/// <inheritdoc />
protected override HeikinAshiCandleMessage CreateCandle(MarketDataMessage message, HeikinAshiCandleMessage currentCandle, ICandleBuilderValueTransform transform)
{
var timeFrame = message.GetTimeFrame();
var board = ExchangeInfoProvider.GetOrCreateBoard(message.SecurityId.BoardCode);
var bounds = timeFrame.GetCandleBounds(transform.Time, board, board.WorkingTime);
if (transform.Time < bounds.Min)
{
return(null);
}
var openTime = bounds.Min;
var candle = FirstInitCandle(message, new HeikinAshiCandleMessage
{
TimeFrame = timeFrame,
OpenTime = openTime,
HighTime = openTime,
LowTime = openTime,
CloseTime = openTime,
}, transform);
if (currentCandle != null)
{
candle.OpenPrice = (currentCandle.OpenPrice + currentCandle.ClosePrice) / 2M;
}
return(candle);
}
private DateTimeOffset?LoadMessages(MarketDataMessage msg, DateTimeOffset?from, DateTimeOffset?to, long transactionId, Action <Message> newOutMessage)
{
void SendReply() => newOutMessage(new SubscriptionResponseMessage {
OriginalTransactionId = transactionId
});
void SendOut(Message message)
{
message.OfflineMode = MessageOfflineModes.Ignore;
newOutMessage(message);
}
DateTimeOffset?lastTime = null;
var secId = msg.SecurityId;
switch (msg.DataType)
{
case MarketDataTypes.Level1:
if (msg.BuildMode != MarketDataBuildModes.Build)
{
if (Settings.IsMode(StorageModes.Incremental))
{
lastTime = LoadMessages(Settings.GetStorage <Level1ChangeMessage>(secId, null), from, to, TimeSpan.Zero, transactionId, SendReply, SendOut);
}
}
else
{
if (msg.BuildFrom == MarketDataTypes.OrderLog)
{
var storage = Settings.GetStorage <ExecutionMessage>(secId, ExecutionTypes.OrderLog);
var range = GetRange(storage, from, to, TimeSpan.Zero);
if (range != null)
{
lastTime = LoadMessages(storage
.Load(range.Item1.Date, range.Item2.Date.EndOfDay())
.ToLevel1(msg.DepthBuilder, msg.RefreshSpeed ?? default, msg.MaxDepth ?? int.MaxValue), range.Item1, transactionId, SendReply, SendOut);
}
}
else if (msg.BuildFrom == MarketDataTypes.MarketDepth)
{
var storage = Settings.GetStorage <QuoteChangeMessage>(secId, null);
var range = GetRange(storage, from, to, TimeSpan.Zero);
if (range != null)
{
lastTime = LoadMessages(storage
.Load(range.Item1.Date, range.Item2.Date.EndOfDay())
.ToLevel1(), range.Item1, transactionId, SendReply, SendOut);
}
}
}
break;
case MarketDataTypes.MarketDepth:
if (msg.BuildMode != MarketDataBuildModes.Build)
{
if (Settings.IsMode(StorageModes.Incremental))
{
lastTime = LoadMessages(Settings.GetStorage <QuoteChangeMessage>(secId, null), from, to, TimeSpan.Zero, transactionId, SendReply, SendOut);
}
}
else
{
if (msg.BuildFrom == MarketDataTypes.OrderLog)
{
var storage = Settings.GetStorage <ExecutionMessage>(secId, ExecutionTypes.OrderLog);
var range = GetRange(storage, from, to, TimeSpan.Zero);
if (range != null)
{
lastTime = LoadMessages(storage
.Load(range.Item1.Date, range.Item2.Date.EndOfDay())
.ToOrderBooks(msg.DepthBuilder, msg.RefreshSpeed ?? default, msg.MaxDepth ?? int.MaxValue), range.Item1, transactionId, SendReply, SendOut);
