public void Start()
{
if (!isStarted)
{
EofR1ExeThread = new Thread(() => WatchMarkets());
EofR1ExeThread.IsBackground = true;
EofR1ExeThread.Name = "EMAofRSI1-ExecutionLoop-Thread";
EofR1ExeThread.Start();
isStarted = true;
}
StopLossController.StartWatching();
}
private void LoadHoldings()
{
//Load held assets, stoploss amts, from SQLite for each period:
AddHoldingsTable("period5m");
AddHoldingsTable("period20m");
AddHoldingsTable("period1h");
AddHoldingsTable("period4h");
AddHoldingsTable("period12h");
AddHoldingsTable("OpenOrders");
//REGISTER EXISTING STOPLOSS RATES FOR EACH HOLDING
foreach (DataTable dt in Holdings.Tables)
{
if (dt.TableName == "OpenOrders")
{
continue;
}
foreach (DataRow row in dt.Rows)
{
var stopLoss = new StopLoss((string)row["MarketDelta"], Convert.ToDecimal(row["StopLossRate"]), Convert.ToDecimal(row["Qty"]), (a, b, c) => ReCalcStoploss(a, b, c), (a, b) => StopLossExecutedCallback(a, b), dt.TableName, OPTIONS.VITRUAL_MODE);
if (OPTIONS.SAFE_MODE)
{
if (Convert.ToDecimal(row["BoughtRate"]) > stopLoss.StopRate)
{
stopLoss.StopRate = Convert.ToDecimal(row["BoughtRate"]) * 0.68M;
}
}
//Trace.WriteLine(string.Format("{0}_{1} ... {2} ... {3} ... {4}", stopLoss.CandlePeriod, stopLoss.MarketDelta, stopLoss.Quantity, stopLoss.StopRate, stopLoss.virtualSL));
StopLossController.RegisterStoploss(stopLoss, string.Format("{0}_{1}", stopLoss.CandlePeriod, stopLoss.MarketDelta));
}
}
//Load Total From SQLite data:
LoadTradingTotal();
}
public void ReCalcStoploss(string market, decimal oldRate, string period)
{
//RECALC NEW STOPLOSSRATE, THEN RAISE REGISTERED RATE IF HIGHER NOW:
decimal boughtRate = 0;
decimal ATR = 0;
try
{
ATR = CalcStoplossMargin(market, period);
boughtRate = Convert.ToDecimal(Holdings.Tables[period].Select(string.Format("MarketDelta = '{0}'", market))[0]["BoughtRate"]);
}
catch (Exception e)
{
Trace.WriteLine(" ****ERR RECALC-STOPLOSS>>> " + market + " | " + period + "... BOUGHT: " + boughtRate + " ... RATE: " + ATR);
return;
}
//TIERED TRAILING STOPLOSS:
//Teir 2 (calculate):
var stoplossRate = BtrexData.Markets[market].TradeHistory.RecentFills.Last().Rate - (ATR * OPTIONS.ATRmultipleT2);
var tier = "**";
//Use Teir 1, if T2 is below profit line:
if (stoplossRate < boughtRate * 1.0025M)
{
stoplossRate = BtrexData.Markets[market].TradeHistory.RecentFills.Last().Rate - (ATR * OPTIONS.ATRmultipleT1);
if (OPTIONS.SAFE_MODE)
{
stoplossRate = 0.0M;
}
tier = "*";
}
//Use Teir 3, if current rate is above 8% profit:
if (BtrexData.Markets[market].TradeHistory.RecentFills.Last().Rate > boughtRate * 1.1M)
{
stoplossRate = BtrexData.Markets[market].TradeHistory.RecentFills.Last().Rate - (ATR * OPTIONS.ATRmultipleT3);
tier = "***";
}
if (Math.Round(stoplossRate, 8) > Math.Round(oldRate, 8))
{
var SLmovedTime = DateTime.UtcNow;
//RAISE SL:
StopLossController.RaiseStoploss(string.Format("{0}_{1}", period, market), stoplossRate);
//CHANGE IN HOLDINGS:
var row = Holdings.Tables[period].Select(string.Format("MarketDelta = '{0}'", market));
