private IEnumerableEx <QuoteChangeMessage> GetDepths()
{
int maxDepth;
if (!int.TryParse(Depth.Text, out maxDepth))
{
maxDepth = int.MaxValue;
}
if (maxDepth <= 0)
{
maxDepth = 1;
}
var interval = TimeSpan.FromMilliseconds(DepthGenerationInterval.Value ?? 0);
switch (BuildFrom.SelectedIndex)
{
case 0:
{
var retVal = StorageRegistry
.GetQuoteMessageStorage(SelectedSecurity, Drive, StorageFormat)
.Load(From, To + TimeHelper.LessOneDay);
return(retVal
.Select(md =>
{
md.Bids = md.Bids.Take(maxDepth).ToArray();
md.Asks = md.Asks.Take(maxDepth).ToArray();
return md;
})
.WhereWithPrevious((prev, curr) => (curr.ServerTime - prev.ServerTime) >= interval)
.ToEx(retVal.Count));
}
case 1:
{
return(StorageRegistry
.GetOrderLogMessageStorage(SelectedSecurity, Drive, StorageFormat)
.Load(From + new TimeSpan(18, 45, 0), To + TimeHelper.LessOneDay + new TimeSpan(18, 45, 0))
// TODO
.ToMarketDepths(OrderLogBuilders.Plaza2.CreateBuilder(SelectedSecurity.ToSecurityId()), interval, maxDepth));
}
case 2:
{
var level1 = StorageRegistry
.GetLevel1MessageStorage(SelectedSecurity, Drive, StorageFormat)
.Load(From, To + TimeHelper.LessOneDay);
return(level1.ToOrderBooks());
}
default:
throw new InvalidOperationException();
}
}
private IEnumerableEx <CandleMessage> GetCandles()
{
var from = From.Value;
var to = To.Value.EndOfDay();
switch (BuildFrom.SelectedIndex)
{
case 0:
return(StorageRegistry
.GetCandleMessageStorage(CandleSeries.CandleType.ToCandleMessageType(), CandleSeries.Security, CandleSeries.Arg, Drive, StorageFormat)
.Load(from, to));
case 1:
return(StorageRegistry
.GetExecutionStorage(SelectedSecurity, ExecutionTypes.Tick, Drive, StorageFormat)
.Load(from, to)
.ToCandles(CandleSeries));
case 2:
return(StorageRegistry
.GetExecutionStorage(SelectedSecurity, ExecutionTypes.OrderLog, Drive, StorageFormat)
.Load(from, to)
.ToTicks()
.ToCandles(CandleSeries));
case 3:
return(StorageRegistry
.GetQuoteMessageStorage(SelectedSecurity, Drive, StorageFormat)
.Load(from, to)
.ToCandles(CandleSeries));
case 4:
return(StorageRegistry
.GetExecutionStorage(SelectedSecurity, ExecutionTypes.OrderLog, Drive, StorageFormat)
.Load(from, to)
.ToMarketDepths(OrderLogBuilders.Plaza2.CreateBuilder(SelectedSecurity.ToSecurityId()))
.ToCandles(CandleSeries));
case 5:
return(StorageRegistry
.GetCandleMessageStorage(typeof(TimeFrameCandleMessage), SelectedSecurity, TimeSpan.FromMinutes(1), Drive, StorageFormat)
.Load(from, to)
.ToTrades(SelectedSecurity.VolumeStep ?? 1m)
.ToCandles(CandleSeries));
case 6:
return(StorageRegistry
.GetLevel1MessageStorage(SelectedSecurity, Drive, StorageFormat)
.Load(from, to)
.ToTicks()
.ToCandles(CandleSeries));
default:
throw new InvalidOperationException(LocalizedStrings.Str2874Params.Put(BuildFrom.SelectedIndex));
}
}
private IEnumerableEx <QuoteChangeMessage> GetDepths()
{
int maxDepth;
if (!int.TryParse(Depth.Text, out maxDepth))
{
maxDepth = int.MaxValue;
}
if (maxDepth <= 0)
{
maxDepth = 1;
}
var interval = TimeSpan.FromMilliseconds(DepthGenerationInterval.Value ?? 0);
if (IsBuildFromOrderLog.IsChecked == true)
{
return(StorageRegistry
.GetExecutionStorage(SelectedSecurity, ExecutionTypes.OrderLog, Drive, StorageFormat)
.Load(From + new TimeSpan(18, 45, 0), To + TimeHelper.LessOneDay + new TimeSpan(18, 45, 0))
// TODO
.ToMarketDepths(OrderLogBuilders.Plaza2.CreateBuilder(SelectedSecurity.ToSecurityId()), interval, maxDepth));
}
var retVal = StorageRegistry
.GetQuoteMessageStorage(SelectedSecurity, Drive, StorageFormat)
.Load(From, To + TimeHelper.LessOneDay);
return(retVal
.Select(md =>
{
md.Bids = md.Bids.Take(maxDepth).ToArray();
md.Asks = md.Asks.Take(maxDepth).ToArray();
return md;
})
.WhereWithPrevious((prev, curr) => (curr.ServerTime - prev.ServerTime) >= interval)
.ToEx(retVal.Count));
}
private void ProcessMarketDataMessage(MarketDataMessage message)
{
var securityId = message.SecurityId;
var security = SecurityProvider.LookupById(securityId.ToStringId());
if (security == null)
{
RaiseMarketDataMessage(message, new InvalidOperationException(LocalizedStrings.Str704Params.Put(securityId)));
