public async Task Handle(RoundtripTargetPriceHitIntegrationEvent @event)
{
try
{
var trace = await this._traceRepository.GetByInvestmentId(@event.InvestmentId);
if (trace == null)
{
return;
}
var idealPeriod = trace.IdealCandlePeriod;
int minAmounts = 0;
foreach (var strategy in trace.TradeStrategies)
{
if (strategy.GetIdealPeriod().Name == idealPeriod)
{
if (strategy.Strategy.MinimumAmountOfCandles > minAmounts)
{
minAmounts = strategy.Strategy.MinimumAmountOfCandles;
}
}
}
var period = CandlePeriod.FromName(idealPeriod);
DateTime fromWithWarmingPeriod = (DateTime)trace.DateStarted;
var oneCandleMinutes = CandlePeriodService.GetOneCandleMinutesByPeriod(period);
var currentTime = new RealTimeService().GetCurrentDateTime();
var to = currentTime.AddMinutes(-oneCandleMinutes);
fromWithWarmingPeriod = fromWithWarmingPeriod.AddMinutes(-oneCandleMinutes * (minAmounts + 1));
await this._trendAnalysisIntegrationEventService
.PublishThroughEventBusAsync(new TargetPriceCandleDataRequestedIntegrationEvent(
trace.TraceId,
@event.RoundtripId,
trace.Market.ExchangeId,
trace.Market.BaseCurrency,
trace.Market.QuoteCurrency,
idealPeriod,
@event.HitPrice,
fromWithWarmingPeriod,
to
));
}
catch (Exception ex)
{
Console.WriteLine("Handle Integration Event: RoundtripTargetPriceHitIntegrationEvent.");
Console.WriteLine("Result: Failure.");
Console.WriteLine("Error Message: " + ex.Message);
}
}
public async Task <IActionResult> UpdateCandlesFromExchange([FromBody] UpdateCandlesFromExchangeCommand command)
{
/* if (!ModelState.IsValid)
* {
* return BadRequest(ModelState);
* }
*/
try
{
DateTime dtDateTime = new DateTime(1970, 1, 1, 0, 0, 0, 0, System.DateTimeKind.Utc);
var from = dtDateTime.AddSeconds(command.From);
var to = dtDateTime.AddSeconds(command.To);
var candles = await this._exchangeAccessService.GetCandlesData(
command.ExchangeId,
command.BaseCurrency,
command.QuoteCurrency,
CandlePeriod.FromName(command.CandlePeriod),
from,
to);
var chart = await this._candleChartRepository
.GetByCurrencyPairAsync(command.BaseCurrency, command.QuoteCurrency, command.ExchangeId, CandlePeriod.FromName(command.CandlePeriod));
if (chart == null)
{
throw new KeyNotFoundException();
}
foreach (var candle in candles)
{
chart.UpdateCandle(candle.Timestamp, candle.High, candle.Low, candle.Open, candle.Close, candle.Volume);
}
await _context.SaveEntitiesAsync();
return(Ok(chart.CandleChartId));
}
catch (Exception ex)
{
return(NotFound(ex.Message));
}
}
public async Task Handle(PaperTradeDataCreatedIntegrationEvent @event)
{
try
{
var trace = await this._traceRepository.GetByTraceIdAsync(@event.TraceId);
if (trace == null)
{
return;
}
var candles = new List <Candle>();
foreach (var candle in @event.Candles)
{
candles.Add(new Candle(
candle.Timestamp,
candle.High,
candle.Low,
candle.Open,
candle.Close,
candle.Volume));
}
trace.CandleUpdated(candles, CandlePeriod.FromName(@event.CandlePeriod), new RealTimeService(), new IndicatorService(), @event.StrategyId);
_traceRepository.Update(trace);
await _traceRepository.UnitOfWork
.SaveEntitiesAsync();
}
catch (Exception ex)
{
Console.WriteLine("Handle Integraion Event: PaperTradeDataCreatedIntegrationEvent \n" +
"Result: Failure. \n" +
"Error Message: " + ex.Message);
}
}
public void StartTracing(ITimeService timeService, CandlePeriod idealCandlePeriod = null)
{
if (timeService == null)
{
throw new TrendAnalysisDomainException("Time service is not provided when operating on trace.");
