private void Download_OnClick(object sender, RoutedEventArgs e)
{
var year = SelectedYear;
var from = From.Value ?? year.Days.First();
var to = (To.Value ?? year.Days.Last()).EndOfDay();
var trader = SelectedTrader;
var security = SelectedSecurity;
var tf = SelectedTimeFrame;
var series = new CandleSeries(typeof(TimeFrameCandle), security, tf);
BusyIndicator.BusyContent = "Подготовка данных...";
BusyIndicator.IsBusy = true;
Dictionary <DateTimeOffset, Tuple <MyTrade[], MyTrade> > trades = null;
var worker = new BackgroundWorker {
WorkerReportsProgress = true
};
worker.DoWork += (o, ea) =>
{
var candleStorage = _dataRegistry.GetCandleStorage(series, format: StorageFormats.Csv);
_candles = candleStorage.Load(from, to);
var candlesDatesCache = _candlesDates.SafeAdd(Tuple.Create(security, tf), k => new DatesCache(Path.Combine(((LocalMarketDataDrive)candleStorage.Drive.Drive).GetSecurityPath(security.ToSecurityId()), "{0}min_date.bin".Put((int)tf.TotalMinutes))));
var minCandleDate = candlesDatesCache.MinValue;
var maxCandleDate = candlesDatesCache.MaxValue;
if (from < minCandleDate || to > maxCandleDate)
{
var finamFrom = from;
var finamTo = to;
if (maxCandleDate != default(DateTime) && finamFrom >= minCandleDate && finamFrom <= maxCandleDate)
{
finamFrom = maxCandleDate + TimeSpan.FromDays(1);
}
if (minCandleDate != default(DateTime) && finamTo >= minCandleDate && finamTo <= maxCandleDate)
{
finamTo = minCandleDate - TimeSpan.FromDays(1);
}
if (finamTo > finamFrom)
{
worker.ReportProgress(1);
var newCandles = (tf.Ticks == 1
? finamFrom.Range(finamTo, TimeSpan.FromDays(1)).SelectMany(day => _finamHistorySource.GetTrades(security, day, day)).ToEx().ToCandles <TimeFrameCandle>(tf)
: _finamHistorySource.GetCandles(security, tf, finamFrom, finamTo)
).ToArray();
candleStorage.Save(newCandles);
foreach (var date in newCandles.Select(c => c.OpenTime.Date).Distinct())
{
candlesDatesCache.Add(date);
}
candlesDatesCache.Save();
_candles = _candles.Concat(newCandles);
}
}
var traderDrive = new LocalMarketDataDrive(trader);
var traderStorage = _traderStorages.SafeAdd(trader, key => new StorageRegistry {
DefaultDrive = traderDrive
});
var olStorage = traderStorage.GetOrderLogStorage(security, format: StorageFormats.Csv);
var tradeDatesCache = _tradesDates.SafeAdd(trader, k => new DatesCache(Path.Combine(traderDrive.Path, "dates.bin")));
trades = from
.Range(to, TimeSpan.FromDays(1))
.Intersect(year.Days)
.SelectMany(date =>
{
if (olStorage.Dates.Contains(date))
{
return(olStorage.Load(date));
}
if (tradeDatesCache.Contains(date))
{
return(Enumerable.Empty <OrderLogItem>());
}
worker.ReportProgress(2, date);
var loadedTrades = year.GetTrades(_securityStorage, trader, date);
var secTrades = Enumerable.Empty <OrderLogItem>();
foreach (var group in loadedTrades.GroupBy(t => t.Order.Security))
{
var sec = group.Key;
traderStorage
.GetOrderLogStorage(sec, format: StorageFormats.Csv)
.Save(group.OrderBy(i => i.Order.Time));
if (group.Key == security)
{
secTrades = group;
}
}
tradeDatesCache.Add(date);
tradeDatesCache.Save();
return(secTrades);
