private List <MarketCandle> ParseMarketCandle(JToken array)
{
List <MarketCandle> candles = new List <MarketCandle>();
foreach (JArray item in array)
{
MarketCandle candle = new MarketCandle
{
Timestamp = CryptoUtility.UnixTimeStampToDateTimeSeconds(item[0].ConvertInvariant <long>()),
OpenPrice = item[1].ConvertInvariant <decimal>(),
HighPrice = item[2].ConvertInvariant <decimal>(),
LowPrice = item[3].ConvertInvariant <decimal>(),
ClosePrice = item[4].ConvertInvariant <decimal>(),
BaseCurrencyVolume = item[5].ConvertInvariant <double>()
};
candles.Add(candle);
}
return(candles);
}
/// <summary>
/// Get market candles
/// </summary>
/// <param name="exchange">Exchange name</param>
/// <param name="marketName">Market name</param>
/// <param name="before">Optional date to restrict data to before this date</param>
/// <param name="after">Optional date to restrict data to after this date</param>
/// <param name="periods">Periods</param>
/// <returns>Market candles</returns>
public async Task <IEnumerable <MarketCandle> > GetMarketCandlesAsync(string exchange, string marketName, DateTime?before, DateTime?after, params int[] periods)
{
await new SynchronizationContextRemover();
List <MarketCandle> candles = new List <MarketCandle>();
string periodString = string.Join(",", periods);
string beforeDateString = (before == null ? string.Empty : "&before=" + (long)before.Value.UnixTimestampFromDateTimeSeconds());
string afterDateString = (after == null ? string.Empty : "&after=" + (long)after.Value.UnixTimestampFromDateTimeSeconds());
string url = "/markets/" + exchange + "/" + marketName + "/ohlc?periods=" + periodString + beforeDateString + afterDateString;
JToken token = await MakeCryptowatchRequestAsync(url);
foreach (JProperty prop in token)
{
foreach (JToken candleToken in prop.Value)
{
MarketCandle candle = this.ParseCandle(candleToken, marketName, 0, 1, 2, 3, 4, 0, TimestampType.UnixSeconds, 5);
candle.PeriodSeconds = prop.Name.ConvertInvariant <int>();
candles.Add(candle);
}
}
return(candles);
}
protected override async Task <IEnumerable <MarketCandle> > OnGetCandlesAsync(string symbol, int periodSeconds, DateTime?startDate = null, DateTime?endDate = null, int?limit = null)
{
List <MarketCandle> candles = new List <MarketCandle>();
string periodString = PeriodSecondsToString(periodSeconds);
limit = limit ?? (limit > 2160 ? 2160 : limit);
endDate = endDate ?? DateTime.UtcNow.AddMinutes(1.0);
startDate = startDate ?? endDate.Value.Subtract(TimeSpan.FromDays(1.0));
//market period(15m, 20m, 30m, 1h, 2h, 3h, 4h, 6h, 8h, 12h, 1d) count(default: 1000, max: 999999) lasthours(default: 24, max: 2160)
//"result":[{"TimeStamp":"2014-07-31 10:15:00","Open":"0.00000048","High":"0.00000050","Low":"0.00000048","Close":"0.00000049","Volume":"594804.73036048","BaseVolume":"0.11510368" }, ...
