public void UpdateTrades(BittrexMarketInfo info)
{
Timer.Reset();
Timer.Stop();
string address = string.Format("https://bittrex.com/api/v1.1/public/getmarkethistory?market={0}", Uri.EscapeDataString(info.MarketName));
string text = GetDownloadString(info, address);
if (string.IsNullOrEmpty(text))
{
return;
}
JObject res = (JObject)JsonConvert.DeserializeObject(text);
foreach (JProperty prop in res.Children())
{
if (prop.Name == "success")
{
if (prop.Value.Value <bool>() == false)
{
break;
}
}
if (prop.Name == "message")
{
continue;
}
if (prop.Name == "result")
{
lock (info) {
JArray trades = (JArray)prop.Value;
UpdateList.Clear();
int lastId = info.TradeHistory.Count > 0 ? info.TradeHistory.First().Id : -1;
foreach (JObject obj in trades)
{
int id = obj.Value <int>("Id");
if (id == lastId)
{
info.TradeHistory.InsertRange(0, UpdateList);
break;
}
TradeHistoryItem item = new TradeHistoryItem();
item.Id = id;
item.Time = obj.Value <DateTime>("TimeStamp");
item.Amount = obj.Value <double>("Quantity");
item.Rate = obj.Value <double>("Price");
item.Total = obj.Value <double>("Total");
item.Type = obj.Value <string>("OrderType") == "BUY" ? TradeType.Buy : TradeType.Sell;
item.Fill = obj.Value <string>("FillType") == "FILL" ? TradeFillType.Fill : TradeFillType.PartialFill;
TickerUpdateHelper.UpdateHistoryForTradeItem(item, info);
UpdateList.Add(item);
}
}
Timer.Stop();
Console.WriteLine(info.Time.ToString("hh:mm:ss.fff") + " trade update. process time = " + Timer.ElapsedMilliseconds);
info.RaiseTradeHistoryAdd();
}
}
}
public FullHistoryTradeOffer(TradeHistoryItem historyItem, List <AssetDescription> assetDescriptions)
{
TradeId = historyItem.TradeId;
SteamIdOther = new SteamID(ulong.Parse(historyItem.SteamIdOther));
TimeInit = CommonUtils.ParseSteamUnixDate(int.Parse(historyItem.TimeInit));
TimeEscrowEnd = historyItem.TimeEscrowEnd;
Status = historyItem.Status;
MyItems = GetFullHistoryTradeItemsList(historyItem.AssetsGiven, historyItem.CurrencyGiven,
assetDescriptions);
HisItems = GetFullHistoryTradeItemsList(historyItem.AssetsReceived, historyItem.CurrencyReceived,
assetDescriptions);
}
public static ICandle CreateCandle(this TradeHistoryItem trade, string assetPairId, CandlePriceType priceType, CandleTimeInterval interval, decimal volumeMultiplier = 1.0M)
{
return(Candle.Create(
assetPairId,
priceType,
interval,
trade.DateTime.TruncateTo(interval),
(double)trade.Price,
(double)trade.Price,
(double)trade.Price,
(double)trade.Price,
Convert.ToDouble((trade.IsStraight ? trade.Volume : trade.OppositeVolume) * volumeMultiplier),
Convert.ToDouble((trade.IsStraight ? trade.OppositeVolume : trade.Volume) * volumeMultiplier),
0, // Last Trade Price is enforced to be = 0
trade.DateTime
));
}
private async Task ProcessTrade(TradeHistoryItem trade, decimal volumeMultiplier)
{
var dataWritingTasks = new List <Task>();
foreach (var interval in Candles.Constants.DbStoredIntervals)
{
if (_activeCandles.TryGetValue(interval, out var activeCandle))
{
if (trade.BelongsTo(activeCandle))
{
_activeCandles[interval] = activeCandle.ExtendBy(trade, volumeMultiplier);
}
else
{
_persistenceCandleQueue[interval].Add(activeCandle);
_activeCandles[interval] = trade.CreateCandle(_assetPairId,
CandlePriceType.Trades, interval, volumeMultiplier);
}
}
else
{
_activeCandles[interval] = trade.CreateCandle(_assetPairId,
CandlePriceType.Trades, interval, volumeMultiplier);
continue;
}
if (_persistenceCandleQueue[interval].Count < _persistenceQueueMaxSize)
{
continue;
}
dataWritingTasks.Add(_historyRepo.ReplaceCandlesAsync(_persistenceCandleQueue[interval]));
_healthService[_assetPairId].SummarySavedCandles +=
_persistenceCandleQueue[interval].Count;
_persistenceCandleQueue[interval] = new List <ICandle>(_persistenceQueueMaxSize);
}
await Task.WhenAll(dataWritingTasks);
_healthService.Health.PersistenceQueueSize = PersistenceQueueSize;
}
public async Task <IReadOnlyCollection <TradeHistoryItem> > GetNextBatchAsync()
{
// If we got the last batch in the previous iteration, there is no reason to execute one more query
// with empty result. Just return.
