/// <summary>Convert a time frame to the string to use in a request</summary>
public static string ToRequestString(EMarketTimeFrames tf)
{
switch (tf)
{
default: throw new Exception($"Unknown time frame value: {tf}");
case EMarketTimeFrames.None: return("");
case EMarketTimeFrames.Minute1: return("1m");
case EMarketTimeFrames.Minute5: return("5m");
case EMarketTimeFrames.Minute15: return("15m");
case EMarketTimeFrames.Minute30: return("30m");
case EMarketTimeFrames.Hour1: return("1h");
case EMarketTimeFrames.Hour3: return("3h");
case EMarketTimeFrames.Hour6: return("6h");
case EMarketTimeFrames.Hour12: return("12h");
case EMarketTimeFrames.Day1: return("1D");
case EMarketTimeFrames.Week1: return("7D");
case EMarketTimeFrames.Week2: return("14D");
case EMarketTimeFrames.Month1: return("1M");
}
}
public List <Candle> GetChartData(CurrencyPair pair, EMarketTimeFrames tf, long time_beg, long time_end, CancellationToken?cancel = null)
{
// https://api.bitfinex.com/v2/candles/trade:TimeFrame:Symbol/Section
var reply = GetData($"v2/candles/trade:{Misc.ToRequestString(tf)}:{pair.Id}/hist", cancel,
new KV("start", Misc.ToUnixTime(time_beg) * 1000),
new KV("end", Misc.ToUnixTime(time_end) * 1000),
new KV("sort", -1));
// Update the chart data for the given pair
Candles.ParseUpdate(pair, tf, JArray.Parse(reply));
return(Candles[pair, tf]);
}
/// <summary>Return the candle data for the given pair</summary>
public List <Candle> this[CurrencyPair pair, EMarketTimeFrames tf]
{
get
{
return
(!m_data.TryGetValue(pair, out var time_frames) ? new List <Candle>() :
!time_frames.TryGetValue(tf, out var candles) ? new List <Candle>() :
candles);
}
set
{
if (!m_data.TryGetValue(pair, out var time_frames))
{
m_data.Add(pair, time_frames = new TimeFramesToCandles());
}
time_frames[tf] = value;
}
}
public SubscriptionCandleData(CurrencyPair pair, EMarketTimeFrames tf)
: base(API.ChannelName.Candles)
{
Pair = pair;
TimeFrame = tf;
}
/// <summary>Return candle data for the given time range</summary>
public List <Candle> GetChartData(CurrencyPair pair, EMarketTimeFrames tf, DateTimeOffset time_beg, DateTimeOffset time_end, CancellationToken?cancel = null)
{
return(GetChartData(pair, tf, time_beg.Ticks, time_end.Ticks, cancel));
}
/// <summary>Parse a candle message</summary>
public void ParseUpdate(CurrencyPair pair, EMarketTimeFrames tf, JArray data)
{
// Get the candle collection
var candles = this[pair, tf];
// If the update contains an array of arrays, then this is a history update
if (data[0].Type == JTokenType.Array)
{
// Expect the data to be order from oldest to newest
var new_candles = data.Select(x => new Candle((JArray)x)).ToList();
// Insert 'new_candles' into 'candles'
if (new_candles.Count != 0)
{
// Erase the range spanned by 'new_candles'
var beg = new_candles[0];
var end = new_candles[new_candles.Count - 1];
var ibeg = candles.BinarySearch(beg);
var iend = candles.BinarySearch(end);
if (ibeg < 0)
{
ibeg = ~ibeg;
}
if (iend < 0)
{
iend = ~iend;
}
candles.RemoveRange(ibeg, iend - ibeg);
// Insert the new candles into 'candles'
candles.InsertRange(ibeg, new_candles);
}
}
// Otherwise, this is an update to the latest candle
else
{
var new_candle = new Candle(data);
// Insert/Update 'new_candle' in 'candles'
var last = candles.Count != 0 ? candles[candles.Count - 1] : null;
if (last == null || last.Timestamp < new_candle.Timestamp)
{
candles.Add(new_candle);
}
else if (last.Timestamp == new_candle.Timestamp)
{
candles[candles.Count - 1] = new_candle;
}
else
{
var idx = candles.BinarySearch(new_candle);
if (idx >= 0)
{
candles[idx] = new_candle;
}
else
{
candles.Insert(~idx, new_candle);
}
}
}
// Save the candle collection
this[pair, tf] = candles;
}
/// <summary>True if there is candle data for 'pair' at period 'tf'</summary>
public bool Contains(CurrencyPair pair, EMarketTimeFrames tf)
{
return
(m_data.TryGetValue(pair, out var time_frames) &&
time_frames.TryGetValue(tf, out var candles));
}
