private void CreateMacdStatistics(decimal macdValue, CandleModel currentCandle)
{
var macdStatistic = new MacdStatistic
{
Macd = macdValue,
Candle = currentCandle
};
if (macdValue > 0)
{
if (_macdDirection == MacdDirection.LessThanZero)
{
_macdDirection = MacdDirection.GreaterThanZero;
var minMacd = _macdTempStatisticsQueue.GetItems().Min(s => s.Macd);
var stat = _macdTempStatisticsQueue.GetItems().First(f => f.Macd == minMacd);
stat.TrendCount = _macdTempStatisticsQueue.GetItems().Count;
_macdStatistcsQueue.Enqueue(stat);
_macdTempStatisticsQueue.Clear();
}
macdStatistic.Direction = _macdDirection;
_macdTempStatisticsQueue.Enqueue(macdStatistic);
}
else
{
if (_macdDirection == MacdDirection.GreaterThanZero)
{
_macdDirection = MacdDirection.LessThanZero;
var maxMacd = _macdTempStatisticsQueue.GetItems().Max(s => s.Macd);
var stat = _macdTempStatisticsQueue.GetItems().First(f => f.Macd == maxMacd);
stat.TrendCount = _macdTempStatisticsQueue.GetItems().Count;
_macdStatistcsQueue.Enqueue(stat);
_macdTempStatisticsQueue.Clear();
}
macdStatistic.Direction = _macdDirection;
_macdTempStatisticsQueue.Enqueue(macdStatistic);
}
}
public async Task <TrendDirection> CheckTrendAsync(string tradingPair, CandleModel currentCandle)
{
var shortEmaValue = _shortEmaIndicator.GetIndicatorValue(currentCandle).IndicatorValue;
var longEmaValue = _longEmaIndicator.GetIndicatorValue(currentCandle).IndicatorValue;
var macdValue = Math.Round(shortEmaValue - longEmaValue, 4);
var signalEmaValue = Math.Round(_signalEmaIndicator.GetIndicatorValue(macdValue).IndicatorValue, 4);
var histogramValue = Math.Round(macdValue - signalEmaValue, 4);
var ichimokuCloudValue = _ichimokuCloudIndicator.GetIndicatorValue(currentCandle);
var ssa = ichimokuCloudValue.IchimokuCloud?.SenkouSpanAValue;
var ssb = ichimokuCloudValue.IchimokuCloud?.SenkouSpanBValue;
DepthModel depth = null;
if (ichimokuCloudValue.IchimokuCloud != null)
{
depth = await _exchangeProvider.GetDepth(tradingPair);
}
var bid = depth?.Bids.First(f => f.Quantity == depth.Bids.Max(b => b.Quantity));
var ask = depth?.Asks.First(f => f.Quantity == depth.Asks.Max(b => b.Quantity));
var bidPrice = bid?.Price ?? Math.Round(currentCandle.ClosePrice, 4);
var askPrice = ask?.Price ?? Math.Round(currentCandle.ClosePrice, 4);
var bidPercentage = Math.Round((currentCandle.ClosePrice / bidPrice) * (decimal)100.0 - (decimal)100.0, 2);
var askPercentage = Math.Round((currentCandle.ClosePrice / askPrice) * (decimal)100.0 - (decimal)100.0, 2);
Console.WriteLine($"DateTs: {currentCandle.StartDateTime:s}; " +
$"MACD Value: {macdValue}; " +
$"SSA/SSB: {ssa}/{ssb}; " +
$"Bids price/qty/%: {bid}/{bidPercentage}%; " +
$"Asks price/qty/%: {ask}/{askPercentage}%; " +
$"Close price: {Math.Round(currentCandle.ClosePrice, 4)};");
_volumenQueue.Enqueue(currentCandle.Volume);
if (!_lastMacd.HasValue || _lastMacd == 0)
{
_lastMacd = macdValue;
_lastClosePrice = currentCandle.ClosePrice;
_macdDirection = macdValue < 0 ? MacdDirection.LessThanZero : MacdDirection.GreaterThanZero;
return(await Task.FromResult(TrendDirection.None));
}
if (_lastMacd < 0 && macdValue >= 0)
{
if (_macdSwitch)
{
_maxMacd = 0;
}
else
{
_macdSwitch = true;
}
}
if (_lastMacd > 0 && macdValue <= 0)
{
if (_macdSwitch)
{
_minMacd = 0;
}
else
{
_macdSwitch = true;
}
}
