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 <string, PnLElement> ToTable(FXMarketHistory fxmh, DateTime date)
{
int n = PnLs.Count + 1;
Dictionary <string, PnLElement> res = new Dictionary <string, PnLElement> {
};
PnLElement total = new PnLElement();
foreach (Currency ccy in PnLs.Keys)
{
CurrencyPair cpCcy = new CurrencyPair(ccy, CcyRef);
XChangeRate xrCcy = fxmh.GetQuote(date, cpCcy, isArtificial: true).Item2;
Tuple <string, PnLElement> item = PnLs[ccy].ToArray(xrCcy, date);
res.Add(item.Item1, item.Item2);
total.Position += item.Item2.Position * item.Item2.xChangeRate.Value;
total.OnGoingPnL += item.Item2.OnGoingPnL;
total.Fees += item.Item2.Fees;
total.RealizedPnL += item.Item2.RealizedPnL;
total.Deposit += item.Item2.Deposit;
total.Withdrawal += item.Item2.Withdrawal;
}
total.Weight = 1.0;
res.Add("Total", total);
foreach (Currency key in PnLs.Keys)
{
PnLElement item = res[key.ToFullName()];
item.Weight = item.Position * item.xChangeRate / total.Position;
res[key.ToFullName()] = item;
}
return(res);
}
public XChangeRate GetAdjustedFXRate(DateTime date, XChangeRate tx_xr, FXMarketHistory fxmh)
{
if (CpRef.IsFiatPair)
{
return(fxmh.GetQuote(date, CpRef, isArtificial: true).Item2);
}
CryptoFiatPair cfp = tx_xr.CcyPair.GetCryptoFiatPair;
if (cfp.IsNone)
{
return(fxmh.GetQuote(date, tx_xr.CcyPair, isArtificial: true).Item2);
}
CurrencyPair cp = new CurrencyPair(cfp.Fiat, CcyRef);
XChangeRate mkt_rate = fxmh.GetQuote(date, cp, isArtificial: true).Item2;
double alpha = 1;
if (Ccy != tx_xr.CcyPair.Ccy1)
{
alpha = -1;
}
return(new XChangeRate(mkt_rate.Rate * Math.Pow(tx_xr.Rate, alpha), cfp.Crypto, cfp.Fiat));
}
public void FXMktHistory_GetQuote()
{
FXMarketHistory fxMH = MarketTestTools.CreateMktHistory();
CurrencyPair cp = new CurrencyPair(Currency.XBT, Currency.USD);
Tuple <DateTime, XChangeRate> xr1 =
fxMH.GetQuote(MarketTestTools.dateArt, cp,
isArtificial: true);
Tuple <DateTime, XChangeRate> xr2 =
fxMH.GetQuote(MarketTestTools.dateArt, cp,
isArtificial: false, isExactDate: false);
Tuple <DateTime, XChangeRate> xr3 =
fxMH.GetQuote(MarketTestTools.dateArt, cp,
isArtificial: false, isExactDate: true);
bool test1 = xr1.Item1 == MarketTestTools.dateArt &&
xr1.Item2.Equals(MarketTestTools.XbtUsdArtRate);
bool test2 = xr2.Item1 == MarketTestTools.date1 &&
xr2.Item2.Equals(fxMH.GetRealFXMarket(MarketTestTools.date1).GetQuote(cp));
bool test3 = xr3.Item1 == MarketTestTools.dateArt &&
xr3.Item2 == null;
Assert.IsTrue(test1 && test2 && test3);
}
public void AddTransactions(SortedList <DateTime, Transaction> txList, FXMarketHistory fxmh)
{
PnLElements = new SortedDictionary <DateTime, PnLElement> {
};
DateTime lastDate = new DateTime(2008, 1, 1);
foreach (var item in txList)
{
Transaction tx = item.Value;
if ((tx.Date.ToOADate() - lastDate.ToOADate()) * 24 * 60 * 60 < 1)
{
lastDate = lastDate.AddSeconds(1);
}
else
{
lastDate = tx.Date;
}
bool justFees = true;
if (tx.Received.Ccy == Ccy)
{
justFees = false;
switch (tx.Type)
{
case TransactionType.Deposit:
if (Ccy.IsFiat())
{
PnLElement pnlD = GetLastPnLElement();
PnLElement newPnLD = (PnLElement)pnlD.Clone();
CurrencyPair cpD = new CurrencyPair(tx.Received.Ccy, CcyRef);
