public static List <Candle> GetCandles(string instrumentID, CandleType type, DateTime fromTradingDay)
{
List <Candle> minuteCandles = CandleDAL.Get(instrumentID, fromTradingDay);
if (type == CandleType.Minute)
{
return(minuteCandles);
}
else
{
return(CandleHelper.ConvertCandleToCandle(minuteCandles, type));
}
}
public void StartWork()
{
if (Working)
{
return;
}
if (Done)
{
return;
}
_thread = new Thread(() => {
Working = true;
Done = false;
CandleHelper.RetrieveCandles(Symbol, Interval, Start, End);
Working = false;
Done = true;
});
_thread.Start();
}
public string Backtest(string source, string market, KlineInterval kline, DateTime start, DateTime end, StrategyOptions actStrat)
{
//var source = "";
//var market = "BTCTUSDT";
//var kline = Binance.Net.Objects.KlineInterval.FifteenMinutes;
//var start = new DateTime(2019, 11, 1);
//var end = new DateTime(2019, 12, 30);
//var actStrat = new StrategyOptions();
// get all candles
CandleHelper.RetrieveCandles(market, kline, start, end);
DateTime small = DateTime.MinValue;
DateTime big = DateTime.MinValue;
List <CandleInfo> allCandles = null;
if (!CandleHelper.CandlesAvailable(market, kline, start, end, out small, out big, out allCandles))
{
return("no candles available");
}
var temp = new Context(allCandles);
temp.ActiveStrategyOptions = Globals.ActiveStrategyOptions;
if (!CryptoGlobals.RunScript(source, ref temp))
{
return("error in script: " + temp.SCRIPT_ERROR);
}
var c = new Context(allCandles);
c.ActiveStrategyOptions = actStrat;
var startingBalance = c.ActiveStrategyOptions.BacktestStartingBalance;
var originalBalance = startingBalance;
var l = new List <CandleInfo>();
dynamic script = CSScript.RoslynEvaluator.LoadCode(source);
foreach (var item in allCandles)
{
l.Add(item);
if (l.Count < 20)
{
continue;
}
c.RawCandles = l;
try
{
script.OnData(c);
}catch (Exception ex)
{
return("error: " + ex.Message);
}
}
foreach (var item in c.GetOpenOrders())
{
c.CloseOrder(item);
}
var orders = c.GetAllOrders();
var candlesAndOrders = new SortedDictionary <DateTime, List <OrderInfo> >();
foreach (var item in orders)
{
var buyDate = item.BuyCandle.OpenTime;
var sellDate = item.SellCandle.OpenTime;
if (!candlesAndOrders.ContainsKey(buyDate))
{
candlesAndOrders[buyDate] = new List <OrderInfo>();
}
if (!candlesAndOrders.ContainsKey(sellDate))
{
candlesAndOrders[sellDate] = new List <OrderInfo>();
}
candlesAndOrders[buyDate].Add(item);
candlesAndOrders[sellDate].Add(item);
}
candlesAndOrders.OrderBy(x => x.Key);
var originalEquity = originalBalance;
double finalEquity = 0f;
var equityOrders = new Dictionary <string, OrderInfo>();
List <OrderResultInfo> finalOrders = new List <OrderResultInfo>();
double totalProfits = 0f;
var tempCount = 0;
var alreadyAddedIds = new List <string>();
foreach (var cao in candlesAndOrders)
{
var currDate = cao.Key;
var orderList = cao.Value;
foreach (var item in orderList)
{
tempCount++;
var isSell = false;
if (alreadyAddedIds.Contains(item.Id))
{
isSell = true;
}
else
{
alreadyAddedIds.Add(item.Id);
}
var ord = item;
var id = ord.Id;
string type;
DateTime time;
