// Given a Global market symbol ("ADA-BTC", "ETH-BTC", "LTC-BTC", ...)
// Return the ExchangeSymbol for the exchange on which this market trades
private XSymbol GetExchangeSymbol(string gsymbol)
{
XSymbol xs;
if (m_api.GlobalSymbols("BINANCE").Contains(gsymbol))
{
xs = new XSymbol("BINANCE", gsymbol);
}
else if (m_api.GlobalSymbols("BITTREX").Contains(gsymbol))
{
xs = new XSymbol("BITTREX", gsymbol);
}
else if (m_api.GlobalSymbols("HITBTC").Contains(gsymbol))
{
xs = new XSymbol("HITBTC", gsymbol);
}
//else if (m_api.GlobalSymbols("HUOBI").Contains(gsymbol))
// xs = new ExchangeSymbol("HUOBI", symbol, gsymbol);
else if (m_api.GlobalSymbols("YOBIT").Contains(gsymbol))
{
xs = new XSymbol("YOBIT", gsymbol);
}
else if (m_api.GlobalSymbols("CRYPTOPIA").Contains(gsymbol))
{
xs = new XSymbol("CRYPTOPIA", gsymbol);
}
else
{
xs = new XSymbol("", gsymbol);
}
return(xs);
}
/// <summary>
/// 根据符号值获取其字符串表示
/// </summary>
/// <param name="symbol"></param>
/// <returns></returns>
public static String GetStringFromSymbol(XSymbol symbol)
{
UInt16 symbolVal = (UInt16)symbol;
Byte[] bytes = { (Byte)((symbolVal & 0xFF00) >> 8), (Byte)(symbolVal & 0x00FF) };
return(Encoding.Default.GetString(bytes));
}
public void AnalyzeATR(XSymbol xs, int minutes, int atrLength)
{
var candles = m_maker.ReadCandles(xs.Exchange, xs.Symbol, minutes);
var atr = new AverageTrueRange(candles, atrLength);
atr.Values.ToList().ForEach(kv => Console.WriteLine("{0,20} {1:0.00000000}", kv.Key, kv.Value));
}
// Retrieve the current list of ATR values
private AverageTrueRange GetCurrentATR(XSymbol xs, int minutes, int atrLength)
{
var candles = m_maker.GetRecentCandles(xs, minutes);
var atr = new AverageTrueRange(candles, atrLength);
return(atr);
}
// where exchange like "BINANCE" and symbol like "BNBUSDT"
public void CreateCandlesFile(XSymbol xs, int minutes, int iterationCount = 10)
{
var candles = GetCandles(xs, minutes, iterationCount, true);
Console.WriteLine("Total candles: {0}", candles.Count);
WriteCandles(xs, minutes, candles);
}
// Display realized volatility for top-ranked (by market cap) cryptos from CoinMarketCap
private void DisplayRealizedVolatility(int limit = 50)
{
int numberOfBars = 12;
var top = m_cmc.GetRankings(limit);
foreach (var t in top)
{
var exchange = "BINANCE";
string symbol;
string[] mainSymbols = { "ADA", "BCC", "BNB", "BTC", "EOS", "ETH", "IOTA", "LTC", "NEO", "QTUM", "TUSD", "XLM", "XRP" };
if (mainSymbols.Contains(t.symbol))
{
symbol = t.symbol + "USDT";
}
else
{
symbol = t.symbol + "BTC";
}
var xs = new XSymbol(exchange, symbol);
var candles = m_maker.GetCandles(xs, 1440, 1);
if (candles.Count < numberOfBars)
{
continue;
}
var rvol = new RealizedVolatility(candles, numberOfBars);
//var mr = CoinMarketCapApi.GetMarkets(t.name);
//var marketExchanges = mr.Select(m => m.exchange).Distinct();
Console.WriteLine("{0,4} {1,-7} {2,6:0.00}", t.rank, t.symbol, rvol.Value);
}
}
// where exchange like "BINANCE" and symbol like "ETHUSDT"
public void CreateCandlesFiles(XSymbol xs)
{
CreateCandlesFile(xs, 24 * 60, 3);
CreateCandlesFile(xs, 60, 5);
CreateCandlesFile(xs, 30, 10);
CreateCandlesFile(xs, 5, 20);
CreateCandlesFile(xs, 1, 40);
}
public void RealizedVolTest()
{
var xs = new XSymbol("BINANCE", "TRXBTC");
var rvol0 = RVol(xs, 60, 12, 252 * 24); // 12 x 1-hour bars
//var rvol1 = RVol("BINANCE", "TRXBTC", 1440, 12); // 12 x 1-day bars
//var rvol2 = RVol("BINANCE", "BTCUSDT", 1440, 12);
//var rvol3 = RVol("BINANCE", "ETHUSDT", 1440, 12);
}
// where exchange like "BINANCE"
// where symbol like "TRXBTC"
public void DownloadHistoricalData(XSymbol xs)
{
