public override void UpdatePredictors()
{
TickerChangedEventArgs[] tickers = Data.Store.GetTickerData(pair);
if (tickers == null)
{
throw new Exception("Data store returned NULL tickers for pair " + pair);
}
predictorMACD.Recalculate(tickers);
Data.ResultSet.Variable tempVar;
if (predictorMACD.GetLastResult().variables.TryGetValue("macd", out tempVar))
{
USDT_BTC_Trend = tempVar.value;
}
}
public override void Setup(bool simulate = false)
{
predictorMACD = new Data.Predictors.MACD(pair);
TickerChangedEventArgs[] tickers = Data.Store.GetTickerData(pair);
if (tickers == null)
{
throw new Exception("Couldn't build predictor history for " + pair + " - no tickers available");
}
predictorMACD.Recalculate(tickers);
Data.ResultSet.Variable tempVar;
if (predictorMACD.GetLastResult().variables.TryGetValue("macd", out tempVar))
{
USDT_BTC_Trend = tempVar.value;
}
}
public override void EvaluateTrade()
{
TickerChangedEventArgs lastTicker = Data.Store.GetLastTicker(pair);
double lastPrice = lastTicker.MarketData.PriceLast;
double buyPrice = lastTicker.MarketData.OrderTopBuy;
double sellPrice = lastTicker.MarketData.OrderTopSell;
if (lastPrice == lastTradePrice)
{
return;
}
lastTradePrice = lastPrice;
double currQuoteAmount = Manager.GetWalletState(pair.QuoteCurrency);
double currBaseAmount = Manager.GetWalletState(pair.BaseCurrency);
double currQuoteOrdersAmount = Manager.GetWalletStateOrders(pair.QuoteCurrency);
double currTradableBaseAmount = currBaseAmount * 1;
if (currTradableBaseAmount < RuleMinimumBaseAmount.MinimumTradeAmount)
{
currTradableBaseAmount = currBaseAmount;
}
double postBaseAmount = currQuoteAmount * buyPrice;
double postQuoteAmount = currTradableBaseAmount / sellPrice;
double minPrice = 0;
double maxPrice = 0;
double maShort = 0;
double maLong = 0;
double rsi = 0;
// --------------------------
Data.ResultSet.Variable tempVar;
if (predictorRSI.GetLastResult().variables.TryGetValue("rsi", out tempVar))
{
rsi = tempVar.value;
}
if (predictorExtremes.GetLastResult().variables.TryGetValue("min", out tempVar))
{
minPrice = tempVar.value;
}
if (predictorExtremes.GetLastResult().variables.TryGetValue("max", out tempVar))
{
maxPrice = tempVar.value;
}
if (predictorMacd.GetLastResult().variables.TryGetValue("maShort", out tempVar))
{
maShort = tempVar.value;
}
if (predictorMacd.GetLastResult().variables.TryGetValue("maLong", out tempVar))
{
maLong = tempVar.value;
}
// -------------------------------------------
// Compile all the rule variables into a dictionary
// -------------------------------------------
Dictionary <string, double> ruleVariables = new Dictionary <string, double>();
ruleVariables.Add("lastBuyTimestamp", LastBuyTime);
ruleVariables.Add("lastSellTimestamp", LastSellTime);
ruleVariables.Add("lastTickerTimestamp", lastTicker.Timestamp);
ruleVariables.Add("price", lastPrice);
ruleVariables.Add("buyPrice", buyPrice);
ruleVariables.Add("sellPrice", sellPrice);
ruleVariables.Add("openPrice", openPosition);
ruleVariables.Add("quoteAmountOrders", currQuoteOrdersAmount);
ruleVariables.Add("quoteAmount", currQuoteAmount);
ruleVariables.Add("baseAmount", currBaseAmount);
ruleVariables.Add("baseAmountTradable", currTradableBaseAmount);
ruleVariables.Add("postQuoteAmount", postQuoteAmount);
ruleVariables.Add("postBaseAmount", postBaseAmount);
ruleVariables.Add("maShort", maShort);
ruleVariables.Add("maLong", maLong);
ruleVariables.Add("rsi", rsi);
ruleVariables.Add("minPrice", minPrice);
ruleVariables.Add("maxPrice", maxPrice);
ruleVariables.Add("minGUI", lastPrice / minPrice);
ruleVariables.Add("maxGUI", maxPrice / lastPrice);
