public MarketDataSource(IEnumerable <string> codes, MicexISSClient micexClient)
{
_codes = codes;
_micexClient = micexClient;
_sourceList = new List <IObservable <MarketData> >();
foreach (string code in _codes)
{
IObservable <MarketData> _defObs = Observable.Return <MarketData>(new MarketData()
{
Code = code,
LCURRENTPRICE = -100
});
IObservable <MarketData> obs = Observable.Interval(TimeSpan.FromSeconds(10))
.Select(x => Observable.FromAsync(async() =>
{
var response = await _micexClient.GetSecurityInfo("shares", "TQBR", code);
return(response.MarketData[0]);
})).Concat();
_sourceList.Add(_defObs.Concat(obs));
}
}
// GET api/SecurityData
public SecurityData Get(string Id)
{
SecurityData data = new SecurityData();
MicexISSClient client = new MicexISSClient(new WebApiClient());
ISSResponse resp = client.GetSecurityInfo(Id).Result;
data.SecurityInfo = resp.SecurityInfo.Single(i => i.Code == Id);
data.MarketData = resp.MarketData.Single(m => m.Code == Id);
return(data);
}
public async Task <IActionResult> Post()
{
MicexISSClient micexClient = new MicexISSClient(new CommonLib.WebApiClient());
var apiClient = new CommonLib.WebApiClient();
TinkoffClient tinkoffClient = new TinkoffClient(apiClient);
apiClient.addHeader("Authorization", "Bearer t.FwRjwQy5LHo3uXE0iQ6D4VGVFRvccr1_PItEHgLIOt4sc7QkQkBzd_eDACB0TTfnBBOWi_mtg84cPbvKwD4gpQ");
string tinkoff_stocks = await tinkoffClient.GetStocks();
string moex_json = await micexClient.GetSecurityList("shares", "TQBR");
JObject obj = JObject.Parse(tinkoff_stocks);
JObject moexObj = JObject.Parse(moex_json);
JArray instruments = (JArray)obj["payload"]["instruments"];
JArray moex_data = (JArray)moexObj["securities"]["data"];
IList <string> moex_columns = moexObj["securities"]["columns"].Select(c => (string)c).ToList();
int isin_column = moex_columns.IndexOf("ISIN");
IList <string> moex_isin = moex_data.Select(t => (string)t[isin_column]).ToList();
foreach (var jtoken in instruments)
{
SecurityRaw raw = jtoken.ToObject <SecurityRaw>();
raw.Board = moex_isin.Contains(raw.isin) ? "TQBR" : "SPBMX";
Security sec = _context.SecuritySet.Include(s => s.Emitent).SingleOrDefault(c => c.ISIN == raw.isin);
if (sec != null)
{
raw.Processed = true;
raw.Emitent = sec.Emitent.Code;
}
;
if (!_context.SecurityRawSet.Any(r => r.isin == raw.isin))
{
_context.SecurityRawSet.Add(raw);
}
}
_context.SaveChanges();
return(Ok());
}
public JsonResult PrepareData(string sec, DateTime from)
{
MicexISSClient client = new MicexISSClient(new WebApiClient());
var part1 = client.GetCandles(sec, from, from.AddHours(14), "1").Result;
var part2 = client.GetCandles(sec, from.AddHours(14).AddMinutes(1), from.AddHours(19), "1").Result;
List <ICandle> candles = new List <ICandle>();
candles.AddRange(part1);
candles.AddRange(part2);
//using (DataContext context = new DataContext())
//{
// context.Database.