})
.GroupBy(ol =>
{
var time = ol.Order.Time;
var period = security.Board.WorkingTime.GetPeriod(time.DateTime);
if (period != null && period.Times.Length > 0)
{
var last = period.Times.Last().Max;
if (time.TimeOfDay >= last)
{
time = time.AddTicks(-1);
}
}
return(time.Truncate(tf));
})
.ToDictionary(g => g.Key, g =>
{
var candleTrades = g
.Select(order => new MyTrade
{
Order = order.Order,
Trade = order.Trade
})
.ToArray();
if (candleTrades.Length > 0)
{
var order = candleTrades[0].Order;
var volume = candleTrades.Sum(t1 => t1.Trade.Volume * (t1.Order.Direction == Sides.Buy ? 1 : -1));
if (volume == 0)
{
return(Tuple.Create(candleTrades, (MyTrade)null));
}
var side = volume > 0 ? Sides.Buy : Sides.Sell;
volume = volume.Abs();
var availableVolume = volume;
var avgPrice = 0m;
foreach (var trade in candleTrades.Where(t1 => t1.Order.Direction == side))
{
var tradeVol = trade.Trade.Volume.Min(availableVolume);
avgPrice += trade.Trade.Price * tradeVol;
availableVolume -= tradeVol;
if (availableVolume <= 0)
{
break;
}
}
avgPrice = avgPrice / volume;
return(Tuple.Create(candleTrades, new MyTrade
{
Order = new Order
{
Security = order.Security,
Direction = side,
Time = g.Key,
Portfolio = order.Portfolio,
Price = avgPrice,
Volume = volume,
},
Trade = new Trade
{
Security = order.Security,
Time = g.Key,
Volume = volume,
Price = avgPrice
}
}));
}
return(null);
});
};
worker.ProgressChanged += (o, ea) =>
{
switch (ea.ProgressPercentage)
{
case 1:
BusyIndicator.BusyContent = "Скачивание свечей...";
break;
default:
BusyIndicator.BusyContent = "Скачивание сделок за {0:yyyy-MM-dd}...".Put(ea.UserState);
break;
}
};
worker.RunWorkerCompleted += (o, ea) =>
{
BusyIndicator.IsBusy = false;
if (ea.Error == null)
{
Chart.ClearAreas();
_statisticManager.Reset();
var area = new ChartArea();
area.YAxises.Add(new ChartAxis
{
Id = "equity",
AutoRange = true,
AxisType = ChartAxisType.Numeric,
AxisAlignment = ChartAxisAlignment.Left,
});
Chart.AddArea(area);
var candlesElem = new ChartCandleElement {
ShowAxisMarker = false
};
Chart.AddElement(area, candlesElem, series);
var tradesElem = new ChartTradeElement
{
BuyStrokeColor = Colors.Black,
SellStrokeColor = Colors.Black,
FullTitle = "trades",
};
Chart.AddElement(area, tradesElem);
var equityElem = new ChartIndicatorElement {
YAxisId = "equity", FullTitle = "equity", IndicatorPainter = new PnlPainter()
};
var equityInd = new SimpleMovingAverage {
Length = 1
};
Chart.AddElement(area, equityElem);
var positionArea = new ChartArea {
Height = 200
};
Chart.AddArea(positionArea);
var positionElem = new ChartIndicatorElement {
FullTitle = "position"
};
var positionInd = new SimpleMovingAverage {
Length = 1
};
Chart.AddElement(positionArea, positionElem);
Chart.IsAutoRange = true;
var pnlQueue = new PnLQueue(security.ToSecurityId());
//var level1Info = new Level1ChangeMessage
//{
// SecurityId = pnlQueue.SecurityId,
//}
//.TryAdd(Level1Fields.PriceStep, security.PriceStep)
//.TryAdd(Level1Fields.StepPrice, security.StepPrice);
//pnlQueue.ProcessLevel1(level1Info);
var pos = 0m;
var chartValues = _candles
