private void LoadData(string path)
{
_candle = null;
_allCandles.Clear();
Chart.Reset(new IChartElement[] { _candleElement, _activeOrdersElement });
var storage = new StorageRegistry();
var maxDays = 2;
BusyIndicator.IsBusy = true;
Task.Factory.StartNew(() =>
{
var date = DateTime.MinValue;
foreach (var tick in storage.GetTickMessageStorage(_security, new LocalMarketDataDrive(path)).Load())
{
AppendTick(_security, tick);
if (date != tick.ServerTime.Date)
{
date = tick.ServerTime.Date;
this.GuiAsync(() =>
{
BusyIndicator.BusyContent = date.ToString();
});
maxDays--;
if (maxDays == 0)
{
break;
}
}
}
})
.ContinueWith(t =>
{
if (t.Exception != null)
{
Error(t.Exception.Message);
}
this.GuiAsync(() =>
{
BusyIndicator.IsBusy = false;
Chart.IsAutoRange = false;
_area.YAxises.First().AutoRange = false;
Chart.Draw(DateTimeOffset.MinValue, _activeOrdersElement, _chartOrders);
Log($"Loaded {_allCandles.Count} candles");
});
}, TaskScheduler.FromCurrentSynchronizationContext());
}
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
.GetTickMessageStorage(SelectedSecurity, Drive, StorageFormat)
.Load(from, to)
.ToCandles(CandleSeries));
case 2:
return(StorageRegistry
.GetOrderLogMessageStorage(SelectedSecurity, 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
.GetOrderLogMessageStorage(SelectedSecurity, 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 void LoadData(string path)
{
var storage = new StorageRegistry();
var maxDays = 2;
BusyIndicator.IsBusy = true;
Task.Factory.StartNew(() =>
{
var date = DateTime.MinValue;
foreach (var tick in storage.GetTickMessageStorage(_security, new LocalMarketDataDrive(path)).Load())
{
AppendTick(tick);
_lastTime = tick.ServerTime;
if (date != tick.ServerTime.Date)
{
date = tick.ServerTime.Date;
this.GuiAsync(() =>
{
BusyIndicator.BusyContent = date.ToString();
});
maxDays--;
if (maxDays == 0)
{
break;
}
}
}
})
.ContinueWith(t =>
{
if (t.Exception != null)
{
Error(t.Exception.Message);
}
BusyIndicator.IsBusy = false;
}, TaskScheduler.FromCurrentSynchronizationContext());
}
private IEnumerableEx <ExecutionMessage> GetTrades()
{
switch (BuildFrom.SelectedIndex)
{
case 0:
{
var trades = StorageRegistry
.GetTickMessageStorage(SelectedSecurity, Drive, StorageFormat)
.Load(From, To + TimeHelper.LessOneDay);
if (IsNonSystem.IsChecked == false)
{
trades = trades.Where(t => t.IsSystem != false).ToEx(trades.Count);
}
return(trades);
}
case 1:
{
var orderLog = StorageRegistry
.GetOrderLogMessageStorage(SelectedSecurity, Drive, StorageFormat)
.Load(From, To + TimeHelper.LessOneDay);
if (IsNonSystem.IsChecked == false)
{
orderLog = orderLog.Where(i => i.IsSystem != false).ToEx(orderLog.Count);
}
return(orderLog.ToTicks());
}
case 2:
{
var level1 = StorageRegistry
.GetLevel1MessageStorage(SelectedSecurity, Drive, StorageFormat)
.Load(From, To + TimeHelper.LessOneDay);
return(level1.ToTicks());
}
default:
throw new InvalidOperationException();
}
}
protected override TimeSpan OnProcess()
{
// если фильтр по инструментам выключен (выбран инструмент все инструменты)
if (this.GetAllSecurity() != null)
{
this.AddWarningLog(LocalizedStrings.Str2549);
return(TimeSpan.MaxValue);
}
if (_settings.IsRealTime)
{
return(base.OnProcess());
}
var startDate = _settings.StartFrom;
var endDate = DateTime.Today - TimeSpan.FromDays(_settings.Offset);