}
}
else if (msg.BuildFrom == MarketDataTypes.Level1)
{
var storage = Settings.GetStorage <Level1ChangeMessage>(secId, null);
var range = GetRange(storage, from, to, TimeSpan.Zero);
if (range != null)
{
lastTime = LoadMessages(storage
.Load(range.Item1.Date, range.Item2.Date.EndOfDay())
.ToOrderBooks(), range.Item1, transactionId, SendReply, SendOut);
}
}
}
break;
case MarketDataTypes.Trades:
if (msg.BuildMode != MarketDataBuildModes.Build)
{
lastTime = LoadMessages(Settings.GetStorage <ExecutionMessage>(secId, ExecutionTypes.Tick), from, to, Settings.DaysLoad, transactionId, SendReply, SendOut);
}
else
{
if (msg.BuildFrom == MarketDataTypes.OrderLog)
{
var storage = Settings.GetStorage <ExecutionMessage>(secId, ExecutionTypes.OrderLog);
var range = GetRange(storage, from, to, TimeSpan.Zero);
if (range != null)
{
lastTime = LoadMessages(storage
.Load(range.Item1.Date, range.Item2.Date.EndOfDay())
.ToTicks(), range.Item1, transactionId, SendReply, SendOut);
}
}
else if (msg.BuildFrom == MarketDataTypes.Level1)
{
var storage = Settings.GetStorage <Level1ChangeMessage>(secId, null);
var range = GetRange(storage, from, to, TimeSpan.Zero);
if (range != null)
{
lastTime = LoadMessages(storage
.Load(range.Item1.Date, range.Item2.Date.EndOfDay())
.ToTicks(), range.Item1, transactionId, SendReply, SendOut);
}
}
}
break;
case MarketDataTypes.OrderLog:
lastTime = LoadMessages(Settings.GetStorage <ExecutionMessage>(secId, ExecutionTypes.OrderLog), from, to, Settings.DaysLoad, transactionId, SendReply, SendOut);
break;
case MarketDataTypes.News:
lastTime = LoadMessages(Settings.GetStorage <NewsMessage>(default, null), from, to, Settings.DaysLoad, transactionId, SendReply, SendOut);
break;
case MarketDataTypes.Board:
lastTime = LoadMessages(Settings.GetStorage <BoardStateMessage>(default, null), from, to, Settings.DaysLoad, transactionId, SendReply, SendOut);
break;
case MarketDataTypes.CandleTimeFrame:
var tf = msg.GetTimeFrame();
if (msg.IsBuildOnly())
{
IMarketDataStorage storage;
switch (msg.BuildFrom)
{
case null:
case MarketDataTypes.Trades:
storage = Settings.GetStorage <ExecutionMessage>(secId, ExecutionTypes.Tick);
break;
case MarketDataTypes.OrderLog:
storage = Settings.GetStorage <ExecutionMessage>(secId, ExecutionTypes.OrderLog);
break;
case MarketDataTypes.Level1:
storage = Settings.GetStorage <Level1ChangeMessage>(secId, null);
break;
case MarketDataTypes.MarketDepth:
storage = Settings.GetStorage <QuoteChangeMessage>(secId, null);
break;
default:
throw new ArgumentOutOfRangeException(nameof(msg), msg.BuildFrom, LocalizedStrings.Str1219);
}
var range = GetRange(storage, from, to, TimeSpan.FromDays(2));
if (range != null)
{
var mdMsg = msg.TypedClone();
mdMsg.From = mdMsg.To = null;
switch (msg.BuildFrom)
{
case null:
case MarketDataTypes.Trades:
lastTime = LoadMessages(((IMarketDataStorage <ExecutionMessage>)storage)
.Load(range.Item1.Date, range.Item2.Date.EndOfDay())
.ToCandles(mdMsg, candleBuilderProvider: CandleBuilderProvider), range.Item1, transactionId, SendReply, SendOut);
