private async Task PreloadCandlesDict(int hour)
{
//Aggregate in mCandles Dict:
DateTime startTime = DateTime.UtcNow.Subtract(TimeSpan.FromHours(hour));
foreach (Market market in BtrexData.Markets.Values)
{
var importer = new TradyCandleImporter();
var preCandles = await importer.ImportAsync(market.MarketDelta, startTime);
mCandles.Add(market.MarketDelta, new List <Candle>(preCandles));
}
}
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");
}
public async Task PreloadCandleDicts(int numPeriods)
{
//Aggregate in Candles Dicts:
DateTime startTime = DateTime.UtcNow.Subtract(TimeSpan.FromDays((numPeriods / 2D) + 0.5));
foreach (string marketDelta in BtrexData.Markets.Keys)
{
Trace.Write(string.Format("\rPRELOADING MULTI-PERIOD CANDLES: {0} ", marketDelta));
Candles12h.Add(marketDelta, new List <Candle>());
Candles4h.Add(marketDelta, new List <Candle>());
Candles1h.Add(marketDelta, new List <Candle>());
Candles20m.Add(marketDelta, new List <Candle>());
var importer = new TradyCandleImporter();
var preCandles = await importer.ImportAsync(marketDelta, startTime);
//GET FIRST CANDLE TIME FOR 12h:
var offsetSpan12h = new TimeSpan();
if (DateTime.UtcNow.Hour < 2)
{
offsetSpan12h = (DateTime.UtcNow - DateTime.UtcNow.Date) + TimeSpan.FromHours(10);
}
else if (DateTime.UtcNow.Hour < 14)
{
offsetSpan12h = DateTime.UtcNow - DateTime.UtcNow.Date.AddHours(2);
}
else if (DateTime.UtcNow.Hour >= 14)
{
offsetSpan12h = DateTime.UtcNow - DateTime.UtcNow.Date.AddHours(14);
}
var candleTime12h = (DateTime.UtcNow.Subtract(offsetSpan12h)) - TimeSpan.FromDays(Convert.ToDouble(numPeriods) / 2D);
//GET FIRST CANDLE TIME FOR 4h:
var candleTime4h = DateTime.UtcNow.Date
.AddHours((int)(4M * Math.Floor(DateTime.UtcNow.Hour / 4M)))
.Subtract(TimeSpan.FromHours(4 * numPeriods));
//GET FIRST CANDLE TIME FOR 1h
var candleTime1h = DateTime.UtcNow.Date
.AddHours(DateTime.UtcNow.Hour)
.Subtract(TimeSpan.FromHours(numPeriods));
//GET FIRST CANDLE TIME FOR 20m
var candleTime20m = DateTime.UtcNow.Date
.AddHours(DateTime.UtcNow.Hour)
.AddMinutes((int)(20M * Math.Floor(DateTime.UtcNow.Minute / 20M)))
.Subtract(TimeSpan.FromMinutes(20 * numPeriods));
//GET FIRST CANDLE TIME FOR 5m
var candleTime5m = DateTime.UtcNow.Date
.AddHours(DateTime.UtcNow.Hour)
.AddMinutes((int)(5M * Math.Floor(DateTime.UtcNow.Minute / 5M)))
.Subtract(TimeSpan.FromMinutes(5 * numPeriods));
//FORM ALL CANDLES:
for (int i = 0; i < numPeriods; i++)
{
//ADD NEXT 12h CANDLE:
var nextCandleTime12h = candleTime12h.AddHours(12);
var CandleRange12h =
from Candles in preCandles
where (Candles.DateTime >= candleTime12h) && (Candles.DateTime < nextCandleTime12h)
orderby Candles.DateTime
select Candles;
if (CandleRange12h.Count() > 0)
{
Candles12h[marketDelta].Add(new Candle(candleTime12h,
CandleRange12h.First().Open,
CandleRange12h.Max(x => x.High),
CandleRange12h.Min(x => x.Low),
CandleRange12h.Last().Close,
CandleRange12h.Sum(x => x.Volume)
)
);
}
candleTime12h = nextCandleTime12h;
//ADD NEXT 4h CANDLE:
var nextCandleTime4h = candleTime4h.AddHours(4);
var CandleRange4h =
from Candles in preCandles
where (Candles.DateTime >= candleTime4h) && (Candles.DateTime < nextCandleTime4h)