JToken result = await MakeJsonRequestAsync <JToken>("/public/getcandles?market=" + symbol + "&period=" + periodString + (limit == null ? string.Empty : "&lasthours=" + limit));
foreach (JToken jsonCandle in result)
{
MarketCandle candle = this.ParseCandle(jsonCandle, symbol, periodSeconds, "Open", "High", "Low", "Close", "Timestamp", TimestampType.Iso8601, "BaseVolume", "Volume");
if (candle.Timestamp >= startDate && candle.Timestamp <= endDate)
{
candles.Add(candle);
}
}
return(candles);
}
public override IEnumerable <MarketCandle> GetCandles(string symbol, int periodSeconds, DateTime?startDate = null, DateTime?endDate = null)
{
// https://api.kraken.com/0/public/OHLC
// pair = asset pair to get OHLC data for, interval = time frame interval in minutes(optional):, 1(default), 5, 15, 30, 60, 240, 1440, 10080, 21600, since = return committed OHLC data since given id(optional.exclusive)
// array of array entries(<time>, <open>, <high>, <low>, <close>, <vwap>, <volume>, <count>)
symbol = NormalizeSymbol(symbol);
startDate = startDate ?? DateTime.UtcNow.Subtract(TimeSpan.FromDays(1.0));
endDate = endDate ?? DateTime.UtcNow;
JObject json = MakeJsonRequest <JObject>("/0/public/OHLC?pair=" + symbol + "&interval=" + periodSeconds / 60 + "&since=" + startDate);
CheckError(json);
if (json["result"].Children().Count() != 0)
{
JProperty prop = json["result"].Children().First() as JProperty;
foreach (JArray jsonCandle in prop.Value)
{
MarketCandle candle = new MarketCandle
{
ClosePrice = jsonCandle[4].ConvertInvariant <decimal>(),
ExchangeName = Name,
HighPrice = jsonCandle[2].ConvertInvariant <decimal>(),
LowPrice = jsonCandle[3].ConvertInvariant <decimal>(),
Name = symbol,
OpenPrice = jsonCandle[1].ConvertInvariant <decimal>(),
PeriodSeconds = periodSeconds,
Timestamp = CryptoUtility.UnixTimeStampToDateTimeSeconds(jsonCandle[0].ConvertInvariant <long>()),
VolumePrice = jsonCandle[6].ConvertInvariant <double>(),
VolumeQuantity = jsonCandle[6].ConvertInvariant <double>() * jsonCandle[4].ConvertInvariant <double>(),
WeightedAverage = jsonCandle[5].ConvertInvariant <decimal>()
};
if (candle.Timestamp >= startDate.Value && candle.Timestamp <= endDate.Value)
{
yield return(candle);
}
}
}
}
/// <summary>
/// Parse market candle from JToken
/// </summary>
/// <param name="named">Named item</param>
/// <param name="token">JToken</param>
/// <param name="marketSymbol">Symbol</param>
/// <param name="periodSeconds">Period seconds</param>
/// <param name="openKey">Open key</param>
/// <param name="highKey">High key</param>
/// <param name="lowKey">Low key</param>
/// <param name="closeKey">Close key</param>
/// <param name="timestampKey">Timestamp key</param>
/// <param name="timestampType">Timestamp type</param>
/// <param name="baseVolumeKey">Base currency volume key</param>
/// <param name="quoteVolumeKey">Quote currency volume key</param>
/// <param name="weightedAverageKey">Weighted average key</param>
/// <returns>MarketCandle</returns>
internal static MarketCandle ParseCandle(this INamed named, JToken token, string marketSymbol, int periodSeconds, object openKey, object highKey, object lowKey,
object closeKey, object timestampKey, TimestampType timestampType, object baseVolumeKey, object quoteVolumeKey = null, object weightedAverageKey = null)
{
MarketCandle candle = new MarketCandle
{
ClosePrice = token[closeKey].ConvertInvariant <decimal>(),
ExchangeName = named.Name,
HighPrice = token[highKey].ConvertInvariant <decimal>(),
LowPrice = token[lowKey].ConvertInvariant <decimal>(),
Name = marketSymbol,
OpenPrice = token[openKey].ConvertInvariant <decimal>(),
PeriodSeconds = periodSeconds,
Timestamp = CryptoUtility.ParseTimestamp(token[timestampKey], timestampType)
};
token.ParseVolumes(baseVolumeKey, quoteVolumeKey, candle.ClosePrice, out decimal baseVolume, out decimal convertVolume);
candle.BaseCurrencyVolume = (double)baseVolume;
candle.QuoteCurrencyVolume = (double)convertVolume;
if (weightedAverageKey != null)
{
candle.WeightedAverage = token[weightedAverageKey].ConvertInvariant <decimal>();
}
return(candle);
}
protected override async Task <IEnumerable <MarketCandle> > OnGetCandlesAsync(string symbol, int periodSeconds, DateTime?startDate = null, DateTime?endDate = null, int?limit = null)
{
List <MarketCandle> candles = new List <MarketCandle>();
string periodString;
if (periodSeconds <= 900)
{
periodString = "15m"; periodSeconds = 900;
}
else if (periodSeconds <= 1200)
{
periodString = "20m"; periodSeconds = 1200;
}
else if (periodSeconds <= 1800)
{
periodString = "30m"; periodSeconds = 1800;
}
else if (periodSeconds <= 3600)
{
periodString = "1h"; periodSeconds = 3600;
}
else if (periodSeconds <= 7200)
{
periodString = "2h"; periodSeconds = 7200;
}
else if (periodSeconds <= 10800)
{
periodString = "3h"; periodSeconds = 10800;
}
else if (periodSeconds <= 14400)
{
periodString = "4h"; periodSeconds = 14400;
}
else if (periodSeconds <= 21600)
{
periodString = "6h"; periodSeconds = 21600;
}
else if (periodSeconds <= 43200)
{
periodString = "12h"; periodSeconds = 43200;
}
else
{
periodString = "1d"; periodSeconds = 86400;
}
limit = limit ?? (limit > 2160 ? 2160 : limit);
symbol = NormalizeSymbol(symbol);
endDate = endDate ?? DateTime.UtcNow;
startDate = startDate ?? endDate.Value.Subtract(TimeSpan.FromDays(1.0));
//market period(15m, 20m, 30m, 1h, 2h, 3h, 4h, 6h, 8h, 12h, 1d) count(default: 1000, max: 999999) lasthours(default: 24, max: 2160)
//"result":[{"TimeStamp":"2014-07-31 10:15:00","Open":"0.00000048","High":"0.00000050","Low":"0.00000048","Close":"0.00000049","Volume":"594804.73036048","BaseVolume":"0.11510368" }, ...