if (_gotTheLastBatch)
{
return(Array.Empty <TradeHistoryItem>());
}
try
{
var result = new List <TradeHistoryItem>();
// Renew the connection on every call.
using (var sqlConnection = new SqlConnection(_sqlConnString))
{
sqlConnection.Open();
if (sqlConnection.State != ConnectionState.Open)
{
throw new InvalidOperationException("Can't fetch from DB while connection is not opened.");
}
_log.Info(nameof(GetNextBatchAsync),
$"Trying to fetch next {_sqlQueryBatchSize} rows...",
$"Starting offset = {StartingRowOffset}, asset pair ID = {AssetPairId}");
using (var sqlCommand = BuildCurrentQueryCommand(sqlConnection))
{
sqlCommand.CommandTimeout = (int)_sqlTimeout.TotalSeconds;
using (var reader = await sqlCommand.ExecuteReaderAsync())
{
while (await reader.ReadAsync())
{
var trade = new TradeHistoryItem
{
Id = reader.GetInt64(0),
AssetToken = reader.GetString(1),
Direction =
(TradeDirection)Enum.Parse(typeof(TradeDirection), reader.GetString(2)),
Volume = reader.GetDecimal(3),
Price = reader.GetDecimal(4),
DateTime = reader.GetDateTime(5),
OppositeVolume = reader.GetDecimal(6),
OrderId = Guid.Parse(reader.GetString(7)),
OppositeOrderId = Guid.Parse(reader.GetString(8)),
TradeId = reader.GetString(9),
IsStraight =
reader.GetString(1) == SearchToken // If the trade is straight or reverse.
};
// We must ignore trades with negative prices and\or volumes (if any).
if (trade.Price > 0 &&
trade.Volume > 0 &&
trade.OppositeVolume > 0)
{
result.Add(trade);
}
else
{
_healthNotifier.Notify("Got a trade with non-posotive price or volume(s) values.", trade);
}
}
}
}
sqlConnection.Close();
}
if (result.Count > 0)
{
// Now we need to remove the last several trades which have the same date and time (accuracy - to seconds).
// This will guarantee that we did not peek up some orders of the same trade on this iteration, and others
// on the next. On the next iteration we will read them again for the next batch. No temporary buffer, for
// it can't save any observable value of time. NOTE: if we have got less records than _sqlQueryBatchSize,
// this means that we obtained the last (or the single) data pack, and there is no reason to delete "tail"
// trades.
if (result.Count == _sqlQueryBatchSize)
{
var lastDateTime = result.Last().DateTime.TruncateTo(CandleTimeInterval.Sec);
var resultWithoutTail = result.TakeWhile(t => t.DateTime < lastDateTime).ToList();
if (!resultWithoutTail.Any())
{
throw new InvalidOperationException($"Got an SQL data batch of {result.Count} trade records with the same timestamp {lastDateTime:O}. " +
$"Migration for asset pair {AssetPairId} will be terminated. Row offset was {StartingRowOffset} before the incident.");
}
result = resultWithoutTail;
}
else
{
_gotTheLastBatch = true; // If we have got smaller amount of records than _sqlQueryBatchSize, this only means we have the last batch now.
}
_log.Info(nameof(GetNextBatchAsync),
$"Fetched {result.Count} rows successfully. First date is {result.First().DateTime:O}, last date is {result.Last().DateTime:O}",
$"Starting offset = {StartingRowOffset}, asset pair ID = {AssetPairId}");
StartingRowOffset += result.Count;
}
else
{
_log.Info(nameof(GetNextBatchAsync),
"No data to fetch.",
$"Starting offset = {StartingRowOffset}, asset pair ID = {AssetPairId}");
}
return(result);
}
catch (Exception ex)
{
_log.Error(nameof(GetNextBatchAsync), ex);
// We can just report about the error and return an empty list - this will be interpreted as "no data".
