/// <summary>
/// Read already downloaded OHLC data
/// </summary>
/// <param name="curPair"></param>
/// <param name="freq"></param>
/// <param name="item"></param>
/// <returns></returns>
private GetOHLCResult ReadOHLC(CurrencyPair curPair, Frequency freq, string item = "Close")
{
string pathLib = GetOHLCLibraryPath(curPair, freq);
GetOHLCResult res = new GetOHLCResult
{
Pairs = new Dictionary <string, List <OHLC> > {
{ curPair.GetRequestID(), new List <OHLC> {
} }
}
};
List <string[]> csv = StaticLibrary.LoadCsvFile(pathLib);
bool isHeaders = true;
string[] headers = null;
foreach (string[] array in csv)
{
if (isHeaders)
{
headers = array; isHeaders = false;
}
else
{
OHLC ohlc = DataLibraryStaticLibrary.ReadOHLCItems(array, headers);
res.Pairs[curPair.GetRequestID()].Add(ohlc);
}
}
return(res);
}
/// <summary>
/// Gets the ohlc.
/// </summary>
/// <param name="pair">The pair.</param>
/// <param name="interval">The interval.</param>
/// <param name="since">The since.</param>
public GetOHLCResult GetOHLC(string pair, int?interval = null, int?since = null)
{
var param = new Dictionary <string, string>();
param.Add("pair", pair);
if (interval != null)
{
param.Add("interval", interval.ToString());
}
if (since != null)
{
param.Add("since", since.ToString());
}
var res = QueryPublic("OHLC", param);
JObject obj = (JObject)JsonConvert.DeserializeObject(res);
JArray err = (JArray)obj["error"];
if (err.Count != 0)
{
throw new KrakenException(err[0].ToString(), JsonConvert.DeserializeObject <ResponseBase>(res));
}
JObject result = obj["result"].Value <JObject>();
var ret = new GetOHLCResult();
ret.Pairs = new Dictionary <string, List <OHLC> >();
foreach (var o in result)
{
if (o.Key == "last")
{
ret.Last = o.Value.Value <long>();
}
else
{
var ohlc = new List <OHLC>();
foreach (var v in o.Value.ToObject <decimal[][]>())
{
ohlc.Add(new OHLC()
{
Time = (int)v[0], Open = v[1], High = v[2], Low = v[3], Close = v[4], Vwap = v[5], Volume = v[6], Count = (int)v[7]
});
}
ret.Pairs.Add(o.Key, ohlc);
}
}
return(ret);
}
public IEnumerable <TradeBar> DownloadTradeBars(Symbol symbol, DateTime startTimeUtc, DateTime endTimeUtc, Resolution resolution, DateTimeZone requestedTimeZone)
{
string krakenSymbol = SymbolMapper.GetBrokerageSymbol(symbol);
int interval = ResolutionToInterval(resolution);
GetOHLCResult result = _restApi.GetOHLC(krakenSymbol, interval, (int)ToUnix(startTimeUtc));
Dictionary <string, List <OHLC> > dict = result.Pairs;
List <OHLC> list = dict[krakenSymbol];
foreach (OHLC candle in list)
{
yield return(new TradeBar(DateTimeOffset.FromUnixTimeSeconds(candle.Time).DateTime, symbol, candle.Open, candle.High, candle.Low, candle.Close, candle.Volume, TimeSpan.FromMinutes(interval)));
}
}
/// <summary>
/// Gets the history for the requested security
/// </summary>
/// <param name="request">The historical data request</param>
/// <returns>An enumerable of bars covering the span specified in the request</returns>
public override IEnumerable <BaseData> GetHistory(HistoryRequest request)
{
// TradeBar
Symbol leanSymbol = request.Symbol;
string krakenSymbol = SymbolMapper.GetBrokerageSymbol(leanSymbol);
long startTime = ((DateTimeOffset)request.StartTimeUtc).ToUnixTimeSeconds();
long endTime = ((DateTimeOffset)request.EndTimeUtc).ToUnixTimeSeconds();
TickType tickType = request.TickType;
Resolution resolution = request.Resolution;
int interval = ResolutionToInterval(resolution);
DateTimeZone zone = request.DataTimeZone;
Type dataType = request.DataType;
while (startTime > endTime)
{
GetOHLCResult result = _restApi.GetOHLC(krakenSymbol, interval, (int)startTime);
startTime = result.Last;
Dictionary <string, List <OHLC> > dict = result.Pairs;
List <OHLC> list = dict[krakenSymbol];
foreach (OHLC candle in list)
{
if (candle.Time <= endTime)
{
yield return(new TradeBar(FromUnix(candle.Time), leanSymbol, candle.Open, candle.High, candle.Low, candle.Close, candle.Volume, TimeSpan.FromMinutes(interval)));
}
}
}
yield return(null);
}
