public async Task SendNotification(NotificationRule notificationRule, MarketInstrument instrument, CandlePayload firstCandle, CandlePayload lastCandle)
{
if (_notificationTimestampToTicker == null)
{
await LoadLastSendTimes();
}
try
{
if (!_notificationTimestampToTicker.ContainsKey(instrument.Ticker) ||
(_notificationTimestampToTicker.ContainsKey(instrument.Ticker) &&
DateTime.UtcNow - _notificationTimestampToTicker[instrument.Ticker] >= TimeSpan.FromHours(notificationRule.TimePeriodInHours)))
{
var msg = MakeNotificationMessage(notificationRule, instrument, firstCandle, lastCandle);
await _telegramBot.SendNotification(msg);
_notificationTimestampToTicker[instrument.Ticker] = DateTime.UtcNow;
await SaveLastSendTimes();
}
}
catch (Exception ex)
{
Log.Error(ex.ToString());
await Task.Delay(TimeSpan.FromSeconds(1));
}
}
public override IStockModel CreateStockModel(MarketInstrument instrument)
{
var stock = base.CreateStockModel(instrument);
//_hub.Clients.All.SendAsync("stock", stock);
return(stock);
}
private async Task <CandlePayload?> MeetRequirements(MarketInstrument instrument, CancellationToken ct)
{
try
{
var candles = await _contextProvider.Do(ctx => ctx.MarketCandlesAsync(
instrument.Figi, _timeProvider.Today.Subtract(TimeSpan.FromDays(7)), _timeProvider.Today, CandleInterval.Day
), ct);
ct.ThrowIfCancellationRequested();
var dayCandle = candles.Candles.LastOrDefault();
if (dayCandle == null)
{
return(null);
}
var body = dayCandle.Close - dayCandle.Open;
if (body >= 0)
{
return(null);
}
var shadow = dayCandle.Low - dayCandle.Close;
return(shadow / body < 0.2M ? dayCandle : null);
}
catch (Exception ex)
{
Console.WriteLine($"{ex}");
return(null);
}
}
private async Task HandleInstrument(Context context, MarketInstrument instrument, NotificationRule notificationRule)
{
// try get candles
var timePeriodInHours = notificationRule.TimePeriodInHours;
var interval = CandleInterval.FiveMinutes;
if (timePeriodInHours >= 12)
{
interval = CandleInterval.Hour;
}
var start = DateTime.UtcNow.AddHours(-2.5 * timePeriodInHours);
var end = DateTime.UtcNow;
var candles = await context.MarketCandlesAsync(instrument.Figi, start, end, interval);
if (candles.Candles.Count == 0)
{
Log.Debug($"No candles for {instrument.Ticker}\t{start:dd.MM.yy HH:mm} - {end:dd.MM.yy HH:mm}");
await Task.Delay(_sleepTime);
return;
}
// handle a candle with maximum timestamp
var lastCandle = candles.Candles.OrderByDescending(i => i.Time).First();
// try to find a previuos candle
var previousCandleTimestamp = lastCandle.Time.AddHours(-1 * timePeriodInHours);
var previousCandles = candles.Candles.Where(i => i.Time <= previousCandleTimestamp).ToList();
var attempNumber = 1;
//in case it is the start of the day then try to get the last price from the first previous working day
while (previousCandles.Count == 0)
{
start = previousCandleTimestamp.AddHours(-12 * attempNumber);
end = previousCandleTimestamp.AddHours(-12 * (attempNumber - 1));
Log.Debug($"Can not find a previous candle for {instrument.Ticker} for {end:dd.MM.yy HH:mm}");
Log.Debug($"Try to fetch candles for {instrument.Ticker} for {previousCandleTimestamp.AddHours(-12 * attempNumber):dd.MM.yy HH:mm} - {previousCandleTimestamp:dd.MM.yy HH:mm}");
previousCandles = (await context.MarketCandlesAsync(instrument.Figi,
start,
end,
interval)).Candles;
attempNumber++;
continue;
}
