public static IFeedCandle ToCandle(this CandleItem candle, bool isBuy, DateTime baseTime, TimeInterval interval)
{
if (candle != null)
{
return(new FeedCandle
{
Open = candle.Open,
Close = candle.Close,
High = candle.High,
Low = candle.Low,
IsBuy = isBuy,
DateTime = baseTime.AddIntervalTicks(candle.Tick, interval)
});
}
return(null);
}
private async Task CacheAssetPairCandlesAsync(AssetPair assetPair, DateTime now, SlotType slotType)
{
try
{
_log.Info(nameof(InitializeCacheAsync), $"Caching {assetPair.Id} candles history...");
foreach (CandlePriceType priceType in Constants.StoredPriceTypes)
{
foreach (CandleTimeInterval timeInterval in Constants.InitFromDbIntervals)
{
DateTime alignedToDate = now.TruncateTo(timeInterval).AddIntervalTicks(1, timeInterval);
DateTime alignedFromDate = alignedToDate.AddIntervalTicks(-_amountOfCandlesToStore[timeInterval] - 1, timeInterval);
if (alignedFromDate < _minDate)
{
alignedFromDate = _minDate.TruncateTo(timeInterval);
}
ICandle[] candles = (await _candlesHistoryRepository.GetCandlesAsync(assetPair.Id, timeInterval, priceType, alignedFromDate, alignedToDate)).ToArray();
if (!candles.Any())
{
continue;
}
var intervals = _candlesCacheService.GetRedisCacheIntervals(timeInterval);
foreach (var interval in intervals)
{
ICandle[] intervalCandles = interval != timeInterval
? CandlesMerger.MergeIntoBiggerIntervals(candles, interval).ToArray()
: candles;
await _candlesCacheService.InitializeAsync(assetPair.Id, priceType, interval, intervalCandles, slotType);
}
}
}
_log.Info($"{assetPair.Id} candles history is cached.");
}
catch (Exception ex)
{
_log.Error(nameof(CacheAssetPairCandlesAsync), ex);
}
}
public ICandle ToCandle(string assetPairId, CandlePriceType priceType, DateTime baseTime, CandleTimeInterval timeInterval)
{
var normalizedTick = Tick - GetIntervalTickOrigin(timeInterval);
return(Candle.Create
(
open: Open,
close: Close,
high: High,
low: Low,
assetPair: assetPairId,
priceType: priceType,
timeInterval: timeInterval,
timestamp: baseTime.AddIntervalTicks(normalizedTick, timeInterval),
tradingVolume: TradingVolume,
tradingOppositeVolume: TradingOppositeVolume,
lastTradePrice: LastTradePrice,
lastUpdateTimestamp: LastUpdateTimestamp
));
}
public void AddIntervalTicks_BasicChecks()
{
DateTime baseTime = new DateTime(2017, 1, 1, 0, 0, 0);
// Sec
Assert.Equal(baseTime.AddSeconds(0), baseTime.AddIntervalTicks(0, 0, TimeInterval.Sec));
Assert.Equal(baseTime.AddSeconds(1), baseTime.AddIntervalTicks(0, 1, TimeInterval.Sec));
// Minute
Assert.Equal(baseTime.AddMinutes(0), baseTime.AddIntervalTicks(0, 0, TimeInterval.Minute));
Assert.Equal(baseTime.AddMinutes(1), baseTime.AddIntervalTicks(0, 1, TimeInterval.Minute));
// Min5
Assert.Equal(baseTime.AddMinutes(0), baseTime.AddIntervalTicks(0, 0, TimeInterval.Min5));
Assert.Equal(baseTime.AddMinutes(5), baseTime.AddIntervalTicks(0, 1, TimeInterval.Min5));
// Min15
Assert.Equal(baseTime.AddMinutes(0), baseTime.AddIntervalTicks(0, 0, TimeInterval.Min15));
Assert.Equal(baseTime.AddMinutes(15), baseTime.AddIntervalTicks(0, 1, TimeInterval.Min15));
// Min30
Assert.Equal(baseTime.AddMinutes(0), baseTime.AddIntervalTicks(0, 0, TimeInterval.Min30));
Assert.Equal(baseTime.AddMinutes(30), baseTime.AddIntervalTicks(0, 1, TimeInterval.Min30));
// Hour
Assert.Equal(baseTime.AddHours(0), baseTime.AddIntervalTicks(0, 0, TimeInterval.Hour));
Assert.Equal(baseTime.AddHours(1), baseTime.AddIntervalTicks(0, 1, TimeInterval.Hour));
Assert.Equal(baseTime.AddDays(1).AddHours(0), baseTime.AddIntervalTicks(1, 0, TimeInterval.Hour));
Assert.Equal(baseTime.AddDays(1).AddHours(1), baseTime.AddIntervalTicks(1, 1, TimeInterval.Hour));
// Hour4
Assert.Equal(baseTime.AddHours(0), baseTime.AddIntervalTicks(0, 0, TimeInterval.Hour4));
Assert.Equal(baseTime.AddHours(4), baseTime.AddIntervalTicks(0, 1, TimeInterval.Hour4));
Assert.Equal(baseTime.AddDays(1).AddHours(0), baseTime.AddIntervalTicks(1, 0, TimeInterval.Hour4));
Assert.Equal(baseTime.AddDays(1).AddHours(4), baseTime.AddIntervalTicks(1, 1, TimeInterval.Hour4));
// Days ticks are in [1..31]
Assert.Equal(baseTime.AddDays(0), baseTime.AddIntervalTicks(0, 1, TimeInterval.Day));
Assert.Equal(baseTime.AddDays(1), baseTime.AddIntervalTicks(0, 2, TimeInterval.Day));
Assert.Equal(baseTime.AddMonths(1).AddDays(0), baseTime.AddIntervalTicks(1, 1, TimeInterval.Day));
Assert.Equal(baseTime.AddMonths(1).AddDays(1), baseTime.AddIntervalTicks(1, 2, TimeInterval.Day));
// Week
Assert.Equal(baseTime.AddDays(7), baseTime.AddIntervalTicks(0, 1, TimeInterval.Week));
Assert.Equal(baseTime.AddDays(14), baseTime.AddIntervalTicks(0, 2, TimeInterval.Week));
Assert.Equal(baseTime.AddDays(7 * 52), baseTime.AddIntervalTicks(0, 52, TimeInterval.Week));
Assert.Equal(baseTime.AddDays(7), baseTime.AddIntervalTicks(1, 1, TimeInterval.Week));
// Months ticks are in [1..12]
Assert.Equal(baseTime.AddMonths(0), baseTime.AddIntervalTicks(0, 1, TimeInterval.Month));
Assert.Equal(baseTime.AddMonths(1), baseTime.AddIntervalTicks(0, 2, TimeInterval.Month));
}