orderby Candles.DateTime
select Candles;
if (CandleRange4h.Count() > 0)
{
Candles4h[marketDelta].Add(new Candle(candleTime4h,
CandleRange4h.First().Open,
CandleRange4h.Max(x => x.High),
CandleRange4h.Min(x => x.Low),
CandleRange4h.Last().Close,
CandleRange4h.Sum(x => x.Volume)
)
);
}
candleTime4h = nextCandleTime4h;
//ADD NEXT 1h CANDLE:
var nextCandleTime1h = candleTime1h.AddHours(1);
var CandleRange1h =
from Candles in preCandles
where (Candles.DateTime >= candleTime1h) && (Candles.DateTime < nextCandleTime1h)
orderby Candles.DateTime
select Candles;
if (CandleRange1h.Count() > 0)
{
Candles1h[marketDelta].Add(new Candle(candleTime1h,
CandleRange1h.First().Open,
CandleRange1h.Max(x => x.High),
CandleRange1h.Min(x => x.Low),
CandleRange1h.Last().Close,
CandleRange1h.Sum(x => x.Volume)
)
);
}
candleTime1h = nextCandleTime1h;
//ADD NEXT 20m CANDLE:
var nextCandleTime20m = candleTime20m.AddMinutes(20);
var CandleRange20m =
from Candles in preCandles
where (Candles.DateTime >= candleTime20m) && (Candles.DateTime < nextCandleTime20m)
orderby Candles.DateTime
select Candles;
if (CandleRange20m.Count() > 0)
{
Candles20m[marketDelta].Add(new Candle(candleTime20m,
CandleRange20m.First().Open,
CandleRange20m.Max(x => x.High),
CandleRange20m.Min(x => x.Low),
CandleRange20m.Last().Close,
CandleRange20m.Sum(x => x.Volume)
)
);
}
candleTime20m = nextCandleTime20m;
}
//FINALLY, ADD ALL 5m CANDLES
Candles5m[marketDelta] = new List <Candle>(
from Candles in preCandles
where Candles.DateTime >= candleTime5m
orderby Candles.DateTime
select Candles);
}
Trace.Write("\rPRELOADING MULTI-PERIOD CANDLES: [COMPLETE]");
}
public async Task StartMarketsDemo()
{
Console.WindowHeight = Console.LargestWindowHeight;
//Display All Data, switch between markets with spacebar:
while (true)
{
foreach (Market m in BtrexData.Markets.Values)
{
IEnumerable <Candle> RecentCandles = mCandles[m.MarketDelta].Skip(Math.Max(0, mCandles[m.MarketDelta].Count - showPastPeriods));
//PRECALC EMAS HERE
var closes = mCandles[m.MarketDelta].Select(x => x.Close);
var EMA26 = closes.Ema(26).Skip(Math.Max(0, mCandles[m.MarketDelta].Count - showPastPeriods)).ToArray();
var EMA12 = closes.Ema(12).Skip(Math.Max(0, mCandles[m.MarketDelta].Count - showPastPeriods)).ToArray();
var EMA9 = closes.Ema(9).Skip(Math.Max(0, mCandles[m.MarketDelta].Count - showPastPeriods)).ToArray();
while (!(Console.KeyAvailable && Console.ReadKey(true).Key == ConsoleKey.Spacebar))
{
//Every iteration, check BtrexData.Market.LastCandleTime to check if add new mCandles:
if (m.TradeHistory.LastStoredCandle > mCandles[m.MarketDelta].Last().DateTime)
{
var Importer = new TradyCandleImporter();
foreach (var c in mCandles)
{
var newCandles = await Importer.ImportAsync(c.Key, mCandles[m.MarketDelta].Last().DateTime.AddMinutes(5));
c.Value.AddRange(newCandles);
}
RecentCandles = mCandles[m.MarketDelta].Skip(Math.Max(0, mCandles[m.MarketDelta].Count - showPastPeriods));
closes = mCandles[m.MarketDelta].Select(x => x.Close);
EMA26 = closes.Ema(26).Skip(Math.Max(0, mCandles[m.MarketDelta].Count - showPastPeriods)).ToArray();
