//[TestMethod]
public void test_deals()
{
FinancialInstrument instr = controller.get_instrument("SPFB_LKOH_140101_140331.txt");
TradingStrategy strategy = controller.get_strategy("Test5").Originator;
ForecastingModule forecastingModule = new ForecastingModule(strategy, instr);
ForecastResult result = forecastingModule.run();
int numDeal = 5;
TypeDeal expType = TypeDeal.Sell;
DateTime expDateOpen = new DateTime(14, 2, 12, 12, 35, 0);
DateTime expDateClose = new DateTime(14, 2, 12, 12, 36, 0);
double expOpenPrice = 20430, expClosePrice = 20438;
TradeDeal tradeDeal = result.get_deal(numDeal);
double actOpenPrice = tradeDeal.OpeningPrice;
double actClosePrice = tradeDeal.ClosingPrice;
Assert.AreEqual(
true,
tradeDeal.Opening == false &&
tradeDeal.Type == expType &&
actOpenPrice == expOpenPrice
//&& tradeDeal.DateTimeOpen.Equals(expDateOpen)
//&& tradeDeal.DateTimeClose == expDateClose
&& actClosePrice == expClosePrice
);
}
// This method gets called by the runtime. Use this method to configure the HTTP request pipeline.
public void Configure(IApplicationBuilder app, IWebHostEnvironment env)
{
if (env.IsDevelopment())
{
app.UseDeveloperExceptionPage();
}
else
{
app.UseExceptionHandler("/Error");
// The default HSTS value is 30 days. You may want to change this for production scenarios, see https://aka.ms/aspnetcore-hsts.
app.UseHsts();
}
app.UseHangfireDashboard("/mydashboard");
app.UseHttpsRedirection();
app.UseStaticFiles();
app.UseRouting();
app.UseEndpoints(endpoints =>
{
endpoints.MapBlazorHub();
endpoints.MapFallbackToPage("/_Host");
});
var myTradingService = new TradingStrategy(new AlphaVantage(), new PortfolioOperations(new TradingdbContext(), new AlphaVantage()));
RecurringJob.AddOrUpdate(
() => myTradingService.Execute(),
Cron.HourInterval(4));
}
public CexApi(string apiKey, string apiSecret, string apiUsername, string slackWebhook, ILogger logger,
TradingStrategy tradingStrategy)
{
_apiKey = apiKey;
_apiSecret = apiSecret;
_apiUsername = apiUsername;
SlackWebhook = slackWebhook;
Logger = logger;
TradingStrategy = tradingStrategy ?? new TradingStrategy
{
MinutesOfAccountHistoryOrderForPurchaseDecision = 60,
MinutesOfAccountHistoryOrderForSellDecision = 60,
MinutesOfPublicHistoryOrderForPurchaseDecision = 30,
MinutesOfPublicHistoryOrderForSellDecision = 30,
MinimumReservePercentageAfterInitInTargetCurrency = 0.1m,
MinimumReservePercentageAfterInitInExchangeCurrency = 0.1m,
OrderCapPercentageAfterInit = 0.6m,
OrderCapPercentageOnInit = 0.25m,
AutoDecisionExecution = true,
MarketChangeSensitivityRatio = 0.01m,
PriceCorrectionFrequencyInHours = 24,
TradingValueBleedRatio = 0.1m
};
Rest = new Rest("https://cex.io/api/",
new RestConfig
{
OperationMode = RestMode.HTTPRestClient,
UseRestConvertForCollectionSerialization = false
},
logger);
}
public void TestMethod1()
{
//Входные данные
//Создать 2 условия
int index1 = 0, index2 = 0;
int curIndex = 60;
ParameterCondition par1 = ParameterCondition.PriceClose;
ParameterCondition par2 = ParameterCondition.PriceOpen;
Predicate predicate = Predicate.Less;
Condition cond = new Condition(index1, index2, par1, par2, null, null, 0.0, 0.0, predicate);
int index1_ = 1, index2_ = 1;
ParameterCondition par1_ = ParameterCondition.Indicator;
ParameterCondition par2_ = ParameterCondition.Indicator;
Predicate predicate_ = Predicate.MoreEqual;