return(Array.Empty <TradeHistoryItem>());
}
}
public bool UpdateTradesStatistic(ExmoTicker ticker, int count)
{
string text = string.Empty;
string address = string.Format("https://api.exmo.me/v1/trades/?pair={0}", ticker.MarketName);
try {
text = GetDownloadString(address);
if (text == null)
{
return(false);
}
}
catch (Exception) {
return(false);
}
Dictionary <string, object> res = null;
lock (JsonParser) {
res = (Dictionary <string, object>)JsonParser.Parse(text);
}
List <object> trades = (List <object>)res[ticker.MarketName];
if (trades.Count == 0)
{
ticker.TradeStatistic.Add(new TradeStatisticsItem()
{
Time = DateTime.Now
});
if (ticker.TradeStatistic.Count > 5000)
{
for (int i = 0; i < 100; i++)
{
ticker.TradeStatistic.RemoveAt(0);
}
}
return(true);
}
TradeStatisticsItem st = new TradeStatisticsItem();
st.MinBuyPrice = decimal.MaxValue;
st.MinSellPrice = decimal.MaxValue;
st.Time = DateTime.Now;
foreach (Dictionary <string, object> obj in trades)
{
TradeHistoryItem item = new TradeHistoryItem();
decimal amount = Convert.ToDecimal(obj["amount"]);
decimal price = Convert.ToDecimal(obj["price"]);
bool isBuy = obj["type"].ToString().Length == 3;
if (isBuy)
{
st.BuyAmount += amount;
st.MinBuyPrice = Math.Min(st.MinBuyPrice, price);
st.MaxBuyPrice = Math.Max(st.MaxBuyPrice, price);
st.BuyVolume += amount * price;
}
else
{
st.SellAmount += amount;
st.MinSellPrice = Math.Min(st.MinSellPrice, price);
st.MaxSellPrice = Math.Max(st.MaxSellPrice, price);
st.SellVolume += amount * price;
}
}
if (st.MinSellPrice == decimal.MaxValue)
{
st.MinSellPrice = 0;
}
if (st.MinBuyPrice == decimal.MaxValue)
{
st.MinBuyPrice = 0;
}
ticker.LastTradeId = Convert.ToInt64(((Dictionary <string, object>)trades.First())["trade_id"]);
ticker.LastTradeStatisticTime = DateTime.Now;
ticker.TradeStatistic.Add(st);
if (ticker.TradeStatistic.Count > 5000)
{
for (int i = 0; i < 100; i++)
{
ticker.TradeStatistic.RemoveAt(0);
}
}
return(true);
}
public bool UpdateTradesStatistic(HitBtcTicker ticker, int count)
{
string text = string.Empty;
string address = string.Format("http://api.hitbtc.com//api/1/public/{0}/trades?from={1}&by=trade_id&sort=desc&start_index=0&max_results={2}&side=true", ticker.MarketName, ticker.LastTradeId, count);
try {
text = GetDownloadString(address);
if (text == null)
{
return(false);
}
}
catch (Exception) {
return(false);
}
Dictionary <string, object> res = null;
lock (JsonParser) {
res = (Dictionary <string, object>)JsonParser.Parse(text);
}
List <object> trades = (List <object>)res["trades"];
if (trades.Count == 0)
{
ticker.TradeStatistic.Add(new TradeStatisticsItem()
{
Time = DateTime.Now
});
if (ticker.TradeStatistic.Count > 5000)
{
for (int i = 0; i < 100; i++)
{
ticker.TradeStatistic.RemoveAt(0);
}
}
return(true);
}
TradeStatisticsItem st = new TradeStatisticsItem();
st.MinBuyPrice = decimal.MaxValue;
st.MinSellPrice = decimal.MaxValue;
st.Time = DateTime.Now;
foreach (List <object> obj in trades)
{
TradeHistoryItem item = new TradeHistoryItem();
decimal amount = Convert.ToDecimal(obj[1]);
decimal price = Convert.ToDecimal(obj[2]);
bool isBuy = obj[4].ToString().Length == 3;
if (isBuy)
{
st.BuyAmount += amount;
st.MinBuyPrice = Math.Min(st.MinBuyPrice, price);
st.MaxBuyPrice = Math.Max(st.MaxBuyPrice, price);
st.BuyVolume += amount * price;
}
else
{
st.SellAmount += amount;
st.MinSellPrice = Math.Min(st.MinSellPrice, price);
st.MaxSellPrice = Math.Max(st.MaxSellPrice, price);
st.SellVolume += amount * price;
}
}
if (st.MinSellPrice == decimal.MaxValue)
{
st.MinSellPrice = 0;
}
if (st.MinBuyPrice == decimal.MaxValue)
{
st.MinBuyPrice = 0;
}
ticker.LastTradeId = Convert.ToInt64(((List <object>)trades.First())[0]);
ticker.LastTradeStatisticTime = DateTime.Now;
ticker.TradeStatistic.Add(st);
if (ticker.TradeStatistic.Count > 5000)
{
for (int i = 0; i < 100; i++)
{
ticker.TradeStatistic.RemoveAt(0);
}
}
return(true);
}
/// <summary>
/// Detects if the given trade item lays in time borders of the given candle.