if (macdValue < 0 && macdValue < _minMacd)
{
_minMacd = macdValue;
_minMacdClosePrice = currentCandle.ClosePrice;
}
if (macdValue > 0 && macdValue > _maxMacd)
{
_maxMacd = macdValue;
_maxMacdClosePrice = currentCandle.ClosePrice;
}
// wait 0.5 hour
if (_candleCount <= 30)
{
_candleCount++;
if (macdValue < 0 && macdValue < _minWarmupMacd)
{
_minWarmupMacd = macdValue;
}
Console.WriteLine($"Min warmup Macd: {_minWarmupMacd}");
return(await Task.FromResult(TrendDirection.None));
}
if (_lastTrend == TrendDirection.Short)
{
if (macdValue > 0 && _stopTrading)
{
_stopTrading = false;
}
if (macdValue < 0 && macdValue < _lastMacd)
{
_maxOrMinMacd = macdValue;
}
//var diffPreviousMacd = _maxOrMinMacd - macdValue;
if (_stopTrading == false &&
macdValue < _options.BuyThreshold &&
currentCandle.ClosePrice > ssa &&
currentCandle.ClosePrice > ssb &&
currentCandle.CandleType == CandleType.Green
//&& diffPreviousMacd < -(decimal)0.2
&& macdValue > _lastMacd &&
currentCandle.ClosePrice > _lastClosePrice)
{
_lastMacd = macdValue;
_lastClosePrice = currentCandle.ClosePrice;
_profitEstimationRate = CheckProfitPrecentageAsync(depth, currentCandle.ClosePrice);
if (_profitEstimationRate < 0)
{
return(await Task.FromResult(TrendDirection.None));
}
_lastTrend = TrendDirection.Long;
_maxOrMinMacd = 0;
_lastBuyPrice = currentCandle.ClosePrice;
}
else
{
_lastMacd = macdValue;
_lastClosePrice = currentCandle.ClosePrice;
return(await Task.FromResult(TrendDirection.None));
}
}
else if (_lastTrend == TrendDirection.Long)
{
if (macdValue > 0 && macdValue > _lastMacd)
{
_maxOrMinMacd = macdValue;
}
if (macdValue < 0)
{
_maxOrMinMacd = 0;
}
var stopPercentage = 1 - _profitEstimationRate / (decimal)100.0; //1 - (_macdRate - (decimal)0.4) / 100; //(decimal) 0.97;
var profitPercentage = 1 + (_profitEstimationRate + (decimal)0.4) / (decimal)100.0; //1 + (_macdRate + (decimal)0.4) / 100; //(decimal) 1.038;
//var diffPreviousMacd = _maxOrMinMacd - macdValue;
if (_lastMacd > macdValue
//&& diffPreviousMacd > (decimal)1.0
&& currentCandle.ClosePrice > _lastBuyPrice * profitPercentage ||
currentCandle.ClosePrice < _lastBuyPrice * stopPercentage)
{
Console.WriteLine($"Stop percentage: {stopPercentage}; Profit percentage: {profitPercentage}");
_lastTrend = TrendDirection.Short;
_maxOrMinMacd = 0;
_stopTrading = true;
_lastMacd = macdValue;
_lastClosePrice = currentCandle.ClosePrice;
}
else
{
_lastMacd = macdValue;
_lastClosePrice = currentCandle.ClosePrice;
return(await Task.FromResult(TrendDirection.None));
}
}
return(await Task.FromResult(_lastTrend));
}
public async Task <TrendDirection> CheckTrendAsync(string tradingPair, CandleModel currentCandle)
{
var shortEmaValue = _shortEmaIndicator.GetIndicatorValue(currentCandle).IndicatorValue;
var longEmaValue = _longEmaIndicator.GetIndicatorValue(currentCandle).IndicatorValue;
var macdValue = Math.Round(shortEmaValue - longEmaValue, 4);
var signalEmaValue = Math.Round(_signalEmaIndicator.GetIndicatorValue(macdValue).IndicatorValue, 4);
var histogramValue = Math.Round(macdValue - signalEmaValue, 4);
var depth = await _exchangeProvider.GetDepth(tradingPair);
var bidsSum = depth.Bids.Sum(s => s.Quantity);
var asksSum = depth.Asks.Sum(s => s.Quantity);
Console.WriteLine($"DateTs: {currentCandle.StartDateTime:s}; " +
$"MACD Value/Hist.: {macdValue}/{histogramValue};\t" +