JToken result = await MakeJsonRequestAsync <JObject>("/public/getcandles?market=" + symbol + "&period=" + periodString + (limit == null ? string.Empty : "&lasthours=" + limit));
result = CheckError(result);
foreach (JToken jsonCandle in result)
{
MarketCandle candle = new MarketCandle
{
ExchangeName = this.Name,
Name = symbol,
Timestamp = jsonCandle["TimeStamp"].ConvertInvariant <DateTime>(),
OpenPrice = jsonCandle["Open"].ConvertInvariant <decimal>(),
HighPrice = jsonCandle["High"].ConvertInvariant <decimal>(),
LowPrice = jsonCandle["Low"].ConvertInvariant <decimal>(),
ClosePrice = jsonCandle["Close"].ConvertInvariant <decimal>(),
PeriodSeconds = periodSeconds,
VolumePrice = jsonCandle["BaseVolume"].ConvertInvariant <double>(),
VolumeQuantity = jsonCandle["Volume"].ConvertInvariant <double>()
};
if (candle.Timestamp >= startDate && candle.Timestamp <= endDate)
{
candles.Add(candle);
}
}
return(candles);
}
public override IEnumerable <MarketCandle> GetCandles(string symbol, int periodSeconds, DateTime?startDate = null, DateTime?endDate = null, int?limit = null)
{
if (limit != null)
{
throw new APIException("Limit parameter not supported");
}
// https://bittrex.com/Api/v2.0/pub/market/GetTicks?marketName=BTC-WAVES&tickInterval=day
// "{"success":true,"message":"","result":[{"O":0.00011000,"H":0.00060000,"L":0.00011000,"C":0.00039500,"V":5904999.37958770,"T":"2016-06-20T00:00:00","BV":2212.16809610} ] }"
string periodString;
switch (periodSeconds)
{
case 60: periodString = "oneMin"; break;
case 300: periodString = "fiveMin"; break;
case 1800: periodString = "thirtyMin"; break;
case 3600: periodString = "hour"; break;
case 86400: periodString = "day"; break;
case 259200: periodString = "threeDay"; break;
case 604800: periodString = "week"; break;
default:
if (periodSeconds > 604800)
{
periodString = "month";
}
else
{
throw new ArgumentOutOfRangeException("Period seconds must be 60,300,1800,3600,86400, 259200 or 604800");
}
break;
}
symbol = NormalizeSymbol(symbol);
endDate = endDate ?? DateTime.UtcNow;
startDate = startDate ?? endDate.Value.Subtract(TimeSpan.FromDays(1.0));
JToken result = MakeJsonRequest <JToken>("pub/market/GetTicks?marketName=" + symbol + "&tickInterval=" + periodString, BaseUrl2);
result = CheckError(result);
if (result is JArray array)
{
foreach (JToken jsonCandle in array)
{
MarketCandle candle = new MarketCandle
{
ClosePrice = jsonCandle["C"].ConvertInvariant <decimal>(),
ExchangeName = Name,
HighPrice = jsonCandle["H"].ConvertInvariant <decimal>(),
LowPrice = jsonCandle["L"].ConvertInvariant <decimal>(),
Name = symbol,
OpenPrice = jsonCandle["O"].ConvertInvariant <decimal>(),
PeriodSeconds = periodSeconds,
Timestamp = jsonCandle["T"].ConvertInvariant <DateTime>(),
VolumePrice = jsonCandle["BV"].ConvertInvariant <double>(),
VolumeQuantity = jsonCandle["V"].ConvertInvariant <double>()
};
if (candle.Timestamp >= startDate && candle.Timestamp <= endDate)
{
yield return(candle);
}
}
}
}
public CandleEvent Convert(ExchangeSharp.MarketCandle foreignCandle)
{
var candle = new Candle(foreignCandle);
return(new CandleEvent(candle, foreignCandle.Timestamp.ToNodaTime().ToUnixTimeTicks()));
}
