private void OnSend(string arg)
{
var candle = JsonConvert.DeserializeObject <Candle>(arg);
var IsNew = (candle.time != LastCandleEvent) ? true : false;
if (IsNew)
{
if (!candlesHistory.ContainsKey(candle.figi))
{
candlesHistory.Add(candle.figi, new List <Candle>());
}
candlesHistory[candle.figi].Add(candle);
}
else
{
if (!candlesHistory.ContainsKey(candle.figi))
{
candlesHistory.Add(candle.figi, new List <Candle>());
}
var item = candlesHistory[candle.figi];
item[item.Count - 1] = candle;
}
CandleEvent?.Invoke(candle, IsNew);
LastCandleEvent = candle.time;
}
public void ShouldWriteWhenEmptySeries_ShouldNotAddManyCandlesWithSameTimeStamp()
{
CandleEvent[] candleEvents = new CandleEvent[] {
new CandleEvent(new Candle(33f, 34f, 12f, 15f), 1L),
new CandleEvent(new Candle(33f, 100f, 12f, 15f), 1L),
// we may want to check the date time written to a file,
// so let's use the DateTime().ToNodaTime()... instead of just
// using integer number of ticks
new CandleEvent(new Candle(99f, 99f, 12f, 15f), new DateTime(2019, 3, 30, 1, 32, 0, DateTimeKind.Utc).ToNodaTime().ToUnixTimeTicks())
};
string filePath = Path.Combine(Environment.CurrentDirectory, "test1.csv");
Cleanup(filePath);
var seriesWriter = new EventSavingService();
IRange <NodaTime.Instant> longRange = createLongRange();
int addedCandles = seriesWriter.Write(candleEvents, filePath, cts.Token, longRange);
// writing should have added 2 events;
Assert.Equal(2, addedCandles);
Assert.True(File.Exists(filePath));
var fileContents = File.ReadAllText(filePath);
Assert.Contains("1970-01-01T00:00:00,33,34,12,15", fileContents);
Assert.Contains("2019-03-30T01:32:00,99,99,12,15", fileContents);
Assert.DoesNotContain("33,100,12,15", fileContents);
// assert that there are 2 candle events written to file (file has 3 lines, 1 is header)
Assert.Equal(3, fileContents.SplitByNewLine().Length);
Cleanup(filePath);
}
public void ShouldWriteWhenEmptySeries_LongBatchDateRange()
{
CandleEvent[] candleEvents = new CandleEvent[] {
new CandleEvent(new Candle(33f, 34f, 12f, 15f), 1L),
new CandleEvent(new Candle(33f, 34f, 12f, 15f), new DateTime(2019, 3, 30, 1, 30, 0, DateTimeKind.Utc).ToNodaTime().ToUnixTimeTicks()),
new CandleEvent(new Candle(99f, 99f, 12f, 15f), new DateTime(2019, 3, 30, 1, 32, 0, DateTimeKind.Utc).ToNodaTime().ToUnixTimeTicks())
};
string filePath = Path.Combine(Environment.CurrentDirectory, "test2.csv");
Cleanup(filePath);
var seriesWriter = new EventSavingService();
IRange <NodaTime.Instant> longRange = createLongRange();
int addedCandles = seriesWriter.Write(candleEvents, filePath, cts.Token, longRange);
// writing should have added 3 events;
Assert.Equal(3, addedCandles);
Assert.True(File.Exists(filePath));
var fileContents = File.ReadAllText(filePath);
Assert.Contains("1970-01-01T00:00:00,33,34,12,15", fileContents);
Assert.Contains("2019-03-30T01:30:00,33,34,12,15", fileContents);
Assert.Contains("2019-03-30T01:32:00,99,99,12,15", fileContents);
// assert that there are 3 candle events written to file (file has 4 lines)
Assert.Equal(4, fileContents.SplitByNewLine().Length);
int addedCandles2 = seriesWriter.Write(candleEvents, filePath, cts.Token, longRange);
// writing again should not have added any more events
Assert.Equal(0, addedCandles2);
// assert that there are 3 candle events written to file (file has 4 lines) (no changes)
Assert.Equal(4, fileContents.SplitByNewLine().Length);
Cleanup(filePath);
}
public void ShouldWriteWhenSeriesHasFirstItem_ShortDateRange()
{
CandleEvent[] candleEvents = new CandleEvent[] {
// date NOT included in date range, event will NOT be added
new CandleEvent(new Candle(11f, 34f, 12f, 15f), DateTimeExtensions.CreateNodaTime(1999, 12, 31, 0, 0, 0).ToUnixTimeTicks()),
// date NOT included in date range, event will NOT be added
new CandleEvent(new Candle(11f, 34f, 12f, 15f), DateTimeExtensions.CreateNodaTime(1999, 12, 31, 15, 0, 0).ToUnixTimeTicks()),
// date included in date range, event will be added (mock that it was already written to a file)
new CandleEvent(new Candle(33f, 34f, 12f, 15f), DateTimeExtensions.CreateNodaTime(2000, 1, 1, 0, 0, 0).ToUnixTimeTicks()),