//}
using (UnitOfWork unit = new UnitOfWork((DbContext) new DataContext()))
{
int key = 0;
if (unit.CandleRepository.All <EIDService.Common.Entities.Candle>(null).Count() > 0)
{
key = unit.CandleRepository.All <EIDService.Common.Entities.Candle>(null).Max(c => c.Id);
}
foreach (ICandle candle in candles)
{
key++;
EIDService.Common.Entities.Candle entity = new Common.Entities.Candle();
entity.Id = key;
entity.CandleDate = candle.begin.ToString("yyyyMMdd");
entity.CandleTime = candle.begin.ToString("HHmm00");
entity.MaxPrice = candle.high;
entity.MinPrice = candle.low;
entity.OpenPrice = candle.open;
entity.ClosePrice = candle.close;
entity.Volume = candle.volume;
entity.Value = candle.value;
entity.Code = sec;
unit.CandleRepository.Create(entity);
}
unit.Commit();
}
return(Json("ok", JsonRequestBehavior.AllowGet));
}
public IEnumerable <PriceInfo> Get()
{
MicexISSClient micexClient = new MicexISSClient(new CommonLib.WebApiClient());
var values = _context.SecuritySet.Where(s => s.Market == "shares" && s.Region == "Moscow")
.Select(s => s.Code).ToArray();
IList <PriceInfo> results = new List <PriceInfo>();
foreach (string code in values)
{
results.Add(GetPrice(code, micexClient));
}
return(results);
}
public IEnumerable <ICandle> Get(CandleRequestModel request)
{
IDictionary <Func <CandleRequestModel, bool>, Action> actions = new Dictionary <Func <CandleRequestModel, bool>, Action>();
IEnumerable <ICandle> candles = null;
actions.Add((pr) => { return(!string.IsNullOrEmpty(pr.security) && pr.from.HasValue); }, () =>
{
MicexISSClient client = new MicexISSClient(new WebApiClient());
DateTime?till = null;
IDictionary <string, Func <CandleRequestModel, IList <UTRADE.Library.ICandle> > > interval_actions = new Dictionary <string, Func <CandleRequestModel, IList <UTRADE.Library.ICandle> > >();
interval_actions.Add("1", (req) =>
{
return(client.GetCandles(request.security, request.from.Value, till, request.interval).Result);
});
interval_actions.Add("60", (req) =>
{
return(client.GetCandles(request.security, request.from.Value, till, request.interval).Result);
});
interval_actions.Add("D", (req) =>
{
return(client.GetHistory(request.security, request.from.Value, till).Result);
});
try
{
candles = interval_actions[request.interval].Invoke(request);
}
catch (Exception ex)
{
string msg = ex.Message;
//Logger.Log.Error("ошибка", ex);
}
});
actions.Single(f => f.Key.Invoke(request)).Value.Invoke();
return(candles);
}
private PriceInfo GetPrice(string security, MicexISSClient micexClient)
{
var quote = _context.QuoteSet.Single(q => q.symbol == security);
PriceInfo result = null;
result = new PriceInfo()
{
Code = quote.symbol,
LastPrice = quote.price,
OpenPrice = quote.open,
PrevClose = quote.previousClose
};
decimal priceChange = result.LastPrice - result.PrevClose;
result.Change = priceChange != 0 ? Math.Round(priceChange / result.PrevClose * 100, 2) : 0;
return(result);
}
// GET api/candle
public IEnumerable <ICandle> Get([FromUri] RequestModel request)
{
Logger.InitLogger();
IDictionary <Func <RequestModel, bool>, Action> actions = new Dictionary <Func <RequestModel, bool>, Action>();
IEnumerable <ICandle> candles = null;
Settings settings = null;
using (UnitOfWork unit = new UnitOfWork((DbContext) new DataContext()))
{
settings = unit.SettingsRepository.All <Settings>(null).Single();
}
actions.Add((pr) => { return(!pr.from.HasValue); }, () =>
{
EIDService.Common.CandleToISS candleToISS = new Common.CandleToISS();
using (UnitOfWork unit = new UnitOfWork((DbContext) new DataContext()))
{
var tempData = unit.CandleRepository.All <EIDService.Common.Entities.Candle>(null).ToList();
candles = tempData.Select(c => candleToISS.Convert(c));
if (settings.ModeType == ModeType.Test)
{
candles = candles.Where(c => c.begin < settings.TestDateTime);
settings.TestDateTime = settings.TestDateTime.AddMinutes(1);
unit.SettingsRepository.Update(settings);
unit.Commit();
CandlesConverter converter = new CandlesConverter(() => { return(new EID.Library.ISS.Candle()); });
candles = converter.Convert(candles.ToList(), 1, 5);
}
}
});
actions.Add((pr) => { return(!string.IsNullOrEmpty(pr.security) && pr.from.HasValue); }, () =>