// -----------------------
// Update the sell band price rise offset
// -----------------------
((RuleSellBand)ruleSellBand).PriceRiseOffset = predictorExtremes.PriceRiseOffset;
// -----------------------
// Recalculate all the rules
// -----------------------
try {
for (int i = 0; i < allRules.Length; i++)
{
allRules[i].Recalculate(ruleVariables);
}
}
catch (Exception e) {
Console.WriteLine("Error: " + e.Message);
return;
}
// ----------------
// Update GUI
// ----------------
GUI.GUIManager.UpdateStrategyScreenPair(this.pair, ruleVariables);
Utility.TradeTracker.UpdateStopLoss(pair, ruleStopLoss.currTrigger);
// ----------------
// Custom rule logic
// ----------------
#region Buy Logic Tree
if (ruleMinBase.Result != RuleResult.BlockBuy && ruleMinQuotePost.Result != RuleResult.BlockBuy)
{
// we have enough of base and will have enough of quote (after trade) to satisfy minimum trade amount (0.0001)
// note: this counts the volatility factor, RuleMinimumBaseAmount uses baseAmount * volatility in verification
if (ruleForce.Result == RuleResult.Buy)
{
Buy(sellPrice, postQuoteAmount, true);
return;
}
if (ruleDelayAllTrades.Result != RuleResult.BlockBuySell && ruleDelayBuy.Result != RuleResult.BlockBuy && !RuleBubbleSave.BlockTrade)
{
// enough time has passed since the last trades were made
if (ruleMinQuote.Result == RuleResult.BlockSell)
{
// if it's blocking sell that means we don't own quote, so go ahead with buying
if (ruleMacdConverge.Result == RuleResult.Buy && ruleRSI.Result == RuleResult.Buy)
{
Buy(sellPrice, postQuoteAmount, true);
return;
}
}
}
}
#endregion
#region Sell Logic Tree
if (ruleMinQuote.Result != RuleResult.BlockSell && ruleMinBasePost.Result != RuleResult.BlockSell)
{
// we have enough of quote and will have enough of base (after trade) to satisfy minimum trade amount (0.0001)
if (ruleForce.Result == RuleResult.Sell)
{
Sell(buyPrice, currQuoteAmount, true);
return;
}
if (ruleDelayAllTrades.Result != RuleResult.BlockBuySell)
{
// enough time has passed since the last trades were made
if (ruleStopLoss.Result == RuleResult.Sell)
{
// price has dropped below stop-loss
Sell(buyPrice, currQuoteAmount, true);
return;
}
if (ruleMinSellprice.Result != RuleResult.BlockSell)
{
// current price is profitable (2%)
if (ruleSellBand.Result == RuleResult.Sell)
{
// price is below the sell band
Sell(buyPrice, currQuoteAmount, false);
return;
}
}
}
}
#endregion
}
public override void EvaluateTrade()
{
TickerChangedEventArgs lastTicker = Data.Store.GetLastTicker(pair);
double lastPrice = lastTicker.MarketData.PriceLast;
double buyPrice = lastTicker.MarketData.OrderTopBuy;
double sellPrice = lastTicker.MarketData.OrderTopSell;
double currQuoteAmount = Manager.GetWalletState(pair.QuoteCurrency);
double currBaseAmount = Manager.GetWalletState(pair.BaseCurrency);
double currTradableBaseAmount = currBaseAmount * 0.3; // VolatilityScore;
double postBaseAmount = currQuoteAmount * buyPrice;
double postQuoteAmount = currTradableBaseAmount / sellPrice;
double meanRev = 0;
double minPrice = 0;
double maxPrice = 0;
double macd = 0;
Data.ResultSet.Variable tempVar;
if (predictorMeanRev.GetLastResult().variables.TryGetValue("score", out tempVar))
{
meanRev = tempVar.value;
}
if (predictorExtremes.GetLastResult().variables.TryGetValue("min", out tempVar))
{
minPrice = tempVar.value;
}
if (predictorExtremes.GetLastResult().variables.TryGetValue("max", out tempVar))
{
maxPrice = tempVar.value;
}
if (predictorMacd.GetLastResult().variables.TryGetValue("macd", out tempVar))
{
macd = tempVar.value;
}
