using System; using System.Collections.Generic; using System.Collections.Concurrent; using System.Linq; using System.IO; using Core.Main; using Core.Helper; using Core.Main.DataObjects.PTMagicData; using Newtonsoft.Json; using System.Net; using System.Threading.Tasks; namespace Core.MarketAnalyzer { public class BinanceFutures : BaseAnalyzer { public static double GetMainCurrencyPrice(string mainMarket, PTMagicConfiguration systemConfiguration, LogHelper log) { double result = 0; try { string baseUrl = "https://fapi.binance.com/fapi/v1/ticker/24hr?symbol=" + mainMarket + "USDT"; log.DoLogInfo("BinanceFutures - Getting main market price..."); Newtonsoft.Json.Linq.JObject jsonObject = GetSimpleJsonObjectFromURL(baseUrl, log, null); if (jsonObject != null) { log.DoLogInfo("BinanceFutures - Market data received for " + mainMarket + "USDT"); result = (double)jsonObject.GetValue("lastPrice"); log.DoLogInfo("BinanceFutures - Current price for " + mainMarket + "USDT: " + result.ToString("#,#0.00") + " USD"); } } catch (Exception ex) { log.DoLogCritical(ex.Message, ex); } return result; } public static List GetMarketData(string mainMarket, ConcurrentDictionary marketInfos, PTMagicConfiguration systemConfiguration, LogHelper log) { List result = new List(); string lastMarket = ""; Newtonsoft.Json.Linq.JObject lastTicker = null; try { string baseUrl = "https://fapi.binance.com/fapi/v1/ticker/24hr"; log.DoLogInfo("BinanceFutures - Getting market data..."); Newtonsoft.Json.Linq.JArray jsonArray = GetSimpleJsonArrayFromURL(baseUrl, log); if (jsonArray.Count > 0) { double mainCurrencyPrice = 1; if (!mainMarket.Equals("USDT", StringComparison.InvariantCultureIgnoreCase)) { mainCurrencyPrice = BinanceFutures.GetMainCurrencyPrice(mainMarket, systemConfiguration, log); } log.DoLogInfo("BinanceFutures - Market data received for " + jsonArray.Count.ToString() + " currencies"); if (mainCurrencyPrice > 0) { Dictionary markets = new Dictionary(); foreach (Newtonsoft.Json.Linq.JObject currencyTicker in jsonArray) { string marketName = currencyTicker["symbol"].ToString(); //New variables for filtering out bad markets float marketLastPrice = currencyTicker["lastPrice"].ToObject(); float marketVolume = currencyTicker["volume"].ToObject(); if (marketLastPrice > 0 && marketVolume > 0) { // Set last values in case any error occurs lastMarket = marketName; lastTicker = currencyTicker; Market market = new Market(); market.Position = markets.Count + 1; market.Name = marketName; market.Symbol = currencyTicker["symbol"].ToString(); market.Price = SystemHelper.TextToDouble(currencyTicker["lastPrice"].ToString(), 0, "en-US"); market.Volume24h = SystemHelper.TextToDouble(currencyTicker["quoteVolume"].ToString(), 0, "en-US"); market.MainCurrencyPriceUSD = mainCurrencyPrice; markets.Add(market.Name, market); result.Add(market.Name); } else { //Let the user know that the problem market was ignored. log.DoLogInfo("BinanceFutures - Ignoring bad market data for " + marketName); } } BinanceFutures.CheckFirstSeenDates(markets, ref marketInfos, systemConfiguration, log); BaseAnalyzer.SaveMarketInfosToFile(marketInfos, systemConfiguration, log); BinanceFutures.CheckForMarketDataRecreation(mainMarket, markets, systemConfiguration, log); DateTime fileDateTime = DateTime.UtcNow; FileHelper.WriteTextToFile(Directory.GetCurrentDirectory() + Path.DirectorySeparatorChar + Constants.PTMagicPathData + Path.DirectorySeparatorChar + Constants.PTMagicPathExchange + Path.DirectorySeparatorChar, "MarketData_" + fileDateTime.ToString("yyyy-MM-dd_HH.mm") + ".json", JsonConvert.SerializeObject(markets), fileDateTime, fileDateTime); log.DoLogInfo("BinanceFutures - Market data saved for " + markets.Count.ToString() + " markets