public ActionResult ExchangePairs(string exchange, string baseCurrency)
{
var result = new JArray();
var symbolArray = new JArray();
IExchangeAPI api = ExchangeAPI.GetExchangeAPI(exchange);
var exchangeCoins = api.GetSymbolsMetadataAsync().Result;
if (!String.IsNullOrEmpty(baseCurrency))
{
exchangeCoins = exchangeCoins.Where(e => e.BaseCurrency.ToLowerInvariant() == baseCurrency.ToLowerInvariant());
}
foreach (var coin in exchangeCoins)
{
symbolArray.Add(api.ExchangeSymbolToGlobalSymbol(coin.MarketName));
}
var baseCurrencyArray = new JArray();
var exchangeBaseCurrencies = api.GetSymbolsMetadataAsync().Result.Select(m => m.BaseCurrency).Distinct();
foreach (var currency in exchangeBaseCurrencies)
{
baseCurrencyArray.Add(currency);
}
result.Add(symbolArray);
result.Add(baseCurrencyArray);
return(new JsonResult(result));
}
public ActionResult BacktesterResults(string exchange, string coinsToBuy, string baseCurrency, string candleSize = "5", string strategy = "all")
{
JObject strategies = new JObject();
List <string> coins = new List <string>();
if (String.IsNullOrEmpty(coinsToBuy))
{
IExchangeAPI api = ExchangeAPI.GetExchangeAPI(exchange.ToLower());
var exchangeCoins = api.GetSymbolsMetadataAsync().Result.Where(m => m.BaseCurrency == baseCurrency);
foreach (var coin in exchangeCoins)
{
coins.Add(api.ExchangeSymbolToGlobalSymbol(coin.MarketName));
}
}
else
{
Char delimiter = ',';
String[] coinsToBuyArray = coinsToBuy.Split(delimiter);
foreach (var coin in coinsToBuyArray)
{
coins.Add(coin.ToUpper());
}
}
var backtestOptions = new BacktestOptions
{
DataFolder = Global.DataPath,
Exchange = (Exchange)Enum.Parse(typeof(Exchange), exchange, true),
Coins = coins,
CandlePeriod = Int32.Parse(candleSize)
};
var cts = new CancellationTokenSource();
var parallelOptions = new ParallelOptions
{
CancellationToken = cts.Token,
MaxDegreeOfParallelism = Environment.ProcessorCount
};
Parallel.ForEach(BacktestFunctions.GetTradingStrategies(), parallelOptions, async tradingStrategy =>
{
if (strategy != "all")
{
var base64EncodedBytes = Convert.FromBase64String(strategy);
if (tradingStrategy.Name != Encoding.UTF8.GetString(base64EncodedBytes))
{
return;
}
}
var result = await BacktestFunctions.BackTestJson(tradingStrategy, backtestOptions, Global.DataStoreBacktest);
foreach (var item in result)
{
await Runtime.GlobalHubBacktest.Clients.All.SendAsync("Send", JsonConvert.SerializeObject(item));
}
});
return(new JsonResult(strategies));
}
public async Task <ActionResult> FillCandlesGaps(string exchange, string coinsToBuy, string baseCurrency, DateTime?from = null, DateTime?to = null, string candleSize = "5")
{
var coins = new List <string>();
if (String.IsNullOrEmpty(coinsToBuy))
{
IExchangeAPI api = ExchangeAPI.GetExchangeAPI(exchange);
var exchangeCoins = api.GetSymbolsMetadataAsync().Result.Where(m => m.BaseCurrency == baseCurrency);
foreach (var coin in exchangeCoins)
{
coins.Add(api.ExchangeSymbolToGlobalSymbol(coin.MarketName));
}
}
else
{
Char delimiter = ',';
String[] coinsToBuyArray = coinsToBuy.Split(delimiter);
foreach (var coin in coinsToBuyArray)
{
coins.Add(coin.ToUpper());
}
}
var backtestOptions = new BacktestOptions
{
DataFolder = Global.DataPath,
Exchange = (Exchange)Enum.Parse(typeof(Exchange), exchange, true),
Coins = coins,
CandlePeriod = Int32.Parse(candleSize),
EndDate = DateTime.Now
};
if (from.HasValue)
{
backtestOptions.StartDate = from.Value;
}
if (to.HasValue)
{
backtestOptions.EndDate = to.Value;
backtestOptions.EndDate = backtestOptions.EndDate.AddDays(1).AddMinutes(-1);
}
await DataRefresher.FillCandlesGaps(x => Global.Logger.Information(x), backtestOptions, Global.DataStoreBacktest);
var result = new JObject {
["result"] = "success"
};
return(new JsonResult(result));
}
public async Task <ActionResult> RefreshCandles(string exchange, string coinsToBuy, string baseCurrency, string candleSize = "5")
{
List <string> coins = new List <string>();
if (String.IsNullOrEmpty(coinsToBuy))
{
IExchangeAPI api = ExchangeAPI.GetExchangeAPI(exchange);
var exchangeCoins = api.GetSymbolsMetadataAsync().Result.Where(m => m.BaseCurrency == baseCurrency);