{
MicexISSClient client = new MicexISSClient(new WebApiClient());
DateTime?till = null;
if (settings.ModeType == ModeType.Test)
{
till = settings.TestDateTime;
}
IDictionary <string, Func <RequestModel, IList <EID.Library.ICandle> > > interval_actions = new Dictionary <string, Func <RequestModel, IList <EID.Library.ICandle> > >();
interval_actions.Add("1", (req) =>
{
return(client.GetCandles(request.security, request.from.Value, till, request.interval).Result);
});
interval_actions.Add("60", (req) =>
{
return(client.GetCandles(request.security, request.from.Value, till, request.interval).Result);
});
interval_actions.Add("D", (req) =>
{
return(client.GetHistory(request.security, request.from.Value, till).Result);
});
try
{
candles = interval_actions[request.interval].Invoke(request);
Logger.Log.InfoFormat("Данные с ММВБ получены. Count {0}", candles.Count());
}
catch (Exception ex)
{
Logger.Log.Error("ошибка", ex);
}
});
actions.Single(f => f.Key.Invoke(request)).Value.Invoke();
return(candles);
}
public Task StartAsync(CancellationToken cancellationToken)
{
string apiUrl = "http://dockerapi:80/api";
//string apiUrl = "http://xplatform.net/api";
//string apiUrl = "http://localhost:5000/api";
var apiClient = new CommonLib.WebApiClient();
apiClient.addHeader("Authorization", "Bearer t.FwRjwQy5LHo3uXE0iQ6D4VGVFRvccr1_PItEHgLIOt4sc7QkQkBzd_eDACB0TTfnBBOWi_mtg84cPbvKwD4gpQ");
CommonLib.Tinkoff.TinkoffClient _tinkoffClient = new CommonLib.Tinkoff.TinkoffClient(apiClient);
MicexISSClient micexClient = new MicexISSClient(new CommonLib.WebApiClient());
var xClient = new CommonLib.WebApiClient();
Func <string, Quote> GetQuoteFromCandles = new Func <string, Quote>(data =>
{
JObject obj = JObject.Parse(data);
JToken[] candles = null;
if (obj["payload"]["candles"].Count() < 2)
{
return(null);
}
candles = obj["payload"]["candles"]
.OrderByDescending(t => (DateTime)t["time"])
.Take(2).ToArray();
return(new Quote()
{
figi = (string)candles[0]["figi"],
open = decimal.Parse((string)candles[0]["o"], CultureInfo.InvariantCulture),
price = decimal.Parse((string)candles[0]["c"], CultureInfo.InvariantCulture),
previousClose = decimal.Parse((string)candles[1]["c"], CultureInfo.InvariantCulture)
});
});
Action <string> activate = new Action <string>((arg) =>
{
_logger.Information($"Activation: {arg}");
if (arg == "usaPriceUpdater")
{
usaSubscription = usaQuoteSeq.Subscribe(q =>
{
Log.Information($"update price {q.symbol}");
},
ex =>
{
_logger.Error(ex, "usaPriceUpdater error");
restartStream.OnNext("usaPriceUpdater");
});
}
if (arg == "moscowPriceUpdater")
{
moscowSubscription = moscowQuoteSeq.Subscribe(q =>
{
Log.Information($"update price {q.symbol}");
},
ex =>
{
_logger.Error(ex, "moscowPriceUpdater error");
restartStream.OnNext("moscowPriceUpdater");
});
}
});
usaQuoteSeq = Observable.Create <Quote>(async observer =>
{
string securities = await xClient.GetData($"{apiUrl}/security");
string currentQuotes = await xClient.GetData($"{apiUrl}/Quote");
var securityCodes = JsonConvert.DeserializeObject <List <Security> >(securities).Where(s => s.Market == "shares" && s.Region == "United States").Select(s => s.Code);
var quoteList = JsonConvert.DeserializeObject <List <Quote> >(currentQuotes)
.Where(q => securityCodes.Contains(q.symbol))
.OrderBy(q => q.symbol);
//.OrderBy(q => q.lastUpdate);
foreach (Quote quote in quoteList)
{
observer.OnNext(quote);
}
observer.OnCompleted();
return(Disposable.Empty);
})
.Select(q => Observable.FromAsync(async() =>
{
//throw new Exception();
string candles = await _tinkoffClient.GetCandles(q.figi, "day", DateTime.UtcNow.AddDays(-20), DateTime.UtcNow);
Quote result = GetQuoteFromCandles(candles);
if (result != null)
{
result.Id = q.Id;
result.symbol = q.symbol;
result.Board = q.Board;
//post quote to server
string content = JObject.FromObject(result).ToString();
HttpContent stringContent = new StringContent(content, Encoding.UTF8, "application/json");
await xClient.PostDataAsync($"{apiUrl}/Quote", stringContent);
}
if (result == null)
{
result = new Quote()
{
symbol = q.symbol
};
}
return(result);
