public Trade CreateOrder(string broker, decimal entryOrder, Candle latestCandle,
TradeDirection direction, decimal amount, string market, string baseAsset, DateTime?orderExpireTime,
decimal?stop, decimal?limit, CalculateOptions calculateOptions = CalculateOptions.Default)
{
var orderDateTime = latestCandle.CloseTime();
var trade = new Trade {
CalculateOptions = calculateOptions
};
trade.SetOrder(orderDateTime, entryOrder, market, direction, amount, orderExpireTime);
if (stop != null)
{
trade.AddStopPrice(orderDateTime, stop.Value);
}
if (limit != null)
{
trade.AddLimitPrice(orderDateTime, limit.Value);
}
trade.Broker = broker;
trade.BaseAsset = baseAsset;
if (direction == TradeDirection.Long)
{
trade.OrderType = (float)entryOrder <= latestCandle.CloseAsk ? OrderType.LimitEntry : OrderType.StopEntry;
}
else
{
trade.OrderType = (float)entryOrder <= latestCandle.CloseBid ? OrderType.StopEntry : OrderType.LimitEntry;
}
return(trade);
}
public static void SetTradeEntryPrice(this Trade trade, Candle lastCandle, double price)
{
if (trade.CloseDateTime != null)
{
MessageBox.Show("Trade is now closed");
return;
}
if (trade.EntryPrice != null)
{
MessageBox.Show("Trade is now open so cannot set trade order price");
return;
}
trade.AddOrderPrice(lastCandle.CloseTime(), (decimal)price);
if (trade.TradeDirection == TradeDirection.Long)
{
trade.OrderType = price < lastCandle.CloseAsk ? OrderType.LimitEntry : OrderType.StopEntry;
}
else
{
trade.OrderType = price < lastCandle.CloseBid ? OrderType.StopEntry : OrderType.LimitEntry;
}
}
private Candle?CreateCandle(IBinanceKline kline, string market, Timeframe timefame)
{
var c = new Candle
{
CloseTimeTicks = kline.CloseTime.Ticks,
IsComplete = kline.CloseTime <= DateTime.UtcNow ? (byte)1 : (byte)0,
CloseBid = (float)kline.CommonClose,
HighBid = (float)kline.CommonHigh,
LowBid = (float)kline.CommonLow,
OpenTimeTicks = kline.OpenTime.Ticks,
OpenBid = (float)kline.CommonOpen,
Volume = (float)kline.CommonVolume,
CloseAsk = (float)kline.CommonClose,
HighAsk = (float)kline.CommonHigh,
LowAsk = (float)kline.CommonLow,
OpenAsk = (float)kline.CommonOpen
};
var interval = (c.CloseTime() - c.OpenTime()).TotalSeconds;
if ((int)timefame != Math.Round(interval))
{
// throw new ApplicationException("Candle timeframe wrong"); // Some candles are wrong length (Seen some in 2018 date ranges)
}
if (c.OpenTimeTicks > c.CloseTimeTicks)
{
//throw new ApplicationException("Candle open time is later the close time");
Log.Warn($"Binance candle ignored {market} {c} {timefame}");
return(null);
}
return(c);
}
public static void TrailIndicatorValues(Trade trade, Candle candle, IndicatorValues indicatorValues)
{
if (trade.EntryDateTime == null || trade.EntryPrice == null || !indicatorValues.HasValue || trade.InitialStop == null)
{
return;
}
// Get current
var currentIndicatorValue = (decimal)indicatorValues.Value;
// Get value at the time of the trade
var index = indicatorValues.Values.BinarySearchGetItem(i => indicatorValues.Values[i].TimeTicks, 0, trade.EntryDateTime.Value.Ticks, BinarySearchMethod.PrevLowerValueOrValue);
if (index == -1)
{
return;
}
var initialIndicator = indicatorValues[index];
if (initialIndicator == null)
{
return;
}