m_maker.CreateCandlesFile(xs, 60 * 24, 3);
var it = 5;
m_maker.CreateCandlesFile(xs, 60, it);
m_maker.CreateCandlesFile(xs, 30, 2 * it);
m_maker.CreateCandlesFile(xs, 15, 4 * it);
m_maker.CreateCandlesFile(xs, 5, 12 * it);
m_maker.CreateCandlesFile(xs, 1, 60 * it);
}
public void Test()
{
//DisplayGainers(25);
//return;
DisplayRealizedVolatility(25);
return;
var xs = new XSymbol("BINANCE", "IOTXBTC");
FindBreakout(xs);
//FindAllBreakouts("HITBTC");
}
// Check a given ExchangeSymbol for breakout
public void FindBreakout(XSymbol xs)
{
try
{
int periodMinutes = 1;
var candles = m_api[xs.Exchange].GetCandles(xs.Symbol, periodMinutes * 60, null, null, 1000);
Console.WriteLine("[{0} {1}] candles count: {2}", xs.Exchange, xs.Symbol, candles.Count());
}
catch (Exception ex)
{
Console.WriteLine("ERROR: {0}", ex.Message);
}
}
private IEnumerable <XCandle> Candles(XSymbol xs, int periodMinutes = 1, DateTime?startDate = null, DateTime?endDate = null, int?limit = null)
{
try
{
int periodSeconds = periodMinutes * 60;
var candles = m_api[xs.Exchange].GetCandles(xs.Symbol, periodSeconds, startDate, endDate, limit);
return(candles.ToXCandles());
}
catch (Exception ex)
{
Console.WriteLine("{0}", ex.Message);
return(new List <XCandle>());
}
}
public decimal RVol(XSymbol xs, int minutes = 1440, int numberOfBars = 12, int numerator = 252, int iterationCount = 1)
{
var candles = GetCandles(xs, minutes, iterationCount, true);
var rvol = new RealizedVolatility(candles, numberOfBars, numerator);
var value = rvol.Value;
var t = m_api.bina.GetTicker(xs.Symbol);
//rvol.Range(out var low, out var high, t.MidPrice(), 2.0M);
//Console.WriteLine("[{0,-8} {1,-6}] minutes:{2} nbars:{3} Range: {4:0.00000000} - {5:0.00000000}", exchange, symbol, minutes, numberOfBars, low, high);
//Console.WriteLine("[{0,-8} {1,-6}] minutes:{2} nbars:{3} RealizedVol={4:0.00000000}", exchange, symbol, minutes, numberOfBars, value);
var rangeHeight = rvol.RangeHeight(t.MidPrice(), 2.0M); // height of +/- 2 stddev range around current Ticker price
Console.WriteLine("[{0,-8} {1,-6}] minutes:{2} nbars:{3} RangeHeight: {4:0.00000000}", xs.Exchange, xs.Symbol, minutes, numberOfBars, rangeHeight);
return(rangeHeight);
}
public void WriteCandles(XSymbol xs, int minutes, List <XCandle> candles)
{
string filename = string.Format("candles_{0}_{1}_{2}", xs.Exchange, xs.Symbol, GetBarPeriod(minutes * 60));
var fout = new OutputFile <MarketCandle>(filename, Folder.crypto_folder, false);
// Write candles to file
foreach (var c in candles)
{
var propValues = Reflection.GetPropertyValues <XCandle>(c);
var svalues = propValues.Select(p => string.Format("{0}", p));
var csv = string.Join(",", svalues);
//Console.WriteLine(csv);
fout.WriteLine(csv);
}
fout.Close();
}
public void RangeHeights(XSymbol xs, int minutes = 1440, int numberOfBars = 12, int numerator = 252, int iterationCount = 1)
{
var candles = GetCandles(xs, minutes, iterationCount, true);
var rvol = new RealizedVolatility(candles, numberOfBars, numerator);
var heights = rvol.RangeStdValues;
var candleMap = rvol.CandleMap;
var minuteCandles = GetCandles(xs, 1, 10, true);
var nstddev = 2.0M; // two standard deviations
foreach (var kv in heights)
{
var ts = kv.Key;
var stdValue = kv.Value;
var candle = candleMap[ts];
Console.WriteLine("{0} {1:0.00000000}", ts, 2 * nstddev * stdValue); // stddev goes up and down, so multiply by 2
}
//var t = m_api.bina.GetTicker(symbol);
}
public void StartScalper(XSymbol xs, OrderSide initSide, decimal size, int minutes = 30)
{
var candles = m_maker.GetRecentCandles(xs, minutes);
var c = candles.Last();