row[0]["StopLossRate"] = stoplossRate;
//CREATE & ENQUEUE SQLDataWrite:
var update = new SaveDataUpdate(period, market, "SL_MOVE", SLmovedTime, 0, 0, stoplossRate);
SQLDataUpdateWrites.Enqueue(update);
//OUTPUT STOPLOSS MOVED:
if (OPTIONS.LogStoplossRaised)
{
Trace.WriteLine(string.Format("{0}{1}_{2} STOPLOSS-RAISED from {3:0.00000000} to {4:0.00000000}{5}",
"[" + SLmovedTime + "] ::: ",
period.Remove(0, 6),
market,
oldRate,
stoplossRate,
tier
));
}
}
}
public void OrderExecutedCallback(OpenOrder OrderData)
{
//Find + REMOVE FROM OpenOrders TABLE,
var OpenOrderRows = Holdings.Tables["OpenOrders"].Select(string.Format("UniqueID = '{0}_{1}'", OrderData.CandlePeriod, OrderData.Exchange));
foreach (var row in OpenOrderRows)
{
Holdings.Tables["OpenOrders"].Rows.Remove(row);
}
OrderData.PricePerUnit = Math.Round((OrderData.TotalReserved / OrderData.TotalQuantity), 8);
if (OrderData.Type == "LIMIT_BUY")
{
//Calculate stoploss, within acceptable range per PeriodLength:
decimal stoplossRate = OrderData.PricePerUnit - (CalcStoplossMargin(OrderData.Exchange, OrderData.CandlePeriod) * OPTIONS.ATRmultipleT1);
switch (OrderData.CandlePeriod)
{
case "period5m":
if (stoplossRate / OrderData.PricePerUnit < 0.98M)
{
stoplossRate = OrderData.PricePerUnit * 0.98M;
}
break;
case "period20m":
if (stoplossRate / OrderData.PricePerUnit < 0.95M)
{
stoplossRate = OrderData.PricePerUnit * 0.95M;
}
break;
case "period1h":
if (stoplossRate / OrderData.PricePerUnit < 0.93M)
{
stoplossRate = OrderData.PricePerUnit * 0.93M;
}
break;
case "period4h":
if (stoplossRate / OrderData.PricePerUnit < 0.90M)
{
stoplossRate = OrderData.PricePerUnit * 0.90M;
}
break;
case "period12h":
if (stoplossRate / OrderData.PricePerUnit < 0.88M)
{
stoplossRate = OrderData.PricePerUnit * 0.88M;
}
break;
}
//If 'SAFEMMODE' then Stoploss will be set to sell at minimum satoshis until profitable:
if (OPTIONS.SAFE_MODE)
{
stoplossRate = 0.00105M / OrderData.TotalQuantity;
}
//Register new StopLoss in controller:
StopLossController.RegisterStoploss(new StopLoss(OrderData.Exchange, stoplossRate, OrderData.TotalQuantity, (a, b, c) => ReCalcStoploss(a, b, c), (a, b) => StopLossExecutedCallback(a, b), OrderData.CandlePeriod, OPTIONS.VITRUAL_MODE), string.Format("{0}_{1}", OrderData.CandlePeriod, OrderData.Exchange));
//Enter into Holdings Table:
var newHoldingsRow = Holdings.Tables[OrderData.CandlePeriod].NewRow();
newHoldingsRow["MarketDelta"] = OrderData.Exchange;
newHoldingsRow["DateTimeBUY"] = OrderData.Closed;
newHoldingsRow["Qty"] = OrderData.TotalQuantity;
newHoldingsRow["BoughtRate"] = OrderData.PricePerUnit;
newHoldingsRow["DateTimeSELL"] = "OWNED";
newHoldingsRow["SoldRate"] = "OWNED";
newHoldingsRow["StopLossRate"] = stoplossRate;
newHoldingsRow["SL_Executed"] = 0;
Holdings.Tables[OrderData.CandlePeriod].Rows.Add(newHoldingsRow);
//Create + Enqueue SaveDataUpdate + OrderUpdate
var update = new SaveDataUpdate(OrderData.CandlePeriod, OrderData.Exchange, "BUY", (DateTime)OrderData.Closed, OrderData.TotalQuantity, OrderData.PricePerUnit, stoplossRate);
