public async Task <bool> Handle(AddStrategiesCommand request, CancellationToken cancellationToken)
{
//Add strategies.
var createdTrace = await _traceRepository.GetByTraceIdAsync(request.TraceId);
var strategies = new List <Strategy>();
foreach (var strategyName in request.Strategies)
{
var strategy = Strategy.GetStrategy(strategyName);
if (strategy == null)
{
throw new KeyNotFoundException($"Strategy not found: {strategyName}");
}
strategies.Add(strategy);
}
var timeService = new BacktestingTimeService();
timeService.SetCurrentDateTime(DateTime.UtcNow);
foreach (var strategy in strategies)
{
createdTrace.AddStrategy(strategy, timeService);
}
_traceRepository.Update(createdTrace);
try
{
await _traceRepository.UnitOfWork
.SaveEntitiesAsync();
return(true);
}
catch (Exception ex)
{
Console.WriteLine("Adding strategies to trace failed. Error occured when adding strategies to a trace. \n" +
"Error Message: " + ex.Message);
}
return(false);
}
public async Task Handle(BacktestingDataCreatedIntegrationEvent @event)
{
var traceId = @event.TraceId;
var candlesData = @event.Candles;
var existingTrace = await _traceRepository.GetByTraceIdAsync(traceId);
if (existingTrace == null)
{
return;
}
if (existingTrace.Investment.InvestmentId != @event.InvestmentId)
{
return;
}
if (existingTrace.Market.BaseCurrency != @event.BaseCurrency || existingTrace.Market.QuoteCurrency != @event.QuoteCurrency)
{
return;
}
DateTime dtDateTime = new DateTime(1970, 1, 1, 0, 0, 0, 0, System.DateTimeKind.Utc);
var from = dtDateTime.AddSeconds(@event.From);
var to = dtDateTime.AddSeconds(@event.To);
while (from.Second != 0)
{
from = from.AddSeconds(1);
}
var timeService = new BacktestingTimeService();
timeService.SetCurrentDateTime(from);
var currentDateTime = timeService.GetCurrentDateTime();
var pastCandles = new Dictionary <string, List <Candle> >();
foreach (var key in candlesData.Keys)
{
pastCandles.Add(key, new List <Candle>());
var warmingCandles = candlesData[key].Where(c => c.Timestamp < currentDateTime).OrderBy(c => c.Timestamp).ToList();
if (warmingCandles.Any())
{
warmingCandles.Remove(warmingCandles.Last());
foreach (var candle in warmingCandles)
{
pastCandles[key].Add(new Candle(
candle.Timestamp,
candle.High,
candle.Low,
candle.Open,
candle.Close,
candle.Volume));
}
}
}
try
{
while (currentDateTime <= to)
{
/*await this._trendAnalysisIntegrationEventService.PublishThroughEventBusAsync(new BacktestingTimePassIntegrationEvent(
* currentDateTime,
* traceId,
* @event.InvestmentId
* ));*/
foreach (var candles in candlesData)
{
var currentCandleIndex = candles.Value.FindIndex(c => c.Timestamp == currentDateTime);
Models.Candle matchedCandle = null;
if (currentCandleIndex != -1)
{
matchedCandle = candles.Value[currentCandleIndex - 1];
}
if (matchedCandle != null)
{
/*if (matchedCandle.Timestamp == new DateTime(2018, 12, 8, 12, 0, 0))
* {
* var testPause = 0;
* }*/
if (pastCandles.TryGetValue(candles.Key, out List <Candle> existingPastCandles))
{
existingPastCandles.Add(new Candle(
matchedCandle.Timestamp,
matchedCandle.High,
matchedCandle.Low,
matchedCandle.Open,
matchedCandle.Close,
matchedCandle.Volume));
if (candles.Key == CandlePeriod.OneMinute.Name)
{
var runningCandle = candles.Value.Where(c => c.Timestamp == currentDateTime.AddMinutes(1)).SingleOrDefault();
if (runningCandle != null)
{
var highestPrice = runningCandle.High;
var lowestPrice = runningCandle.Low;
//Only need next target price when current price cross current target price.
var targetPrice = Trace.CalculateTargetPrice(existingPastCandles, highestPrice);
await this._trendAnalysisIntegrationEventService
.PublishThroughEventBusAsync(new BacktestingPriceChangedIntegrationEvent(
traceId,
@event.InvestmentId,
currentDateTime,
highestPrice,
lowestPrice,
targetPrice
));
}
}
var processingTrace = await this._traceRepository.GetByTraceIdAsync(traceId);
var indicatorService = new IndicatorService();
processingTrace.CandleUpdated(existingPastCandles, CandlePeriod.FromName(candles.Key), timeService, new IndicatorService());
this._traceRepository.Update(processingTrace);
await this._traceRepository.UnitOfWork.SaveEntitiesAsync();
pastCandles[candles.Key] = existingPastCandles;
}
}
}
currentDateTime = currentDateTime.AddMinutes(1);
timeService.SetCurrentDateTime(currentDateTime);
}
}
catch (Exception ex)
{
Console.WriteLine("Handle Integration Event: BacktestingDataCreatedIntegrationEvent.");
Console.WriteLine("Result: Failure.");
Console.WriteLine("Error Message: " + ex.Message);
}
/*currentDateTime = currentDateTime.AddMinutes(-1);
* timeService.SetCurrentDateTime(currentDateTime);*/
var toFinishedTrace = await this._traceRepository.GetByTraceIdAsync(traceId);
toFinishedTrace.CloseTracing(timeService);
this._traceRepository.Update(toFinishedTrace);
await this._traceRepository.UnitOfWork.SaveEntitiesAsync();
}
public async Task Handle(BacktestingInvestmentStartedIntegrationEvent @event)
{
var trace = await this._traceRepository.GetByTraceIdAsync(@event.TraceId);
if (trace == null)
{
return;
}
if (@event.InvestmentType.ToLower() == "backtesting")
{
try
{
var timeService = new BacktestingTimeService();
timeService.SetCurrentDateTime(@event.DateStarted);
trace.StartTracing(timeService);
this._traceRepository.Update(trace);
await _traceRepository.UnitOfWork
.SaveChangesAsync();
var minAmountOfCandles = new Dictionary <string, int>();
var existingTrace = await this._traceRepository.GetByTraceIdAsync(@event.TraceId);
foreach (var strategy in existingTrace.TradeStrategies)
{
var minAmounts = strategy.Strategy.MinimumAmountOfCandles;
var period = strategy.GetIdealPeriod();
if (minAmountOfCandles.TryGetValue(period.Name, out int existingData))
{
if (minAmounts > existingData)
{
minAmountOfCandles[period.Name] = minAmounts;
}
}
else
{
minAmountOfCandles.Add(period.Name, minAmounts);
}
}
await this._trendAnalysisIntegrationEventService.PublishThroughEventBusAsync(new BacktestingTraceStartedIntegrationEvent(
trace.TraceId,
trace.Investment.InvestmentId,
trace.Market.ExchangeId,
trace.Market.BaseCurrency,
trace.Market.QuoteCurrency,
@event.DateStarted,
@event.DateClosed,
minAmountOfCandles
));
}
catch (Exception ex)
{
Console.WriteLine("Handle Integration Event: BacktestingInvestmentStartedIntegrationEvent.");
Console.WriteLine("Result: Failure.");
Console.WriteLine("Error Message: " + ex.Message);
}
}
}
