public static IPeriodCode ToPeriodCode(this KlineInterval interval)
{
switch (interval)
{
case KlineInterval.OneMinute:
return(PeriodCode.MINUTE);
case KlineInterval.FiveMinutes:
return(PeriodCode.FIVE_MINUTES);
case KlineInterval.FifteenMinutes:
return(PeriodCode.QUARTER_HOUR);
case KlineInterval.ThirtyMinutes:
return(PeriodCode.HALF_HOUR);
case KlineInterval.OneHour:
return(PeriodCode.HOUR);
case KlineInterval.FourHour:
return(PeriodCode.FOUR_HOUR);
case KlineInterval.OneDay:
return(PeriodCode.DAY);
default:
throw new Exception($"Not supported perion {interval.ToString()}");
}
}
public static string Convert(KlineInterval interval)
{
var s = interval.ToString();
StringBuilder sb = new StringBuilder();
sb.Append(s[1]);
sb.Append(s[0]);
return(sb.ToString());
}
public static bool CandlesAvailable(string symbolName, KlineInterval interval, DateTime wantedStartDate, DateTime wantedEndDate, out DateTime SmallestDateAvailable, out DateTime BiggestDateAvailable, out List <CandleInfo> FoundCandles)
{
if (wantedEndDate.Date == DateTime.Today.Date)
{
//endDate = DateTime.Today.Date.AddDays(1);
}
wantedEndDate = wantedEndDate.ToUniversalTime();
wantedStartDate = wantedStartDate.ToUniversalTime();
var currentDate = DateTime.Now.ToUniversalTime();
var firstDateAVailableInDB = GetFirstCandleDate(symbolName);
if (wantedStartDate < firstDateAVailableInDB)
{
wantedStartDate = firstDateAVailableInDB;
}
var dt = DBHelper.GetDataTable("SELECT * FROM Candles WHERE Symbol='" + symbolName.ToUpper() + "' AND Interval='" + interval.ToString() + "' order by OpenTime ASC");
var smallestAvailableDate = DateTime.MaxValue;
var biggestAvailableDate = DateTime.MinValue;
FoundCandles = new List <CandleInfo>();
var openDates = new List <DateTime>();
foreach (DataRow row in dt.Rows)
{
var tempDate = row["OpenTime"].ToString().ToSqlDateTime();
if (tempDate <= wantedEndDate && tempDate >= wantedStartDate)
{
openDates.Add(tempDate);
FoundCandles.Add(new CandleInfo(symbolName.ToUpper(),
float.Parse(row["Open"].ToString()),
float.Parse(row["Close"].ToString()),
float.Parse(row["High"].ToString()),
float.Parse(row["Low"].ToString()),
float.Parse(row["Volume"].ToString()), tempDate));
}
if (tempDate > biggestAvailableDate)
{
biggestAvailableDate = tempDate;
}
if (tempDate < smallestAvailableDate)
{
smallestAvailableDate = tempDate;
}
}
FoundCandles = FoundCandles.OrderBy(o => o.OpenTime).ToList();
if (dt.Rows.Count == 0)
{
SmallestDateAvailable = DateTime.MinValue;
BiggestDateAvailable = DateTime.MinValue;
}
else
{
SmallestDateAvailable = smallestAvailableDate;
BiggestDateAvailable = biggestAvailableDate;
}
bool smallOK = openDates.Count != 0 && smallestAvailableDate <= wantedStartDate; // true
bool bigOK = BiggestDateAvailable >= wantedEndDate.MinusKlineInterval(interval);
bool noGaps = true;
openDates.Sort();
var BINANCE_UPGRADE_DAYS = new List <DateTime>()
{
new DateTime(2019, 11, 13), new DateTime(2019, 11, 25)
};
var lastOpen = DateTime.MinValue;
if (openDates.Count > 2)
{
lastOpen = openDates[0];
for (int i = 1; i < openDates.Count; i++)
{
var item = openDates[i];
if (item.MinusKlineInterval(interval) != lastOpen && (item - lastOpen).TotalDays > 1)
{
// more than 1 day of gap = GAP
// otherwise we have some binance upgrades, which mean we will NOT get any candles for short spans of time
// BOOYA
noGaps = false;
break;
}
else
{
lastOpen = item;
}
}
}
