public string Backtest(string source, string market, KlineInterval kline, DateTime start, DateTime end, StrategyOptions actStrat)
{
//var source = "";
//var market = "BTCTUSDT";
//var kline = Binance.Net.Objects.KlineInterval.FifteenMinutes;
//var start = new DateTime(2019, 11, 1);
//var end = new DateTime(2019, 12, 30);
//var actStrat = new StrategyOptions();
// get all candles
CandleHelper.RetrieveCandles(market, kline, start, end);
DateTime small = DateTime.MinValue;
DateTime big = DateTime.MinValue;
List <CandleInfo> allCandles = null;
if (!CandleHelper.CandlesAvailable(market, kline, start, end, out small, out big, out allCandles))
{
return("no candles available");
}
var temp = new Context(allCandles);
temp.ActiveStrategyOptions = Globals.ActiveStrategyOptions;
if (!CryptoGlobals.RunScript(source, ref temp))
{
return("error in script: " + temp.SCRIPT_ERROR);
}
var c = new Context(allCandles);
c.ActiveStrategyOptions = actStrat;
var startingBalance = c.ActiveStrategyOptions.BacktestStartingBalance;
var originalBalance = startingBalance;
var l = new List <CandleInfo>();
dynamic script = CSScript.RoslynEvaluator.LoadCode(source);
foreach (var item in allCandles)
{
l.Add(item);
if (l.Count < 20)
{
continue;
}
c.RawCandles = l;
try
{
script.OnData(c);
}catch (Exception ex)
{
return("error: " + ex.Message);
}
}
foreach (var item in c.GetOpenOrders())
{
c.CloseOrder(item);
}
var orders = c.GetAllOrders();
var candlesAndOrders = new SortedDictionary <DateTime, List <OrderInfo> >();
foreach (var item in orders)
{
var buyDate = item.BuyCandle.OpenTime;
var sellDate = item.SellCandle.OpenTime;
if (!candlesAndOrders.ContainsKey(buyDate))
{
candlesAndOrders[buyDate] = new List <OrderInfo>();
}
if (!candlesAndOrders.ContainsKey(sellDate))
{
candlesAndOrders[sellDate] = new List <OrderInfo>();
}
candlesAndOrders[buyDate].Add(item);
candlesAndOrders[sellDate].Add(item);
}
candlesAndOrders.OrderBy(x => x.Key);
var originalEquity = originalBalance;
double finalEquity = 0f;
var equityOrders = new Dictionary <string, OrderInfo>();
List <OrderResultInfo> finalOrders = new List <OrderResultInfo>();
double totalProfits = 0f;
var tempCount = 0;
var alreadyAddedIds = new List <string>();
foreach (var cao in candlesAndOrders)
{
var currDate = cao.Key;
var orderList = cao.Value;
foreach (var item in orderList)
{
tempCount++;
var isSell = false;
if (alreadyAddedIds.Contains(item.Id))
{
isSell = true;
}
else
{
alreadyAddedIds.Add(item.Id);
}
var ord = item;
var id = ord.Id;
string type;
DateTime time;
double orderPrice = 0.0f;;
double size = ord.BuyAmountInUSD;
double profitLoss = 0f;
double balance = 0f;
if (isSell == false) // buy
{
originalBalance -= ord.BuyAmountInUSD;
originalBalance = Math.Round(originalBalance, 2);
time = ord.BuyCandle.OpenTime;
type = "Buy";
orderPrice = Math.Round(ord.BuyPrice, 2);
equityOrders[ord.Id] = ord;
}
else // sell
{
var tUsd = ord.TotalUSD();
tUsd = Math.Round(tUsd, 2);
originalBalance += tUsd;
originalBalance = Math.Round(originalBalance, 2);
time = ord.SellCandle.OpenTime;
type = "Sell";
var tmpPL = Math.Round(tUsd - ord.BuyAmountInUSD, 2);
profitLoss = tmpPL;
balance = originalBalance;
balance = Math.Round(balance, 2);
totalProfits += tmpPL;
orderPrice = Math.Round(ord.GetSellPrice(), 2);
equityOrders.Remove(ord.Id);
}
size = Math.Round(size, 8);
var finalBalance = balance;// (isSell) ? "$ " + balance.ToString() : "";
finalEquity = 0f;
CandleInfo tempCandle = (isSell) ? orderList[0].SellCandle : orderList[0].BuyCandle;
double ttttemp = 0f;
foreach (var eOrd in equityOrders.Values)
{
finalEquity += tempCandle.MidPrice * ord.CoinAmount;
ttttemp += ord.BuyAmountInUSD;
}
ttttemp = Math.Round(ttttemp, 3);
finalEquity = Math.Round(finalEquity, 3);