.Select(c =>
{
c.State = CandleStates.Finished;
pnlQueue.ProcessLevel1(new Level1ChangeMessage
{
SecurityId = security.ToSecurityId(),
}.TryAdd(Level1Fields.LastTradePrice, c.ClosePrice));
var values = new Dictionary <IChartElement, object>
{
{ candlesElem, c },
};
var candleTrade = trades.TryGetValue(c.OpenTime);
if (candleTrade != null)
{
if (candleTrade.Item2 != null)
{
values.Add(tradesElem, candleTrade.Item2);
}
foreach (var myTrade in candleTrade.Item1)
{
pos += myTrade.Order.Direction == Sides.Buy ? myTrade.Trade.Volume : -myTrade.Trade.Volume;
var pnl = pnlQueue.Process(myTrade.ToMessage());
_statisticManager.AddMyTrade(pnl);
}
_statisticManager.AddPosition(c.OpenTime, pos);
_statisticManager.AddPnL(c.OpenTime, pnlQueue.RealizedPnL + pnlQueue.UnrealizedPnL);
}
values.Add(equityElem, equityInd.Process(pnlQueue.RealizedPnL + pnlQueue.UnrealizedPnL));
values.Add(positionElem, positionInd.Process(pos));
return(new RefPair <DateTimeOffset, IDictionary <IChartElement, object> >
{
First = c.OpenTime,
Second = values
});
})
.ToArray();
Chart.Draw(chartValues);
Chart.IsAutoRange = false;
}
else
{
new MessageBoxBuilder()
.Error()
.Owner(this)
.Text(ea.Error.ToString())
.Show();
}
};
worker.RunWorkerAsync();
}
private void Download_OnClick(object sender, RoutedEventArgs e)
{
var settings = new Settings
{
Year = SelectedYear.Year,
Trader = Trader.Text,
From = From.Value,
To = To.Value,
Security1 = Security1.Text,
Security2 = Security2.Text,
Security3 = Security3.Text,
Security4 = Security4.Text,
TimeFrame = SelectedTimeFrame,
Apart = Apart.IsChecked == true,
};
CultureInfo.InvariantCulture.DoInCulture(() => new XmlSerializer <SettingsStorage>().Serialize(settings.Save(), _settingsFile));
var year = SelectedYear;
var from = From.Value ?? year.Days.First();
var to = (To.Value ?? year.Days.Last()).EndOfDay();
var trader = SelectedTrader;
var tf = SelectedTimeFrame;
var apart = Apart.IsChecked == true;
var seriesSet = _securityCtrls
.Where(pair => pair.Key.SelectedSecurity != null)
.Select(pair => Tuple.Create(new CandleSeries(typeof(TimeFrameCandle), pair.Key.SelectedSecurity, tf), pair.Value))
.ToArray();
BusyIndicator.BusyContent = "Подготовка данных...";
BusyIndicator.IsBusy = true;
_candles.Clear();
var trades = new Dictionary <Security, Dictionary <DateTimeOffset, Tuple <MyTrade[], MyTrade> > >();
var worker = new BackgroundWorker {
WorkerReportsProgress = true
};
worker.DoWork += (o, ea) =>
{
foreach (var series in seriesSet)
{
var security = series.Item1.Security;
var candleStorage = _dataRegistry.GetCandleStorage(series.Item1, format: StorageFormats.Csv);
var secCandles = _candles.SafeAdd(security);
secCandles.Clear();
secCandles.AddRange(candleStorage.Load(from, to));
var candlesDatesCache = _candlesDates.SafeAdd(Tuple.Create(security, tf), k => new DatesCache(Path.Combine(((LocalMarketDataDrive)candleStorage.Drive.Drive).GetSecurityPath(security.ToSecurityId()), "{0}min_date.bin".Put((int)tf.TotalMinutes))));
var minCandleDate = candlesDatesCache.MinValue;
var maxCandleDate = candlesDatesCache.MaxValue;