SQLDataUpdateWrites.Enqueue(update);
SQLOrderUpdateWrites.Enqueue(OrderData);
//OUTPUT BUY
Trace.WriteLine(string.Format("{0}{1} Bought {2} at {3:0.00000000}, SL_Rate: {4:0.00000000}",
OPTIONS.VITRUAL_MODE ? "[VIRTUAL|" + OrderData.Closed + "] ::: " : "[" + OrderData.Closed + "] ::: ",
OrderData.CandlePeriod.Remove(0, 6),
OrderData.Exchange.Split('-')[1],
OrderData.PricePerUnit,
stoplossRate));
}
else if (OrderData.Type == "LIMIT_SELL")
{
StopLossController.CancelStoploss(string.Format("{0}_{1}", OrderData.CandlePeriod, OrderData.Exchange));
//Find row in Holdings:
var holdingRows = Holdings.Tables[OrderData.CandlePeriod].Select(string.Format("MarketDelta = '{0}'", OrderData.Exchange));
//Calc profit with BoughtRate and include fees:
var profit = ((OrderData.PricePerUnit / Convert.ToDecimal(holdingRows[0]["BoughtRate"])) - 1M);
//Calc compound multiple
var compoundMultiple = ((Convert.ToDecimal(holdingRows[0]["BoughtRate"]) * Convert.ToDecimal(holdingRows[0]["Qty"])) / OPTIONS.BTCwagerAmt);
//Calc TradingTotal and NetWorth
TradingTotal += (profit * compoundMultiple);
var netWorth = GetNetPercentage();
var timeHeld = OrderData.Closed - Convert.ToDateTime(holdingRows[0]["DateTimeBUY"]);
//Remove from Holdings:
foreach (var row in holdingRows)
{
Holdings.Tables[OrderData.CandlePeriod].Rows.Remove(row);
}
//Create and add the SQL SaveDataUpdate + OrderUpdate
var update = new SaveDataUpdate(OrderData.CandlePeriod, OrderData.Exchange, "SELL", (DateTime)OrderData.Closed, OrderData.TotalQuantity, OrderData.PricePerUnit, null, false, TradingTotal);
SQLDataUpdateWrites.Enqueue(update);
SQLOrderUpdateWrites.Enqueue(OrderData);
//OUTPUT SELL-ON-SIGNAL
Trace.Write(string.Format("{0}{1} Sold {2} at {3}\r\n =TradeProfit: ",
OPTIONS.VITRUAL_MODE ? "[VIRTUAL|" + OrderData.Closed + "] ::: " : "[" + OrderData.Closed + "] ::: ",
OrderData.CandlePeriod.Remove(0, 6),
OrderData.Exchange.Split('-')[1],
OrderData.PricePerUnit));
//OUTPUT PROFIT ON TRADE:
if (profit < 0)
{
Console.ForegroundColor = ConsoleColor.Red;
}
else if (profit > 0)
{
Console.ForegroundColor = ConsoleColor.Green;
}
Trace.Write(string.Format("{0:+0.###%;-0.###%;0}", profit));
//OUTPUT TIME HELD
Console.ForegroundColor = ConsoleColor.DarkCyan;
Trace.Write(string.Format(".....=Time-Held: {0:hh\\:mm\\:ss}.....", timeHeld));
//OUTPUT GROSS TOTAL PROFIT PERCENTAGE:
if (TradingTotal < 0)
{
Console.ForegroundColor = ConsoleColor.Red;
}
else if (TradingTotal > 0)
{
Console.ForegroundColor = ConsoleColor.Green;
}
else
{
Console.ForegroundColor = ConsoleColor.DarkCyan;
}
Trace.Write(string.Format("=GrossProfit: {0:+0.###%;-0.###%;0}", TradingTotal / OPTIONS.MAXTOTALENTRANCES));
Console.ForegroundColor = ConsoleColor.DarkCyan;
Trace.Write(".....");
//OUTPUT CURRENT NET WORTH PERCENTAGE INCLUDING HOLDINGS:
if (netWorth > 0)
{
Console.ForegroundColor = ConsoleColor.DarkGreen;
}
else if (netWorth < 0)
{
Console.ForegroundColor = ConsoleColor.DarkRed;
}
else
{
Console.ForegroundColor = ConsoleColor.DarkCyan;
