private void LoadTrendCore(List <IDataPoint> trend)
{
if (trend != null)
{
trend.Clear();
}
const int timeRes = 25;
var r = new Random();
int g = r.Next(100);
if (g == 0)
{
g = 99;
}
double P = r.Next(100) / 100.0;
double amp = r.NextDouble() - 0.5;
double y = r.NextDouble() - 0.5;
int mode = r.Next(10) - 5;
if (mode > 0)
{
for (int i = 0; i < 100000; i++)
{
Trend.Add(new DataPointSimple(y + Math.Sin(4.0 * Math.PI / 100000.0 * i + P) * amp * 1.0 * i / 10000.0, new DateTime(timeRes * i), true, 0, null));
}
}
else
{
for (int i = 0; i < 100000; i++)
{
Trend.Add(new DataPointSimple(y + Math.Exp(i / 100000.0) * amp * 0.05 * i / 10000.0, new DateTime(timeRes * i), true, 0, null));
}
}
IsTrendLoaded = true;
}
/// <summary>
/// Adds a message duration to the consumer stats
/// </summary>
/// <param name="messageProducerId"></param>
/// <param name="duration"></param>
public static void Add(Guid messageProducerId, TimeSpan duration)
{
if (!_producers.ContainsKey(messageProducerId))
{
_producers[messageProducerId] = new Trend(messageProducerId);
}
_totals.Add(duration);
_producers[messageProducerId].Add(duration);
}
protected override decimal ComputeNextValue(IndicatorDataPoint input)
{
Price.Add(input);
if (Price.Samples > 2)
{
// From Ehlers page 16 equation 2.9
var it = (a - ((a / 2) * (a / 2))) * Price[0].Value + ((a * a) / 2) * Price[1].Value
- (a - (3 * (a * a) / 4)) * Price[2].Value + 2 * (1 - a) * Trend[0].Value
- ((1 - a) * (1 - a)) * Trend[1].Value;
Trend.Add(new IndicatorDataPoint(input.Time, it));
}
else
{
Trend.Add(new IndicatorDataPoint(input.Time, Price[0].Value));
}
return(Trend[0].Value);
}
protected override async Task ExecuteAsync(CancellationToken stoppingToken)
{
var trend =
await Cache.GetRecordAsync <Dictionary <int, List <Trend> > >(RedisKeyM)
?? new Dictionary <int, List <Trend> >();
Logger.LogInformation("Loaded {0} existing Trend rows.", trend.Count);
var forecast =
await Cache.GetCompressedRecordAsync <List <Data> >(RedisKeyF)
?? new List <Data>();
Logger.LogInformation("Loaded {0} existing Forecast rows.", forecast.Count);
string endpointM = $"http://api.openweathermap.org/data/2.5/group?id={string.Join(',', keys)}&units=metric&appid={Config["OpenWeatherApiKey"]}";
while (!stoppingToken.IsCancellationRequested)
{
var waitMins = (85 - DateTime.Now.Minute) % 60;
Logger.LogInformation("{0}, waiting until {1}, {2} minutes...", DateTimeOffset.Now, DateTime.Now.AddMinutes(waitMins), waitMins);
await Task.Delay((int)TimeSpan.FromMinutes(waitMins).TotalMilliseconds, stoppingToken);
try
{
using (var http = new HttpClient())
{
var responseM = await http.GetAsync(endpointM);
var temp = JsonSerializer.Deserialize <Response>(
await responseM.Content.ReadAsStringAsync(), JsonOptions);
foreach (var m in temp.list)
{
if (trend.TryGetValue(m.id, out var t))
{
var last = t[t.Count - 1];
if (!last.TimeStamp.Equals(m.dt))
{
t.Add(Trend.Add(t[t.Count - 1], m));
}
if (t.Count > 48)
{
t.RemoveAt(0);
}
}
else
{
trend.Add(m.id, new List <Trend>(new Trend[] { Trend.Add(null, m) }));
}
forecast.Add(new Data(DataType.actual, m.id, m.dt, 0, m.main, m.wind, m.clouds));
if (m.dt.Hour % 3 == 0)
{