$"Bids price/qty/sum qty: {depth.Bids.First(f => f.Quantity == depth.Bids.Max(b => b.Quantity))}/{Math.Round(bidsSum,4)};\t" +
$"Asks price/qty/sum qty: {depth.Asks.First(f => f.Quantity == depth.Asks.Max(b => b.Quantity))}/{Math.Round(asksSum, 4)};\t" +
$"Close price: {currentCandle.ClosePrice};");
_volumenQueue.Enqueue(currentCandle.Volume);
if (!_lastMacd.HasValue || _lastMacd == 0)
{
_lastMacd = macdValue;
_lastClosePrice = currentCandle.ClosePrice;
_macdDirection = macdValue < 0 ? MacdDirection.LessThanZero : MacdDirection.GreaterThanZero;
return(await Task.FromResult(TrendDirection.None));
}
//CreateMacdStatistics(macdValue, currentCandle);
if (_lastMacd < 0 && macdValue >= 0)
{
if (_macdSwitch)
{
_maxMacd = 0;
}
else
{
_macdSwitch = true;
}
}
if (_lastMacd > 0 && macdValue <= 0)
{
if (_macdSwitch)
{
_minMacd = 0;
}
else
{
_macdSwitch = true;
}
}
if (macdValue < 0 && macdValue < _minMacd)
{
_minMacd = macdValue;
_minMacdClosePrice = currentCandle.ClosePrice;
}
if (macdValue > 0 && macdValue > _maxMacd)
{
_maxMacd = macdValue;
_maxMacdClosePrice = currentCandle.ClosePrice;
}
// wait 0.5 hour
if (_candleCount <= 30)
{
_candleCount++;
if (macdValue < 0 && macdValue < _minWarmupMacd)
{
_minWarmupMacd = macdValue;
}
Console.WriteLine($"Min warmup Macd: {_minWarmupMacd}");
return(await Task.FromResult(TrendDirection.None));
}
if (_lastTrend == TrendDirection.Short)
{
if (macdValue > 0 && _stopTrading)
{
_stopTrading = false;
}
if (macdValue < 0 && macdValue < _lastMacd)
{
_maxOrMinMacd = macdValue;
}
//var diffPreviousMacd = _maxOrMinMacd - macdValue;
if (_stopTrading == false &&
macdValue < _options.BuyThreshold
//&& diffPreviousMacd < -(decimal)0.2
&& macdValue > _lastMacd &&
currentCandle.ClosePrice > _lastClosePrice)
{
_lastMacd = macdValue;
_lastClosePrice = currentCandle.ClosePrice;
_profitEstimationRate = CheckProfitPrecentageAsync(depth, currentCandle.ClosePrice);
if (_profitEstimationRate < 0)
{
return(await Task.FromResult(TrendDirection.None));
}
_lastTrend = TrendDirection.Long;
_maxOrMinMacd = 0;
_lastBuyPrice = currentCandle.ClosePrice;
}
else
{
_lastMacd = macdValue;
_lastClosePrice = currentCandle.ClosePrice;
return(await Task.FromResult(TrendDirection.None));
}
}
else if (_lastTrend == TrendDirection.Long)
{
if (macdValue > 0 && macdValue > _lastMacd)
{
_maxOrMinMacd = macdValue;
}
if (macdValue < 0)
{
_maxOrMinMacd = 0;
}
var stopPercentage = 1 - _profitEstimationRate / (decimal)100.0; //1 - (_macdRate - (decimal)0.4) / 100; //(decimal) 0.97;
var profitPercentage = 1 + (_profitEstimationRate + (decimal)0.4) / (decimal)100.0; //1 + (_macdRate + (decimal)0.4) / 100; //(decimal) 1.038;
//var diffPreviousMacd = _maxOrMinMacd - macdValue;
if (_lastMacd > macdValue
//&& diffPreviousMacd > (decimal)1.0
&& currentCandle.ClosePrice > _lastBuyPrice * profitPercentage ||
currentCandle.ClosePrice < _lastBuyPrice * stopPercentage)
{
Console.WriteLine($"Stop percentage: {stopPercentage}; Profit percentage: {profitPercentage}");
_lastTrend = TrendDirection.Short;
_maxOrMinMacd = 0;
_stopTrading = true;
_lastMacd = macdValue;
_lastClosePrice = currentCandle.ClosePrice;
}
else
{
_lastMacd = macdValue;
_lastClosePrice = currentCandle.ClosePrice;
return(await Task.FromResult(TrendDirection.None));
}
}
return(await Task.FromResult(_lastTrend));
}