// date included in date range, event will be added
new CandleEvent(new Candle(15f, 34f, 12f, 15f), DateTimeExtensions.CreateNodaTime(2000, 1, 1, 1, 0, 0).ToUnixTimeTicks()),
// date included in date range, event will be added
new CandleEvent(new Candle(15f, 66f, 12f, 15f), DateTimeExtensions.CreateNodaTime(2000, 1, 1, 1, 15, 0).ToUnixTimeTicks()),
// date included in date range, event will be added
new CandleEvent(new Candle(15f, 88f, 12f, 15f), DateTimeExtensions.CreateNodaTime(2000, 1, 1, 1, 54, 0).ToUnixTimeTicks()),
// date NOT included in date range, event will NOT be added
new CandleEvent(new Candle(99f, 99f, 12f, 15f), DateTimeExtensions.CreateNodaTime(2000, 1, 2, 1, 0, 0).ToUnixTimeTicks()),
};
string filePath = Path.Combine(Environment.CurrentDirectory, "test5.csv");
Cleanup(filePath);
// manually add 1st event
using (StreamWriter sw = new StreamWriter(filePath, true))
{
// write to the file
sw.WriteLine("2000-01-01T00:00:00,33,34,12,15");
}
var seriesWriter = new EventSavingService();
IRange <NodaTime.Instant> oneDayRange = new BatchDateRange(
DateTimeExtensions.CreateNodaTime(2000, 1, 1, 0, 0, 0),
DateTimeExtensions.CreateNodaTime(2000, 1, 1, 23, 59, 59)
);
int addedCandles = seriesWriter.Write(candleEvents, filePath, cts.Token, oneDayRange);
// writing should have added 4-1=3 events;
Assert.Equal(3, addedCandles);
Assert.True(File.Exists(filePath));
var fileContents = File.ReadAllText(filePath);
Assert.Contains("2000-01-01T00:00:00,33,34,12,15", fileContents);
Assert.Contains("2000-01-01T01:15:00,15,66,12,15", fileContents);
Assert.Contains("2000-01-01T01:54:00,15,88,12,15", fileContents);
Assert.DoesNotContain("99,99,12,15", fileContents);
// assert that there are 4 candle events written to file (file has 5 lines)
Assert.Equal(5, fileContents.SplitByNewLine().Length);
int addedCandles2 = seriesWriter.Write(candleEvents, filePath, cts.Token, oneDayRange);
// writing again should not have added any more events
Assert.Equal(0, addedCandles2);
// assert that there are 4 candle events written to file (file has 5 lines) (no changes)
Assert.Equal(5, fileContents.SplitByNewLine().Length);
Cleanup(filePath);
}
public void ShouldConvertCandle_WhenTimestampIsUnixEpoch()
{
ExchangeSharp.MarketCandle candle = new ExchangeSharp.MarketCandle();
candle.OpenPrice = 32m;
candle.HighPrice = 50m;
candle.LowPrice = 1m;
candle.ClosePrice = 1m;
candle.Timestamp = new DateTime(1970, 1, 1, 0, 0, 0, DateTimeKind.Utc);
ExchangeSharpPoloniex poloniexApi = new ExchangeSharpPoloniex();
CandleEvent myEvent = poloniexApi.Convert(candle);
Candle ourCandle = new Candle(32f, 50f, 1f, 1f);
Assert.Equal(ourCandle, myEvent.Value);
Assert.Equal(0, myEvent.Date);
}
public void ShouldConvertCandle_WhenTimestampIsLaterThanUnixEpoch()
{
ExchangeSharp.MarketCandle candle = new ExchangeSharp.MarketCandle();
candle.OpenPrice = 32m;
candle.HighPrice = 50m;
candle.LowPrice = 1m;
candle.ClosePrice = 1m;
candle.Timestamp = new DateTime(2019, 2, 19, 15, 22, 32, DateTimeKind.Utc);
ExchangeSharpPoloniex poloniexApi = new ExchangeSharpPoloniex();
CandleEvent myEvent = poloniexApi.Convert(candle);
Candle ourCandle = new Candle(32f, 50f, 1f, 1f);
Assert.Equal(ourCandle, myEvent.Value);
Assert.Equal(candle.Timestamp.ToNodaTime().ToUnixTimeTicks(), myEvent.Date);
}
public void ShouldEnsureDirectoryExists()
{
CandleEvent[] candleEvents = new CandleEvent[] {
new CandleEvent(new Candle(33f, 34f, 12f, 15f), 1L),
};
string filePath = Path.Combine(Environment.CurrentDirectory, "newdir", "test1.csv");
if (Directory.Exists(filePath))
{
Cleanup(filePath);
}
var seriesWriter = new EventSavingService();
IRange <NodaTime.Instant> longRange = createLongRange();
int addedCandles = seriesWriter.Write(candleEvents, filePath, cts.Token, longRange);
Assert.True(File.Exists(filePath));
Cleanup(filePath);
Directory.Delete(Path.GetDirectoryName(filePath));
}
public static void OnCandleEvent(CandleEventArgs e)
{
CandleEvent?.Invoke(typeof(Events), e);
}
private void WsClient_OnCandleRaw(CandleEvent candleRawEvent)
{
Console.WriteLine(candleRawEvent);
//here you can make your trade decision
}
