public void CalculateRelativePercentage()
{
// assert
Assert.AreEqual(1M, TradeHelpers.CalculateRelativePercentage(0, 0, 0));
Assert.AreEqual(0.5M, TradeHelpers.CalculateRelativePercentage(0, 100, 50));
Assert.AreEqual(0.25M, TradeHelpers.CalculateRelativePercentage(0, 100, 25));
Assert.AreEqual(0.5M, TradeHelpers.CalculateRelativePercentage(100, 200, 150));
}
public async Task <TradingResult> ExecuteAsync(BitstampExchange bitstampExchange)
{
// get the latest ticker
var latestTicker = bitstampExchange.TickerHistory24H.OrderByDescending(t => t.Timestamp).Take(1).First();
// if the latest ticker is older than 30s then return
//if (latestTicker.Timestamp < DateTime.Now.AddSeconds(-30)) return new TradingResult { Timestamp = DateTime.Now, Message = "Warning: latest ticker is older then 30s" };
// don't buy bitcoins if there is already another sell order within range (+- 2%)
var openSellOrdersDbInRange = new SqlRepository <Order>(new BitstampTraderEntities()).Where(o => o.SellTimestamp == null && o.BuyPrice > latestTicker.Last * 0.980M && o.BuyPrice < latestTicker.Last * 1.020M);
if (openSellOrdersDbInRange.Count() != 0)
{
return(new TradingResult {
BuyThreshold = Math.Round(latestTicker.Last * 0.985M, 2) + " - " + Math.Round(latestTicker.Last * 1.015M, 2)
});
}
// get the minimum and maximums from the last x days
var minMaxAveragePeriodInDays = int.Parse(ConfigurationManager.AppSettings["MinMaxAveragePeriodInDays"]);
var tickerTimestampMinus180Days = latestTicker.Timestamp.AddDays(-minMaxAveragePeriodInDays);
var minMaxLogDb = new SqlRepository <MinMaxLog>(new BitstampTraderEntities()).Where(l => l.Day > tickerTimestampMinus180Days).ToList();
var min180DayDb = latestTicker.Last;
var max180DayDb = latestTicker.Last;
if (minMaxLogDb.Count > 0)
{
min180DayDb = minMaxLogDb.OrderBy(l => l.Minimum).First().Minimum;
max180DayDb = minMaxLogDb.OrderByDescending(l => l.Maximum).First().Maximum;
}
var relativePercentage = TradeHelpers.CalculateRelativePercentage(min180DayDb, max180DayDb, latestTicker.Last);
var maxUsdAmountToBuy = TradeHelpers.CalculateMaxUsdAmountToBuy(bitstampExchange.AccountBalance);
var btcAmountToBuy = TradeHelpers.CalculateBtcAmountToBuy(maxUsdAmountToBuy, 5M, relativePercentage, latestTicker);
// buy bitcoins
await bitstampExchange.BuyLimitOrderAsync(BitstampExchange.BitstampTickerCode.BtcUsd, Math.Round(btcAmountToBuy, 8), Math.Round(latestTicker.Last, 2));
return(new TradingResult {
BuyThreshold = Math.Round(latestTicker.Last * 0.985M, 2) + " - " + Math.Round(latestTicker.Last * 1.015M, 2)
});
}
public static async Task <IActionResult> Run(
[HttpTrigger(AuthorizationLevel.Function, "get", "post", Route = null)] HttpRequest req,
ILogger log)
{
//log.LogInformation("start"+ DateTime.Now);
try
{
log.LogInformation("C# HTTP trigger function processed a request.");
kite.SetAccessToken(MyAccessToken);
List <Historical> previousDaydata = TradeHelpers.CallAPIPreviousDayOHLC(log);
Dictionary <string, decimal> dataCPR = new Dictionary <string, decimal>();
if (previousDaydata != null)
{
dataCPR = TradeHelpers.CalculateCPR(previousDaydata, log);
}
else
{
log.LogInformation("PreviousDaydata is null");
}
if (dataCPR != null)
{
TradeHelpers.ExecuteTrade(dataCPR, log);
}
else
{
log.LogInformation("CalculateCPR is null");
}
}
catch (Exception ex)
{
log.LogInformation("Exception Main Function- " + ex.Message);
}