var firstCandle = previousCandles.OrderByDescending(i => i.Time).First();
if (notificationRule.IsActual(firstCandle.Close, lastCandle.Close))
{
await _sendNotification(notificationRule, instrument, firstCandle, lastCandle);
}
LogTicker(instrument, notificationRule, lastCandle, firstCandle);
}
public virtual IStockModel CreateStockModel(MarketInstrument instrument)
{
return(new StockModel {
Figi = instrument.Figi,
Isin = instrument.Isin,
Name = instrument.Name,
Lot = instrument.Lot,
MinPriceIncrement = instrument.MinPriceIncrement,
Ticker = instrument.Ticker,
Currency = instrument.Currency.ToString()
});
}
public async Task TryAdd(MarketInstrument instrument)
{
var models = _repository.GetAll();
if (models.Any(m => m.Isin == instrument.Isin))
{
_logger.LogTrace($"Instrument '{instrument.Isin}' already present");
return;
}
_logger.LogTrace($"Add instrument: {instrument}");
await _repository.Add(new AssetMetadataModel(
instrument.Isin, instrument.Figi, instrument.Name, instrument.Type.ToString()));
}
public static Infrastructure.Common.Models.Market.CurrencyPair ToOuterModel(this MarketInstrument source)
{
var target = new Infrastructure.Common.Models.Market.CurrencyPair
{
Id = source.Figi,
BaseCurrencyId = source.Ticker,
QuoteCurrencyId = source.Currency.ToString(),
QuantityIncrement = source.MinPriceIncrement,
TickSize = source.Lot,
FeeCurrencyId = source.Currency.ToString()
};
return(target);
}
public static YesterdayCandleData Create(MarketInstrument stock, CandlePayload candle)
{
return(new YesterdayCandleData(
stock.Figi,
stock.Name,
Convert.ToInt32(candle.Volume),
candle.Open,
candle.Close,
candle.Low,
candle.High,
stock.Currency,
stock.MinPriceIncrement
));
}
public async Task MarketSearchByFigiTest()
{
const string figi = Figi;
_handler.Expect(HttpMethod.Get, $"{BaseUri}market/search/by-figi")
.WithQueryString("figi", figi)
.WithoutContent()
.RespondJsonFromFile("market-search-by-figi-response");
var instrumentList = await _context.MarketSearchByFigiAsync(figi);
var expected = new MarketInstrument(figi, "NFLX", "US64110L1061", 0.01m, 1, Currency.Usd, "Netflix", InstrumentType.Stock);
instrumentList.Should().BeEquivalentTo(expected);
}
public TestingTrading(MarketInstrument activeInstrument)
{
InitializeComponent();
if (activeInstrument == null)
{
throw new ArgumentNullException();
}
TradingChart.instrument = new Instrument(activeInstrument);
DataContext = this;
IntervalComboBox.SelectedIndex = 5;
StrategyComboBox.SelectedIndex = 0;
}
private static void LogTicker(MarketInstrument instrument, NotificationRule notificationRule, CandlePayload lastCandle, CandlePayload firstCandle)
{
var priceChange = lastCandle.Close - firstCandle.Close;
var priceChangeInPercent = 100 * priceChange / firstCandle.Close;
var msg =
$"${instrument.Ticker} " +
$"{notificationRule.TimePeriodInHours}h / {priceChangeInPercent.ToString("F2")} % / {(priceChange >= 0 ? "+" : "")}{priceChange.ToString("F2")} {instrument.Currency} / " +
$"{firstCandle.Close} {instrument.Currency} -> {lastCandle.Close} {instrument.Currency} / " +
$"{firstCandle.Time:dd.MM.yyyy HH:mm} -> {lastCandle.Time:dd.MM.yyyy HH:mm}";
Log.Write(notificationRule.IsActual(firstCandle.Close, lastCandle.Close)
? Serilog.Events.LogEventLevel.Warning
: Serilog.Events.LogEventLevel.Information,
msg);
}
public static Instrument ToInstrument(this MarketInstrument marketInstrument)