if (from >= minCandleDate && to <= maxCandleDate)
{
continue;
}
var finamFrom = from;
var finamTo = to;
if (maxCandleDate != null && finamFrom >= minCandleDate && finamFrom <= maxCandleDate)
{
finamFrom = maxCandleDate.Value + TimeSpan.FromDays(1);
}
if (minCandleDate != null && finamTo >= minCandleDate && finamTo <= maxCandleDate)
{
finamTo = minCandleDate.Value - TimeSpan.FromDays(1);
}
if (finamTo <= finamFrom)
{
continue;
}
TimeFrameCandle[] newCandles;
if (tf.Ticks == 1)
{
newCandles = finamFrom.Range(finamTo, TimeSpan.FromDays(1)).SelectMany(day =>
{
worker.ReportProgress(1, Tuple.Create(security, day));
var candles = _finamHistorySource.GetTrades(security, day, day).ToEx().ToCandles <TimeFrameCandle>(tf).ToArray();
candleStorage.Save(candles);
candlesDatesCache.Add(day);
return(candles);
}).ToArray();
}
else
{
worker.ReportProgress(1, Tuple.Create(security, finamFrom, finamTo));
newCandles = _finamHistorySource.GetCandles(security, tf, finamFrom, finamTo).ToArray();
candleStorage.Save(newCandles);
candlesDatesCache.Add(newCandles.Select(c => c.OpenTime.Date).Distinct().ToArray());
}
// TODO
secCandles.AddRange(newCandles);
}
var traderDrive = new LocalMarketDataDrive(Path.Combine(_settingsDir, trader));
var traderStorage = _traderStorages.SafeAdd(trader, key => new StorageRegistry {
DefaultDrive = traderDrive
});
foreach (var series in seriesSet)
{
var security = series.Item1.Security;
var olStorage = traderStorage.GetOrderLogStorage(security, format: StorageFormats.Csv);
var tradeDatesCache = _tradesDates.SafeAdd(trader, k => new DatesCache(Path.Combine(traderDrive.Path, "dates.xml")));
var secTrades = from
.Range(to, TimeSpan.FromDays(1))
.Intersect(year.Days)
.SelectMany(date =>
{
if (olStorage.Dates.Contains(date))
{
return(olStorage.Load(date));
}
if (tradeDatesCache.Contains(date))
{
return(Enumerable.Empty <OrderLogItem>());
}
worker.ReportProgress(2, date);
var loadedTrades = year.GetTrades(_securityStorage, trader, date);
var dateTrades = Enumerable.Empty <OrderLogItem>();
foreach (var group in loadedTrades.GroupBy(t => t.Order.Security))
{
var sec = group.Key;
traderStorage
.GetOrderLogStorage(sec, format: StorageFormats.Csv)
.Save(group.OrderBy(i => i.Order.Time));
if (group.Key == security)
{
dateTrades = group;
}
}
tradeDatesCache.Add(date);
return(dateTrades);
})
.GroupBy(ol =>
{
var time = ol.Order.Time;
var period = security.Board.WorkingTime.GetPeriod(time.ToLocalTime(security.Board.Exchange.TimeZoneInfo));
if (period != null && period.Times.Length > 0)
{
var last = period.Times.Last().Max;
if (time.TimeOfDay >= last)
{
time = time.AddTicks(-1);
}
}
if (tf == TimeSpan.FromDays(1) && period != null && period.Times.Length > 0)
{
return(new DateTimeOffset(time.Date + period.Times[0].Min, time.Offset));
}
return(time.Truncate(tf));
})
.ToDictionary(g => g.Key, g =>
{
var candleTrades = g.Select(ol => new MyTrade
{
Order = ol.Order,
Trade = ol.Trade
})
.ToArray();
if (candleTrades.Length == 0)
{
return(null);
}
var order = candleTrades[0].Order;
var volume = candleTrades.Sum(t1 => t1.Trade.Volume * (t1.Order.Direction == Sides.Buy ? 1 : -1));