// -------------------------------------------
// Compile all the rule variables into a dictionary
// -------------------------------------------
Dictionary <string, double> ruleVariables = new Dictionary <string, double>();
ruleVariables.Add("lastBuyTimestamp", LastBuyTime);
ruleVariables.Add("lastSellTimestamp", LastSellTime);
ruleVariables.Add("lastTickerTimestamp", lastTicker.Timestamp);
ruleVariables.Add("price", lastPrice);
ruleVariables.Add("buyPrice", buyPrice);
ruleVariables.Add("sellPrice", sellPrice);
ruleVariables.Add("openPrice", openPosition);
ruleVariables.Add("quoteAmount", currQuoteAmount);
ruleVariables.Add("baseAmount", currBaseAmount);
ruleVariables.Add("baseAmountTradable", currTradableBaseAmount);
ruleVariables.Add("postQuoteAmount", postQuoteAmount);
ruleVariables.Add("postBaseAmount", postBaseAmount);
ruleVariables.Add("meanRev", meanRev);
ruleVariables.Add("minPrice", minPrice);
ruleVariables.Add("maxPrice", maxPrice);
ruleVariables.Add("minGUI", lastPrice / minPrice);
ruleVariables.Add("maxGUI", maxPrice / lastPrice);
ruleVariables.Add("macd", macd);
// -----------------------
// Recalculate all the rules
// -----------------------
try {
for (int i = 0; i < allRules.Length; i++)
{
allRules[i].Recalculate(ruleVariables);
}
}
catch (Exception e) {
Console.WriteLine("Error: " + e.Message);
return;
}
// ----------------
// Update GUI
// ----------------
GUI.GUIManager.UpdateStrategyScreenPair(this.pair, ruleVariables);
// ----------------
// Custom rule logic
// ----------------
#region Buy Logic Tree
if (ruleMinBase.Result != RuleResult.BlockBuy && ruleMinQuotePost.Result != RuleResult.BlockBuy)
{
// we have enough of base and will have enough of quote (after trade) to satisfy minimum trade amount (0.0001)
// note: this counts the volatility factor, RuleMinimumBaseAmount uses baseAmount * volatility in verification
if (ruleForce.Result == RuleResult.Buy)
{
Buy(sellPrice, postQuoteAmount);
return;
}
if (ruleDelayAllTrades.Result != RuleResult.BlockBuySell && ruleDelayBuy.Result != RuleResult.BlockBuy)
{
// enough time has passed since the last trades were made
if (ruleMinQuote.Result == RuleResult.BlockSell)
{
// if it's blocking sell that means we don't own quote, so go ahead with buying
if (ruleMacd.currentResult == RuleResult.Buy && ruleMeanRev.currentResult == RuleResult.Buy)
{
// MACD has stopped falling and price is below average
debugMacd = macd;
debugMeanRev = meanRev;
Buy(sellPrice, postQuoteAmount);
return;
}
}
}
}
#endregion
#region Sell Logic Tree
if (ruleMinQuote.Result != RuleResult.BlockSell && ruleMinBasePost.Result != RuleResult.BlockSell)
{
// we have enough of quote and will have enough of base (after trade) to satisfy minimum trade amount (0.0001)
if (ruleForce.Result == RuleResult.Sell)
{
Sell(buyPrice, currQuoteAmount);
return;
}
if (ruleDelayAllTrades.Result != RuleResult.BlockBuySell)
{
// enough time has passed since the last trades were made
if (ruleMinSellprice.Result != RuleResult.BlockSell)
{
// current price is profitable
if (ruleSellBand.Result == RuleResult.Sell)
{
// price is below the sell band
Sell(buyPrice, currQuoteAmount);
SaveTradeData(true, LastSellTime - LastBuyTime);
return;
}
}
/*
* if (ruleMacd.currentResult == RuleResult.Sell) {
* // price is currently dropping
*
* Sell(buyPrice, currQuoteAmount);
*
* SaveTradeData(false, LastSellTime - LastBuyTime);
*
* return;
* }
*/
if (ruleStopLoss.Result == RuleResult.Sell)
{
// price has dropped below stop-loss
Sell(buyPrice, currQuoteAmount);
SaveTradeData(false, LastSellTime - LastBuyTime);
return;
}
}
}
#endregion
}