454 lines
19 KiB
C#
454 lines
19 KiB
C#
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 Binance : BaseAnalyzer
|
|
{
|
|
public static double GetMainCurrencyPrice(string mainMarket, PTMagicConfiguration systemConfiguration, LogHelper log)
|
|
{
|
|
double result = 0;
|
|
|
|
try
|
|
{
|
|
string baseUrl = "https://api.binance.com/api/v1/ticker/24hr?symbol=" + mainMarket + "USDT";
|
|
|
|
log.DoLogInfo("Binance - Getting main market price...");
|
|
Newtonsoft.Json.Linq.JObject jsonObject = GetSimpleJsonObjectFromURL(baseUrl, log, null);
|
|
if (jsonObject != null)
|
|
{
|
|
log.DoLogInfo("Binance - Market data received for " + mainMarket + "USDT");
|
|
|
|
result = (double)jsonObject.GetValue("lastPrice");
|
|
log.DoLogInfo("Binance - Current price for " + mainMarket + "USDT: " + result.ToString("#,#0.00") + " USD");
|
|
}
|
|
}
|
|
catch (Exception ex)
|
|
{
|
|
log.DoLogCritical(ex.Message, ex);
|
|
}
|
|
|
|
return result;
|
|
}
|
|
|
|
public static List<string> GetMarketData(string mainMarket, ConcurrentDictionary<string, MarketInfo> marketInfos, PTMagicConfiguration systemConfiguration, LogHelper log)
|
|
{
|
|
List<string> result = new List<string>();
|
|
|
|
string lastMarket = "";
|
|
Newtonsoft.Json.Linq.JObject lastTicker = null;
|
|
try
|
|
{
|
|
string baseUrl = "https://api.binance.com/api/v1/ticker/24hr";
|
|
|
|
log.DoLogInfo("Binance - 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 = Binance.GetMainCurrencyPrice(mainMarket, systemConfiguration, log);
|
|
}
|
|
|
|
log.DoLogInfo("Binance - Market data received for " + jsonArray.Count.ToString() + " currencies");
|
|
|
|
if (mainCurrencyPrice > 0)
|
|
{
|
|
Dictionary<string, Market> markets = new Dictionary<string, Market>();
|
|
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>();
|
|
float marketVolume = currencyTicker["volume"].ToObject<float>();
|
|
if (marketName.EndsWith(mainMarket, StringComparison.InvariantCultureIgnoreCase))
|
|
{
|
|
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("Binance - Ignoring bad market data for " + marketName);
|
|
}
|
|
}
|
|
}
|
|
|
|
Binance.CheckFirstSeenDates(markets, ref marketInfos, systemConfiguration, log);
|
|
|
|
BaseAnalyzer.SaveMarketInfosToFile(marketInfos, systemConfiguration, log);
|
|
|
|
Binance.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("Binance - 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("Binance - Market data cleaned.");
|
|
}
|
|
else
|
|
{
|
|
log.DoLogError("Binance - 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<string, string> errorData = JsonConvert.DeserializeObject<Dictionary<string, string>>(reader.ReadToEnd());
|
|
if (errorData != null)
|
|
{
|
|
string errorMessage = "Unable to get data from Binance 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<string, Market> markets, ref ConcurrentDictionary<string, MarketInfo> marketInfos, PTMagicConfiguration systemConfiguration, LogHelper log)
|
|
{
|
|
log.DoLogInfo("Binance - 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 = Binance.GetFirstSeenDate(key, systemConfiguration, log);
|
|
}
|
|
else
|
|
{
|
|
if (marketInfo.FirstSeen == Constants.confMinDate)
|
|
{
|
|
marketInfo.FirstSeen = Binance.GetFirstSeenDate(key, systemConfiguration, log);
|
|
}
|
|
}
|
|
marketInfo.LastSeen = DateTime.UtcNow;
|
|
|
|
marketsChecked++;
|
|
|
|
if ((marketsChecked % 20) == 0)
|
|
{
|
|
log.DoLogInfo("Binance - 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://api.binance.com/api/v1/klines?interval=1d&symbol=" + marketName + "&limit=100";
|
|
|
|
log.DoLogDebug("Binance - 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("Binance - First seen date for '" + marketName + "' set to " + result.ToString());
|
|
}
|
|
|
|
return result;
|
|
}
|
|
|
|
public static List<MarketTick> GetMarketTicks(string marketName, int ticksNeeded, PTMagicConfiguration systemConfiguration, LogHelper log)
|
|
{
|
|
List<MarketTick> result = new List<MarketTick>();
|
|
|
|