double orderPrice = 0.0f;;
double size = ord.BuyAmountInUSD;
double profitLoss = 0f;
double balance = 0f;
if (isSell == false) // buy
{
originalBalance -= ord.BuyAmountInUSD;
originalBalance = Math.Round(originalBalance, 2);
time = ord.BuyCandle.OpenTime;
type = "Buy";
orderPrice = Math.Round(ord.BuyPrice, 2);
equityOrders[ord.Id] = ord;
}
else // sell
{
var tUsd = ord.TotalUSD();
tUsd = Math.Round(tUsd, 2);
originalBalance += tUsd;
originalBalance = Math.Round(originalBalance, 2);
time = ord.SellCandle.OpenTime;
type = "Sell";
var tmpPL = Math.Round(tUsd - ord.BuyAmountInUSD, 2);
profitLoss = tmpPL;
balance = originalBalance;
balance = Math.Round(balance, 2);
totalProfits += tmpPL;
orderPrice = Math.Round(ord.GetSellPrice(), 2);
equityOrders.Remove(ord.Id);
}
size = Math.Round(size, 8);
var finalBalance = balance;// (isSell) ? "$ " + balance.ToString() : "";
finalEquity = 0f;
CandleInfo tempCandle = (isSell) ? orderList[0].SellCandle : orderList[0].BuyCandle;
double ttttemp = 0f;
foreach (var eOrd in equityOrders.Values)
{
finalEquity += tempCandle.MidPrice * ord.CoinAmount;
ttttemp += ord.BuyAmountInUSD;
}
ttttemp = Math.Round(ttttemp, 3);
finalEquity = Math.Round(finalEquity, 3);
var ori = new OrderResultInfo()
{
Id = id.ToString(), Time = time, Type = type, OrderPrice = orderPrice, OrderAmountUSD = size, ProfitLoss = profitLoss, FinalBalance = finalBalance, FinalEquity = finalEquity
};
finalOrders.Add(ori);
}
}
var finalPL = Math.Round(originalBalance - startingBalance, 2);
finalOrders.Add(new OrderResultInfo()
{
Id = "", Time = DateTime.MinValue, Type = "blank", OrderPrice = 0f, OrderAmountUSD = 0f, ProfitLoss = 0f, FinalBalance = 0f
});
finalOrders.Add(new OrderResultInfo()
{
Id = "", Time = DateTime.MinValue, Type = "blank2", OrderPrice = 0f, OrderAmountUSD = 0f, ProfitLoss = finalPL, FinalBalance = originalBalance
});
var final = JsonConvert.SerializeObject(finalOrders);
return(final);
}
public ActionResult <string> Get(string Symbol)
{
var RequestData = new Dictionary <string, string>();
RequestData = CryptoGlobals.GetRequestData(Request);
Symbol = Symbol.Replace("-", "");
var interval = KlineInterval.FifteenMinutes;
var start = new DateTime(2019, 7, 1);
var end = DateTime.Now;
var symbol = Symbol.ToUpper();
var liteJson = false;
var justOK = false;
var jsonP = "";
if (RequestData.ContainsKey("interval"))
{
var tempInterval = RequestData["interval"].ToString();
interval = CryptoGlobals.GetKlineFromString(tempInterval);
}
else
{
return("interval missing");
}
Response.Headers.Add("Access-Control-Allow-Origin", "*");
if (RequestData.ContainsKey("jsonp"))
{
jsonP = RequestData["jsonp"];
}
if (RequestData.ContainsKey("justok"))
{
justOK = true;
}
if (RequestData.ContainsKey("lite") && RequestData["lite"] == "true")
{
liteJson = true;
}
if (RequestData.ContainsKey("start") && RequestData.ContainsKey("end"))
{
var startS = RequestData["start"].ToString();
var endS = RequestData["end"].ToString();
DateTime dt1;
if (DateTime.TryParseExact(startS,
"yyyy-MM-dd",
CultureInfo.InvariantCulture,
DateTimeStyles.None,