Indicator ind1 = new SMA(14);
Indicator ind2 = new SMA(28);
Condition cond2 = new Condition(index1_, index2_, par1_, par2_, ind1, ind2, 0.0, 0.0, predicate_);
//Накопить данные для индикаторов
for (int i = 0; i < curIndex; i++)
{
ind1.update_value(i, instrument);
ind2.update_value(i, instrument);
}
//Создать правило
TradingRule rule = new TradingRule();
rule.add_condition(cond);
rule.add_condition(cond2);
string name = "TestStrategy1";
DateTime dateTime = DateTime.Now;
TradingStrategy strat = new TradingStrategy(name);
strat.add_rule(rule);
strat.save_to_xml();
controller.add_strategy(new CaretakerStrategy(strat));
TradingStrategy strat1 = controller.get_strategy(name).Originator;
File.Delete("Strategies\\TestStrategy1.xml");
Assert.AreEqual(strat.Loaded &&
strat.Name == name &&
strat.DateOfChange == dateTime &&
strat.DateOfCreation == dateTime, true);
}
public BackTest(IRequest request) : base(request)
{
technicalAnalysis = new TechnicalAnalysis(BinanceClient, _request);
tradingStrategy = new TradingStrategy(BinanceClient, _request);
LastPrices = new Dictionary <string, decimal>();
CandleSticks = new Queue <Dictionary <string, Candlestick> >();
IsLastCandleStick = false;
foreach (var item in _request.TradingPairs)
{
LastPrices.Add(item, 0m);
}
}
public void test_run()
{
FinancialInstrument instr = controller.get_instrument("SPFB.Si_090101_091231.txt");
TradingStrategy strategy = controller.get_strategy("Test5").Originator;
strategy.subscribe_analyzer(new AnalyzerDirection());
ForecastingModule forecastingModule = new ForecastingModule(strategy, instr);
ForecastResult result = forecastingModule.run();
//result.print();
double profitExepted = -3419;
int numDeal = 5;
TypeDeal expType = TypeDeal.Buy;
DateTime expDateOpen = new DateTime(2009, 5, 13, 10, 49, 0);
DateTime expDateClose = new DateTime(2009, 5, 13, 10, 53, 0);
double expOpenPrice = 32110, expClosePrice = 32094;
TradeDeal tradeDeal = result.get_deal(numDeal);
double actOpenPrice = tradeDeal.OpeningPrice;
double actClosePrice = tradeDeal.ClosingPrice;
DateTime actDateTimeOpen = tradeDeal.DateTimeOpen;
DateTime actDateTimeClose = tradeDeal.DateTimeClose;
Assert.AreEqual(true,
profitExepted == result.CurProfit &&
tradeDeal.Opening == false &&
tradeDeal.Type == expType &&
actOpenPrice == expOpenPrice &&
actClosePrice == expClosePrice &&
actDateTimeOpen == expDateOpen &&
actDateTimeClose == expDateClose);
}
static void Main(string[] args)
{
var loggerFactory = new LoggerFactory();
loggerFactory.AddConsole();
Console.WriteLine("======================");
var tradingEngines = new List <ITradingEngine>();
var useExchange = SupportedExchanges.Unknown;
while (useExchange == SupportedExchanges.Unknown)
{
Console.WriteLine("Type 1 for CEX.IO, Type 2 for GDAX, Type 3 for Bitstamp:");
useExchange =
NumericUtils.GetIntegerValueFromObject(Console.ReadLine()).ParseEnum <SupportedExchanges>();
}
Console.Write($"{useExchange.ToString()} API Secret:");
var secret = Console.ReadLine();
switch (useExchange)
{
case SupportedExchanges.Cex:
Console.Write("\n CEX Username:"******"\n GDAX Pass phrase:");
break;
case SupportedExchanges.Bitstamp:
Console.Write("\n Bitstamp Client Id:");
break;
default:
throw new ArgumentOutOfRangeException();
}
var username = Console.ReadLine();
Console.Write($"\n{useExchange.ToString()} API Key:");
