/// <summary>
/// Get the FX Market history implied by the OHLC timeseries
/// </summary>
/// <param name="fiat"></param>
/// <param name="cpList"></param>
/// <param name="startDate"></param>
/// <param name="freq"></param>
/// <returns></returns>
public void UpdateFXMarketHistory(FXMarketHistory fxmh, Currency fiat, DateTime startDate,
Frequency freq = Frequency.Hour4)
{
ResetReadFiles();
// Need To Duplicate the market in order to have "clean" dates
List <CurrencyPair> cpList = new List <CurrencyPair>(fxmh.CpList);
List <Currency> fiatList = new List <Currency> {
};
foreach (CurrencyPair cp in cpList)
{
CurrencyPairTimeSeries cpts = new CurrencyPairTimeSeries(cp, freq);
CryptoFiatPair cfp = cp.GetCryptoFiatPair;
if (!cfp.IsNone)
{
FillFXMarketHistory(fxmh, cpts, startDate);
if (cfp.Fiat != fiat)
{
CurrencyPairTimeSeries cpts2 = new CurrencyPairTimeSeries(cfp.Crypto, fiat, freq);
FillFXMarketHistory(fxmh, cpts2, startDate);
if (!fiatList.Contains(cfp.Fiat))
{
fiatList.Add(cfp.Fiat);
}
}
}
}
foreach (Currency fiat_i in fiatList)
{
CurrencyPairTimeSeries cptsFiatPair = new CurrencyPairTimeSeries(fiat_i, fiat, freq);
FillFXMarketHistory(fxmh, cptsFiatPair, startDate);
}
}
public List <Tuple <DateTime, double> > GetFXTimeSeries(ITimeSeriesKey itsk, DateTime startDate)
{
List <Tuple <DateTime, double> > res = new List <Tuple <DateTime, double> >();
CurrencyPairTimeSeries cpts = CurrencyPairTimeSeries.RequestIDToCurrencyPairTimeSeries(itsk.GetTimeSeriesKey());
if (!Data.CpList.Contains(cpts.CurPair))
{
bool loadTs = !ReadFXHistory(cpts);
if (!loadTs)
{
return(res);
}
}
Frequency fq = itsk.GetFrequency();
if (fq.IsInferiorFrequency(Frequency.Day1))
{
fq = Frequency.Day1;
}
List <DateTime> schedule = fq.GetSchedule(DateTime.UtcNow, ScheduleDepth).Where(x => x > startDate).ToList();
bool doSave = false;
foreach (DateTime date in schedule)
{
var item = GetFullData(cpts.CurPair, date);
doSave = doSave || item.Item2;
res.Add(new Tuple <DateTime, double>(date, item.Item1));
}
if (doSave)
{
WriteFXHistory(cpts);
}
return(res);
}
/// <summary>
/// Get the FX Market history implied by the OHLC timeseries
/// </summary>
/// <param name="fiat"></param>
/// <param name="cpList"></param>
/// <param name="startDate"></param>
/// <param name="freq"></param>
/// <returns></returns>
public FXMarketHistory GetFXMarketHistory(Currency fiat, List <CurrencyPair> cpList, DateTime startDate,
Frequency freq = Frequency.Hour4)
{
// Need To Duplicate the market in order to have "clean" dates
FXMarketHistory fxmh = new FXMarketHistory(freq);
List <Currency> fiatList = new List <Currency> {
};
foreach (CurrencyPair cp in cpList)
{
CurrencyPairTimeSeries cpts = new CurrencyPairTimeSeries(cp, freq);
FillFXMarketHistory(fxmh, cpts, startDate);
CryptoFiatPair cfp = cp.GetCryptoFiatPair;
if (cfp.Fiat != fiat)
{
CurrencyPairTimeSeries cpts2 = new CurrencyPairTimeSeries(cfp.Crypto, fiat, freq);
FillFXMarketHistory(fxmh, cpts2, startDate);
if (!fiatList.Contains(cfp.Fiat))
{
fiatList.Add(cfp.Fiat);
}
}
}
foreach (Currency fiat_i in fiatList)
{
CurrencyPairTimeSeries cptsFiatPair = new CurrencyPairTimeSeries(fiat_i, fiat, freq);
FillFXMarketHistory(fxmh, cptsFiatPair, startDate);
}
return(fxmh);
}
public void WriteFXHistory(CurrencyPairTimeSeries cpts)
{
string pathLib = GetFXLibraryPath(cpts);
this.PublishInfo($"Saving FX: {cpts.CurPair.ToString()}");
StringBuilder sb = new StringBuilder();
sb.AppendLine("Time,Close");
IEnumerable <DateTime> DateList = Data.GetAllDates();
//DateList = cpts.Freq.GetSchedule(DateList.First(), DateList.Last(), true);
foreach (DateTime date in DateList)
{
double close = Data.GetQuote(date, cpts.CurPair).Item2.Rate;
Int64 dateUnix = StaticLibrary.DateTimeToUnixTimeStamp(date);