var allDates = startDate.Range(endDate, TimeSpan.FromDays(1)).ToArray();
var hasSecurities = false;
foreach (var security in GetWorkingSecurities())
{
hasSecurities = true;
if (!CanProcess())
{
break;
}
if (security.MarketDataTypesSet.Contains(typeof(Level1ChangeMessage)))
{
var tradeStorage = StorageRegistry.GetTickMessageStorage(security.Security, _settings.Drive, _settings.StorageFormat);
foreach (var date in allDates.Except(tradeStorage.Dates))
{
if (!CanProcess())
{
break;
}
if (_settings.IgnoreWeekends && !security.IsTradeDate(date))
{
this.AddDebugLog(LocalizedStrings.WeekEndDate, date);
continue;
}
this.AddInfoLog(LocalizedStrings.Str2294Params, date, security.Security.Id);
bool isSuccess;
var trades = Connector.Connector.GetHistoricalLevel1(security.Security.ToSecurityId(), _settings.StartFrom, _settings.StartFrom.EndOfDay(), out isSuccess);
if (isSuccess)
{
if (trades.Any())
{
SaveLevel1Changes(security, trades);
}
else
{
this.AddDebugLog(LocalizedStrings.NoData);
}
}
else
{
this.AddErrorLog(LocalizedStrings.Str2550);
}
}
}
else
{
this.AddDebugLog(LocalizedStrings.MarketDataNotEnabled, security.Security.Id, typeof(Level1ChangeMessage).Name);
}
foreach (var series in security.CandleSeries)
{
if (!CanProcess())
{
break;
}
if (series.CandleType != typeof(TimeFrameCandle))
{
this.AddWarningLog(LocalizedStrings.Str2296Params, series);
continue;
}
var candleStorage = StorageRegistry.GetCandleMessageStorage(series.CandleType.ToCandleMessageType(), security.Security, series.Arg, _settings.Drive, _settings.StorageFormat);
foreach (var date in allDates.Except(candleStorage.Dates))
{
if (!CanProcess())
{
break;
}
if (_settings.IgnoreWeekends && !security.IsTradeDate(date))
{
this.AddDebugLog(LocalizedStrings.WeekEndDate, date);
continue;
}
this.AddInfoLog(LocalizedStrings.Str2298Params, series, date, security.Security.Id);
bool isSuccess;
var candles = Connector.Connector.GetHistoricalCandles(security.Security, series.CandleType, series.Arg, date, date.EndOfDay(), out isSuccess);
if (isSuccess)
{
if (candles.Any())
{
SaveCandles(security, candles);
}
else
{
this.AddDebugLog(LocalizedStrings.NoData);
}
}
else
{
this.AddErrorLog(LocalizedStrings.Str2550);
}
}
}
}
if (!hasSecurities)
{
this.AddWarningLog(LocalizedStrings.Str2292);
return(TimeSpan.MaxValue);
}
if (CanProcess())
{
this.AddInfoLog(LocalizedStrings.Str2300);
_settings.StartFrom = endDate;
SaveSettings();
}
return(_settings.Interval);
}
protected override TimeSpan OnProcess()
{
// если фильтр по инструментам выключен (выбран инструмент все инструменты)
if (this.GetAllSecurity() != null)
{
this.AddWarningLog(LocalizedStrings.Str2549);
return(TimeSpan.MaxValue);
}
if (_settings.IsRealTime)
{
return(base.OnProcess());
}
var startDate = _settings.StartFrom;
var endDate = DateTime.Today - TimeSpan.FromDays(_settings.Offset);
var allDates = startDate.Range(endDate, TimeSpan.FromDays(1)).ToArray();
var hasSecurities = false;
foreach (var security in GetWorkingSecurities())
{
hasSecurities = true;
if (!CanProcess())
{
break;
}
if (security.IsLevel1Enabled())
{
var tradeStorage = StorageRegistry.GetTickMessageStorage(security.Security, _settings.Drive, _settings.StorageFormat);
foreach (var date in allDates.Except(tradeStorage.Dates))
{
if (!CanProcess())
{
break;
}