string endpointF = $"http://api.openweathermap.org/data/2.5/forecast?id={m.id}&units=metric&appid={Config["OpenWeatherApiKey"]}";
var responseF = await http.GetAsync(endpointF);
var fc = JsonSerializer.Deserialize <Response>(await responseF.Content.ReadAsStringAsync(), JsonOptions);
forecast.AddRange(fc.list.Select(f => new Data(DataType.forecast, fc.city.id, f.dt, (int)(f.dt - m.dt).TotalMinutes, f.main, f.wind, f.clouds)));
}
}
forecast.RemoveAll(f => f.dt.CompareTo(DateTime.Now.AddDays(-4)) < 0);
await Cache.SetRecordAsync(RedisKeyM, trend);
await Cache.SetCompressedRecordAsync(RedisKeyF, forecast);
Logger.LogInformation("Saved {0} Trend Rows and {1} Forecast Rows.", trend.Count, forecast.Count);
}
}
catch (Exception ex)
{
Console.WriteLine(ex.Message);
}
await Task.Delay((int)TimeSpan.FromMinutes(2).TotalMilliseconds, stoppingToken);
}
}
static void Main(string[] args)
{
var apiKey = ConfigurationManager.AppSettings["ApiKey"];
var apiSecret = ConfigurationManager.AppSettings["SecretKey"];
var passPhrase = ConfigurationManager.AppSettings["PassPhrase"];
var trendSize = int.Parse(ConfigurationManager.AppSettings["TrendItemCount"]);
var windowSize = int.Parse(ConfigurationManager.AppSettings["TrendWindow"]);
var pauseInterval = int.Parse(ConfigurationManager.AppSettings["PauseInterval"]);
var playerQuota = decimal.Parse(ConfigurationManager.AppSettings["PlayerQuota"]);
var perBidValue = decimal.Parse(ConfigurationManager.AppSettings["PerBidValue"]);
Authenticator auth = new Authenticator(apiKey, apiSecret, passPhrase);
GDAXClient.GDAXClient client = new GDAXClient.GDAXClient(auth, false);
//var result = client.OrdersService.PlaceLimitOrderAsync(OrderSide.Buy, ProductType.LtcUsd, 0.5M, 20).Result;
var player = new Player(client, playerQuota, perBidValue);
var trend = new Trend(trendSize, windowSize);
var view = new ConsoleView(player, trend);
while (true)
{
try
{
var trades = client.ProductsService.GetProductTradesAsync(player.ProductType).Result.ToList();
var currentTicker = client.ProductsService.GetProductTickerAsync(player.ProductType).Result;
var buyTrades = trades.FindAll(t => t.Side == "buy");
var sellTrades = trades.FindAll(t => t.Side == "sell");
var tradeMedian = GetMedian(trades);
var buyMedian = GetMedian(buyTrades);
var sellMedian = GetMedian(sellTrades);
var buyVolume = buyTrades.Sum(t => t.Size);
var sellVolume = sellTrades.Sum(t => t.Size);
var trade = new Trade()
{
DateTime = currentTicker.Time,
Price = Decimal.Round(currentTicker.Price, 2),
BidPrice = Decimal.Round(currentTicker.Bid, 2),
AskPrice = Decimal.Round(currentTicker.Ask, 2),
TradeMedian = Decimal.Round(tradeMedian, 2),
BuyMedian = Decimal.Round(buyMedian, 2),
BuyVolume = Decimal.Round(buyVolume, 2),
SellMedian = Decimal.Round(sellMedian, 2),
SellVolume = Decimal.Round(sellVolume, 2)
};
trend.Add(trade);
view.Show();
//Console.WriteLine($"Time: {trade.DateTime}, Price: {trade.Price}, Bid: {trade.BidPrice}, Ask: {trade.AskPrice}, TradeM: {trade.TradeMedian}, BuyM: {trade.BuyMedian}, SellM: {trade.SellMedian}, BV: {trade.BuyVolume}, SV: {trade.SellVolume}, MedianScore: {trade.MedianScore}");
player.Play(trend, trade);
}
catch (Exception ex)
{
view.ShowError(ex);
Helper.WriteError(ex);
}
Thread.Sleep(pauseInterval);
}
}