var initialIndicatorValue = initialIndicator.Value;
var stopDist = Math.Abs((decimal)initialIndicatorValue - trade.InitialStop.Value);
var newStop = trade.TradeDirection == TradeDirection.Long
? currentIndicatorValue - stopDist
: currentIndicatorValue + stopDist;
if (trade.StopPrice != newStop)
{
if (trade.TradeDirection == TradeDirection.Long && newStop > trade.StopPrice)
{
trade.AddStopPrice(candle.CloseTime(), newStop);
}
else if (trade.TradeDirection == TradeDirection.Short && newStop < trade.StopPrice)
{
trade.AddStopPrice(candle.CloseTime(), newStop);
}
}
}
public static void ClearLimit(this Trade trade, Candle lastCandle)
{
if (trade.CloseDateTime != null)
{
MessageBox.Show("Trade is now closed");
return;
}
if (trade.EntryPrice != null)
{
MessageBox.Show("Trade is now open so cannot clear limit");
return;
}
if (trade.LimitPrices.Count > 0)
{
trade.AddLimitPrice(lastCandle.CloseTime(), null);
}
}
public static void ClearStop(this Trade trade, Candle lastCandle)
{
if (trade.CloseDateTime != null)
{
MessageBox.Show("Trade is now closed");
return;
}
if (trade.EntryPrice != null)
{
MessageBox.Show("Trade is now open so cannot clear stop");
return;
}
if (trade.StopPrices.Count > 0)
{
var date = lastCandle.CloseTime();
trade.AddStopPrice(date, null);
}
}
public static void SetTradeLimit(this Trade trade, Candle lastCandle, double price)
{
if (trade.CloseDateTime != null)
{
MessageBox.Show("Trade is now closed");
return;
}
if (trade.TradeDirection == TradeDirection.Long && ((trade.OrderPrice == null && price < lastCandle.CloseBid) || (trade.OrderPrice != null && trade.EntryPrice == null && (decimal)price < trade.OrderPrice.Value)))
{
MessageBox.Show("Invalid limit", "Invalid value", MessageBoxButton.OK);
return;
}
if (trade.TradeDirection == TradeDirection.Short && ((trade.OrderPrice == null && price > lastCandle.CloseAsk) || (trade.OrderPrice != null && trade.EntryPrice == null && (decimal)price > trade.OrderPrice.Value)))
{
MessageBox.Show("Invalid limit", "Invalid value", MessageBoxButton.OK);
return;
}
var date = lastCandle.CloseTime();
if (trade.EntryDateTime != null)
{
foreach (var limit in trade.LimitPrices.ToList())
{
if (limit.Date == date)
{
trade.RemoveLimitPrice(trade.LimitPrices.IndexOf(limit));
}
}
trade.AddLimitPrice(date, (decimal)price);
}
else
{
trade.ClearLimitPrices();
trade.AddLimitPrice(date, (decimal)price);
}
}
public static void SetTradeStop(this Trade trade, Candle lastCandle, double price)
{
if (trade.CloseDateTime != null)
{
MessageBox.Show("Trade is now closed");
return;
}
if (trade.TradeDirection == TradeDirection.Long && ((trade.OrderPrice == null && price > lastCandle.CloseBid) || (trade.OrderPrice != null && trade.EntryPrice == null && (decimal)price > trade.OrderPrice.Value)))
{
MessageBox.Show("Invalid stop", "Invalid value", MessageBoxButton.OK);
return;
}
if (trade.TradeDirection == TradeDirection.Short && ((trade.OrderPrice == null && price < lastCandle.CloseAsk) || (trade.OrderPrice != null && trade.EntryPrice == null && (decimal)price < trade.OrderPrice.Value)))
{
MessageBox.Show("Invalid stop", "Invalid value", MessageBoxButton.OK);
return;
}
var date = lastCandle.CloseTime();
trade.AddStopPrice(date, (decimal)price);
}