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://api.binance.com/api/v1/klines?interval=1m&symbol=" + marketName + "&endTime=" + endTime.ToString() + "&limit=" + ticksLimit.ToString();
|
|
|
|
log.DoLogDebug("Binance - Getting " + ticksLimit.ToString() + " ticks for '" + marketName + "'...");
|
|
Newtonsoft.Json.Linq.JArray jsonArray = GetSimpleJsonArrayFromURL(baseUrl, log);
|
|
if (jsonArray.Count > 0)
|
|
{
|
|
log.DoLogDebug("Binance - " + 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("Binance - 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<string, string> errorData = JsonConvert.DeserializeObject<Dictionary<string, string>>(reader.ReadToEnd());
|
|
if (errorData != null)
|
|
{
|
|
string errorMessage = "Unable to get data from Binance 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<string, Market> markets, PTMagicConfiguration systemConfiguration, LogHelper log)
|
|
{
|
|
string binanceDataDirectoryPath = Directory.GetCurrentDirectory() + Path.DirectorySeparatorChar + Constants.PTMagicPathData + Path.DirectorySeparatorChar + Constants.PTMagicPathExchange + Path.DirectorySeparatorChar;
|
|
|
|
if (!Directory.Exists(binanceDataDirectoryPath))
|
|
{
|
|
Directory.CreateDirectory(binanceDataDirectoryPath);
|
|
}
|
|
|
|
DirectoryInfo dataDirectory = new DirectoryInfo(binanceDataDirectoryPath);
|
|
|
|
// Check for existing market files
|
|
DateTime latestMarketDataFileDateTime = Constants.confMinDate;
|
|
List<FileInfo> 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("Binance - 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("Binance - 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<MarketTick> mainMarketTicks = new List<MarketTick>();
|
|
if (!mainMarket.Equals("USDT", StringComparison.InvariantCultureIgnoreCase))
|
|
{
|
|
mainMarketTicks = Binance.GetMarketTicks(mainMarket + "USDT", totalTicks, systemConfiguration, log);
|
|
}
|
|
|
|
// Get Ticks for all markets
|
|
log.DoLogDebug("Binance - Getting ticks for '" + markets.Count + "' markets");
|
|
ConcurrentDictionary<string, List<MarketTick>> marketTicks = new ConcurrentDictionary<string, List<MarketTick>>();
|
|
|
|
int ParallelThrottle = 4;
|
|
if (systemConfiguration.AnalyzerSettings.MarketAnalyzer.StoreDataMaxHours > 50)
|
|
{
|
|
ParallelThrottle = 2;
|
|
log.DoLogInfo("----------------------------------------------------------------------------");
|
|
log.DoLogInfo("StoreDataMaxHours is greater than 50. Historical data requests will be");
|
|
log.DoLogInfo("throttled to avoid exceeding exchange 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("Binance - No worries, I am still alive... " + marketTicks.Count + "/" + markets.Count + " markets done...");
|
|
}
|
|
});
|
|
|
|
log.DoLogInfo("Binance - Ticks completed.");
|
|
|
|
log.DoLogInfo("Binance - 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<MarketTick> mainCurrencyTickRange = mainMarketTicks.FindAll(t => t.Time <= tickTime);
|
|
if (mainCurrencyTickRange.Count > 0)
|
|
{
|
|
MarketTick mainCurrencyTick = mainCurrencyTickRange.OrderByDescending(t => t.Time).First();
|
|
mainCurrencyPrice = mainCurrencyTick.Price;
|
|
}
|
|
}
|
|
|
|
ConcurrentDictionary<string, Market> tickMarkets = new ConcurrentDictionary<string, Market>();
|
|
|
|
Parallel.ForEach(markets.Keys,
|
|
(key) =>
|
|
{
|
|
List<MarketTick> tickRange = marketTicks[key] != null ? marketTicks[key].FindAll(t => t.Time <= tickTime) : new List<MarketTick>();
|
|
|
|
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.TryAdd(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("Binance - Market data saved for tick " + fileDateTime.ToString() + " - MainCurrencyPrice=" + mainCurrencyPrice.ToString("#,#0.00") + " USD.");
|
|
|
|
if ((completedTicks % 100) == 0)
|
|
{
|
|
log.DoLogInfo("Binance - Our magicbots are still at work, hang on... " + completedTicks + "/" + totalTicks + " ticks done...");
|
|
}
|
|
}
|
|
}
|
|
|
|
log.DoLogInfo("Binance - Initial market data created. Ready to go!");
|
|
}
|
|
|
|
}
|
|
}
|
|
} |