decimal initPrice = c.ClosePrice;
//var atr = GetCurrentATR(xs, minutes, atrLength: 12);
var atr = new AverageTrueRange(candles, atrLength: 12);
var atrDate = atr.Values.Last().Key;
var atrValue = atr.Values.Last().Value;
decimal scalp = (decimal)atrValue / 2.0M; // scalp is half of ATR
var kv = atr.Values.Last();
var pct = (kv.Value / (double)c.ClosePrice) * 100;
Console.WriteLine("[{0,-8} {1,8}] {2,2} minutes ATR: {3} {4:0.00000000} {5:0.0000}% ({6,3:0} bips) scalp:{7:0.00000000} size:{8,5} init_side:{9}", xs.Exchange, xs.Symbol, minutes, kv.Key, kv.Value, pct, pct * 100, scalp, size, initSide);
if (m_testOnly == false)
{
Task.Run(() => ScalperTask(xs, initSide, initPrice, size, scalp));
}
Thread.Sleep(m_testOnly ? 3500 : 1500); // slight delay so we don't choke the API
}
// Returns List of candles sorted by Timestamp
public List <XCandle> GetCandles(XSymbol xs, int minutes = 60, int iterationCount = 1, bool force = false, bool display = false)
{
var candles = Candles(xs, minutes).ToList();
int count = candles.Count;
if (count == 0)
{
return(candles);
}
DateTime firstTime = candles.First().Timestamp;
for (int i = 0; i < iterationCount; ++i)
{
if (display)
{
Console.WriteLine("[{0,-8} {1,-6}] Retrieved {2} candles", xs.Exchange, xs.Symbol, count);
}
//Console.WriteLine("first: {0}", firstTime);
var st = firstTime.Subtract(TimeSpan.FromMinutes(count * minutes));
var c = Candles(xs, minutes, st);
var lastTime = c.Last().Timestamp;
if (lastTime >= firstTime)
{
var subset = c.Where(r => r.Timestamp < firstTime);
candles.InsertRange(0, subset.ToList());
}
else
{
candles.InsertRange(0, c);
}
if (xs.Exchange == "BINANCE" && c.Count() < 1000)
{
break;
}
firstTime = candles.First().Timestamp;
}
return(candles.OrderBy(c => c.Timestamp).ToList());
}
// Display the ATR value for different bar periods (60, 30, 5, 1) along with their value relative to price as %/bips
private void DisplayATRs(XSymbol xs)
{
Console.WriteLine(new string('-', 100));
//int[] periods = { 60, 30, 5, 1 };
int[] periods = { 30 };
foreach (int minutes in periods)
{
try
{
var candles = m_maker.GetRecentCandles(xs, minutes);
var c = candles.Last();
//var atr = GetCurrentATR(xs, minutes, atrLength: 12);
var atr = new AverageTrueRange(candles, atrLength: 12);
var kv = atr.Values.Last();
var pct = (kv.Value / (double)c.ClosePrice) * 100;
Console.WriteLine("[{0,-8} {1,8}] {2,2} minutes ATR: {3} {4:0.00000000} {5:0.0000}% ({6:0} bips)", xs.Exchange, xs.Symbol, minutes, kv.Key, kv.Value, pct, pct * 100);
}
catch (Exception ex)
{
Console.WriteLine("[{0,-8} {1,8}] {2}", xs.Exchange, xs.Symbol, ex.Message);
}
}
}
public void AnalyzerTest()
{
m_maker = new CandlestickMaker();
//DownloadHistoricalData("BINANCE", "XMRBTC"); return;
/*var pathname = Path.Combine(Folder.crypto_folder, "analyzer_output.txt");
* OpenCoutFile(pathname);
*
* var renko = new Renko("BINANCE", "TRXBTC", 12);
* //var renko = new Renko("BINANCE", "NEOUSDT", 12);
*
* CloseCoutFile();*/
var xsym = new XSymbol("BINANCE", "BNBUSDT");
AnalyzeATR(xsym, 30, 12);
return;
BinanceRenko("XLMBTC");
BinanceRenko("ADAUSDT");
BinanceRenko("BCCUSDT");
BinanceRenko("BNBUSDT");
BinanceRenko("BTCUSDT");
BinanceRenko("ETHUSDT");
BinanceRenko("LTCUSDT");
BinanceRenko("NEOUSDT");
BinanceRenko("QTUMUSDT");
BinanceRenko("XRPUSDT");
BinanceRenko("XMRBTC");
BinanceRenko("ZECBTC");
BinanceRenko("ZRXBTC");
}
/// <summary>
/// 设置控制台的绘制符号
/// </summary>
/// <param name="symbol"></param>
public void SetDrawSymbol(XSymbol symbol)
{
this.m_symbol = symbol;
}
private void ScalperTask(XSymbol xs, OrderSide initSide, decimal initPrice, decimal amount, decimal scalp)
