public CandleStream(CurrencyPair pair, EMarketPeriod period, CandleDataCache owner)
{
try
{
Cache = owner;
Pair = pair;
Period = period;
CandleData = new List <MarketChartData>();
// Create the stream connection and start buffering events
m_pending = new List <CandleUpdate>();
Socket = new WebSocket(Api.Shutdown);
// Request a snapshot to initialise the candle data
// We can only buffer a limited range of candles. Outside that range forward to the rest api
lock (CandleData)
{
// Get the most recent candle data
CandleData = Api.GetChartData(Pair, period).Result;
CandleData.Sort(x => x.Time);
}
}
catch
{
Dispose();
throw;
}
}
/// <summary>Return candle data</summary>
public async Task <List <MarketChartData> > GetChartData(CurrencyPair pair, EMarketPeriod period, UnixMSec?time_beg = null, UnixMSec?time_end = null, CancellationToken?cancel = null)
{
try
{
// https://api.binance.com/api/v1/klines?symbol=IOTABTC&interval=1d&limit=5
var parms = new Params {
};
parms["symbol"] = pair.Id;
parms["interval"] = period.Assoc <string>();
if (time_beg != null)
{
parms["startTime"] = time_beg.Value.Value;
}
if (time_end != null)
{
parms["endTime"] = time_end.Value.Value;
}
var jtok = await GetData(HttpMethod.Get, ESecurityType.PUBLIC, "api/v1/klines", cancel, parms);
var data = ParseJsonReply <List <JArray> >(jtok);
return(data.Select(x => new MarketChartData(x)).ToList());
}
catch (Exception ex)
{
if (ex.Message.Contains("too much data"))
{
throw new BinanceException(EErrorCode.TooMuchDataRequested, "Too much chart data was requested");
}
throw;
}
}
/// <summary></summary>
public async Task <List <MarketChartData> > GetChartData(CurrencyPair pair, EMarketPeriod period, UnixSec time_beg, UnixSec time_end, CancellationToken?cancel = null)
{
try
{
var jtok = await GetData(Method.Public, "returnChartData", cancel, new Params
{
{ "currencyPair", pair.Id },
{ "start", time_beg.Value },
{ "end", time_end.Value },
{ "period", (int)period },
});
var data = ParseJsonReply <List <MarketChartData> >(jtok);
// Poloniex returns a single invalid candle if there is no data within the range
return
(data.Count == 0 ? new List <MarketChartData>() :
data.Count == 1 && data[0].Invalid ? new List <MarketChartData>() :
data);
}
catch (Exception ex)
{
if (ex.Message.Contains("too much data"))
{
throw new PoloniexException(EErrorCode.TooMuchDataRequested, "Too much chart data was requested");
}
throw;
}
}
/// <summary>Convert a market period to a time frame</summary>
private ETimeFrame ToTimeFrame(EMarketPeriod mp)
{
switch (mp)
{
default: return(ETimeFrame.None);
case EMarketPeriod.Minutes5: return(ETimeFrame.Min5);
case EMarketPeriod.Minutes15: return(ETimeFrame.Min15);
case EMarketPeriod.Minutes30: return(ETimeFrame.Min30);
case EMarketPeriod.Hours2: return(ETimeFrame.Hour2);
case EMarketPeriod.Hours4: return(ETimeFrame.Hour4);
case EMarketPeriod.Day: return(ETimeFrame.Day1);
}
}
/// <summary>Access the order book for the given pair</summary>
public List <MarketChartData> this[CurrencyPair pair, EMarketPeriod period, UnixMSec time_beg, UnixMSec time_end, CancellationToken? cancel = null] // Worker thread context
{
get
{
var key = new PairAndTF {
Pair = pair, TimeFrame = period
};
try
{
var stream = (CandleStream)null;
lock (Streams)
{
// Look for the stream for 'pair'. Create if not found.