with " + mainMarket + "."); FileHelper.CleanupFiles(Directory.GetCurrentDirectory() + Path.DirectorySeparatorChar + Constants.PTMagicPathData + Path.DirectorySeparatorChar + Constants.PTMagicPathExchange + Path.DirectorySeparatorChar, systemConfiguration.AnalyzerSettings.MarketAnalyzer.StoreDataMaxHours); log.DoLogInfo("BinanceFutures - Market data cleaned."); } else { log.DoLogError("BinanceFutures - Failed to get main market price for " + mainMarket + "."); result = null; } } } catch (WebException ex) { if (ex.Response != null) { using (HttpWebResponse errorResponse = (HttpWebResponse)ex.Response) { using (StreamReader reader = new StreamReader(errorResponse.GetResponseStream())) { Dictionary errorData = JsonConvert.DeserializeObject>(reader.ReadToEnd()); if (errorData != null) { string errorMessage = "Unable to get data from BinanceFutures with URL '" + errorResponse.ResponseUri + "'!"; if (errorData.ContainsKey("code")) { errorMessage += " - Code: " + errorData["code"]; } if (errorData.ContainsKey("msg")) { errorMessage += " - Message: " + errorData["msg"]; } log.DoLogError(errorMessage); } } } } result = null; } catch (Exception ex) { log.DoLogCritical("Exception while getting data for '" + lastMarket + "': " + ex.Message, ex); result = null; } return result; } public static void CheckFirstSeenDates(Dictionary markets, ref ConcurrentDictionary marketInfos, PTMagicConfiguration systemConfiguration, LogHelper log) { log.DoLogInfo("BinanceFutures - Checking first seen dates for " + markets.Count + " markets. This may take a while..."); int marketsChecked = 0; foreach (string key in markets.Keys) { // Save market info MarketInfo marketInfo = null; if (marketInfos.ContainsKey(key)) { marketInfo = marketInfos[key]; } if (marketInfo == null) { marketInfo = new MarketInfo(); marketInfo.Name = key; marketInfos.TryAdd(key, marketInfo); marketInfo.FirstSeen = BinanceFutures.GetFirstSeenDate(key, systemConfiguration, log); } else { if (marketInfo.FirstSeen == Constants.confMinDate) { marketInfo.FirstSeen = BinanceFutures.GetFirstSeenDate(key, systemConfiguration, log); } } marketInfo.LastSeen = DateTime.UtcNow; marketsChecked++; if ((marketsChecked % 20) == 0) { log.DoLogInfo("BinanceFutures - Yes, I am still checking first seen dates... " + marketsChecked + "/" + markets.Count + " markets done..."); } } } public static DateTime GetFirstSeenDate(string marketName, PTMagicConfiguration systemConfiguration, LogHelper log) { DateTime result = Constants.confMinDate; string baseUrl = "https://fapi.binance.com/fapi/v1/klines?interval=1d&symbol=" + marketName + "&limit=100"; log.DoLogDebug("BinanceFutures - Getting first seen date for '" + marketName + "'..."); Newtonsoft.Json.Linq.JArray jsonArray = GetSimpleJsonArrayFromURL(baseUrl, log); if (jsonArray.Count > 0) { result = Constants.Epoch.AddMilliseconds((Int64)jsonArray[0][0]); log.DoLogDebug("BinanceFutures - First seen date for '" + marketName + "' set to " + result.ToString()); } return result; } public static List GetMarketTicks(string marketName, int ticksNeeded, PTMagicConfiguration systemConfiguration, LogHelper log) { List result = new List(); try { Int64 endTime = (Int64)Math.Ceiling(DateTime.UtcNow.Subtract(Constants.Epoch).TotalMilliseconds); int ticksLimit = 500; string baseUrl = ""; int ticksFetched = 0; if (ticksNeeded < ticksLimit) { ticksLimit = ticksNeeded; } bool go = true; while (ticksFetched < ticksNeeded && go) { baseUrl = "https://fapi.binance.com/fapi/v1/klines?interval=1m&symbol=" + marketName + "&endTime=" + endTime.ToString() + "&limit=" + ticksLimit.ToString(); log.DoLogDebug("BinanceFutures - Getting " + ticksLimit.ToString() + " ticks for '" + marketName + "'..."); Newtonsoft.Json.Linq.JArray jsonArray = GetSimpleJsonArrayFromURL(baseUrl, log); if (jsonArray.Count > 0) { log.DoLogDebug("BinanceFutures - " + jsonArray.Count.ToString() + " ticks received."); foreach (Newtonsoft.Json.Linq.JArray marketTick in jsonArray) { MarketTick tick = new MarketTick(); tick.Price = (double)marketTick[4]; tick.Volume24h = (double)marketTick[7]; tick.Time = Constants.Epoch.AddMilliseconds((Int64)marketTick[0]); result.Add(tick); } ticksFetched = ticksFetched + jsonArray.Count; endTime = endTime - ticksLimit * 60 * 1000; if (ticksNeeded - ticksFetched < ticksLimit) { ticksLimit = ticksNeeded - ticksFetched; } } else { log.DoLogDebug("BinanceFutures - No ticks received."); go = false; } } } catch (WebException ex) { if (ex.Response != null) { using (HttpWebResponse errorResponse = (HttpWebResponse)ex.Response) { using (StreamReader reader = new StreamReader(errorResponse.GetResponseStream())) { Dictionary errorData = JsonConvert.DeserializeObject>(reader.ReadToEnd()); if (errorData != null) { string errorMessage = "Unable to get data from BinanceFutures with URL '" + errorResponse.ResponseUri + "'!"; if (errorData.ContainsKey("code")) { errorMessage += " - Code: " + errorData["code"]; } if (errorData.ContainsKey("msg")) { errorMessage += " - Message: " + errorData["msg"]; } log.DoLogError(errorMessage); } } } } result = null; } catch (Exception ex) { log.DoLogCritical(ex.Message, ex); } return result; } public static void CheckForMarketDataRecreation(string mainMarket, Dictionary markets, PTMagicConfiguration systemConfiguration, LogHelper log) { string binanceFuturesDataDirectoryPath = Directory.GetCurrentDirectory() + Path.DirectorySeparatorChar + Constants.PTMagicPathData + Path.DirectorySeparatorChar + Constants.PTMagicPathExchange + Path.DirectorySeparatorChar; if (!Directory.Exists(binanceFuturesDataDirectoryPath)) { Directory.CreateDirectory(binanceFuturesDataDirectoryPath); } DirectoryInfo dataDirectory = new DirectoryInfo(binanceFuturesDataDirectoryPath); // Check for existing market files DateTime latestMarketDataFileDateTime = Constants.confMinDate; List marketFiles = dataDirectory.EnumerateFiles("MarketData*").ToList(); FileInfo latestMarketDataFile = null; if (marketFiles.Count > 0) { latestMarketDataFile = marketFiles.OrderByDescending(mdf => mdf.LastWriteTimeUtc).First(); latestMarketDataFileDateTime = latestMarketDataFile.LastWriteTimeUtc; } if (latestMarketDataFileDateTime < DateTime.UtcNow.AddMinutes(-20)) { int lastMarketDataAgeInSeconds = (int)Math.Ceiling(DateTime.UtcNow.Subtract(latestMarketDataFileDateTime).TotalSeconds); // Go back in time and create market data DateTime startDateTime = DateTime.UtcNow; DateTime endDateTime = DateTime.UtcNow.AddHours(-systemConfiguration.AnalyzerSettings.MarketAnalyzer.StoreDataMaxHours); if (latestMarketDataFileDateTime != Constants.confMinDate && latestMarketDataFileDateTime > endDateTime) { // Existing market files too old => Recreate market data for configured timeframe log.DoLogInfo("BinanceFutures - Recreating market data for " + markets.Count + " markets over " + SystemHelper.GetProperDurationTime(lastMarketDataAgeInSeconds) + ". This may take a while..."); endDateTime = latestMarketDataFileDateTime; } else { // No existing market files found => Recreate market data for configured timeframe log.DoLogInfo("BinanceFutures - Recreating market data for " + markets.Count + " markets over " + systemConfiguration.AnalyzerSettings.MarketAnalyzer.StoreDataMaxHours + " hours. This may take a while..."); } int totalTicks = (int)Math.Ceiling(startDateTime.Subtract(endDateTime).TotalMinutes); // Get Ticks for main market List mainMarketTicks = new List(); if (!mainMarket.Equals("USDT", StringComparison.InvariantCultureIgnoreCase)) { mainMarketTicks = BinanceFutures.GetMarketTicks(mainMarket + "USDT", totalTicks, systemConfiguration, log); } // Get Ticks for all markets log.DoLogDebug("BinanceFutures - Getting ticks for '" + markets.Count + "' markets"); ConcurrentDictionary> marketTicks = new ConcurrentDictionary>(); int ParallelThrottle = 2; if (systemConfiguration.AnalyzerSettings.MarketAnalyzer.StoreDataMaxHours > 6) { ParallelThrottle = 1; log.DoLogInfo("----------------------------------------------------------------------------"); log.DoLogInfo("StoreDataMaxHours is greater than 6. Historical data requests will be"); log.DoLogInfo("throttled to avoid exceeding exchange data request limits. This initial "); log.DoLogInfo("run could take more than 30 minutes. Please go outside for a walk..."); log.DoLogInfo("----------------------------------------------------------------------------"); } Parallel.ForEach(markets.Keys, new ParallelOptions { MaxDegreeOfParallelism = ParallelThrottle}, (key) => { if (!marketTicks.TryAdd(key, GetMarketTicks(key, totalTicks, systemConfiguration, log))) { // Failed to add ticks to dictionary throw new Exception("Failed to add ticks for " + key + " to the memory dictionary, results may be incorrectly calculated!"); } if ((marketTicks.Count % 10) == 0) { log.DoLogInfo("BinanceFutures - No worries, I am still alive... " + marketTicks.Count + "/" + markets.Count + " markets done..."); } }); log.DoLogInfo("BinanceFutures - Ticks completed."); log.DoLogInfo("BinanceFutures - Creating initial market data ticks. This may take another while..."); // Go back in time and create market data int completedTicks = 0; if (marketTicks.Count > 0) { for (DateTime tickTime = startDateTime; tickTime >= endDateTime; tickTime = tickTime.AddMinutes(-1)) { completedTicks++; double mainCurrencyPrice = 1; if (mainMarketTicks.Count > 0) { List mainCurrencyTickRange = mainMarketTicks.FindAll(t => t.Time <= tickTime); if (mainCurrencyTickRange.Count > 0) { MarketTick mainCurrencyTick = mainCurrencyTickRange.OrderByDescending(t => t.Time).First(); mainCurrencyPrice = mainCurrencyTick.Price; } } Dictionary tickMarkets = new Dictionary(); foreach (string key in markets.Keys) { List tickRange = marketTicks[key] != null ? marketTicks[key].FindAll(t => t.Time <= tickTime) : new List(); if (tickRange.Count > 0) { MarketTick marketTick = tickRange.OrderByDescending(t => t.Time).First(); Market market = new Market(); market.Position = markets.Count + 1; market.Name = key; market.Symbol = key; market.Price = marketTick.Price; //market.Volume24h = marketTick.Volume24h; market.MainCurrencyPriceUSD = mainCurrencyPrice; tickMarkets.Add(market.Name, market); } } DateTime fileDateTime = new DateTime(tickTime.ToLocalTime().Year, tickTime.ToLocalTime().Month, tickTime.ToLocalTime().Day, tickTime.ToLocalTime().Hour, tickTime.ToLocalTime().Minute, 0).ToUniversalTime(); FileHelper.WriteTextToFile(Directory.GetCurrentDirectory() + Path.DirectorySeparatorChar + Constants.PTMagicPathData + Path.DirectorySeparatorChar + Constants.PTMagicPathExchange + Path.DirectorySeparatorChar, "MarketData_" + fileDateTime.ToString("yyyy-MM-dd_HH.mm") + ".json", JsonConvert.SerializeObject(tickMarkets), fileDateTime, fileDateTime); log.DoLogDebug("BinanceFutures - Market data saved for tick " + fileDateTime.ToString() + " - MainCurrencyPrice=" + mainCurrencyPrice.ToString("#,#0.00") + " USD."); if ((completedTicks % 100) == 0) { log.DoLogInfo("BinanceFutures - Our magicbots are still at work, hang on... " + completedTicks + "/" + totalTicks + " ticks done..."); } } } log.DoLogInfo("BinanceFutures - Initial market data created. Ready to go!"); } } } }