if (_settings.IgnoreWeekends && !security.IsTradeDate(date))
{
this.AddDebugLog(LocalizedStrings.WeekEndDate, date);
continue;
}
this.AddInfoLog(LocalizedStrings.Str2294Params, date, security.Security.Id);
bool isSuccess;
var trades = ((BarChartTrader)Connector).GetHistoricalTicks(security.Security, _settings.StartFrom, _settings.StartFrom.EndOfDay(), out isSuccess);
if (isSuccess)
{
if (trades.Any())
{
SaveTicks(security, trades);
}
else
{
this.AddDebugLog(LocalizedStrings.NoData);
}
}
else
{
this.AddErrorLog(LocalizedStrings.Str2550);
}
}
}
else
{
this.AddDebugLog(LocalizedStrings.MarketDataNotEnabled, security.Security.Id, typeof(Level1ChangeMessage).Name);
}
foreach (var pair in security.GetCandleSeries())
{
if (!CanProcess())
{
break;
}
if (pair.MessageType != typeof(TimeFrameCandleMessage))
{
this.AddWarningLog(LocalizedStrings.Str2296Params, pair);
continue;
}
var tf = (TimeSpan)pair.Arg;
var candleStorage = StorageRegistry.GetCandleMessageStorage(pair.MessageType, security.Security, tf, _settings.Drive, _settings.StorageFormat);
var emptyDates = allDates.Except(candleStorage.Dates).ToArray();
if (emptyDates.IsEmpty())
{
this.AddInfoLog(LocalizedStrings.Str2297Params, tf, security.Security.Id);
continue;
}
var currDate = emptyDates.First();
var lastDate = emptyDates.Last();
while (currDate <= lastDate)
{
if (!CanProcess())
{
break;
}
if (_settings.IgnoreWeekends && !security.IsTradeDate(currDate))
{
this.AddDebugLog(LocalizedStrings.WeekEndDate, currDate);
currDate = currDate.AddDays(1);
continue;
}
var till = currDate.AddDays(_settings.CandleDayStep - 1).EndOfDay();
this.AddInfoLog(LocalizedStrings.Str2298Params, pair, currDate, till, security.Security.Id);
bool isSuccess;
var candles = ((BarChartTrader)Connector).GetHistoricalCandles(security.Security, pair.MessageType, tf, currDate, till, out isSuccess);
if (isSuccess)
{
if (candles.Any())
{
SaveCandles(security, candles);
}
else
{
this.AddDebugLog(LocalizedStrings.NoData);
}
}
else
{
this.AddErrorLog(LocalizedStrings.Str2550);
}
currDate = currDate.AddDays(_settings.CandleDayStep);
}
}
}
if (!hasSecurities)
{
this.AddWarningLog(LocalizedStrings.Str2292);
return(TimeSpan.MaxValue);
}
if (CanProcess())
{
this.AddInfoLog(LocalizedStrings.Str2300);
_settings.StartFrom = endDate;
SaveSettings();
}
return(_settings.Interval);
}
private void LoadData(CandleSeries series)
{
var msgType = series.CandleType.ToCandleMessageType();
_transactionId = _transactionIdGenerator.GetNextId();
_holder.Clear();
_holder.CreateCandleSeries(_transactionId, series);
_candleTransform.Process(new ResetMessage());
_candleBuilder = _builderProvider.Get(msgType.ToCandleMarketDataType());
var storage = new StorageRegistry();
BusyIndicator.IsBusy = true;
var path = HistoryPath.Folder;
var isBuild = BuildFromTicks.IsChecked == true;
var format = Format.SelectedFormat;
var maxDays = (isBuild || series.CandleType != typeof(TimeFrameCandle))
? 2
: 30 * (int)((TimeSpan)series.Arg).TotalMinutes;
_mdMsg = series.ToMarketDataMessage(true);
Task.Factory.StartNew(() =>
{
var date = DateTime.MinValue;
if (isBuild)
{
foreach (var tick in storage.GetTickMessageStorage(series.Security, new LocalMarketDataDrive(path), format).Load())
{
_tradeGenerator.Process(tick);
if (_candleTransform.Process(tick))
{
var candles = _candleBuilder.Process(_mdMsg, _currCandle, _candleTransform);
