public void UpdateProductHistoricCandles_ShouldReturnOrderBook_WhenAccountExists()
{
//Arrange
_httpMessageHandlerMock
.Protected()
.Setup <Task <HttpResponseMessage> >("SendAsync", ItExpr.IsAny <HttpRequestMessage>(),
ItExpr.IsAny <CancellationToken>())
.Returns(Task.FromResult(new HttpResponseMessage(HttpStatusCode.OK)
{
StatusCode = HttpStatusCode.OK,
Content = new StringContent(
@"[
[1594131000000,""8244.44000000"",""8247.71000000"",""8234.56000000"",""8247.53000000"",""0.57541000"",1594131299999,""4743.74677830"",29,""0.51348500"",""4233.45949059"",""0""],
[1594131300000,""8251.92000000"",""8263.73000000"",""8235.49000000"",""8261.31000000"",""0.73944300"",1594131599999,""6104.99268016"",73,""0.44151600"",""3646.66755442"",""0""],
[1594131600000,""8258.99000000"",""8266.70000000"",""8253.56000000"",""8265.01000000"",""0.21730200"",1594131899999,""1795.04159624"",61,""0.12557200"",""1037.27246541"",""0""]]")
}))
.Verifiable();
HttpClient httpClient = new HttpClient(_httpMessageHandlerMock.Object);
_connectionAdapter.HttpClient = httpClient;
Binance subjectUnderTest = new Binance {
ConnectionAdapter = _connectionAdapter
};
HistoricCandlesSearch historicCandlesSearch = new HistoricCandlesSearch
{
Symbol = "BTCEUR", StartingDateTime = new DateTime(2015, 4, 23).Date.ToUniversalTime()
};
historicCandlesSearch.EndingDateTime =
historicCandlesSearch.StartingDateTime.AddMonths(6).ToUniversalTime();
//Act
subjectUnderTest.UpdateProductHistoricCandlesAsync(historicCandlesSearch).Wait();
//Assert
Assert.IsNotNull(subjectUnderTest.HistoricRates);
Assert.AreEqual(3, subjectUnderTest.HistoricRates.Count);
Assert.AreEqual((decimal)8234.56000000, subjectUnderTest.HistoricRates[0].Low);
Assert.AreEqual((decimal)0.57541000, subjectUnderTest.HistoricRates[0].Volume);
}
public override async Task <List <HistoricRate> > UpdateProductHistoricCandlesAsync(
HistoricCandlesSearch historicCandlesSearch)
{
string json = null;
try
{
ProcessLogBroadcast?.Invoke(ApplicationName, MessageType.General,
"Updating Product Historic Candles Information.");
if (historicCandlesSearch.StartingDateTime.AddMilliseconds((double)historicCandlesSearch
.Granularity) >= historicCandlesSearch.EndingDateTime)
{
return(null);
}
Request request = new Request(ConnectionAdapter.Authentication.EndpointUrl, "GET",
$"/products/{historicCandlesSearch.Symbol}/candles?start={historicCandlesSearch.StartingDateTime:o}&end={historicCandlesSearch.EndingDateTime:o}&granularity={(int) historicCandlesSearch.Granularity}");
json = await ConnectionAdapter.RequestAsync(request);
if (json.StartsWith('[') && json.EndsWith(']'))
{
ArrayList[] candles = JsonSerializer.Deserialize <ArrayList[]>(json);
HistoricRates = candles.ToHistoricRateList();
HistoricRates.Reverse();
}
else
{
ProcessLogBroadcast?.Invoke(ApplicationName, MessageType.JsonOutput,
$"Method: UpdateProductHistoricCandlesAsync\r\nJSON: {json}");
}
}
catch (Exception e)
{
ProcessLogBroadcast?.Invoke(ApplicationName, MessageType.Error,
$"Method: UpdateProductHistoricCandlesAsync\r\nException Stack Trace: {e.StackTrace}\r\nJSON: {json}");
}
return(HistoricRates);
}
public void UpdateProductHistoricCandles_ShouldReturnOrderBook_WhenAccountExists()
{
//Arrange
_httpMessageHandlerMock
.Protected()
.Setup <Task <HttpResponseMessage> >("SendAsync",
ItExpr.IsAny <HttpRequestMessage>(), ItExpr.IsAny <CancellationToken>())
.Returns(Task.FromResult(new HttpResponseMessage(HttpStatusCode.OK)
{
StatusCode = HttpStatusCode.OK,
Content = new StringContent(
@"[[1415398998, 0.33, 4.9, 0.40, 4.5, 15.3],[1415398768, 0.32, 4.2, 0.35, 4.2, 12.3]]")
}))
.Verifiable();
HttpClient httpClient = new HttpClient(_httpMessageHandlerMock.Object);
_connectionAdapter.HttpClient = httpClient;
Coinbase subjectUnderTest = new Coinbase
{
ConnectionAdapter = _connectionAdapter
};
HistoricCandlesSearch historicCandlesSearch = new HistoricCandlesSearch
{
Symbol = "BTC-EUR",
StartingDateTime = new DateTime(2015, 4, 23).Date.ToUniversalTime(),