return;
}
if (StorageRegistry == null)
{
RaiseMarketDataMessage(message, new InvalidOperationException(LocalizedStrings.Str1117Params.Put(message.DataType, securityId)));
return;
}
var history = message as HistorySourceMessage;
Exception error = null;
switch (message.DataType)
{
case MarketDataTypes.Level1:
{
if (message.IsSubscribe)
{
if (history == null)
{
BasketStorage.AddStorage(StorageRegistry.GetLevel1MessageStorage(security, Drive, StorageFormat));
BasketStorage.AddStorage(new InMemoryMarketDataStorage <ClearingMessage>(security, null, date => new[]
{
new ClearingMessage
{
LocalTime = date.Date + security.Board.ExpiryTime,
SecurityId = securityId,
ClearMarketDepth = true
}
}));
}
else
{
BasketStorage.AddStorage(new InMemoryMarketDataStorage <Level1ChangeMessage>(security, null, history.GetMessages));
}
}
else
{
BasketStorage.RemoveStorage <IMarketDataStorage <Level1ChangeMessage> >(security, MessageTypes.Level1Change, null);
BasketStorage.RemoveStorage <InMemoryMarketDataStorage <ClearingMessage> >(security, ExtendedMessageTypes.Clearing, null);
}
break;
}
case MarketDataTypes.MarketDepth:
{
if (message.IsSubscribe)
{
BasketStorage.AddStorage(history == null
? StorageRegistry.GetQuoteMessageStorage(security, Drive, StorageFormat)
: new InMemoryMarketDataStorage <QuoteChangeMessage>(security, null, history.GetMessages));
}
else
{
BasketStorage.RemoveStorage <IMarketDataStorage <QuoteChangeMessage> >(security, MessageTypes.QuoteChange, null);
}
break;
}
case MarketDataTypes.Trades:
{
if (message.IsSubscribe)
{
BasketStorage.AddStorage(history == null
? StorageRegistry.GetTickMessageStorage(security, Drive, StorageFormat)
: new InMemoryMarketDataStorage <ExecutionMessage>(security, null, history.GetMessages));
}
else
{
BasketStorage.RemoveStorage <IMarketDataStorage <ExecutionMessage> >(security, MessageTypes.Execution, ExecutionTypes.Tick);
}
break;
}
case MarketDataTypes.OrderLog:
{
if (message.IsSubscribe)
{
BasketStorage.AddStorage(history == null
? StorageRegistry.GetOrderLogMessageStorage(security, Drive, StorageFormat)
: new InMemoryMarketDataStorage <ExecutionMessage>(security, null, history.GetMessages));
}
else
{
BasketStorage.RemoveStorage <IMarketDataStorage <ExecutionMessage> >(security, MessageTypes.Execution, ExecutionTypes.OrderLog);
}
break;
}
case MarketDataTypes.CandleTimeFrame:
case MarketDataTypes.CandleTick:
case MarketDataTypes.CandleVolume:
case MarketDataTypes.CandleRange:
case MarketDataTypes.CandlePnF:
case MarketDataTypes.CandleRenko:
{
var msgType = message.DataType.ToCandleMessageType();
if (message.IsSubscribe)
{
var candleType = message.DataType.ToCandleMessage();
BasketStorage.AddStorage(history == null
? StorageRegistry.GetCandleMessageStorage(candleType, security, message.Arg, Drive, StorageFormat)
: new InMemoryMarketDataStorage <CandleMessage>(security, message.Arg, history.GetMessages, candleType));
}
else
{
BasketStorage.RemoveStorage <IMarketDataStorage <CandleMessage> >(security, msgType, message.Arg);
}
break;
}
default:
error = new InvalidOperationException(LocalizedStrings.Str1118Params.Put(message.DataType));
break;
}
RaiseMarketDataMessage(message, error);
}
protected override TimeSpan OnProcess()
{
var hasSecurities = false;
this.AddInfoLog(LocalizedStrings.Str2306Params.Put(_settings.StartFrom));
foreach (var security in GetWorkingSecurities())
{
hasSecurities = true;
if (!CanProcess())
{
break;
}
//this.AddInfoLog("Обработка инструмента {0}. Конвертация {1}.".Put(security.Security.Id, mode));
IMarketDataStorage fromStorage;
IMarketDataStorage toStorage;
switch (_settings.ConvertMode)
{
case ConvertModes.OrderLogToTicks:
fromStorage = StorageRegistry.GetOrderLogMessageStorage(security.Security, _settings.Drive, _settings.StorageFormat);
toStorage = StorageRegistry.GetTickMessageStorage(security.Security, _settings.DestinationDrive, _settings.DestinationStorageFormat);
break;
case ConvertModes.OrderLogToDepths:
fromStorage = StorageRegistry.GetOrderLogMessageStorage(security.Security, _settings.Drive, _settings.StorageFormat);
toStorage = StorageRegistry.GetQuoteMessageStorage(security.Security, _settings.DestinationDrive, _settings.DestinationStorageFormat);
break;
case ConvertModes.OrderLogToCandles:
fromStorage = StorageRegistry.GetOrderLogMessageStorage(security.Security, _settings.Drive, _settings.StorageFormat);
toStorage = StorageRegistry.GetCandleMessageStorage(_settings.CandleSettings.CandleType.ToCandleMessageType(), security.Security, _settings.CandleSettings.Arg, _settings.DestinationDrive, _settings.DestinationStorageFormat);
break;
case ConvertModes.TicksToCandles:
fromStorage = StorageRegistry.GetTickMessageStorage(security.Security, _settings.Drive, _settings.StorageFormat);
toStorage = StorageRegistry.GetCandleMessageStorage(_settings.CandleSettings.CandleType.ToCandleMessageType(), security.Security, _settings.CandleSettings.Arg, _settings.DestinationDrive, _settings.DestinationStorageFormat);
break;
case ConvertModes.DepthsToCandles:
fromStorage = StorageRegistry.GetQuoteMessageStorage(security.Security, _settings.Drive, _settings.StorageFormat);
toStorage = StorageRegistry.GetCandleMessageStorage(_settings.CandleSettings.CandleType.ToCandleMessageType(), security.Security, _settings.CandleSettings.Arg, _settings.DestinationDrive, _settings.DestinationStorageFormat);
break;
default:
throw new ArgumentOutOfRangeException();
}
var from = fromStorage.GetFromDate();
var to = fromStorage.GetToDate();
if (from == null || to == null)
{
//this.AddInfoLog("Нет данных для конвертации.");
continue;
}
from = _settings.StartFrom.Max(from.Value);
to = (DateTime.Today - TimeSpan.FromDays(_settings.Offset)).Min(to.Value);
foreach (var date in from.Value.Range(to.Value, TimeSpan.FromDays(1)).Except(toStorage.Dates))
{
if (!CanProcess())
{
break;
}
this.AddInfoLog(LocalizedStrings.Str3786Params.Put(security.Security.Id, _settings.ConvertMode, date));
try
{
switch (_settings.ConvertMode)
{
case ConvertModes.OrderLogToTicks:
{
var ticks = ((IMarketDataStorage <ExecutionMessage>)fromStorage)
.Load(date)
.ToTicks();
toStorage.Save(ticks);
RaiseDataLoaded(security.Security, typeof(ExecutionMessage), ExecutionTypes.Tick, date, ticks.Count);
break;
}
case ConvertModes.OrderLogToDepths:
{
var depths = ((IMarketDataStorage <ExecutionMessage>)fromStorage)
.Load(date)
.ToMarketDepths(_settings.MarketDepthInterval, _settings.MarketDepthMaxDepth);
toStorage.Save(depths);
RaiseDataLoaded(security.Security, typeof(QuoteChangeMessage), null, date, depths.Count);
break;
}
case ConvertModes.OrderLogToCandles:
{
var candles = ((IMarketDataStorage <ExecutionMessage>)fromStorage)
.Load(date)
.ToTicks()
.ToCandles(new CandleSeries(_settings.CandleSettings.CandleType, security.Security, _settings.CandleSettings.Arg));
toStorage.Save(candles);
RaiseDataLoaded(security.Security, _settings.CandleSettings.CandleType, _settings.CandleSettings.Arg, date, candles.Count);
break;
}
case ConvertModes.TicksToCandles:
{
var candles = ((IMarketDataStorage <ExecutionMessage>)fromStorage)
.Load(date)
.ToCandles(new CandleSeries(_settings.CandleSettings.CandleType, security.Security, _settings.CandleSettings.Arg));
toStorage.Save(candles);
RaiseDataLoaded(security.Security, _settings.CandleSettings.CandleType, _settings.CandleSettings.Arg, date, candles.Count);
break;
}
case ConvertModes.DepthsToCandles:
{
var candles = ((IMarketDataStorage <QuoteChangeMessage>)fromStorage)
.Load(date)
.ToCandles(new CandleSeries(_settings.CandleSettings.CandleType, security.Security, _settings.CandleSettings.Arg));
toStorage.Save(candles);
RaiseDataLoaded(security.Security, _settings.CandleSettings.CandleType, _settings.CandleSettings.Arg, date, candles.Count);
break;
}
default:
throw new ArgumentOutOfRangeException();
}
}
catch (Exception ex)
{
HandleError(ex);
}
}
}
if (!hasSecurities)
{
this.AddWarningLog(LocalizedStrings.Str2292);
return(TimeSpan.MaxValue);
}
if (CanProcess())
{
this.AddInfoLog(LocalizedStrings.Str2300);
}
return(base.OnProcess());
}