void CheckIndicator(iMACD macd, bool isCompleteBar, bool displayIndicator = true)
{
double MACD, signal, hist;
if (macd.isPrimed()) // indicator is "primed" when it has enough data to calculate values
{
macd.Value(out MACD, out signal, out hist); // calculate MACD values
//if (display) cout("---MACD:{0} signal:{1} hist:{2}", MACD, signal, hist); // display the values
if (displayIndicator)
{
cout("{0}>---MACD:{1:0.00000000}--- [{2}]", m_pair, hist, DateTime.Now.ToShortTimeString()); // display only the histMACD value
}
m_indicator.Add(new double[] { MACD, signal, hist }); // add the values to the m_indicator List
if (m_pos > 0 && hist < 0) // CHECK TO SEE IF WE CROSSED pos-to-neg or neg-to-pos
{
if (isCompleteBar)
{
TradeSell(); // long position and histMACD negative = SELL
}
}
else if (m_pos < 0 && hist > 0)
{
if (isCompleteBar)
{
TradeBuy(); // short position and histMACD positive = BUY
}
}
}
}
public void RecordMACD(KLine _curKL, ref iEMA ema11, ref iEMA ema22, ref iMACD macd)
{
ema11.ReceiveTick(_curKL.close);
ema22.ReceiveTick(_curKL.close);
double DI = ((double)_curKL.close * 2 + _curKL.highest + _curKL.lowest) / 4.0;
macd.ReceiveTick(DI / 100);
}
public bool ReceiveData(ref int cnt, ref KLine _KL, ref List <KLine> _lst,
ref iEMA _ema11, ref iEMA _ema22, ref iMACD _macd,
int period, DateTime _CurTime,
int open, int highest, int lowest, int close, int amount)
{
cnt++;
if (cnt == 1)
{
_KL = new KLine(FIFTEEN_MINUTES, _CurTime, open, highest, lowest, close, amount);
}
else
{
_KL.amount += amount;
if (lowest < _KL.lowest)
{
_KL.lowest = lowest;
}
else if (highest > _KL.highest)
{
_KL.highest = highest;
}
if (cnt == period / ONE_MINUTE)
{
_KL.close = close;
_KL.datetime = g_CurTime;
_lst.Add(_KL);
cnt = 0;
//記錄MACD
RecordMACD(_KL, ref _ema11, ref _ema22, ref _macd);
//K棒收集完成
return(true);
}
}
return(false);
}
private List<decimal> CandlesMACD(string exchange, string symbol, int periodMinutes = 1, DateTime? startDate = null, DateTime? endDate = null, int? limit = null)
{
int periodSeconds = periodMinutes * 60;
var candles = m_api[exchange].GetCandles(symbol, periodSeconds, startDate, endDate, limit);
var macd = new iMACD(12, 26, 9);
var histList = new List<decimal>();
foreach (var c in candles)
{
var timeString = c.Timestamp.ToString("yyyy-MM-dd HH:mm:ss");
//Console.WriteLine("{0} {1} {2} o:{3} h:{4} l:{5} c:{6} vol:{7} period:{8} wavg:{9}", timeString, c.ExchangeName, c.Name, c.OpenPrice, c.HighPrice, c.LowPrice, c.ClosePrice, c.BaseVolume, c.PeriodSeconds, c.WeightedAverage);
macd.ReceiveTick(c.ClosePrice);
if (macd.IsPrimed)
{
/*decimal macdValue, signalValue, histValue;
macd.DecimalValue(out macdValue, out signalValue, out histValue);
//Console.WriteLine("{0:0.00}", histValue); // {1:0.00} {2:0.00}", macdValue, signalValue, histValue);
histList.Add(histValue);*/
histList.Add(macd.Value);
}
}
return histList;
}
public void StartTrade(string pair, decimal tradeUnitSize)
{
m_tradeUnitSize = tradeUnitSize;
m_macd = new iMACD(10, 26, 9);
BittrexOHLC(pair, false); // get the initial set of OHLC data (and calculate latest MACD values)
var hist = m_indicator.Last()[2]; // get the most recent "histogram" MACD value (watch this going positive/negative)
if (hist > 0) // set our initial "position" according to current "histogram" MACD value
{
m_pos = 1;
}
else
{
m_pos = -1;
}
/*// ADD ORDER
* var ticker = kraken.GetTicker(pair);
* xpair = ohlc.Pairs.Keys.First();
* ticker.Display("ticker:");
* int dplaces = 1;
* decimal percent = 0.05M;
* var bid = Math.Round(ticker[xpair].BidPrice - percent * ticker[xpair].BidPrice, dplaces); // bid - 5%
* var ask = Math.Round(ticker[xpair].AskPrice + percent * ticker[xpair].BidPrice, dplaces); // ask + 5%
* var addorder = kraken.AddOrder(pair, "buy", bid, 0.001M, 2);
* string[] txids;
* if (addorder != null)
* {
* txids = addorder.Txid;
* var descr = addorder.Descr;
* cout(addorder.ToString());
* }
* else
* txids = null;
*
* // ORDERS, TRADES, POSITIONS