EndingDateTime = new DateTime(2015, 4, 23).Date.ToUniversalTime().AddMonths(6).ToUniversalTime()
};
//Act
subjectUnderTest.UpdateProductHistoricCandlesAsync(historicCandlesSearch).Wait();
//Assert
Assert.IsNotNull(subjectUnderTest.HistoricRates);
Assert.AreEqual(2, subjectUnderTest.HistoricRates.Count);
Assert.AreEqual((decimal)0.32, subjectUnderTest.HistoricRates[0].Low);
Assert.AreEqual((decimal)12.3, subjectUnderTest.HistoricRates[0].Volume);
}
private async void ProcessHistoryQuarterlyChartDownload()
{
await _processHistorySemaphoreSlim.WaitAsync();
try
{
string fileName = FileName + $"_{RelativeStrengthIndexSettings.Product.ID.ToLower()}_15M.csv";
string data = "DateTime,High,Open,Close,Low,Volume,MA7,RSI14\n";
//Validate file
if (!File.Exists(fileName))
{
if (!Directory.Exists(Path.GetDirectoryName(fileName)))
{
Directory.CreateDirectory(Path.GetDirectoryName(fileName));
}
File.Create(fileName).Close();
SaveAnalyticData(fileName, data);
}
//Initialise fields
const int period = 14;
const int maPeriod = 7;
const int granularity = 900;
DateTime startingDateTime;
HistoricRate previousHistoricRate = null;
decimal increases = 0;
decimal decreases = 0;
Queue <HistoricRate> maQueue = new Queue <HistoricRate>();
//Check if we have an empty file or not
if (string.IsNullOrWhiteSpace(RelativeStrengthIndexSettings
.HistoricChartPreviousHistoricDateTimeQuarterly))
{
startingDateTime = new DateTime(2015, 4, 23).Date;
RelativeStrengthIndexSettings.HistoricChartAverageGainQuarterly = 0;
RelativeStrengthIndexSettings.HistoricChartAverageLossQuarterly = 0;
RelativeStrengthIndexSettings.HistoricChartCurrentPeriodCountQuarterly = 0;
RelativeStrengthIndexSettings.RelativeIndexQuarterly = -1;
}
else
{
startingDateTime = RelativeStrengthIndexSettings.HistoricChartPreviousHistoricDateTimeQuarterly
.ToDateTime().AddMinutes(15);
previousHistoricRate = new HistoricRate
{
Close = RelativeStrengthIndexSettings.HistoricChartPreviousHistoricRateCloseQuarterly,
Open = RelativeStrengthIndexSettings.HistoricChartPreviousHistoricRateOpenQuarterly,
Low = RelativeStrengthIndexSettings.HistoricChartPreviousHistoricRateLowQuarterly,
High = RelativeStrengthIndexSettings.HistoricChartPreviousHistoricRateHighQuarterly,
Volume = RelativeStrengthIndexSettings.HistoricChartPreviousHistoricRateVolumeQuarterly,
DateAndTime = RelativeStrengthIndexSettings.HistoricChartPreviousHistoricDateTimeQuarterly
.ToDateTime()
};
}
//Begin data parsing
DateTime now = new DateTime(DateTime.Now.Year, DateTime.Now.Month, DateTime.Now.Day, DateTime.Now.Hour,
DateTime.Now.Minute, 0);
while (startingDateTime < now)
{
DateTime endingDateTime = startingDateTime.AddDays(2);
//Get the latest historic data
HistoricCandlesSearch historicCandlesSearch = new HistoricCandlesSearch
{
Symbol = RelativeStrengthIndexSettings.Product.ID,
StartingDateTime = startingDateTime,
EndingDateTime = endingDateTime,
Granularity = (Granularity)granularity
};
//Prevent overloaded calls by delaying for 1 second before call
await Task.Delay(1000);
//Get the latest historic data
List <HistoricRate> result = await UpdateProductHistoricCandles(historicCandlesSearch);
if (!result.Any())
{
//in the case that no data is available but current search date is not current date
startingDateTime = new DateTime(startingDateTime.Year, startingDateTime.Month, 1, 0, 0, 0)
.AddMonths(1);
continue;
}
//Iterate though the historic data
foreach (HistoricRate rate in result)
{
if (rate.DateAndTime >= now)
{
break;
}
if (previousHistoricRate != null &&
previousHistoricRate.DateAndTime.ToString("dd/MM/yyyy HH:mm") ==
rate.DateAndTime.ToString("dd/MM/yyyy HH:mm"))
{
continue;
}
//Moving Average 7 days
if (maQueue.Count == maPeriod)
{
maQueue.Dequeue();
}
maQueue.Enqueue(rate);
//Calculate RSI 14 days
if (RelativeStrengthIndexSettings.HistoricChartCurrentPeriodCountQuarterly > 0)
{
decimal change = rate.Close - previousHistoricRate.Close;
if (change > 0)
{
increases += change;
if (RelativeStrengthIndexSettings.HistoricChartCurrentPeriodCountQuarterly > period)
