private void BuildEratio()
{
if (signals.Count == 0)
{
return;
}
ReadConfig();
var signalStats = signals.OrderBy(s => s.Time).Select(s => new SignalStat(s, timeframe, timeframes)).ToList();
var actualStats = new List <SignalStat>();
var resultedStats = new List <SignalStat>();
using (var candleReader = new CandleStream(quoteFilePath))
{
foreach (var candle in candleReader)
{
candle.time = candle.time.AddHours(quoteOffset);
for (var i = 0; i < signalStats.Count; i++)
{
if (signalStats[i].time > candle.time)
{
break;
}
actualStats.Add(signalStats[i]);
// выровнять цену входа
signalStats[i].enter = (candle.o + candle.c) / 2;
signalStats.RemoveAt(i--);
}
for (var i = 0; i < actualStats.Count; i++)
{
// обновить pros / cons
actualStats[i].UpdateProsCons(candle, candle.time);
if (actualStats[i].endTime > candle.time)
{
break;
}
resultedStats.Add(actualStats[i]);
actualStats.RemoveAt(i--);
}
}
}
resultedStats.AddRange(actualStats);
// свернуть статистику в график
ReduceERatio(resultedStats);
}
private void FindTimeframeOffest()
{
var sigByTime = signals.GroupBy(s => s.Time).ToDictionary(s => s.Key, s => s.First());
var mistakeByOffset = new Dictionary <int, OffsetMistake>();
for (var i = -MaxOffset; i <= MaxOffset; i++)
{
mistakeByOffset.Add(i, new OffsetMistake {
offset = i
});
}
using (var candleReader = new CandleStream(quoteFilePath))
{
foreach (var candle in candleReader)
{
for (var i = -MaxOffset; i <= MaxOffset; i++)
{
var time = candle.time.AddHours(i);
if (!sigByTime.TryGetValue(time, out var sig))
{
continue;
}
var delta = Math.Abs(100 * ((decimal)candle.o - sig.Enter) / sig.Enter);
var mis = mistakeByOffset[i];
mis.mistakeSum += delta;
mis.count++;
}
}
}
// выбрать смещение с наименьшей ошибкой
var min = 0M;
var offset = 0;
foreach (var mis in mistakeByOffset.Values)
{
var av = mis.count == 0 ? 0 : mis.mistakeSum / mis.count;
if (mis.count > 0 && av < min)
{
offset = mis.offset;
min = av;
}
Console.WriteLine($"[Offset {mis.offset}]: avg. mistake is {av:f4}%, count {mis.count}");
}
Console.WriteLine($"Offset should be {offset}");
}
/// <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>());
}
}
}