var ori = new OrderResultInfo()
{
Id = id.ToString(), Time = time, Type = type, OrderPrice = orderPrice, OrderAmountUSD = size, ProfitLoss = profitLoss, FinalBalance = finalBalance, FinalEquity = finalEquity
};
finalOrders.Add(ori);
}
}
var finalPL = Math.Round(originalBalance - startingBalance, 2);
finalOrders.Add(new OrderResultInfo()
{
Id = "", Time = DateTime.MinValue, Type = "blank", OrderPrice = 0f, OrderAmountUSD = 0f, ProfitLoss = 0f, FinalBalance = 0f
});
finalOrders.Add(new OrderResultInfo()
{
Id = "", Time = DateTime.MinValue, Type = "blank2", OrderPrice = 0f, OrderAmountUSD = 0f, ProfitLoss = finalPL, FinalBalance = originalBalance
});
var final = JsonConvert.SerializeObject(finalOrders);
return(final);
}
public ActionResult <string> Get(string Symbol)
{
var RequestData = new Dictionary <string, string>();
RequestData = CryptoGlobals.GetRequestData(Request);
Symbol = Symbol.Replace("-", "");
var interval = KlineInterval.FifteenMinutes;
var start = new DateTime(2019, 7, 1);
var end = DateTime.Now;
var symbol = Symbol.ToUpper();
var liteJson = false;
var justOK = false;
var jsonP = "";
if (RequestData.ContainsKey("interval"))
{
var tempInterval = RequestData["interval"].ToString();
interval = CryptoGlobals.GetKlineFromString(tempInterval);
}
else
{
return("interval missing");
}
Response.Headers.Add("Access-Control-Allow-Origin", "*");
if (RequestData.ContainsKey("jsonp"))
{
jsonP = RequestData["jsonp"];
}
if (RequestData.ContainsKey("justok"))
{
justOK = true;
}
if (RequestData.ContainsKey("lite") && RequestData["lite"] == "true")
{
liteJson = true;
}
if (RequestData.ContainsKey("start") && RequestData.ContainsKey("end"))
{
var startS = RequestData["start"].ToString();
var endS = RequestData["end"].ToString();
DateTime dt1;
if (DateTime.TryParseExact(startS,
"yyyy-MM-dd",
CultureInfo.InvariantCulture,
DateTimeStyles.None,
out dt1))
{
start = dt1;
}
else
{
return("Invalid start date");
}
DateTime dt2;
if (DateTime.TryParseExact(endS,
"yyyy-MM-dd",
CultureInfo.InvariantCulture,
DateTimeStyles.None,
out dt2))
{
end = dt2.AddDays(1); // because we are NOT getting time. So we want to get UNTIL the next day
if (end > DateTime.Now)
{
end = DateTime.Now;
}
}
else
{
return("Invalid end date");
}
}
else
{
return(JsonConvert.SerializeObject(new KeyValuePair <string, string>("Error", "You have to use start & date query")));
}
if (!CandleHelper.Jobs.ContainsKey(symbol) || (CandleHelper.Jobs.ContainsKey(symbol) && CandleHelper.Jobs[symbol].Done))
{
if (CandleHelper.Jobs.ContainsKey(symbol))
{
CandleHelper.Jobs.Remove(symbol);
}
DateTime small = DateTime.MinValue;
DateTime big = DateTime.MinValue;
List <CandleInfo> allCandles = null;
if (CandleHelper.CandlesAvailable(symbol, interval, start, end, out small, out big, out allCandles))
{
var finalS = "";
if (justOK)
{
finalS = "ok";
}
else
{
if (liteJson)
{
var temp = new List <CandleInfo>();
foreach (var item in allCandles)
{
temp.Add(item); // timestamp, o,h,l,c
// highchart requires timestamp*1000 or else dates are invalid
}
finalS = JsonConvert.SerializeObject(temp);
}
else
{
finalS = JsonConvert.SerializeObject(allCandles);
}
}
//Response.ContentType = "application/javascript";
if (jsonP != "")
{
return(jsonP + "(" + finalS + ")");
}
return(finalS);
// let's retrieve em all??
return("Small: " + small.ToString() + Environment.NewLine + "Big: " + big.ToString());
}
else
{
if (big == DateTime.MinValue)
{
big = start;
}
else
{
big = big.MinusKlineInterval(interval).MinusKlineInterval(interval);
}
CandleHelper.Jobs[symbol] = new CandleJob(symbol, start, end, interval); // we just started the job
CandleHelper.Jobs[symbol].StartWork();
return("working");
}
}
else
{
return("working");
}
}