{
RelativeStrengthIndexSettings.HistoricChartAverageGainQuarterly =
(RelativeStrengthIndexSettings.HistoricChartAverageGainQuarterly *
(period - 1) + change) / period;
RelativeStrengthIndexSettings.HistoricChartAverageLossQuarterly =
RelativeStrengthIndexSettings.HistoricChartAverageLossQuarterly * (period - 1) /
period;
}
}
else if (change < 0)
{
decreases += change * -1;
if (RelativeStrengthIndexSettings.HistoricChartCurrentPeriodCountQuarterly > period)
{
RelativeStrengthIndexSettings.HistoricChartAverageGainQuarterly =
RelativeStrengthIndexSettings.HistoricChartAverageGainQuarterly * (period - 1) /
period;
RelativeStrengthIndexSettings.HistoricChartAverageLossQuarterly =
(RelativeStrengthIndexSettings.HistoricChartAverageLossQuarterly *
(period - 1) + change * -1) / period;
}
}
if (RelativeStrengthIndexSettings.HistoricChartCurrentPeriodCountQuarterly >= period)
{
if (RelativeStrengthIndexSettings.HistoricChartCurrentPeriodCountQuarterly == period)
{
RelativeStrengthIndexSettings.HistoricChartAverageGainQuarterly =
increases / period;
RelativeStrengthIndexSettings.HistoricChartAverageLossQuarterly =
decreases / period;
}
if (RelativeStrengthIndexSettings.HistoricChartCurrentPeriodCountQuarterly >= period)
{
RelativeStrengthIndexSettings.RelativeIndexQuarterly =
RelativeStrengthIndexSettings.HistoricChartAverageLossQuarterly == 0
? 100
: Math.Round(
100 - 100 /
(1 + RelativeStrengthIndexSettings.HistoricChartAverageGainQuarterly /
RelativeStrengthIndexSettings.HistoricChartAverageLossQuarterly),
2);
}
//Generate data
data =
$"{rate.DateAndTime}," +
$"{rate.High}," +
$"{rate.Open}," +
$"{rate.Close}," +
$"{rate.Low}," +
$"{rate.Volume}," +
$"{maQueue.Average(x => x.Close)}," +
$"{RelativeStrengthIndexSettings.RelativeIndexQuarterly}" +
"\n";
SaveAnalyticData(fileName, data);
}
}
previousHistoricRate = rate;
RelativeStrengthIndexSettings.HistoricChartCurrentPeriodCountQuarterly++;
}
startingDateTime = previousHistoricRate.DateAndTime.AddMinutes(15);
if (previousHistoricRate != null)
{
RelativeStrengthIndexSettings.HistoricChartPreviousHistoricRateCloseQuarterly =
previousHistoricRate.Close;
RelativeStrengthIndexSettings.HistoricChartPreviousHistoricRateOpenQuarterly =
previousHistoricRate.Open;
RelativeStrengthIndexSettings.HistoricChartPreviousHistoricRateLowQuarterly =
previousHistoricRate.Low;
RelativeStrengthIndexSettings.HistoricChartPreviousHistoricRateHighQuarterly =
previousHistoricRate.High;
RelativeStrengthIndexSettings.HistoricChartPreviousHistoricRateVolumeQuarterly =
previousHistoricRate.Volume;
RelativeStrengthIndexSettings.HistoricChartPreviousHistoricDateTimeQuarterly =
previousHistoricRate.DateAndTime.ToString();
Dictionary <string, string> indicatorInformation = new Dictionary <string, string>
{
["RSI-15MIN"] =
RelativeStrengthIndexSettings.RelativeIndexQuarterly.ToString(CultureInfo
.InvariantCulture),
["RSI-1HOUR"] =
RelativeStrengthIndexSettings.RelativeIndexHourly
.ToString(CultureInfo.InvariantCulture),
["RSI-1DAY"] =
RelativeStrengthIndexSettings.RelativeIndexDaily.ToString(CultureInfo.InvariantCulture),
["OPEN-15MIN"] =
RelativeStrengthIndexSettings.HistoricChartPreviousHistoricRateOpenQuarterly.ToString(
CultureInfo.InvariantCulture),
["OPEN-1HOUR"] =
RelativeStrengthIndexSettings.HistoricChartPreviousHistoricRateOpenHourly.ToString(
CultureInfo.InvariantCulture),
["OPEN-1DAY"] =
RelativeStrengthIndexSettings.HistoricChartPreviousHistoricRateOpen.ToString(CultureInfo
.InvariantCulture)
};
TechnicalIndicatorInformationBroadcast?.Invoke(indicatorInformation);
Save();
}
}
}
catch (Exception ex)
{
ProcessLogBroadcast?.Invoke(MessageType.Error,
$"Method: ProcessHistoryHourlyChartDownload\r\nException Stack Trace: {ex.StackTrace}");
}
finally
{
_processHistorySemaphoreSlim.Release();
}
}
public virtual Task <List <HistoricRate> > UpdateProductHistoricCandlesAsync(
HistoricCandlesSearch historicCandlesSearch)
{
throw new NotImplementedException();
}