}
if (idealCandlePeriod == null)
{
idealCandlePeriod = this.CalculateIdealCandlePeriod();
this.IdealCandlePeriod = idealCandlePeriod.Name;
}
else
{
this.IdealCandlePeriod = idealCandlePeriod.Name;
}
if (this.TraceStatus.Id == TraceStatus.Closed.Id)
{
throw new TrendAnalysisDomainException("Cannot start tracing after closed.");
}
if (this.TraceStatus.Id != TraceStatus.Started.Id)
{
if (!this.TradeStrategies.Any())
{
throw new TrendAnalysisDomainException("There must be at least one strategy before starting trace.");
}
this.DateStarted = timeService.GetCurrentDateTime();
this._traceStatusId = TraceStatus.Started.Id;
this.AddDomainEvent(new TraceStartedDomainEvent(
this.TraceId,
CandlePeriod.FromName(this.IdealCandlePeriod),
this.TraceStatus,
this.DateStarted ?? throw new TrendAnalysisDomainException("DateStarted missing when changing status.")));
}
}
public async Task Handle(BacktestingDataCreatedIntegrationEvent @event)
{
var traceId = @event.TraceId;
var candlesData = @event.Candles;
var existingTrace = await _traceRepository.GetByTraceIdAsync(traceId);
if (existingTrace == null)
{
return;
}
if (existingTrace.Investment.InvestmentId != @event.InvestmentId)
{
return;
}
if (existingTrace.Market.BaseCurrency != @event.BaseCurrency || existingTrace.Market.QuoteCurrency != @event.QuoteCurrency)
{
return;
}
DateTime dtDateTime = new DateTime(1970, 1, 1, 0, 0, 0, 0, System.DateTimeKind.Utc);
var from = dtDateTime.AddSeconds(@event.From);
var to = dtDateTime.AddSeconds(@event.To);
while (from.Second != 0)
{
from = from.AddSeconds(1);
}
var timeService = new BacktestingTimeService();
timeService.SetCurrentDateTime(from);
var currentDateTime = timeService.GetCurrentDateTime();
var pastCandles = new Dictionary <string, List <Candle> >();
foreach (var key in candlesData.Keys)
{
pastCandles.Add(key, new List <Candle>());
var warmingCandles = candlesData[key].Where(c => c.Timestamp < currentDateTime).OrderBy(c => c.Timestamp).ToList();
if (warmingCandles.Any())
{
warmingCandles.Remove(warmingCandles.Last());
foreach (var candle in warmingCandles)
{
pastCandles[key].Add(new Candle(
candle.Timestamp,
candle.High,
candle.Low,
candle.Open,
candle.Close,
candle.Volume));
}
}
}
try
{
while (currentDateTime <= to)
{
/*await this._trendAnalysisIntegrationEventService.PublishThroughEventBusAsync(new BacktestingTimePassIntegrationEvent(
* currentDateTime,
* traceId,
* @event.InvestmentId
* ));*/
foreach (var candles in candlesData)
{
var currentCandleIndex = candles.Value.FindIndex(c => c.Timestamp == currentDateTime);
Models.Candle matchedCandle = null;
if (currentCandleIndex != -1)
{
matchedCandle = candles.Value[currentCandleIndex - 1];
}
if (matchedCandle != null)
{
/*if (matchedCandle.Timestamp == new DateTime(2018, 12, 8, 12, 0, 0))
* {
* var testPause = 0;
* }*/
if (pastCandles.TryGetValue(candles.Key, out List <Candle> existingPastCandles))
{
existingPastCandles.Add(new Candle(
matchedCandle.Timestamp,
matchedCandle.High,
matchedCandle.Low,
matchedCandle.Open,
matchedCandle.Close,
matchedCandle.Volume));
if (candles.Key == CandlePeriod.OneMinute.Name)
{
var runningCandle = candles.Value.Where(c => c.Timestamp == currentDateTime.AddMinutes(1)).SingleOrDefault();
if (runningCandle != null)
{
var highestPrice = runningCandle.High;
var lowestPrice = runningCandle.Low;
//Only need next target price when current price cross current target price.