{
if (marketInstrument == null)
{
return(null);
}
return(new Instrument
{
Figi = marketInstrument.Figi,
Isin = marketInstrument.Isin,
Ticker = marketInstrument.Ticker,
Lot = marketInstrument.Lot,
MinPriceIncrement = marketInstrument.MinPriceIncrement,
Name = marketInstrument.Name,
Type = marketInstrument.Type,
Currency = marketInstrument.Currency
});
}
private Instrument MarketInstrumentConverter(MarketInstrument marketInstrument)
{
if (marketInstrument == null)
{
return(null);
}
return(new Instrument
{
Figi = marketInstrument.Figi,
Isin = marketInstrument.Isin,
Ticker = marketInstrument.Ticker,
Lot = marketInstrument.Lot,
MinPriceIncrement = marketInstrument.MinPriceIncrement,
Name = marketInstrument.Name,
Type = marketInstrument.Type,
Currency = marketInstrument.Currency
});
}
public async Task MarketSearchByTickerTest()
{
var handler = new HttpMessageHandlerStub(HttpStatusCode.OK, "{\"trackingId\":\"QBASTAN\",\"status\":\"OK\",\"payload\":{\"figi\":\"BBG000CL9VN6\",\"ticker\":\"NFLX\",\"isin\":\"US64110L1061\",\"minPriceIncrement\":0.01,\"lot\":1,\"currency\":\"USD\"}}");
var connection = new Connection(BaseUri, WebSocketBaseUri, Token, new HttpClient(handler));
var context = connection.Context;
var instrument = await context.MarketSearchByTickerAsync("NFLX");
Assert.NotNull(handler.RequestMessage);
Assert.Equal(HttpMethod.Get, handler.RequestMessage.Method);
Assert.Equal(new Uri($"{BaseUri}market/search/by-ticker?ticker=NFLX"), handler.RequestMessage.RequestUri);
Assert.Null(handler.RequestMessage.Content);
Assert.NotNull(instrument);
var expected = new MarketInstrument("BBG000CL9VN6", "NFLX", "US64110L1061", 0.01m, 1, Currency.Usd);
Assert.Equal(expected.Figi, instrument.Figi);
Assert.Equal(expected.Ticker, instrument.Ticker);
Assert.Equal(expected.Isin, instrument.Isin);
Assert.Equal(expected.MinPriceIncrement, instrument.MinPriceIncrement);
Assert.Equal(expected.Lot, instrument.Lot);
Assert.Equal(expected.Currency, instrument.Currency);
}
public RealTimeTrading(MarketInstrument activeInstrument)
{
InitializeComponent();
if (activeInstrument == null)
{
throw new ArgumentNullException();
}
TradingChart.instrument = new Instrument(activeInstrument);
candlesTimer = new Timer(e => CandlesTimerElapsed(),
null,
TimeSpan.FromSeconds(5),
TimeSpan.FromSeconds(0.3)
);
DataContext = this;
ShowBalance();
IntervalComboBox.SelectedIndex = 5;
StrategyComboBox.SelectedIndex = 0;
}
public MarketInstrumentSearchResponse([JsonProperty("payload")] MarketInstrument instrument)
{
Instrument = instrument;
}
private static string MakeNotificationMessage(NotificationRule notificationRule, MarketInstrument instrument, CandlePayload firstCandle, CandlePayload lastCandle)
{
var priceChange = lastCandle.Close - firstCandle.Close;
var priceChangeInPercent = 100 * priceChange / firstCandle.Close;
var msg =
$"{(notificationRule.PriceDirection == PriceDirection.Decrased ? "📉" : "📈") } " +
$"${instrument.Ticker} {lastCandle.Close} {instrument.Currency}\r\n" +
$"{notificationRule.TimePeriodInHours}h / {priceChangeInPercent.ToString("F2")} % / {(priceChange >= 0 ? "+" : "")}{priceChange.ToString("F2")} {instrument.Currency}\r\n" +
$"{"https://www.tinkoff.ru/invest/stocks/"}{instrument.Ticker}";
return(msg);
}
public TinknoffInvestTicker(Exchange e, MarketInstrument instrument) : base(e)
{
Instrument = instrument;
}