break;
case MarketDataTypes.OrderLog:
{
switch (msg.BuildField)
{
case null:
case Level1Fields.LastTradePrice:
lastTime = LoadMessages(((IMarketDataStorage <ExecutionMessage>)storage)
.Load(range.Item1.Date, range.Item2.Date.EndOfDay())
.ToCandles(mdMsg, candleBuilderProvider: CandleBuilderProvider), range.Item1, transactionId, SendReply, SendOut);
break;
// TODO
//case Level1Fields.SpreadMiddle:
// lastTime = LoadMessages(((IMarketDataStorage<ExecutionMessage>)storage)
// .Load(range.Item1.Date, range.Item2.Date.EndOfDay())
// .ToOrderBooks(OrderLogBuilders.Plaza2.CreateBuilder(security.ToSecurityId()))
// .ToCandles(mdMsg, false, exchangeInfoProvider: exchangeInfoProvider), range.Item1, transactionId, SendReply, SendOut);
// break;
}
break;
}
case MarketDataTypes.Level1:
switch (msg.BuildField)
{
case null:
case Level1Fields.LastTradePrice:
lastTime = LoadMessages(((IMarketDataStorage <Level1ChangeMessage>)storage)
.Load(range.Item1.Date, range.Item2.Date.EndOfDay())
.ToTicks()
.ToCandles(mdMsg, candleBuilderProvider: CandleBuilderProvider), range.Item1, transactionId, SendReply, SendOut);
break;
case Level1Fields.BestBidPrice:
case Level1Fields.BestAskPrice:
case Level1Fields.SpreadMiddle:
lastTime = LoadMessages(((IMarketDataStorage <Level1ChangeMessage>)storage)
.Load(range.Item1.Date, range.Item2.Date.EndOfDay())
.ToOrderBooks()
.ToCandles(mdMsg, msg.BuildField.Value, candleBuilderProvider: CandleBuilderProvider), range.Item1, transactionId, SendReply, SendOut);
break;
}
break;
case MarketDataTypes.MarketDepth:
lastTime = LoadMessages(((IMarketDataStorage <QuoteChangeMessage>)storage)
.Load(range.Item1.Date, range.Item2.Date.EndOfDay())
.ToCandles(mdMsg, msg.BuildField ?? Level1Fields.SpreadMiddle, candleBuilderProvider: CandleBuilderProvider), range.Item1, transactionId, SendReply, SendOut);
break;
default:
throw new ArgumentOutOfRangeException(nameof(msg), msg.BuildFrom, LocalizedStrings.Str1219);
}
}
}
else
{
var days = Settings.DaysLoad;
//if (tf.Ticks > 1)
//{
// if (tf.TotalMinutes < 15)
// days = TimeSpan.FromTicks(tf.Ticks * 10000);
// else if (tf.TotalHours < 2)
// days = TimeSpan.FromTicks(tf.Ticks * 1000);
// else if (tf.TotalDays < 2)
// days = TimeSpan.FromTicks(tf.Ticks * 100);
// else
// days = TimeSpan.FromTicks(tf.Ticks * 50);
//}
lastTime = LoadMessages(GetTimeFrameCandleMessageStorage(secId, tf, msg.AllowBuildFromSmallerTimeFrame), from, to, days, transactionId, SendReply, SendOut);
}
break;
default:
{
if (msg.DataType.IsCandleDataType())
{
var storage = (IMarketDataStorage <CandleMessage>)Settings.GetStorage(secId, msg.DataType.ToCandleMessage(), msg.Arg);
var range = GetRange(storage, from, to, Settings.DaysLoad);
if (range != null)
{
var messages = storage.Load(range.Item1.Date, range.Item2.Date.EndOfDay());
lastTime = LoadMessages(messages, range.Item1, transactionId, SendReply, SendOut);
}
}
break;
// throw new ArgumentOutOfRangeException(nameof(msg), msg.DataType, LocalizedStrings.Str721);
}
}
return(lastTime);
}