out dt1))
{
start = dt1;
}
else
{
return("Invalid start date");
}
DateTime dt2;
if (DateTime.TryParseExact(endS,
"yyyy-MM-dd",
CultureInfo.InvariantCulture,
DateTimeStyles.None,
out dt2))
{
end = dt2.AddDays(1); // because we are NOT getting time. So we want to get UNTIL the next day
if (end > DateTime.Now)
{
end = DateTime.Now;
}
}
else
{
return("Invalid end date");
}
}
else
{
return(JsonConvert.SerializeObject(new KeyValuePair <string, string>("Error", "You have to use start & date query")));
}
if (!CandleHelper.Jobs.ContainsKey(symbol) || (CandleHelper.Jobs.ContainsKey(symbol) && CandleHelper.Jobs[symbol].Done))
{
if (CandleHelper.Jobs.ContainsKey(symbol))
{
CandleHelper.Jobs.Remove(symbol);
}
DateTime small = DateTime.MinValue;
DateTime big = DateTime.MinValue;
List <CandleInfo> allCandles = null;
if (CandleHelper.CandlesAvailable(symbol, interval, start, end, out small, out big, out allCandles))
{
var finalS = "";
if (justOK)
{
finalS = "ok";
}
else
{
if (liteJson)
{
var temp = new List <CandleInfo>();
foreach (var item in allCandles)
{
temp.Add(item); // timestamp, o,h,l,c
// highchart requires timestamp*1000 or else dates are invalid
}
finalS = JsonConvert.SerializeObject(temp);
}
else
{
finalS = JsonConvert.SerializeObject(allCandles);
}
}
//Response.ContentType = "application/javascript";
if (jsonP != "")
{
return(jsonP + "(" + finalS + ")");
}
return(finalS);
// let's retrieve em all??
return("Small: " + small.ToString() + Environment.NewLine + "Big: " + big.ToString());
}
else
{
if (big == DateTime.MinValue)
{
big = start;
}
else
{
big = big.MinusKlineInterval(interval).MinusKlineInterval(interval);
}
CandleHelper.Jobs[symbol] = new CandleJob(symbol, start, end, interval); // we just started the job
CandleHelper.Jobs[symbol].StartWork();
return("working");
}
}
else
{
return("working");
}
}
public static void FillMarketsInDB(bool updatePrices = true)
{
bool shouldUpdate = false;
var tempDt = DBHelper.GetDataTable("SELECT * FROM Markets");
if (tempDt.Rows.Count > 0)
{
// we already have markets. But maybe update the prices.
if (!updatePrices)
{
return;
}
shouldUpdate = true;
}
var markets24 = CryptoGlobals.adminBinanceClient.Get24HPricesList();
if (markets24 != null && markets24.Data != null && markets24.Data.Count() > 0)
{
// all good
}
else
{
return;
}
var finalMarkets = new List <Binance24HPrice>();
foreach (var item in markets24.Data)
{
if (CryptoGlobals.GoodMarkets.Contains(item.Symbol))
{
finalMarkets.Add(item);
}
}
List <SQLiteCommand> list = new List <SQLiteCommand>();
foreach (var item in finalMarkets)
{
SQLiteCommand com = new SQLiteCommand();
if (!shouldUpdate)
{
com.CommandText = "INSERT OR IGNORE INTO Markets " +
"(Symbol,Enabled,Volume,FirstCandleTime,LastPrice) " +
"VALUES (@Symbol,@Enabled,@Volume,@FirstCandleTime,@LastPrice)";
}
else
{
com.CommandText = "UPDATE Markets SET LastPrice=@LastPrice WHERE Symbol=@Symbol";
}
com.Parameters.AddWithValue("@Volume", item.QuoteVolume);
com.Parameters.AddWithValue("@FirstCandleTime", CandleHelper.GetFirstCandleDate(item.Symbol).ToSqlDateString());