if (smallOK && bigOK && openDates.Count != 0 && noGaps == true) // && openDates.First().Date == startDate.Date&& openDates.Last().Date >= endDate.MinusKlineInterval(interval)
{
return(true);
}
else
{
return(false);
}
return(smallOK && bigOK && openDates.Count != 0);
}
public static void RetrieveCandles(string symbolName, KlineInterval interval, DateTime startDate, DateTime endDate)
{
startDate = startDate.AddDays(-1);
endDate = endDate.AddDays(1);
startDate = startDate.ToUniversalTime();
endDate = endDate.ToUniversalTime();
//endDate = DateTime.Today.AddDays(1); // ALWAYS get until the end. Hack but good hack
DateTime smallestDateAvailable = DateTime.MinValue;
DateTime biggestDateAvailable = DateTime.MinValue;
List <CandleInfo> allAvailableCandles = null;
if (CandlesAvailable(symbolName, interval, startDate, endDate, out smallestDateAvailable, out biggestDateAvailable, out allAvailableCandles))
{
// we have all the candles we needdadad
return;
}
var tempFirstDate = CandleHelper.GetFirstCandleDate(symbolName.ToUpper());
// if wanted start date is < than the first available candle in Binance
if (startDate < tempFirstDate)
{
startDate = tempFirstDate;
}
bool isDone = false;
Dictionary <DateTime, BinanceKline> candles = new Dictionary <DateTime, BinanceKline>();
DateTime latestOpenDate = DateTime.MinValue;
var newStartDate = startDate;
var newEndDate = endDate;
while (!isDone)
{
var tempCandles = CryptoGlobals.adminBinanceClient.GetKlines(symbolName, interval, newStartDate, newEndDate, 1000);
foreach (var c in tempCandles.Data)
{
var cOpenTime = c.OpenTime;
if (!candles.ContainsKey(cOpenTime))
{
candles[cOpenTime] = c;
if (cOpenTime > latestOpenDate)
{
latestOpenDate = cOpenTime;
}
}
}
var testDate = DateTime.MinValue;
testDate = newEndDate.MinusKlineInterval(interval);
// we are asking for 1000 MAX candles.
// If the result is not 1000, means we have gotten them all.
if (tempCandles.Data.Count() != 1000 || latestOpenDate >= testDate)
{
isDone = true;
}
else
{
if (latestOpenDate != DateTime.MinValue)
{
newStartDate = latestOpenDate;
}
isDone = false;
}
}
var list = new List <SQLiteCommand>();
foreach (var temp in candles)
{
var candle = temp.Value;
SQLiteCommand com = new SQLiteCommand();
com.CommandText = "INSERT OR IGNORE INTO Candles (Symbol,Interval,Volume,Close,High,Low,Open,OpenTime) " +
"VALUES (@Symbol,@Interval,@Volume,@Close,@High,@Low,@Open,@OpenTime)";
com.Parameters.AddWithValue("@Symbol", symbolName);
com.Parameters.AddWithValue("@Interval", interval.ToString());
com.Parameters.AddWithValue("@Volume", candle.Volume);
com.Parameters.AddWithValue("@Close", candle.Close);
com.Parameters.AddWithValue("@High", candle.High);
com.Parameters.AddWithValue("@Low", candle.Low);
com.Parameters.AddWithValue("@Open", candle.Open);
com.Parameters.AddWithValue("@OpenTime", candle.OpenTime.ToSqlDateString());
list.Add(com);
}
DBHelper.BulkExecuteNonQuery(list);
}
public static CandleInfo LastCandleInDB(string market, KlineInterval interval)
{
var dt = DBHelper.GetDataTable("SELECT * FROM Candles WHERE Symbol='" + market + "' and Interval=" + interval.ToString() + " order by Id desc LIMIT 1");
if (dt.Rows.Count > 0)
{
return(new CandleInfo(dt.Rows[dt.Rows.Count - 1]));
}
else
{
return(null);
}
}
public async Task <IWebSocket> GetWebsocketKlines(IEnumerable <string> streamTickers, KlineInterval interval)
{
string combined = string.Join("/", streamTickers.Select(s => s.ToLower() + "@" + interval.ToString()));