if (volume == 0)
{
return(Tuple.Create(candleTrades, (MyTrade)null));
}
var side = volume > 0 ? Sides.Buy : Sides.Sell;
volume = volume.Abs();
var availableVolume = volume;
var avgPrice = 0m;
foreach (var trade in candleTrades.Where(t1 => t1.Order.Direction == side))
{
var tradeVol = trade.Trade.Volume.Min(availableVolume);
avgPrice += trade.Trade.Price * tradeVol;
availableVolume -= tradeVol;
if (availableVolume <= 0)
{
break;
}
}
avgPrice = avgPrice / volume;
return(Tuple.Create(candleTrades, new MyTrade
{
Order = new Order
{
Security = order.Security,
Direction = side,
Time = g.Key,
Portfolio = order.Portfolio,
Price = avgPrice,
Volume = volume,
},
Trade = new Trade
{
Security = order.Security,
Time = g.Key,
Volume = volume,
Price = avgPrice
}
}));
});
trades.Add(security, secTrades);
}
};
worker.ProgressChanged += (o, ea) =>
{
switch (ea.ProgressPercentage)
{
case 1:
{
if (ea.UserState is Tuple <Security, DateTime> )
{
BusyIndicator.BusyContent = "Скачивание {Item1.Id} тиков за {Item2:yyyy-MM-dd}...".PutEx(ea.UserState);
}
else
{
BusyIndicator.BusyContent = "Скачивание {Item1.Id} свечей с {Item2:yyyy-MM-dd} по {Item3:yyyy-MM-dd}...".PutEx(ea.UserState);
}
break;
}
default:
BusyIndicator.BusyContent = "Скачивание сделок за {0:yyyy-MM-dd}...".Put(ea.UserState);
break;
}
};
worker.RunWorkerCompleted += (o, ea) =>
{
BusyIndicator.IsBusy = false;
if (ea.Error == null)
{
Chart.ClearAreas();
_statisticManager.Reset();
var equityInd = new SimpleMovingAverage {
Length = 1
};
ChartIndicatorElement equityElem;
var candlesAreas = new Dictionary <CandleSeries, ChartArea>();
if (apart)
{
foreach (var series in seriesSet)
{
var area = new ChartArea {
Title = series.Item1.Security.Id
};
Chart.AddArea(area);
area.YAxises.Clear();
candlesAreas.Add(series.Item1, area);
}
var equityArea = new ChartArea {
Title = LocalizedStrings.PnL
};
Chart.AddArea(equityArea);
equityElem = new ChartIndicatorElement
{
FullTitle = LocalizedStrings.PnL,
IndicatorPainter = new PnlPainter()
};
Chart.AddElement(equityArea, equityElem);
}
else
{
var candlesArea = new ChartArea();
Chart.AddArea(candlesArea);
foreach (var tuple in seriesSet)
{
candlesAreas.Add(tuple.Item1, candlesArea);
}
const string equityYAxis = "Equity";
candlesArea.YAxises.Clear();
candlesArea.YAxises.Add(new ChartAxis
{
Id = equityYAxis,
AutoRange = true,
AxisType = ChartAxisType.Numeric,
AxisAlignment = ChartAxisAlignment.Left,
});
equityElem = new ChartIndicatorElement
{
YAxisId = equityYAxis,
FullTitle = LocalizedStrings.PnL,
IndicatorPainter = new PnlPainter()
};
Chart.AddElement(candlesArea, equityElem);
}
var positionArea = new ChartArea {
Height = 100
};
Chart.AddArea(positionArea);
positionArea.YAxises.Clear();
var chartValues = new SortedDictionary <DateTimeOffset, IDictionary <IChartElement, object> >();
var pnlValues = new Dictionary <DateTimeOffset, decimal>();
foreach (var series in seriesSet)
{
var security = series.Item1.Security;
var candleYAxis = "Candles_Y_" + security.Id;
var candlesArea = candlesAreas[series.Item1];
candlesArea.YAxises.Add(new ChartAxis