}
Trace.WriteLine(string.Format("=CurrentNetWorth: {0:+0.###%;-0.###%;0}", netWorth));
Console.ForegroundColor = ConsoleColor.DarkCyan;
}
}
private void WatchMarkets()
{
using (var cmd = new SQLiteCommand(conn))
{
while (true) //!(Console.KeyAvailable && Console.ReadKey(true).Key == ConsoleKey.Backspace))
{
//WRITE/SAVE SQL DATA CHANGES:
SaveSQLOrderData(cmd);
SaveSQLData(cmd);
//BEGIN CANDLES ASSESSMENTS:
foreach (Market m in BtrexData.Markets.Values)
{
//CHECK FOR NEW CANDLES:
if (m.TradeHistory.LastStoredCandle > StratData.Candles5m[m.MarketDelta].Last().DateTime)
{
//Get new 5m candles:
var Importer = new TradyCandleImporter();
var newCandles = Importer.ImportAsync(m.MarketDelta, StratData.Candles5m[m.MarketDelta].Last().DateTime.AddMinutes(5)).Result;
StratData.Candles5m[m.MarketDelta].AddRange(newCandles);
CheckStrategy(StratData.Candles5m[m.MarketDelta].Skip(Math.Max(0, StratData.Candles5m[m.MarketDelta].Count - 42)).ToList(), m.MarketDelta, "period5m");
//Build new 20m candles + Check strategy for buy/sell signals:
var CandleCurrentTime = m.TradeHistory.LastStoredCandle.AddMinutes(5);
if (CandleCurrentTime > StratData.Candles20m[m.MarketDelta].Last().DateTime.AddMinutes(40))
{
if (StratData.BuildNew20mCndls(m.MarketDelta))
{
CheckStrategy(StratData.Candles20m[m.MarketDelta].Skip(Math.Max(0, StratData.Candles20m[m.MarketDelta].Count - 42)).ToList(), m.MarketDelta, "period20m");
}
//Build new 1h candles + Check strategy for buy/sell signals:
if (CandleCurrentTime > StratData.Candles1h[m.MarketDelta].Last().DateTime.AddHours(2))
{
if (StratData.BuildNew1hCndls(m.MarketDelta))
{
CheckStrategy(StratData.Candles1h[m.MarketDelta].Skip(Math.Max(0, StratData.Candles1h[m.MarketDelta].Count - 42)).ToList(), m.MarketDelta, "period1h");
}
//Build new 4h candles + Check strategy for buy/sell signals:
if (CandleCurrentTime > StratData.Candles4h[m.MarketDelta].Last().DateTime.AddHours(8) && StratData.BuildNew4hCndls(m.MarketDelta))
{
CheckStrategy(StratData.Candles4h[m.MarketDelta].Skip(Math.Max(0, StratData.Candles4h[m.MarketDelta].Count - 42)).ToList(), m.MarketDelta, "period4h");
}
//Build new 12h candles + Check strategy for buy/sell signals:
if (CandleCurrentTime > StratData.Candles12h[m.MarketDelta].Last().DateTime.AddHours(24) && StratData.BuildNew12hCndls(m.MarketDelta))
{
CheckStrategy(StratData.Candles12h[m.MarketDelta].Skip(Math.Max(0, StratData.Candles12h[m.MarketDelta].Count - 42)).ToList(), m.MarketDelta, "period12h");
}
}
}
}
}
//EXECUTE ALL List<NewOrders>:
if (NewOrders.Count > 0)
{
//PendingOrders.AddRange(NewOrders);
var ords = new List <NewOrder>(NewOrders);
NewOrders = new List <NewOrder>();
//This is not awaited because NewOrder objects reference their own callback
BtrexREST.TradeController.ExecuteNewOrderList(ords, OPTIONS.VITRUAL_MODE);
}
Thread.Sleep(TimeSpan.FromSeconds(3));
}
//CONTROL-LOOP ENDED:
StopLossController.Stop();
}
conn.Close();
isStarted = false;
Trace.WriteLine("\r\n\r\n @@@ EMAofRSI1 Strategy STOPPED @@@\r\n\r\n");
}