var apiKey = Console.ReadLine();
Console.Write("\nSlack Notification Webhook Url:");
var slackWebhook = Console.ReadLine();
var exchangeCurrency = string.Empty;
while (exchangeCurrency.IsNullOrEmpty())
{
Console.Write($"\n{useExchange.ToString()} Exhcange Base currency name: (default BTC)");
exchangeCurrency = Console.ReadLine();
if (Currencies.SupportedCurrencies.Count(i => i == exchangeCurrency) > 0)
{
continue;
}
if (exchangeCurrency.IsNullOrEmpty())
{
Console.WriteLine("Default cryptocurrency BTC selected.");
exchangeCurrency = Currencies.BTC;
}
else
{
Console.ForegroundColor = ConsoleColor.Red;
Console.BackgroundColor = ConsoleColor.White;
Console.WriteLine("Invalid currency name. Please try again.");
Console.ResetColor();
exchangeCurrency = null;
}
}
var targetCurrency = string.Empty;
while (targetCurrency.IsNullOrEmpty())
{
Console.Write($"\n{useExchange.ToString()} Exhcange Target currency name: (default USD)");
targetCurrency = Console.ReadLine();
if (Currencies.SupportedCurrencies.Count(i => i == targetCurrency) > 0)
{
continue;
}
if (targetCurrency.IsNullOrEmpty())
{
Console.WriteLine("Default target currency USD selected.");
targetCurrency = Currencies.USD;
}
else
{
Console.ForegroundColor = ConsoleColor.Red;
Console.BackgroundColor = ConsoleColor.White;
Console.WriteLine("Invalid currency name. Please try again.");
Console.ResetColor();
targetCurrency = null;
}
}
var stopLine = 0m;
while (stopLine <= 0)
{
Console.Write("\nSpecify the bottom line value where execution should STOP:");
stopLine = NumericUtils.GetDecimalValueFromObject(Console.ReadLine());
if (stopLine > 0)
{
continue;
}
Console.ForegroundColor = ConsoleColor.Red;
Console.BackgroundColor = ConsoleColor.White;
Console.WriteLine(
"Bottom line value must be positive number representing your target currency value. (e.g. 5000 )");
Console.ResetColor();
}
Console.WriteLine(
$"Minutes of historical orders on {useExchange.ToString()} for buying considerations: (default 3)");
var publicOrderHistoryForBuyingDecision = NumericUtils.GetIntegerValueFromObject(Console.ReadLine());
if (publicOrderHistoryForBuyingDecision <= 0)
{
publicOrderHistoryForBuyingDecision = 3;
}
Console.WriteLine(
$"Minutes of historical orders on {useExchange.ToString()} for selling considerations: (default 3)");
var publicOrderHistoryForSellingDecision = NumericUtils.GetIntegerValueFromObject(Console.ReadLine());
if (publicOrderHistoryForSellingDecision <= 0)
{
publicOrderHistoryForSellingDecision = 3;
}
Console.WriteLine("Minutes of historical account orders for buying considerations: (default 5)");
var accountOrderHistoryForBuyingDecision = NumericUtils.GetIntegerValueFromObject(Console.ReadLine());
if (accountOrderHistoryForBuyingDecision <= 0)
{
accountOrderHistoryForBuyingDecision = 5;
}
Console.WriteLine("Minutes of historical account orders for selling considerations: (default 5)");
var accountOrderHistoryForSellingDecision = NumericUtils.GetIntegerValueFromObject(Console.ReadLine());
if (accountOrderHistoryForSellingDecision <= 0)
{
accountOrderHistoryForSellingDecision = 5;
}
Console.WriteLine("Minutes change sensitivity ratio in decimal: (default 0.005)");
var sensitivityRatio = NumericUtils.GetDecimalValueFromObject(Console.ReadLine());
if (sensitivityRatio <= 0)
{
sensitivityRatio = 0.005m;