EMA12 = closes.Ema(12).Skip(Math.Max(0, mCandles[m.MarketDelta].Count - showPastPeriods)).ToArray();
EMA9 = closes.Ema(9).Skip(Math.Max(0, mCandles[m.MarketDelta].Count - showPastPeriods)).ToArray();
}
//Assign Orderbook before Console.Clear()
List <KeyValuePair <decimal, decimal> > bidsTop10 = m.OrderBook.Bids.ToArray().OrderByDescending(k => k.Key).Take(10).ToList();
List <KeyValuePair <decimal, decimal> > asksTop10 = m.OrderBook.Asks.ToArray().OrderBy(k => k.Key).Take(10).ToList();
Console.Clear();
//Print MarketTitle
Console.Write("\r\n------------------------------------------------------");
Console.ForegroundColor = ConsoleColor.White;
Console.Write("[{0}]", m.MarketDelta);
Console.ForegroundColor = ConsoleColor.DarkCyan;
Console.WriteLine("--------------------------------------------------------\r\n" +
"=======================================================================================================================");
//Print Candles:
Console.ForegroundColor = ConsoleColor.White;
Console.WriteLine("\r\n#CANDLES:");
Console.ForegroundColor = ConsoleColor.DarkCyan;
int index = 0;
foreach (Candle c in RecentCandles)
{
Console.WriteLine(" T:{0}...O:{1:0.00000000}...H:{2:0.00000000}...L:{3:0.00000000}...C:{4:0.00000000}...V:{5:0.00000000}", c.DateTime, c.Open, c.High, c.Low, c.Close, c.Volume);
Console.ForegroundColor = ConsoleColor.DarkGray;
Console.WriteLine(" EMA(26)={0:0.00000000}, EMA(12)={1:0.00000000}, EMA(9)={2:0.00000000}", EMA26[index], EMA12[index], EMA9[index]);
Console.ForegroundColor = ConsoleColor.DarkCyan;
index++;
}
//Print Bids/Asks:
Console.ForegroundColor = ConsoleColor.White;
Console.WriteLine("\r\n #BIDS(Top10) #ASKS(Top10)");
Console.ForegroundColor = ConsoleColor.DarkCyan;
Console.WriteLine(" ---------------------------------------- ----------------------------------------");
for (int i = 0; i < 10; i++)
{
Console.WriteLine(" {0,25:0.00000000} | {1:0.00000000} {2:0.00000000} | {3:0.00000000} ", bidsTop10[i].Value, bidsTop10[i].Key, asksTop10[i].Key, asksTop10[i].Value);
}
//Print Recent Fills:
Console.ForegroundColor = ConsoleColor.White;
Console.WriteLine("\r\n#RECENT FILLS(Last20):");
Console.ForegroundColor = ConsoleColor.DarkCyan;
foreach (mdFill fill in m.TradeHistory.RecentFills.ToArray().OrderByDescending(x => x.TimeStamp).Take(20))
{
Console.WriteLine("{0,8} :: {1}.....Rate={2:0.00000000}, Qty={3:0.########}", fill.OrderType, fill.TimeStamp, fill.Rate, fill.Quantity);
}
//Print [active market] ribbon:
Console.Write("\r\nMarkets currently being tracked:\r\n ");
int n = 1;
foreach (string mk in mCandles.Keys)
{
if (mk == m.MarketDelta)
{
Console.ForegroundColor = ConsoleColor.Green;
}
else
{
Console.ForegroundColor = ConsoleColor.White;
}
Console.Write(" [{0}]", mk);
if (mk != mCandles.Keys.Last())
{
Console.Write(",");
}
else
{
break;
}
if (n % 10 == 0)
{
Console.Write("\r\n ");
}
n++;
}
Console.ForegroundColor = ConsoleColor.DarkCyan;
Console.Write("\r\n\r\n -");
Console.ForegroundColor = ConsoleColor.White;
Console.Write("Press SPACEBAR for Next Market");
Console.ForegroundColor = ConsoleColor.DarkCyan;
Console.WriteLine("-");
Thread.Sleep(1000);
}
}
}
}