//if (StaticLibrary.UnixTimeStampToDateTime(dateUnix + FXMinimunFrequency.GetFrequency(true)) < DateTime.UtcNow)
if (StaticLibrary.UnixTimeStampToDateTime(dateUnix) < DateTime.UtcNow)
{
sb.AppendLine($"{dateUnix},{close}");
}
else
{
this.PublishInfo($"Stopped at line: {StaticLibrary.UnixTimeStampToDateTime(dateUnix)}");
}
}
File.WriteAllText(pathLib, sb.ToString());
}
public Dictionary <DateTime, double> LoadData(CurrencyPairTimeSeries cpts, int depth = 100)
{
if (File.Exists(GetFXLibraryPath(cpts)) && !Data.CpList.Contains(cpts.CurPair))
{
ReadFXHistory(cpts);
}
Dictionary <DateTime, double> dict = new Dictionary <DateTime, double> {
};
Frequency freq = cpts.Freq;
if (freq < FXMinimunFrequency || freq == Frequency.None)
{
freq = FXMinimunFrequency;
}
List <DateTime> dateList = freq.GetSchedule(DateTime.UtcNow, depth);
bool doSave = false;
foreach (DateTime date in dateList)
{
var item = GetFullData(cpts.CurPair, date);
doSave = doSave || item.Item2;
dict.Add(date, item.Item1);
}
if (doSave)
{
WriteFXHistory(cpts);
}
return(dict);
}
/// <summary>
/// Update and save new OHLC data if needed
/// </summary>
/// <param name="cpts"></param>
private void UpdateAndSaving(CurrencyPairTimeSeries cpts)
{
bool doSave = true;
if (OHLCData.ContainsKey(cpts.GetTimeSeriesKey()))
{
DateTime lastDate = StaticLibrary.UnixTimeStampToDateTime(OHLCData[cpts.GetTimeSeriesKey()].Last().Time);
if (DateTime.UtcNow.Subtract(lastDate).TotalSeconds > 2 * cpts.Freq.GetFrequency(inSecs: true))
{
if (UseInternet)
{
UpdateData(cpts);
}
}
else
{
doSave = false;
}
}
else
{
throw new NotImplementedException("You should have loaded the data before you got there (readed from csv or downloaded)");
}
if (doSave && SaveableFrequency(cpts.Freq))
{
SaveOHLC(cpts);
}
}
/// <summary>
/// Add to loaded OHLC data the new information from Kraken
/// </summary>
/// <param name="cpts"></param>
private void UpdateData(CurrencyPairTimeSeries cpts)
{
string cpID = cpts.CurPair.GetRequestID();
List <OHLC> newData = GetKrakenOHLC(cpts.CurPair, cpts.Freq).Pairs[cpts.CurPair.GetRequestID()];
List <OHLC> currentData = OHLCData[cpts.GetTimeSeriesKey()];
int lastDate = currentData.Last().Time;
foreach (OHLC item in newData)
{
if (lastDate < item.Time)
{
currentData.Add(item);
}
}
}
/// <summary>
/// Get OHLC timeseries (possibly post-processed into an index)
/// </summary>
/// <param name="itsk"></param>
/// <param name="isIndex"></param>
/// <returns></returns>
public List <Tuple <DateTime, double> > GetTimeSeries(ITimeSeriesKey itsk, bool isIndex, DateTime startDate)
{
TimeSeriesKeyType type = itsk.GetKeyType();
if (type == TimeSeriesKeyType.CurrencyPair)
{
CurrencyPairTimeSeries cpts = CurrencyPairTimeSeries.RequestIDToCurrencyPairTimeSeries(itsk.GetTimeSeriesKey());
if (!cpts.IsFiatPair)
{
return(KrakenData.GetTimeSeries(itsk, isIndex, startDate));
}
else
{
return(FXData.GetFXTimeSeries(itsk, startDate));
}
}
throw new NotImplementedException();
}
public void LoadPrices(List <ITimeSeriesKey> TimeSeriesKeyList, bool useLowerFrequencies = false)
{
foreach (ITimeSeriesKey itsk in TimeSeriesKeyList)
{
if (itsk.GetKeyType() == TimeSeriesKeyType.CurrencyPair)
{
CurrencyPairTimeSeries cpts = CurrencyPairTimeSeries.RequestIDToCurrencyPairTimeSeries(itsk.GetTimeSeriesKey());
if (!cpts.CurPair.IsIdentity)
{
if (!cpts.CurPair.IsFiatPair)
{
KrakenData.LoadOHLC(itsk, useLowerFrequencies);
}
else
{
FXData.LoadData(cpts);
}
}
}
}
}
/// <summary>
/// Write additional OHLC information locally
/// </summary>
/// <param name="cpts"></param>
private void SaveOHLC(CurrencyPairTimeSeries cpts)
{
string pathLib = GetOHLCLibraryPath(cpts.CurPair, cpts.Freq);
this.PublishInfo($"Saving OHLC: {cpts.CurPair.ToString()} {cpts.Freq.ToString()}");
StringBuilder sb = new StringBuilder();