{
Id = candleYAxis,
AutoRange = true,
AxisType = ChartAxisType.Numeric,
AxisAlignment = ChartAxisAlignment.Right,
});
var candlesElem = new ChartCandleElement
{
ShowAxisMarker = false,
YAxisId = candleYAxis,
};
Chart.AddElement(candlesArea, candlesElem, series.Item1);
var tradesElem = new ChartTradeElement
{
BuyStrokeColor = Colors.Black,
SellStrokeColor = Colors.Black,
BuyColor = series.Item2.Buy,
SellColor = series.Item2.Sell,
FullTitle = LocalizedStrings.Str985 + " " + security.Id,
YAxisId = candleYAxis,
};
Chart.AddElement(candlesArea, tradesElem);
var posYAxis = "Pos_Y_" + security.Id;
positionArea.YAxises.Add(new ChartAxis
{
Id = posYAxis,
AutoRange = true,
AxisType = ChartAxisType.Numeric,
AxisAlignment = ChartAxisAlignment.Right,
});
var positionElem = new ChartIndicatorElement
{
FullTitle = LocalizedStrings.Str862 + " " + security.Id,
YAxisId = posYAxis,
Color = series.Item2.Position
};
var positionInd = new SimpleMovingAverage {
Length = 1
};
Chart.AddElement(positionArea, positionElem);
var pnlQueue = new PnLQueue(security.ToSecurityId());
//var level1Info = new Level1ChangeMessage
//{
// SecurityId = pnlQueue.SecurityId,
//}
//.TryAdd(Level1Fields.PriceStep, security.PriceStep)
//.TryAdd(Level1Fields.StepPrice, security.StepPrice);
//pnlQueue.ProcessLevel1(level1Info);
var pos = 0m;
var secTrades = trades[security];
var secValues = _candles[security]
.Select(c =>
{
if (c.State != CandleStates.Finished)
{
c.State = CandleStates.Finished;
}
pnlQueue.ProcessLevel1(new Level1ChangeMessage
{
SecurityId = security.ToSecurityId(),
}.TryAdd(Level1Fields.LastTradePrice, c.ClosePrice));
var values = new Dictionary <IChartElement, object>
{
{ candlesElem, c },
};
var candleTrade = secTrades.TryGetValue(c.OpenTime);
if (candleTrade != null)
{
if (candleTrade.Item2 != null)
{
values.Add(tradesElem, candleTrade.Item2);
}
foreach (var myTrade in candleTrade.Item1)
{
pos += myTrade.Order.Direction == Sides.Buy ? myTrade.Trade.Volume : -myTrade.Trade.Volume;
var pnl = pnlQueue.Process(myTrade.ToMessage());
_statisticManager.AddMyTrade(pnl);
}
_statisticManager.AddPosition(c.OpenTime, pos);
_statisticManager.AddPnL(c.OpenTime, pnlQueue.RealizedPnL + pnlQueue.UnrealizedPnL);
}
pnlValues[c.OpenTime] = pnlValues.TryGetValue(c.OpenTime) + (pnlQueue.RealizedPnL + pnlQueue.UnrealizedPnL);
values.Add(positionElem, positionInd.Process(pos));
return(new RefPair <DateTimeOffset, IDictionary <IChartElement, object> >
{
First = c.OpenTime,
Second = values
});
})
.ToArray();
foreach (var pair in secValues)
{
var dict = chartValues.SafeAdd(pair.First, key => new Dictionary <IChartElement, object>());
foreach (var pair2 in pair.Second)
{
dict[pair2.Key] = pair2.Value;
}
}
}
foreach (var pair in pnlValues)
{
chartValues[pair.Key].Add(equityElem, equityInd.Process(pair.Value));
}
Chart.IsAutoRange = true;
try
{
Chart.Draw(chartValues.Select(p => RefTuple.Create(p.Key, p.Value)));
}
finally
{
Chart.IsAutoRange = false;
}
}
else
{
new MessageBoxBuilder()
.Error()
.Owner(this)
.Text(ea.Error.ToString())
.Show();
}
};
worker.RunWorkerAsync();
}