{
Console.WriteLine("\n===== Starting Scalper {0} init_price:{1:0.00000000} amount:{2} scalp:{3:0.00000000} =====", xs, initPrice, amount, scalp);
var api = m_api[xs.Exchange];
string strategyId = "scalper";
ExchangeOrderResult working;
if (initSide == OrderSide.Sell)
{
working = m_om.PlaceOrder(api, xs.Symbol, initSide, initPrice + scalp, amount, strategyId);
}
else
{
working = m_om.PlaceOrder(api, xs.Symbol, initSide, initPrice - scalp, amount, strategyId);
}
Console.WriteLine("\n NEW working order >>> {0} ", working.ToStr());
int count = 0;
while (true)
{
Thread.Sleep(m_testOnly ? 25000 : 15000);
var t = api.GetTicker(xs.Symbol);
//if (working.Result == ExchangeAPIOrderResult.Filled)
// If our working order has been filled
if (m_orders.Where(o => o.OrderId == working.OrderId).Count() == 0)
{
var buySell = working.IsBuy ? "BOT" : "SOLD";
var prowlEvt = string.Format("Fill {0} {1} {2:0.00000000}", working.Symbol, buySell, working.Price);
if (working.IsBuy)
{
working = m_om.PlaceOrder(api, xs.Symbol, OrderSide.Sell, initPrice + scalp, amount, strategyId);
}
else
{
working = m_om.PlaceOrder(api, xs.Symbol, OrderSide.Buy, initPrice - scalp, amount, strategyId);
}
Console.WriteLine("\n*** {0} ***\n NEW working order >>> {1}", prowlEvt, working.ToStr());
m_prowl.Send(prowlEvt, working.ToMsgStr());
}
else if (Math.Abs(t.Last - initPrice) > 2 * scalp) // if price breakout of range
{
string dir = "up";
if (t.Last < initPrice)
{
dir = "down";
}
if (working.Side() == initSide)
{
m_om.Cancel(working);
}
initPrice = t.Last;
if (initSide == OrderSide.Sell)
{
working = m_om.PlaceOrder(api, xs.Symbol, initSide, initPrice + scalp, amount, strategyId);
}
else
{
working = m_om.PlaceOrder(api, xs.Symbol, initSide, initPrice - scalp, amount, strategyId);
}
Console.WriteLine("\n*** Price Breakout {0} {1} ***\n NEW working order >>> {2} ", xs.Symbol, dir, working.ToStr());
//m_prowl.Send(string.Format("Breakout {0} {1}", working.Symbol, dir), working.ToMsgStr());
}
if (count % 4 == 0)
{
Console.Write(".");
}
//if (count % 10 == 0) Console.WriteLine("{0}", working.ToStr());
}
}
// Retrieve the current candle for the given bar period (minutes)
private XCandle GetCurrentCandle(XSymbol xs, int minutes)
{
var candles = m_maker.GetRecentCandles(xs, minutes);
return(candles.Last());
}
// Get the most recent candles with the specified bar period (minutes)
// Returns List of candles sorted by Timestamp
public List <XCandle> GetRecentCandles(XSymbol xs, int minutes = 60)
{
var candles = Candles(xs, minutes).ToList();
return(candles.OrderBy(c => c.Timestamp).ToList());
}
public void RangeHeightsTest()
{
var xs = new XSymbol("BINANCE", "TRXBTC");
RangeHeights(xs, 60, 12, 252 * 24); // 12 x 1-hour bars
}
/// <summary>
/// 构造函数
/// </summary>
public XDraw()
{
this.m_symbol = XSymbol.RECT_EMPTY;
this.m_backColor = ConsoleColor.Black;
}
/// <summary>
/// 使用指定颜色清屏
/// </summary>
public void Clear(ConsoleColor color)
{
this.m_symbol = XSymbol.DEFAULT;
this.m_backColor = color;
FillRect(0, 0, Console.WindowWidth >> 1, Console.WindowHeight, color);
}
public static XSourceEntity FindElementInFile(XFile file, XPETypeSymbol petype, XSymbol element)
{
var walker = new SourceWalker(file, false);
walker.Parse(false);
var entities = walker.EntityList;
XSourceEntity result = null;
if (petype.IsFunctionsClass)
{
foreach (var entity in entities)
{
if (entity.Prototype == element.Prototype)
{
result = entity;
break;
}
}
}
else
{
foreach (var entity in entities)
{
if (entity.FullName == element.FullName)
{
result = entity;
break;
}
}
}
return(result);
}