sb.AppendLine("Time,Open,High,Low,Close,Volume,Vwap,Count");
foreach (OHLC item in OHLCData[cpts.GetTimeSeriesKey()])
{
//Console.WriteLine($"Saving data: {UnixTimeStampToDateTime(item.Time)}");
if (StaticLibrary.UnixTimeStampToDateTime(item.Time + cpts.Freq.GetFrequency(true)) < DateTime.UtcNow)
{
sb.AppendLine($"{item.Time},{item.Open},{item.High},{item.Low},{item.Close},{item.Volume},{item.Vwap},{item.Count}");
}
else
{
this.PublishInfo($"Stopped at line: {StaticLibrary.UnixTimeStampToDateTime(item.Time)}");
}
}
File.WriteAllText(pathLib, sb.ToString());
}
/// <summary>
/// Auxiliary function in order to fill in the FX Market History (including the increasing Frequency feature)
/// </summary>
/// <param name="fxmh"></param>
/// <param name="cpts"></param>
/// <param name="startDate"></param>
private void FillFXMarketHistory(FXMarketHistory fxmh, CurrencyPairTimeSeries cpts, DateTime startDate)
{
List <Tuple <DateTime, double> > ts = GetTimeSeries(cpts, isIndex: false, startDate: startDate);
if (ts.Count > 0)
{
foreach (Tuple <DateTime, double> item in ts)
{
fxmh.AddQuote(item.Item1, new XChangeRate(item.Item2, cpts.CurPair));
}
}
DateTime firstDate = fxmh.GetFirstDate(cpts.CurPair);
if (firstDate > startDate)
{
CurrencyPairTimeSeries newCpts = (CurrencyPairTimeSeries)cpts.Clone();
newCpts.IncreaseFreq();
if (newCpts.Freq != Frequency.None)
{
FillFXMarketHistory(fxmh, newCpts, startDate);
}
}
}
/// <summary>
/// Create, Update and Save OHLC data (as much as needed)
/// </summary>
/// <param name="itsk"></param>
/// <param name="useLowerFrequencies"></param>
public void LoadOHLC(ITimeSeriesKey itsk, bool useLowerFrequencies = false)
{
if (itsk.GetKeyType() == TimeSeriesKeyType.CurrencyPair)
{
CurrencyPairTimeSeries cpts = CurrencyPairTimeSeries.RequestIDToCurrencyPairTimeSeries(itsk.GetTimeSeriesKey());
if (!cpts.CurPair.IsIdentity)
{
if (cpts.Freq == Frequency.None)
{
cpts.Freq = SavingMinimumFrequency.GetNextFrequency();
}
List <Frequency> freqList = (useLowerFrequencies && SaveableFrequency(cpts.Freq)) ? cpts.Freq.GetFrequencyList() : new List <Frequency> {
cpts.Freq
};
foreach (Frequency item in freqList)
{
CurrencyPairTimeSeries newCpts = (CurrencyPairTimeSeries)cpts.Clone();
newCpts.Freq = item;
LoadOHLCCore(newCpts);
}
}
}
}
/// <summary>
/// Create, Update and Save OHLC data as much as needed
/// </summary>
/// <param name="cpts"></param>
private void LoadOHLCCore(CurrencyPairTimeSeries cpts)
{
CurrencyPair ccyPair = cpts.CurPair;
Frequency freq = cpts.Freq;
if (OHLCData.ContainsKey(cpts.GetTimeSeriesKey()))
{
UpdateAndSaving(cpts);
}
else
{
if (SaveableFrequency(freq) && File.Exists(GetOHLCLibraryPath(ccyPair, freq)))
{
OHLCData[cpts.GetTimeSeriesKey()] = ReadOHLC(ccyPair, freq).Pairs[ccyPair.GetRequestID()];
UpdateAndSaving(cpts);
}
else
{
OHLCData[cpts.GetTimeSeriesKey()] = GetKrakenOHLC(ccyPair, freq).Pairs[ccyPair.GetRequestID()];
SaveOHLC(cpts);
}
}
}
private bool ReadFXHistory(CurrencyPairTimeSeries cpts)
{
string pathLib = GetFXLibraryPath(cpts);
if (!File.Exists(pathLib))
{
cpts = cpts.GetCloneWithInverseCcyPair();
pathLib = GetFXLibraryPath(cpts);
}
if (!File.Exists(pathLib))
{
return(false);
}
if (ReadFiles.Contains(cpts.GetFullName()))
{
return(true);
}
ReadFiles.Add(cpts.GetFullName());
List <string[]> csv = StaticLibrary.LoadCsvFile(pathLib);
bool isHeaders = true;
string[] headers = null;
foreach (string[] array in csv)
{
if (isHeaders)
{
headers = array; isHeaders = false;
}
else
{
OHLC ohlc = DataLibraryStaticLibrary.ReadOHLCItems(array, headers);
Data.AddQuote(StaticLibrary.UnixTimeStampToDateTime(ohlc.Time), new XChangeRate((double)ohlc.Close, cpts.CurPair));
}
}
return(false);
}
public string GetFXLibraryPath(CurrencyPairTimeSeries cpts)
{
return($"{FXPath}\\{cpts.CurPair.GetRequestID()}.csv");
}