var targetPrice = Trace.CalculateTargetPrice(existingPastCandles, highestPrice);
await this._trendAnalysisIntegrationEventService
.PublishThroughEventBusAsync(new BacktestingPriceChangedIntegrationEvent(
traceId,
@event.InvestmentId,
currentDateTime,
highestPrice,
lowestPrice,
targetPrice
));
}
}
var processingTrace = await this._traceRepository.GetByTraceIdAsync(traceId);
var indicatorService = new IndicatorService();
processingTrace.CandleUpdated(existingPastCandles, CandlePeriod.FromName(candles.Key), timeService, new IndicatorService());
this._traceRepository.Update(processingTrace);
await this._traceRepository.UnitOfWork.SaveEntitiesAsync();
pastCandles[candles.Key] = existingPastCandles;
}
}
}
currentDateTime = currentDateTime.AddMinutes(1);
timeService.SetCurrentDateTime(currentDateTime);
}
}
catch (Exception ex)
{
Console.WriteLine("Handle Integration Event: BacktestingDataCreatedIntegrationEvent.");
Console.WriteLine("Result: Failure.");
Console.WriteLine("Error Message: " + ex.Message);
}
/*currentDateTime = currentDateTime.AddMinutes(-1);
* timeService.SetCurrentDateTime(currentDateTime);*/
var toFinishedTrace = await this._traceRepository.GetByTraceIdAsync(traceId);
toFinishedTrace.CloseTracing(timeService);
this._traceRepository.Update(toFinishedTrace);
await this._traceRepository.UnitOfWork.SaveEntitiesAsync();
}
public async Task Handle(TraceDataRequestedIntegrationEvent @event)
{
try
{
var exchangeId = @event.ExchangeId;
var baseCurrency = @event.BaseCurrency;
var quoteCurrency = @event.QuoteCurrency;
var period = CandlePeriod.FromName(@event.CandlePeriod);
//DateTime dtDateTime = new DateTime(1970, 1, 1, 0, 0, 0, 0, System.DateTimeKind.Utc);
var from = @event.From;
var to = @event.To;
var result = new List <CryptoTrading.Services.ExchangeAccess.API.Application.Models.Candle>();
var candleChart = await _candleChartRepository.GetByCurrencyPairAsync(baseCurrency, quoteCurrency, exchangeId, period);
if (candleChart != null)
{
var updatedChart = candleChart;
DateTime fromWithWarmingPeriod = from;
if (!candleChart.HasCompleteCandlesBetween(fromWithWarmingPeriod, to))
{
var candles = await this._exchangeAccessService.GetCandlesData(
exchangeId,
baseCurrency,
quoteCurrency,
period,
fromWithWarmingPeriod,
to);
foreach (var candle in candles)
{
candleChart.UpdateCandle(candle.Timestamp, candle.High, candle.Low, candle.Open, candle.Close, candle.Volume);
}
updatedChart = this._candleChartRepository.Update(candleChart);
await this._candleChartRepository.UnitOfWork.SaveEntitiesAsync();
}
var candlesData = updatedChart.GetCandles(fromWithWarmingPeriod, to);
foreach (var candle in candlesData)
{
result.Add(new CryptoTrading.Services.ExchangeAccess.API.Application.Models.Candle
{
Timestamp = candle.Timestamp,
Open = candle.Open,
Close = candle.Close,
High = candle.High,
Low = candle.Low,
Volume = candle.Volume
});
}
}
await this._exchangeAccessIntegrationEventService.PublishThroughEventBusAsync(
new PaperTradeDataCreatedIntegrationEvent(
@event.TraceId,
@event.StrategyId,
@event.CandlePeriod,
@event.ExchangeId,
@event.BaseCurrency,
@event.QuoteCurrency,
result));
}
catch (Exception ex)
{
Console.WriteLine("Handle Integration Event: TraceDataRequestedIntegrationEvent.");
Console.WriteLine("Result: Failure.");
Console.WriteLine("Error Message: " + ex.Message);
}
}
private CandlePeriod CalculateIdealCandlePeriod()
{
int oneMin = 0;
int fiveMins = 0;
int fifteenMins = 0;
int thirtyMins = 0;
int oneHour = 0;
int twoHours = 0;
int fourHours = 0;
int oneDay = 0;
int oneWeek = 0;
foreach (var strategy in this._tradeStrategies)
{
var min = GetPeriodMinute(strategy.GetIdealPeriod());
var hour = GetPeriodHour(strategy.GetIdealPeriod());
var day = GetPeriodDay(strategy.GetIdealPeriod());
var week = GetPeriodWeek(strategy.GetIdealPeriod());
if (min != 0)
{
if (min == 1)
{
oneMin += strategy.Weight;
}
else if (min == 5)
{
fiveMins += strategy.Weight;
}
else if (min == 15)
{
fifteenMins += strategy.Weight;
}
else if (min == 30)
{
thirtyMins += strategy.Weight;
}
}
else if (hour != 0)
{
if (hour == 1)
{
oneHour += strategy.Weight;
}
else if (hour == 2)
{
twoHours += strategy.Weight;
}
else if (hour == 4)
{
fourHours += strategy.Weight;
}
}
else if (day != 0)
{
if (day == 1)
{
oneDay += strategy.Weight;
}
}
else if (week != 0)
{
if (week == 1)
{
oneWeek += strategy.Weight;
}
}
}
var dic = new Dictionary <string, int>();
dic.Add(CandlePeriod.OneMinute.Name, oneMin);
dic.Add(CandlePeriod.FiveMinutes.Name, fiveMins);
dic.Add(CandlePeriod.FifteenMinutes.Name, fifteenMins);
dic.Add(CandlePeriod.ThirtyMinutes.Name, thirtyMins);
dic.Add(CandlePeriod.OneHour.Name, oneHour);
dic.Add(CandlePeriod.TwoHours.Name, twoHours);
dic.Add(CandlePeriod.FourHours.Name, fourHours);
dic.Add(CandlePeriod.OneDay.Name, oneDay);
dic.Add(CandlePeriod.OneWeek.Name, oneWeek);
var orderedDic = dic.OrderBy(p => p.Value);
var largest = orderedDic.Last();
return(CandlePeriod.FromName(largest.Key));
}