}).Delay(TimeSpan.FromSeconds(5)))
.Concat()
.Repeat();
moscowQuoteSeq = Observable.Create <MarketData>(async observer =>
{
string securities = await xClient.GetData($"{apiUrl}/security");
string currentQuotes = await xClient.GetData($"{apiUrl}/Quote");
var securityObj = JsonConvert.DeserializeObject <List <Security> >(securities).Where(s => s.Region == "Moscow");
var securityCodes = securityObj.Select(s => s.Code);
var quoteList = JsonConvert.DeserializeObject <List <Quote> >(currentQuotes)
.Where(q => securityCodes.Contains(q.symbol))
.OrderBy(q => q.symbol);
foreach (Quote quote in quoteList)
{
MarketData md = null;
md = new MarketData()
{
quote = quote,
board = quote.Board,
market = securityObj.First(s => s.Code == quote.symbol).Market,
ticker = quote.symbol
};
observer.OnNext(md);
}
observer.OnCompleted();
return(Disposable.Empty);
}).Select(md => Observable.FromAsync(async() =>
{
ISSResponse issResp = await micexClient.GetSecurityInfo(md.market, md.board, md.ticker);
var result = new Quote()
{
Id = md.quote.Id,
symbol = md.quote.symbol,
figi = md.quote.figi,
open = issResp.MarketData.First().OPEN,
price = issResp.MarketData.First().LAST,
NKD = issResp.SecurityInfo.First().NKD,
previousClose = issResp.SecurityInfo.First().PREVPRICE,
Board = md.quote.Board
};
//post quote to server
string content = JObject.FromObject(result).ToString();
HttpContent stringContent = new StringContent(content, Encoding.UTF8, "application/json");
await xClient.PostDataAsync($"{apiUrl}/Quote", stringContent);
return(result);
}).Delay(TimeSpan.FromSeconds(10)))
.Concat()
.Repeat();
restartStream
.Delay(TimeSpan.FromMinutes(10))
.Subscribe(proc =>
{
if (proc == "usaPriceUpdater")
{
usaSubscription.Dispose();
usaSubscription = null;
}
if (proc == "moscowPriceUpdater")
{
moscowSubscription.Dispose();
moscowSubscription = null;
}
activate(proc);
});
activate("usaPriceUpdater");
activate("moscowPriceUpdater");
return(Task.CompletedTask);
}
public PortfolioCost Get()
{
PortfolioCost result = new PortfolioCost();
MicexISSClient micexClient = new MicexISSClient(new CommonLib.WebApiClient());
var snap = _context.SnapshootSet.OrderByDescending(s => s.ChangeDate).First();
PortfolioSnapshoot portfolioSnapshoot = new PortfolioSnapshoot();
portfolioSnapshoot.read(snap.Data);
var ds = portfolioSnapshoot.Accounts.SelectMany(a => a.Value.PositionItems, (a, pos) =>
new
{
account = a.Key,
limit = pos.Value.Sum(p => p.Limit),
code = pos.Key
}).GroupBy(v => new { v.code }).Select(g => new
{
code = g.Key.code,
limit = g.Sum(p => p.limit)
}).ToList();
foreach (var el in ds)
{
Security security = _context.SecuritySet.Single(s => s.Code == el.code);
Quote quote = _context.QuoteSet.Single(q => q.symbol == security.Code && q.Board == security.Board);
//ISSResponse issResp = await micexClient.GetSecurityInfo(security.Market, security.Board, el.code);
decimal cost = 0m;
if (security.Market == "shares")
{
cost = quote.price * el.limit;
}
if (security.Market == "bonds")
{
cost = (quote.price / 100) *
((Bond)security).NominalPrice * el.limit +
el.limit * quote.NKD.Value;
}
if (security.Currency == "USD")
{
Quote usdrub = _context.QuoteSet.Single(q => q.symbol == "USD000UTSTOM");
cost = cost * usdrub.price;
}
result.AddItem(el.code, security.Name, el.limit, cost, security.Type);
}
result.SharesTotal = result.Items.Where(i => i.Type == "stock").Sum(s => s.Cost);
result.BondsTotal = result.Items.Where(i => i.Type == "bond").Sum(s => s.Cost);
foreach (PortfolioItem etfItem in result.Items.Where(i => i.Type == "etf"))
{
var structure = JObject.Parse(_context.ETFSet.Single(s => s.Code == etfItem.Code).Structure);
decimal bondPrc = structure.Value <decimal>("bond") + structure.Value <decimal>("gold");
decimal bondCost = etfItem.Cost * (bondPrc / 100);
decimal stockCost = etfItem.Cost * ((100 - bondPrc) / 100);
result.SharesTotal += stockCost;
result.BondsTotal += bondCost;
}
result.SharesPerc = Math.Round(result.SharesTotal / (result.SharesTotal + result.BondsTotal) * 100, 2);
result.BondsPerc = Math.Round(result.BondsTotal / (result.SharesTotal + result.BondsTotal) * 100, 2);
return(result);
}