string responseMessage = "End";
//log.LogInformation("end" + DateTime.Now);
return(new OkObjectResult(responseMessage));
}
public async Task <TradingResult> ExecuteAsync(BitstampExchange bitstampExchange)
{
// get the latest ticker
var latestTicker = bitstampExchange.TickerHistory24H.OrderByDescending(t => t.Timestamp).Take(1).First();
// if the latest ticker is older than 30s then return
if (latestTicker.Timestamp < DateTime.Now.AddSeconds(-30))
{
return new TradingResult {
Timestamp = DateTime.Now, Message = "Warning: latest ticker is older then 30s"
}
}
;
// calculate the ticker average of the last x minutes (x = _averagePeriodInMinutes)
var tickerOfLastXMinutes = bitstampExchange.TickerHistory24H.Where(t => t.Timestamp > DateTime.Now.AddMinutes(-_averagePeriodInMinutes));
var tickerAverage = tickerOfLastXMinutes.Average(t => t.Last);
// todo: had to declare these variables outside the if statement, otherwise null execption on linq queries. Not sure why exactly
decimal sellPrice;
DateTime tickerTimestampMinus180Days;
// is the current price lower than the average minus x percent?
if (latestTicker.Last < tickerAverage * (1 - _averageBuyThresholdInPercents / 100))
{
// don't buy bitcoins if there was already a buy order in the last x minutes
if (bitstampExchange.LastBuyTimestamp > DateTime.Now.AddMinutes(-_pauseAfterBuyInMinutes))
{
return new TradingResult {
Timestamp = DateTime.Now, Message = "Bitcoins not bought, last buy was from " + bitstampExchange.LastBuyTimestamp
}
}
;
// don't buy bitcoins if there is already another sell order within range (+- 5%)
var sellOrderRangeInPercents = decimal.Parse(ConfigurationManager.AppSettings["SellOrderRangeInPercents"]);
sellPrice = latestTicker.Last * (1 + sellOrderRangeInPercents / 100);
var sellOrderExist = bitstampExchange.OpenOrders.Any(o => o.Type == BitstampOrderType.Sell && o.Price > sellPrice * 0.95M && o.Price < sellPrice * 1.05M);
if (sellOrderExist)
{
return(new TradingResult {
Timestamp = DateTime.Now, Message = "Bitcoins not bought, already an order in sell range"
});
}
// get the minimum and maximums from the last x days
var minMaxAveragePeriodInDays = int.Parse(ConfigurationManager.AppSettings["MinMaxAveragePeriodInDays"]);
tickerTimestampMinus180Days = latestTicker.Timestamp.AddDays(-minMaxAveragePeriodInDays);
var minMaxLogDb = new SqlRepository <MinMaxLog>(new BitstampTraderEntities()).Where(l => l.Day > tickerTimestampMinus180Days).ToList();
var min180DayDb = latestTicker.Last;
var max180DayDb = latestTicker.Last;
if (minMaxLogDb.Count > 0)
{
min180DayDb = minMaxLogDb.OrderBy(l => l.Minimum).First().Minimum;
max180DayDb = minMaxLogDb.OrderByDescending(l => l.Maximum).First().Maximum;
}
//calculate amount to buy
var relativePercentage = TradeHelpers.CalculateRelativePercentage(min180DayDb, max180DayDb, latestTicker.Last);
var maxUsdAmountToBuy = TradeHelpers.CalculateMaxUsdAmountToBuy(bitstampExchange.AccountBalance);
var btcAmountToBuy = TradeHelpers.CalculateBtcAmountToBuy(maxUsdAmountToBuy, 5M, relativePercentage, latestTicker);
// buy bitcoins
await bitstampExchange.BuyLimitOrderAsync(BitstampExchange.BitstampTickerCode.BtcUsd, Math.Round(btcAmountToBuy, 8), Math.Round(latestTicker.Last, 2));
}
return(new TradingResult {
BuyThreshold = (tickerAverage * (1 - _averageBuyThresholdInPercents / 100)).ToString(CultureInfo.InvariantCulture)
});
}
}
}
