// Display realized volatility for top-ranked (by market cap) cryptos from CoinMarketCap
private void DisplayRealizedVolatility(int limit = 50)
{
int numberOfBars = 12;
var top = m_cmc.GetRankings(limit);
foreach (var t in top)
{
var exchange = "BINANCE";
string symbol;
string[] mainSymbols = { "ADA", "BCC", "BNB", "BTC", "EOS", "ETH", "IOTA", "LTC", "NEO", "QTUM", "TUSD", "XLM", "XRP" };
if (mainSymbols.Contains(t.symbol))
{
symbol = t.symbol + "USDT";
}
else
{
symbol = t.symbol + "BTC";
}
var xs = new XSymbol(exchange, symbol);
var candles = m_maker.GetCandles(xs, 1440, 1);
if (candles.Count < numberOfBars)
{
continue;
}
var rvol = new RealizedVolatility(candles, numberOfBars);
//var mr = CoinMarketCapApi.GetMarkets(t.name);
//var marketExchanges = mr.Select(m => m.exchange).Distinct();
Console.WriteLine("{0,4} {1,-7} {2,6:0.00}", t.rank, t.symbol, rvol.Value);
}
}
// where exchange like "BINANCE"
public void DisplayBetaCalcs(string exchange, bool convertCandlesToUsd)
{
var cBtc = m_maker.GetCandles(new XSymbol(exchange, "BTCUSDT"), (int)Minutes.Day);
var cLtc = m_maker.GetCandles(new XSymbol(exchange, "LTCUSDT"), (int)Minutes.Day);
var cEth = m_maker.GetCandles(new XSymbol(exchange, "ETHUSDT"), (int)Minutes.Day);
var betaLtc = GMath.Beta(cLtc, cBtc);
var betaEth = GMath.Beta(cEth, cBtc);
Console.WriteLine("beta_LTCUSDT:{0:0.00}", betaLtc);
Console.WriteLine("beta_ETHUSDT:{1:0.00}", betaEth);
foreach (var ts in m_activeTradeSymbols) // m_tradeSymbols)
{
var symbol = m_api[exchange].GlobalSymbolToExchangeSymbol(ts.GlobalSymbol);
var cX = m_maker.GetCandles(new XSymbol(exchange, symbol), (int)Minutes.Day);
var beta = GMath.Beta(cX, cBtc, convertCandlesToUsd);
Console.WriteLine("beta_{0}:{1:0.00}", symbol, beta);
}
}