// Return a copy since any thread can call this function.
if (!Streams.TryGetValue(key, out stream) || stream.Socket == null)
{
stream = Streams[key] = new CandleStream(pair, period, this);
}
}
lock (stream.CandleData)
{
// If the range is outside the cached data range, fall back to the REST call
if (stream.CandleData.Count == 0 || time_beg < stream.CandleData[0].Time)
{
return(Api.GetChartData(pair, period, time_beg, time_end, cancel).Result);
}
// Return the requested range
var ibeg = stream.CandleData.BinarySearch(x => x.Time.CompareTo(time_beg), find_insert_position: true);
var iend = stream.CandleData.BinarySearch(x => x.Time.CompareTo(time_end), find_insert_position: true);
return(stream.CandleData.GetRange(ibeg, iend - ibeg));
}
}
catch (Exception ex)
{
BinanceApi.Log.Write(ELogLevel.Error, ex, $"Subscribing to candle data for {pair.Id}/{period} failed.");
lock (Streams) Streams.Remove(key);
return(new List <MarketChartData>());
}
}
}
public static TimeSpan ToTimeSpan(this EMarketPeriod period, double count = 1)
{
switch (period)
{
default: throw new Exception($"Unknown market period: {period}");
case EMarketPeriod.None: return(TimeSpan.Zero);
case EMarketPeriod.Minutes1: return(TimeSpan.FromMinutes(1 * count));
case EMarketPeriod.Minutes3: return(TimeSpan.FromMinutes(3 * count));
case EMarketPeriod.Minutes5: return(TimeSpan.FromMinutes(5 * count));
case EMarketPeriod.Minutes15: return(TimeSpan.FromMinutes(15 * count));
case EMarketPeriod.Minutes30: return(TimeSpan.FromMinutes(30 * count));
case EMarketPeriod.Hours1: return(TimeSpan.FromHours(1 * count));
case EMarketPeriod.Hours2: return(TimeSpan.FromHours(2 * count));
case EMarketPeriod.Hours4: return(TimeSpan.FromHours(4 * count));
case EMarketPeriod.Hours6: return(TimeSpan.FromHours(6 * count));
case EMarketPeriod.Hours8: return(TimeSpan.FromHours(8 * count));
case EMarketPeriod.Hours12: return(TimeSpan.FromHours(12 * count));
case EMarketPeriod.Day1: return(TimeSpan.FromDays(1 * count));
case EMarketPeriod.Day3: return(TimeSpan.FromDays(3 * count));
case EMarketPeriod.Week1: return(TimeSpan.FromDays(7 * count));
case EMarketPeriod.Month1: return(TimeSpan.FromDays(30.44 * count));
}
}
/// <summary>Convert a market period to a time frame</summary>
private ETimeFrame ToTimeFrame(EMarketPeriod mp)
{
switch (mp)
{
default: return(ETimeFrame.None);
case EMarketPeriod.Minutes1: return(ETimeFrame.Min1);
case EMarketPeriod.Minutes3: return(ETimeFrame.Min3);
case EMarketPeriod.Minutes5: return(ETimeFrame.Min5);
case EMarketPeriod.Minutes15: return(ETimeFrame.Min15);
case EMarketPeriod.Minutes30: return(ETimeFrame.Min30);
case EMarketPeriod.Hours1: return(ETimeFrame.Hour1);
case EMarketPeriod.Hours2: return(ETimeFrame.Hour2);
case EMarketPeriod.Hours4: return(ETimeFrame.Hour4);
case EMarketPeriod.Hours6: return(ETimeFrame.Hour6);
case EMarketPeriod.Hours8: return(ETimeFrame.Hour8);
case EMarketPeriod.Hours12: return(ETimeFrame.Hour12);
case EMarketPeriod.Day1: return(ETimeFrame.Day1);
case EMarketPeriod.Day3: return(ETimeFrame.Day3);
case EMarketPeriod.Week1: return(ETimeFrame.Week1);
case EMarketPeriod.Month1: return(ETimeFrame.Month1);
}
}