* var openOrders = kraken.GetOpenOrders();
* var closedOrders = kraken.GetClosedOrders();
* openOrders.Display("open orders:");
* closedOrders.Display("closed orders:");
* var qo = kraken.QueryOrders(txids);
* var qt = kraken.QueryTrades(txids);
* var op = kraken.GetOpenPositions(txids);
*
* bool cancel = true;
* if (cancel && txids != null)
* {
* // CANCEL PREVIOUSLY ADDED ORDER
* foreach (var id in txids)
* {
* var cancelorder = kraken.CancelOrder(id);
* cout(cancelorder.ToString());
* }
* }*/
//ShowThreadInfo("Application");
var tind = Task.Run(() => IndicatorThread(pair));
//t.Wait();
var torders = Task.Run(() => OrdersThread(pair));
System.Console.WriteLine("Starting BITTREX trading system...");
//System.Console.ReadLine();
tind.Wait();
}
public void StartTrade(decimal tradeUnitSize, int barIntervalMinutes, bool tradeLive = false, bool backTestOnly = false)
{
m_tradeUnitSize = tradeUnitSize;
m_barIntervalMinutes = barIntervalMinutes;
//m_tradeLive = tradeLive;
m_tradeStartTime = DateTime.Now.ToCompactDateTime(); // time that we started this trade
InitializeTradeLog(); // write the column headers to the trade log file
cout("Starting BINANCE MACD trade: '{0}' interval={1} size={2}", m_pair, m_barIntervalMinutes, m_tradeUnitSize);
m_macd = new iMACD(10, 26, 9); // create the MACD indicator
m_macdLive = new iMACD(10, 26, 9); // create intra-bar version of the MACD indicator
m_tradeLive = false; // turn OFF live trading while we process historical bars
try
{
//KrakenOHLC(pair, m_barIntervalMinutes, false, false); // get the initial set of OHLC data (and calculate latest MACD values)
GetOHLC(m_barIntervalMinutes, displayIndicator: false, limit: 500); // get the initial set of OHLC data (and calculate latest MACD values)
//GetOHLC(m_barIntervalMinutes, false, true, 500); // get the initial set of OHLC data (and calculate latest MACD values)
var hist = m_indicator.Last()[2]; // get the most recent "histogram" MACD value (watch this going positive/negative)
cout("{0}>---initial MACD value: {1:0.00000000}", PairId, hist); // display the initial indicator value
m_tradeLive = tradeLive;
if (hist > 0) // set our initial "position" according to current "histogram" MACD value
{
m_pos = 1;
}
else
{
m_pos = -1;
}
}
catch (Exception ex)
{
cout("{0}> An error occurred initializing the BINANCE MACD trade: {1}\nRestarting the trade usually solves the issue.", m_pair, ex.Message);
return;
}
// If we are only running a backtest, then exit after running through the initial historical bar data
if (backTestOnly)
{
return;
}
/*// ADD ORDER
* var ticker = kraken.GetTicker(pair);
* xpair = ohlc.Pairs.Keys.First();
* ticker.Display("ticker:");
* int dplaces = 1;
* decimal percent = 0.05M;
* var bid = Math.Round(ticker[xpair].BidPrice - percent * ticker[xpair].BidPrice, dplaces); // bid - 5%
* var ask = Math.Round(ticker[xpair].AskPrice + percent * ticker[xpair].BidPrice, dplaces); // ask + 5%
* var addorder = kraken.AddOrder(pair, "buy", bid, 0.001M, 2);
* string[] txids;
* if (addorder != null)
* {
* txids = addorder.Txid;
* var descr = addorder.Descr;
* cout(addorder.ToString());
* }
* else
* txids = null;
*
* // ORDERS, TRADES, POSITIONS
* var openOrders = kraken.GetOpenOrders();
* var closedOrders = kraken.GetClosedOrders();
* openOrders.Display("open orders:");
* closedOrders.Display("closed orders:");
* var qo = kraken.QueryOrders(txids);
* var qt = kraken.QueryTrades(txids);
* var op = kraken.GetOpenPositions(txids);
*
* bool cancel = true;
* if (cancel && txids != null)
* {
* // CANCEL PREVIOUSLY ADDED ORDER
* foreach (var id in txids)
* {
* var cancelorder = kraken.CancelOrder(id);
* cout(cancelorder.ToString());
* }
* }*/
//ShowThreadInfo("Application");
var tind = Task.Run(() => IndicatorThread());
//var torders = Task.Run(() => OrdersThread());
//var tbalances = Task.Run(() => BalancesThread());
cout("Starting {0} trading system: {1} ...", m_exch.Name, m_pair);
cout("Trades will be written to file: '{0}'", m_tradeLogPathname);
}