}
Console.WriteLine("Minimum Reserve In Target Currency: (default 0.2)");
var minimumReservePercentageAfterInitInTargetCurrency =
NumericUtils.GetDecimalValueFromObject(Console.ReadLine());
if (minimumReservePercentageAfterInitInTargetCurrency <= 0)
{
minimumReservePercentageAfterInitInTargetCurrency = 0.2m;
}
Console.WriteLine("Minimum Reserve In Exchange Currency: (default 0.2)");
var minimumReservePercentageAfterInitInExchangeCurrency =
NumericUtils.GetDecimalValueFromObject(Console.ReadLine());
if (minimumReservePercentageAfterInitInExchangeCurrency <= 0)
{
minimumReservePercentageAfterInitInExchangeCurrency = 0.2m;
}
Console.WriteLine("Order Cap Percentage On Init: (default 0.25)");
var orderCapPercentageOnInit =
NumericUtils.GetDecimalValueFromObject(Console.ReadLine());
if (orderCapPercentageOnInit <= 0)
{
orderCapPercentageOnInit = 0.25m;
}
Console.WriteLine("Order Cap Percentage After Init: (default 0.3)");
var orderCapPercentageAfterInit =
NumericUtils.GetDecimalValueFromObject(Console.ReadLine());
if (orderCapPercentageAfterInit <= 0)
{
orderCapPercentageAfterInit = 0.3m;
}
bool autoExecution;
Console.ForegroundColor = ConsoleColor.White;
Console.BackgroundColor = ConsoleColor.DarkGreen;
Console.WriteLine("Automated order execution - Enter 'CONFIRM' to execute order automatically: ");
Console.ResetColor();
autoExecution = Console.ReadLine() == "CONFIRM";
var tradingStrategy = new TradingStrategy
{
MinutesOfAccountHistoryOrderForPurchaseDecision = accountOrderHistoryForBuyingDecision,
MinutesOfAccountHistoryOrderForSellDecision = accountOrderHistoryForSellingDecision,
MinutesOfPublicHistoryOrderForPurchaseDecision = publicOrderHistoryForBuyingDecision,
MinutesOfPublicHistoryOrderForSellDecision = publicOrderHistoryForSellingDecision,
MinimumReservePercentageAfterInitInTargetCurrency = minimumReservePercentageAfterInitInTargetCurrency,
MinimumReservePercentageAfterInitInExchangeCurrency =
minimumReservePercentageAfterInitInExchangeCurrency,
OrderCapPercentageAfterInit = orderCapPercentageAfterInit,
OrderCapPercentageOnInit = orderCapPercentageOnInit,
AutoDecisionExecution = autoExecution,
StopLine = stopLine,
MarketChangeSensitivityRatio = sensitivityRatio,
PriceCorrectionFrequencyInHours = 12,
TradingValueBleedRatio = 0.1m
};
IApi api;
switch (useExchange)
{
case SupportedExchanges.Gdax:
api = new GdaxApi(apiKey, secret, username, slackWebhook,
loggerFactory.CreateLogger($"GDAX Trading Engine - {exchangeCurrency} - {targetCurrency}"),
tradingStrategy);
break;
case SupportedExchanges.Cex:
api = new CexApi(apiKey, secret, username, slackWebhook,
loggerFactory.CreateLogger($"CEX.IO Trading Engine - {exchangeCurrency} - {targetCurrency}"),
tradingStrategy);
break;
case SupportedExchanges.Bitstamp:
api = new BitstampApi(apiKey, secret, username, slackWebhook,
loggerFactory.CreateLogger($"Bitstamp Trading Engine - {exchangeCurrency} - {targetCurrency}"),
tradingStrategy);
break;
default:
throw new ArgumentOutOfRangeException();
}
tradingEngines.Add(new TradingEngine(api, exchangeCurrency, targetCurrency));
var tasks = new List <Task>();
foreach (var engine in tradingEngines)
{
tasks.Add(Task.Run(async() => await engine.StartAsync()));
}
Task.WaitAll(tasks.ToArray());
}
static void Main(string[] args)
{
TradingStrategy tradStrat = new TradingStrategy();
}