/// </summary>
public static bool BelongsTo(this TradeHistoryItem trade, ICandle candle)
{
return(trade.DateTime.TruncateTo(candle.TimeInterval) == candle.Timestamp);
}
/// <summary>
/// Extends a candle by a trade, if trade's DateTime corresponds to candle's TimeStamp (i.e., the trade belongs to the same time period).
/// </summary>
public static ICandle ExtendBy(this ICandle self, TradeHistoryItem trade, decimal volumeMultiplier = 1.0M)
{
var tradeCandle = trade.CreateCandle(self.AssetPairId, self.PriceType, self.TimeInterval, volumeMultiplier);
return(self.ExtendBy(tradeCandle));
}
public override bool UpdateTrades(TickerBase ticker)
{
string address = string.Format("https://yobit.net/api/3/trades/{0}",
Uri.EscapeDataString(ticker.CurrencyPair));
string text = ((TickerBase)ticker).DownloadString(address);
if (string.IsNullOrEmpty(text))
{
return(false);
}
JObject obj2 = (JObject)JsonConvert.DeserializeObject(text);
JArray trades = (JArray)obj2.Value <JArray>(ticker.CurrencyPair);
if (trades.Count == 0)
{
return(true);
}
int lastTradeId = trades.First().Value <int>("tid");
long lastGotTradeId = ticker.TradeHistory.Count > 0 ? ticker.TradeHistory.First().Id : 0;
if (lastGotTradeId == lastTradeId)
{
ticker.TradeStatistic.Add(new TradeStatisticsItem()
{
Time = DateTime.UtcNow
});
if (ticker.TradeStatistic.Count > 5000)
{
for (int i = 0; i < 100; i++)
{
ticker.TradeStatistic.RemoveAt(0);
}
}
return(true);
}
TradeStatisticsItem st = new TradeStatisticsItem();
st.MinBuyPrice = double.MaxValue;
st.MinSellPrice = double.MaxValue;
st.Time = DateTime.UtcNow;
int index = 0;
foreach (JObject obj in trades)
{
DateTime time = new DateTime(1970, 1, 1).AddSeconds(obj.Value <long>("timestamp"));
int tradeId = obj.Value <int>("tid");
if (lastGotTradeId == tradeId)
{
break;
}
TradeHistoryItem item = new TradeHistoryItem();
bool isBuy = obj.Value <string>("type") == "bid";
item.AmountString = obj.Value <string>("amount");
item.Time = time;
item.Type = isBuy ? TradeType.Buy : TradeType.Sell;
item.RateString = obj.Value <string>("price");
item.Id = tradeId;
double price = item.Rate;
double amount = item.Amount;
item.Total = price * amount;
if (isBuy)
{
st.BuyAmount += amount;
st.MinBuyPrice = Math.Min(st.MinBuyPrice, price);
st.MaxBuyPrice = Math.Max(st.MaxBuyPrice, price);
st.BuyVolume += amount * price;
}
else
{
st.SellAmount += amount;
st.MinSellPrice = Math.Min(st.MinSellPrice, price);
st.MaxSellPrice = Math.Max(st.MaxSellPrice, price);
st.SellVolume += amount * price;
}
ticker.TradeHistory.Insert(index, item);
index++;
}
if (st.MinSellPrice == double.MaxValue)
{
st.MinSellPrice = 0;
}
if (st.MinBuyPrice == double.MaxValue)
{
st.MinBuyPrice = 0;
}
ticker.LastTradeStatisticTime = DateTime.UtcNow;
ticker.TradeStatistic.Add(st);
if (ticker.TradeStatistic.Count > 5000)
{
for (int i = 0; i < 100; i++)
{
ticker.TradeStatistic.RemoveAt(0);
}
}
return(true);
}