foreach (var coin in exchangeCoins)
{
coins.Add(api.ExchangeSymbolToGlobalSymbol(coin.MarketName));
}
}
else
{
Char delimiter = ',';
String[] coinsToBuyArray = coinsToBuy.Split(delimiter);
foreach (var coin in coinsToBuyArray)
{
coins.Add(coin.ToUpper());
}
}
BacktestOptions backtestOptions = new BacktestOptions
{
DataFolder = Global.DataPath,
Exchange = (Exchange)Enum.Parse(typeof(Exchange), exchange, true),
Coins = coins,
CandlePeriod = Int32.Parse(candleSize)
};
await DataRefresher.RefreshCandleData(x => Global.Logger.Information(x), backtestOptions, Global.DataStoreBacktest);
JObject result = new JObject
{
["result"] = "success"
};
return(new JsonResult(result));
}
public void HandleTickerUpdate(IExchangeAPI api, IReadOnlyCollection <KeyValuePair <string, ExchangeTicker> > tickers)
{
var symbolsInUpdate = new HashSet <string>();
foreach (var kv in tickers)
{
string symbol;
if (api is ExchangeBitfinexAPI)
{
symbol = kv.Key.Substring(0, 3) + "-" + kv.Key.Substring(3);
}
else
{
symbol = api.ExchangeSymbolToGlobalSymbol(kv.Key);
}
string exchange = api.Name;
// 1st time for SYMBOL: Create a dictionary <exchange, stack<ExchangeTicker>>
if (!m_tickers.ContainsKey(symbol))
{
m_tickers[symbol] = new ConcurrentDictionary <string, ConcurrentStack <ExchangeTicker> >();
}
// 1st time for SYMBOL|EXCHANGE: Create a stack<ExchangeTicker>
if (!m_tickers[symbol].ContainsKey(exchange))
{
m_tickers[symbol][exchange] = new ConcurrentStack <ExchangeTicker>();
}
var ticker = kv.Value;
m_tickers[symbol][exchange].Push(ticker);
symbolsInUpdate.Add(symbol);
}
/*if (symbolsInUpdate.Contains("BTC-USD")) update("BTC-USD");
* if (symbolsInUpdate.Contains("BTC-USDT")) update("BTC-USDT");
* if (symbolsInUpdate.Contains("ETH-USD")) update("ETH-USD");
* if (symbolsInUpdate.Contains("ETH-USDT")) update("ETH-USDT");*/
}
public ActionResult BacktesterResults(string exchange, string coinsToBuy, string baseCurrency, bool saveSignals, decimal startingWallet, decimal tradeAmount, DateTime?from = null, DateTime?to = null, string candleSize = "5", string strategy = "all")
{
var strategies = new JObject();
var coins = new List <string>();
if (String.IsNullOrEmpty(coinsToBuy))
{
IExchangeAPI api = ExchangeAPI.GetExchangeAPI(exchange);
var exchangeCoins = api.GetSymbolsMetadataAsync().Result.Where(m => m.BaseCurrency == baseCurrency);
foreach (var coin in exchangeCoins)
{
coins.Add(api.ExchangeSymbolToGlobalSymbol(coin.MarketName));
}
}
else
{
Char delimiter = ',';
String[] coinsToBuyArray = coinsToBuy.Split(delimiter);
foreach (var coin in coinsToBuyArray)
{
coins.Add(coin.ToUpper());
}
}
var backtestOptions = new BacktestOptions
{
DataFolder = Global.DataPath,
Exchange = (Exchange)Enum.Parse(typeof(Exchange), exchange, true),
Coins = coins,
CandlePeriod = Int32.Parse(candleSize)
};
if (from.HasValue)
{
backtestOptions.StartDate = from.Value;
}
if (to.HasValue)
{
backtestOptions.EndDate = to.Value;
backtestOptions.EndDate = backtestOptions.EndDate.AddDays(1).AddMinutes(-1);
}
if (tradeAmount == 0m)
{
tradeAmount = backtestOptions.StakeAmount;
}
if (startingWallet == 0m)
{
startingWallet = backtestOptions.StartingWallet;
}
var cts = new CancellationTokenSource();
var parallelOptions = new ParallelOptions
{
CancellationToken = cts.Token,
MaxDegreeOfParallelism = Environment.ProcessorCount
};
Parallel.ForEach(BacktestFunctions.GetTradingStrategies(), parallelOptions, async tradingStrategy =>
{
if (strategy != "all")
{
var base64EncodedBytes = Convert.FromBase64String(strategy);
if (tradingStrategy.Name != Encoding.UTF8.GetString(base64EncodedBytes))
{
return;
}
}
var result = await BacktestFunctions.BackTestJson(tradingStrategy, backtestOptions, Global.DataStoreBacktest, baseCurrency, saveSignals, startingWallet, tradeAmount);
for (int i = 0; i < result.Count(); i++)
{
if (i == 0)
{
await Runtime.GlobalHubBacktest.Clients.All.SendAsync("SendSummary", JsonConvert.SerializeObject(result[i]));
}
else
{
await Runtime.GlobalHubBacktest.Clients.All.SendAsync("Send", JsonConvert.SerializeObject(result[i]));
}
}
});
return(new JsonResult(strategies));
}