return(await api.ConnectWebSocketAsync($"/stream?streams={combined}", (_socket, msg) =>
{
string json = msg.ToStringFromUTF8();
//logger.Trace($"Kline Data:{json}");
var klinedata = JsonConvert.DeserializeObject <KlineStream>(json);
DateTime dt = CryptoUtility.ParseTimestamp(klinedata.Data.EventTime, TimestampType.UnixMilliseconds);
/*
* logger.Trace($"EventTime:" + dt);
* logger.Trace($"KLineData:{klinedata.Data.kline.kLineClosed}:{klinedata.Data.MarketSymbol}:{klinedata.Data.kline.OpenTimestamp}");
* logger.Trace($"KLineData:{klinedata.Data.kline.kLineClosed}:{klinedata.Data.MarketSymbol}:{klinedata.Data.kline.Open}:{klinedata.Data.kline.High}:{klinedata.Data.kline.Low}:{klinedata.Data.kline.Close}");
* logger.Trace($"KLineData:{klinedata.Data.kline.kLineClosed}:{klinedata.Data.MarketSymbol}:{klinedata.Data.kline.BaseVolume}:{klinedata.Data.kline.QuoteVolume}");
* logger.Trace($"KLineData:{klinedata.Data.kline.kLineClosed}:{klinedata.Data.MarketSymbol}:{klinedata.Data.kline.TakerBaseVolume}:{klinedata.Data.kline.TakerQuoteVolume}");
*/
if (klinedata.Data.kline.kLineClosed == true)
{
/*
* logger.Trace($"EventTime:" + dt);
* logger.Trace($"KLineData:{klinedata.Data.kline.kLineClosed}:{klinedata.Data.MarketSymbol}:{klinedata.Data.kline.OpenTimestamp}");
* logger.Trace($"KLineData:{klinedata.Data.kline.kLineClosed}:{klinedata.Data.MarketSymbol}:{klinedata.Data.kline.Open}:{klinedata.Data.kline.High}:{klinedata.Data.kline.Low}:{klinedata.Data.kline.Close}");
* logger.Trace($"KLineData:{klinedata.Data.kline.kLineClosed}:{klinedata.Data.MarketSymbol}:{klinedata.Data.kline.BaseVolume}:{klinedata.Data.kline.QuoteVolume}");
* logger.Trace($"KLineData:{klinedata.Data.kline.kLineClosed}:{klinedata.Data.MarketSymbol}:{klinedata.Data.kline.TakerBaseVolume}:{klinedata.Data.kline.TakerQuoteVolume}");
*/
MarketCandle candle = new MarketCandle();
candle.OpenPrice = klinedata.Data.kline.Open;
candle.HighPrice = klinedata.Data.kline.High;
candle.LowPrice = klinedata.Data.kline.Low;
candle.ClosePrice = klinedata.Data.kline.Close;
candle.PeriodSeconds = (int)interval;
candle.BaseCurrencyVolume = (double)klinedata.Data.kline.BaseVolume;
candle.QuoteCurrencyVolume = (double)klinedata.Data.kline.QuoteVolume;
/*
* candle.BaseCurrencyVolume = (double)klinedata.Data.kline.TakerBaseVolume;
* candle.QuoteCurrencyVolume = (double)klinedata.Data.kline.TakerQuoteVolume;
*/
candle.Timestamp = klinedata.Data.kline.OpenTimestamp;
if (!TickerKLines.ContainsKey(klinedata.Data.MarketSymbol))
{
TickerKLines[klinedata.Data.MarketSymbol] = new List <MarketCandle>();
}
TickerKLines[klinedata.Data.MarketSymbol].Add(candle);
}
/*
* string marketSymbol = update.Data.MarketSymbol;
* ExchangeOrderBook book = new ExchangeOrderBook { SequenceId = update.Data.FinalUpdate, MarketSymbol = marketSymbol, LastUpdatedUtc = CryptoUtility.UnixTimeStampToDateTimeMilliseconds(update.Data.EventTime) };
* foreach (List<object> ask in update.Data.Asks)
* {
* var depth = new ExchangeOrderPrice { Price = ask[0].ConvertInvariant<decimal>(), Amount = ask[1].ConvertInvariant<decimal>() };
* book.Asks[depth.Price] = depth;
* }
* foreach (List<object> bid in update.Data.Bids)
* {
* var depth = new ExchangeOrderPrice { Price = bid[0].ConvertInvariant<decimal>(), Amount = bid[1].ConvertInvariant<decimal>() };
* book.Bids[depth.Price] = depth;
* }
* callback(book);
*/
return Task.CompletedTask;
}, (_sock) =>
{
logger.Trace("KLine socket connected");
return Task.CompletedTask;
}));
}
