public Strategy(Exchange exchange, Symbol symbol, TradeBin tradeBin)
{
Exchange = exchange;
Symbol = symbol;
TradeBin = tradeBin;
Timeout = Const.DIRECTIONAL_STRATEGY_TIMEOUT;
LeveragePosted = false;
}
public override string GetTradeBin(TradeBin tradeBin, string symbol)
{
return(GetTradeBin(new Dictionary <string, object>
{
["symbol"] = symbol,
["interval"] = tradeBin.ToShortLabel(),
}));
}
public override string GetTradeBin(TradeBin tradeBin, string symbol, DateTime start)
{
return(GetTradeBin(new Dictionary <string, object>
{
["symbol"] = symbol,
["interval"] = tradeBin.ToShortLabel(),
["startTime"] = Utils.SinceEpochMs(start)
}));
}
private string GetTradeBinsAfterLatest(TradeBin tradeBin, string symbol)
{
var table = $"{Name}_{tradeBin.ToLabel()}";
var query = $"select top 1 [timestamp] from [{table}] where [symbol] = '{symbol}' order by [timestamp] desc";
var result = Database.Select(query).Rows;
var start = (DateTime)result[0]["timestamp"] + Const.TIME_UNIT;
return(Rest.GetTradeBin(tradeBin, symbol, start));
}
public override string GetTradeBin(TradeBin tradeBin, string symbol)
{
return(GetTradeBin(new Dictionary <string, object>
{
["binSize"] = tradeBin.ToLabel().Split('n')[1],
["partial"] = false,
["symbol"] = symbol,
["count"] = 500
}));
}
public override string GetTradeBin(TradeBin tradeBin, string symbol, DateTime start)
{
return(GetTradeBin(new Dictionary <string, object>
{
["binSize"] = tradeBin.ToLabel().Split('n')[1],
["partial"] = false,
["symbol"] = symbol,
["count"] = 500,
["startTime"] = start.ToString(Const.DATETIME_FORMAT)
}));
}
public ChannelStrategy(Exchange exchange, Symbol symbol = Symbol.XBTUSD, TradeBin tradeBin = TradeBin.FiveMinute) : base(exchange, symbol, tradeBin)
{
//
Measurer = new PriceChangeMeasurer {
Prices = Prices
};
Exchange.Prices[Symbol][TradeBin].Updated += (s, e) => Measurer.Measure();
//
Band = new MovingDeviation(Const.BB_PERIOD, Prices);
Exchange.Prices[Symbol][TradeBin].Updated += (s, e) => Band.Update();
//
Timeout = Const.CHANNEL_STRATEGY_TIMEOUT;
}
public DirectionalStrategy(Exchange exchange, Symbol symbol = Symbol.XBTUSD, TradeBin tradeBin = TradeBin.FiveMinute, int fastEmaLength = Const.DIRECTIONAL_FAST_EMA_LENGTH, int slowEmaLength = Const.DIRECTIONAL_SLOW_EMA_LENGTH, int stochLength = Const.DIRECTIONAL_STOCH_LENGTH) : base(exchange, symbol, tradeBin)
{
//
var prices = Exchange.Prices[Symbol][TradeBin];
Macd = new MovingMacd(fastEmaLength, slowEmaLength, prices[Price.Close]);
prices.Updated += (s, e) => Macd.Update();
//
var volatilities = Exchange.IndexPrices[Index.BVOL24H];
Stoch = new MovingStochastic(stochLength, volatilities[Price.Close]);
volatilities.Updated += (s, e) => Stoch.Update();
//
Measurer = new IndexStochasticMeasurer
{
Stoch = Stoch,
StochTreshold = StochTreshold
};
volatilities.Updated += (s, e) => Measurer.Measure();
//
Timeout = Const.DIRECTIONAL_STRATEGY_TIMEOUT;
}
public TradeBinEventArgs(TradeBin tradeBin, bool emptyPartial)
{
TradeBin = tradeBin;
EmptyPartial = emptyPartial;
}
public virtual string GetTradeBin(TradeBin tradeBin, Symbol symbol)
{
return(GetTradeBin(tradeBin, symbol.ToString()));
}
public abstract string GetTradeBin(TradeBin tradeBin, string symbol);
public override string GetTradeBin(TradeBin tradeBin, string symbol, int start, int count = 500)
{
throw new NotImplementedException();
}
public virtual string GetTradeBin(TradeBin tradeBin, Index index, int start, int count = 500)
{
return(GetTradeBin(tradeBin, index.ToString(), start, count));
}
public virtual string GetTradeBin(TradeBin tradeBin, Index index, DateTime start, DateTime end)
{
return(GetTradeBin(tradeBin, index.ToString(), start, end));
}
public virtual string GetTradeBin(TradeBin tradeBin, Index index)
{
return(GetTradeBin(tradeBin, index.ToString()));
}
public virtual string GetTradeBin(TradeBin tradeBin, Symbol symbol, DateTime start, DateTime end)
{
return(GetTradeBin(tradeBin, symbol.ToString(), start, end));
}
public virtual string GetTradeBin(TradeBin tradeBin, Symbol symbol, int start, int count = 500)
{
return(GetTradeBin(tradeBin, symbol.ToString(), start, count));
}
public abstract string GetTradeBin(TradeBin tradeBin, string symbol, int start, int count = 500);
public abstract string GetTradeBin(TradeBin tradeBin, string symbol, DateTime start, DateTime end);