XChangeRate xrD = fxmh.GetQuote(lastDate, cpD, isArtificial: true).Item2;
double newWeightD = 1 / (1 + pnlD.Position / tx.Received.Amount);
newPnLD.AverageCost = (1 - newWeightD) * pnlD.AverageCost + newWeightD * xrD.Rate;
newPnLD.Position += tx.Received.Amount;
newPnLD.Deposit += tx.Received.Amount * xrD.Rate;
PnLElements.Add(lastDate, newPnLD);
}
else
{
PnLElement pnlDCrypto = GetLastPnLElement();
PnLElement newPnLDCrypto = (PnLElement)pnlDCrypto.Clone();
newPnLDCrypto.Position -= tx.Fees.Amount;
newPnLDCrypto.Fees += tx.Fees.Amount;
PnLElements.Add(lastDate, newPnLDCrypto);
}
break;
case TransactionType.Trade:
PnLElement pnlT = GetLastPnLElement();
PnLElement newPnLT = (PnLElement)pnlT.Clone();
CurrencyPair cpT = new CurrencyPair(tx.Received.Ccy, CcyRef);
//XChangeRate xrT = fxmh.GetQuote(lastDate, cpT, isArtificial: true).Item2;
XChangeRate xrT = GetAdjustedFXRate(lastDate, tx.XRate, fxmh);
double amount = tx.Received.Amount;
if (tx.Fees.Ccy == Ccy)
{
amount -= tx.Fees.Amount;
newPnLT.Fees += tx.Fees.Amount * xrT.Rate;
}
double newWeight = 1 / (1 + pnlT.Position / amount);
newPnLT.AverageCost = (1 - newWeight) * pnlT.AverageCost + newWeight * xrT.Rate;
newPnLT.Position += amount;
PnLElements.Add(lastDate, newPnLT);
break;
case TransactionType.Transfer:
PnLElement pnlTf = GetLastPnLElement();
PnLElement newPnLTf = (PnLElement)pnlTf.Clone();
newPnLTf.Position += tx.Received.Amount;
double newWeightTf = 1 / (1 + pnlTf.Position / tx.Received.Amount);
newPnLT.AverageCost = (1 - newWeightTf) * pnlTf.AverageCost + newWeightTf * 0;
PnLElements.Add(lastDate, newPnLTf);
break;
default:
break;
}
}
if (tx.Paid.Ccy == Ccy)
{
justFees = false;
switch (tx.Type)
{
case TransactionType.Trade:
PnLElement pnlTrade = GetLastPnLElement();
PnLElement newPnLTrade = (PnLElement)pnlTrade.Clone();
newPnLTrade.Position -= tx.Paid.Amount;
Price feesT = tx.Fees;
if (tx.Fees.Ccy == Ccy)
{
CurrencyPair cpFT = new CurrencyPair(feesT.Ccy, CcyRef);
XChangeRate xrFT = fxmh.GetQuote(lastDate, cpFT, isArtificial: true).Item2;
newPnLTrade.Fees += xrFT.ConvertPrice(feesT).Amount;
newPnLTrade.Position -= feesT.Amount;
}
CurrencyPair cpT2 = new CurrencyPair(tx.Paid.Ccy, CcyRef);
//XChangeRate xrT2 = fxmh.GetQuote(lastDate, cpT2, isArtificial: true).Item2;
XChangeRate xrT2 = GetAdjustedFXRate(lastDate, tx.XRate, fxmh);
newPnLTrade.RealizedPnL += tx.Paid.Amount * (xrT2.Rate - newPnLTrade.AverageCost);
PnLElements.Add(lastDate, newPnLTrade);
break;
case TransactionType.WithDrawal:
PnLElement pnl = GetLastPnLElement();
PnLElement newPnLW = (PnLElement)pnl.Clone();
Price feesW = tx.Fees;
CurrencyPair cpW = new CurrencyPair(feesW.Ccy, CcyRef);
XChangeRate xW = fxmh.GetQuote(lastDate, cpW, isArtificial: true).Item2;
newPnLW.Fees += xW.ConvertPrice(feesW).Amount;
newPnLW.Position -= feesW.Amount;
if (tx.Paid.Ccy.IsFiat())
{
newPnLW.Position -= tx.Paid.Amount;
newPnLW.Withdrawal += xW.ConvertPrice(tx.Paid).Amount;
newPnLW.RealizedPnL += (tx.Paid.Amount + feesW.Amount) * (xW.Rate - newPnLW.AverageCost);
}
else
{
newPnLW.RealizedPnL += feesW.Amount * (xW.Rate - newPnLW.AverageCost);
}
PnLElements.Add(lastDate, newPnLW);
break;
default:
break;
}
}
if (tx.Fees.Ccy == Ccy && justFees)
{
throw new Exception("ERROR JUST FEES!");
}
}
}