com.Parameters.AddWithValue("@Enabled", 1);
com.Parameters.AddWithValue("@Symbol", item.Symbol);
com.Parameters.AddWithValue("@LastPrice", item.LastPrice);
list.Add(com);
}
DBHelper.BulkExecuteNonQuery(list);
}
private async Task RunAsync(CancellationToken token)
{
while (!token.IsCancellationRequested)
{
// get live orders
if (AllMarkets == null)
{
RefreshMarkets();
}
if (AllUsers == null)
{
RefreshUsers();
}
if (AllContexts == null)
{
AllContexts = new Dictionary <int, Context>();
}
foreach (DataRow row in DBHelper.dtJobs.Rows)
{
var job = new JobInfo(row);
if (job.IsLive)
{
// grab the latest candles
var kline = CryptoGlobals.GetKlineFromString(job.Interval);
var c = CryptoGlobals.LastCandleInDB(AllMarkets[job.MarketId].Symbol, kline);
var shouldGetCandles = false;
var firstDate = DateTime.Today.AddDays(60);
if (c == null)
{
// ouch never got any candles :(
shouldGetCandles = true;
}
else
{
// we got, that's our start date
if (c.OpenTime < CryptoGlobals.MinusKlineInterval(DateTime.UtcNow, kline))
{
shouldGetCandles = true;
firstDate = c.OpenTime;
}
}
if (shouldGetCandles)
{
CandleHelper.RetrieveCandles(AllMarkets[job.MarketId].Symbol, kline, firstDate, DateTime.Now.AddDays(1)); // TAKE IT ALLLLL
}
if (!AllUsers.ContainsKey(job.UserId))
{
AllUsers = null;
RefreshUsers();
if (!AllUsers.ContainsKey(job.UserId))
{
// invalid user
continue;
}
}
var user = AllUsers[job.UserId];
// get candles
var crows = DBHelper.GetDataTable("SELECT * FROM Candles WHERE Symbol='" + AllMarkets[job.MarketId].Symbol + "' AND Interval='" + job.Interval + "'"); // haha crows
List <CandleInfo> CurrentCandles = new List <CandleInfo>();
foreach (DataRow crow in crows.Rows)
{
var tempC = new CandleInfo(crow);
CurrentCandles.Add(tempC);
}
StrategyOptions myStrat = null;
var strat = DBHelper.GetDataTable("SELECT * from Strategies where Id=" + job.ScriptId);
if (strat.Rows.Count > 0)
{
myStrat = (new StrategyInfo(strat.Rows[0])).Options;
}
else
{
continue; // cancel!?!?
}
Context cxt = null;
if (!AllContexts.ContainsKey(job.Id))
{
cxt = new Context(CurrentCandles);
cxt.IsLive = true;
cxt.User = user;
cxt.ActiveStrategyOptions = new StrategyOptions()
{
BacktestStartingBalance = 1000000, Fees = 0, MaxOpenOrders = myStrat.MaxOpenOrders, MinutesInBetweenOrders = myStrat.MinutesInBetweenOrders
};
}
else
{
cxt = AllContexts[job.Id];
cxt.RawCandles = CurrentCandles;
}
var l = new List <CandleInfo>();
if (CurrentCandles.Count == 0)
{
continue;
}
cxt.RawCandles = CurrentCandles;
if (cxt.IsLive && !cxt.IsPaper)
{
//var orders = CryptoGlobals.UserBinances[user.Username].GetOpenOrders();
//
//foreach (var item in orders.Data)
//{
//
// if (item.Symbol != AllMarkets[job.MarketId].Symbol) continue;
//
// var t = new OrderInfo(cxt, (float)(item.Price * item.ExecutedQuantity));
// t.CoinAmount = (float)item.ExecutedQuantity;
// t.IsOpen = true;
// t.Id = item.ClientOrderId.ToString();
//}
}
else
{
}
if (!Globals.RunScript(cxt.StrategyScript, ref cxt))
{
continue;
}
// we now can run the script
}
}
System.Diagnostics.Debug.WriteLine(DateTime.Now);
await Task.Delay(1000);
}
}
