequest request)
{
if (request.Resolution == Resolution.Tick || request.Resolution == Resolution.Second)
{
OnMessage(new BrokerageMessageEvent(BrokerageMessageType.Warning, "InvalidResolution",
$"{request.Resolution} resolution not supported, no history returned"));
yield break;
}
string resolution = ConvertResolution(request.Resolution);
long resolutionInMS = (long)request.Resolution.ToTimeSpan().TotalMilliseconds;
string symbol = _symbolMapper.GetBrokerageSymbol(request.Symbol);
long startMTS = (long)Time.DateTimeToUnixTimeStamp(request.StartTimeUtc) * 1000;
long endMTS = (long)Time.DateTimeToUnixTimeStamp(request.EndTimeUtc) * 1000;
string endpoint = $"v2/candles/trade:{resolution}:t{symbol}/hist?limit=1000&sort=1";
while ((endMTS - startMTS) > resolutionInMS)
{
var timeframe = $"&start={startMTS}&end={endMTS}";
var restRequest = new RestRequest(endpoint + timeframe, Method.GET);
var response = ExecuteRestRequest(restRequest);
if (response.StatusCode != HttpStatusCode.OK)
{
throw new Exception($"BitfinexBrokerage.GetHistory: request failed: [{(int)response.StatusCode}] {response.StatusDescription}, Content: {response.Content}, ErrorMessage: {response.ErrorMessage}");
}
var candles = JsonConvert.DeserializeObject <object[][]>(response.Content)
.Select(entries => new Messages.Candle(entries))
.ToList();
startMTS = candles.Last().Timestamp + resolutionInMS;
var period = request.Resolution.ToTimeSpan();
foreach (var candle in candles)
{
yield return(new TradeBar()
{
Time = Time.UnixMillisecondTimeStampToDateTime(candle.Timestamp),
Symbol = request.Symbol,
Low = candle.Low,
High = candle.High,
Open = candle.Open,
Close = candle.Close,
Volume = candle.Volume,
Value = candle.Close,
DataType = MarketDataType.TradeBar,
Period = period,
EndTime = Time.UnixMillisecondTimeStampToDateTime(candle.Timestamp + (long)period.TotalMilliseconds)
});
}
}
}
/// <summary>
/// Gets the history for the requested security
/// </summary>
/// <param name="request">The historical data request</param>
/// <returns>An enumerable of bars covering the span specified in the request</returns>
public override IEnumerable <BaseData> GetHistory(Data.HistoryRequest request)
{
if (request.Symbol.SecurityType != SecurityType.Crypto)
{
OnMessage(new BrokerageMessageEvent(BrokerageMessageType.Warning, "InvalidSecurityType",
$"{request.Symbol.SecurityType} security type not supported, no history returned"));
yield break;
}
if (request.Resolution == Resolution.Tick || request.Resolution == Resolution.Second)
{
OnMessage(new BrokerageMessageEvent(BrokerageMessageType.Warning, "InvalidResolution",
$"{request.Resolution} resolution not supported, no history returned"));
yield break;
}
if (request.StartTimeUtc >= request.EndTimeUtc)
{
OnMessage(new BrokerageMessageEvent(BrokerageMessageType.Warning, "InvalidDateRange",
"The history request start date must precede the end date, no history returned"));
yield break;
}
// if the end time cannot be rounded to resolution without a remainder
if (request.EndTimeUtc.Ticks % request.Resolution.ToTimeSpan().Ticks > 0)
{
// give a warning and return
OnMessage(new BrokerageMessageEvent(BrokerageMessageType.Warning, "InvalidEndTime",
"The history request's end date is not a full multiple of a resolution. " +
"Bitfinex API only allows to support trade bar history requests. The start and end dates " +
"of a such request are expected to match exactly with the beginning of the first bar and ending of the last"));
yield break;
}
string resolution = ConvertResolution(request.Resolution);
long resolutionInMsec = (long)request.Resolution.ToTimeSpan().TotalMilliseconds;
string symbol = _symbolMapper.GetBrokerageSymbol(request.Symbol);
long startMsec = (long)Time.DateTimeToUnixTimeStamp(request.StartTimeUtc) * 1000;
long endMsec = (long)Time.DateTimeToUnixTimeStamp(request.EndTimeUtc) * 1000;
string endpoint = $"v2/candles/trade:{resolution}:t{symbol}/hist?limit=1000&sort=1";
var period = request.Resolution.ToTimeSpan();
do
{
var timeframe = $"&start={startMsec}&end={endMsec}";
var restRequest = new RestRequest(endpoint + timeframe, Method.GET);
var response = ExecuteRestRequest(restRequest);
if (response.StatusCode != HttpStatusCode.OK)
{
throw new Exception(
$"BitfinexBrokerage.GetHistory: request failed: [{(int) response.StatusCode}] {response.StatusDescription}, " +
$"Content: {response.Content}, ErrorMessage: {response.ErrorMessage}");
}
// we need to drop the last bar provided by the exchange as its open time is a history request's end time
var candles = JsonConvert.DeserializeObject <object[][]>(response.Content)
.Select(entries => new Messages.Candle(entries))
.Where(candle => candle.Timestamp != endMsec)
.ToList();
// bitfinex exchange may return us an empty result - if we request data for a small time interval
// during which no trades occurred - so it's rational to ensure 'candles' list is not empty before
// we proceed to avoid an exception to be thrown
if (candles.Any())
{
startMsec = candles.Last().Timestamp + resolutionInMsec;
}
else
{
OnMessage(new BrokerageMessageEvent(BrokerageMessageType.Warning, "NoHistoricalData",
$"Exchange returned no data for {symbol} on history request " +
$"from {request.StartTimeUtc:s} to {request.EndTimeUtc:s}"));
yield break;
}
foreach (var candle in candles)
{
yield return(new TradeBar()
{
Time = Time.UnixMillisecondTimeStampToDateTime(candle.Timestamp),
Symbol = request.Symbol,
Low = candle.Low,
High = candle.High,
Open = candle.Open,
Close = candle.Close,
Volume = candle.Volume,
Value = candle.Close,
DataType = MarketDataType.TradeBar,
Period = period,
EndTime = Time.UnixMillisecondTimeStampToDateTime(candle.Timestamp + (long)period.TotalMilliseconds)
});
}
} while (startMsec < endMsec);
}