foreach (var candle in candles)
{
_currCandle = candle;
_updatedCandles.Add((CandleMessage)candle.Clone());
}
}
_lastTime = tick.ServerTime;
if (date != tick.ServerTime.Date)
{
date = tick.ServerTime.Date;
var str = date.To <string>();
this.GuiAsync(() => BusyIndicator.BusyContent = str);
maxDays--;
if (maxDays == 0)
{
break;
}
}
}
}
else
{
foreach (var candleMsg in storage.GetCandleMessageStorage(msgType, series.Security, series.Arg, new LocalMarketDataDrive(path), format).Load())
{
if (candleMsg.State != CandleStates.Finished)
{
candleMsg.State = CandleStates.Finished;
}
_currCandle = candleMsg;
_updatedCandles.Add(candleMsg);
_lastTime = candleMsg.OpenTime;
if (candleMsg is TimeFrameCandleMessage)
{
_lastTime += (TimeSpan)series.Arg;
}
_tradeGenerator.Process(new ExecutionMessage
{
ExecutionType = ExecutionTypes.Tick,
SecurityId = series.Security.ToSecurityId(),
ServerTime = _lastTime,
TradePrice = candleMsg.ClosePrice,
});
if (date != candleMsg.OpenTime.Date)
{
date = candleMsg.OpenTime.Date;
var str = date.To <string>();
this.GuiAsync(() => BusyIndicator.BusyContent = str);
maxDays--;
if (maxDays == 0)
{
break;
}
}
}
}
_historyLoaded = true;
})
.ContinueWith(t =>
{
if (t.Exception != null)
{
Error(t.Exception.Message);
}
BusyIndicator.IsBusy = false;
Chart.IsAutoRange = false;
ModifyAnnotationBtn.IsEnabled = true;
NewAnnotationBtn.IsEnabled = true;
}, TaskScheduler.FromCurrentSynchronizationContext());
}
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);
}
private void LoadData(Security security)
{
_candle = null;
_lastPrice = 0m;
_allCandles.Clear();
Chart.Reset(new IChartElement[] { _candleElement });
var storage = new StorageRegistry();
BusyIndicator.IsBusy = true;
var path = HistoryPath.Folder;
var isBuild = BuildFromTicks.IsChecked == true;
var format = Format.SelectedFormat;
var maxDays = isBuild ? 2 : 30 * (int)_timeframe.TotalMinutes;
Task.Factory.StartNew(() =>
{
var date = DateTime.MinValue;
if (isBuild)
{
foreach (var tick in storage.GetTickMessageStorage(security, new LocalMarketDataDrive(path), format).Load())
{
AppendTick(security, tick);
_lastTime = tick.ServerTime;
if (date != tick.ServerTime.Date)
{
date = tick.ServerTime.Date;
var str = date.To <string>();
this.GuiAsync(() => BusyIndicator.BusyContent = str);
maxDays--;
if (maxDays == 0)
{
break;
}
}
}
}
else
{
foreach (var candle in storage.GetCandleStorage(typeof(TimeFrameCandle), security, _timeframe, new LocalMarketDataDrive(path), format).Load())
{
lock (_updatedCandles.SyncRoot)
_updatedCandles[candle.OpenTime] = _candle = (TimeFrameCandle)candle;
_lastTime = candle.OpenTime + _timeframe;
_lastPrice = _candle.ClosePrice;
_tradeGenerator.Process(new ExecutionMessage
{
ExecutionType = ExecutionTypes.Tick,
SecurityId = security.ToSecurityId(),
ServerTime = _lastTime,
TradePrice = _lastPrice,
});
if (date != candle.OpenTime.Date)
{
date = candle.OpenTime.Date;
var str = date.To <string>();
this.GuiAsync(() => BusyIndicator.BusyContent = str);
maxDays--;
if (maxDays == 0)
{
break;
}
}
}
}
})
.ContinueWith(t =>
{
if (t.Exception != null)
{
Error(t.Exception.Message);
}
this.GuiAsync(() =>
{
BusyIndicator.IsBusy = false;
Chart.IsAutoRange = false;
//_areaComb.YAxises.First().AutoRange = false;
});
}, TaskScheduler.FromCurrentSynchronizationContext());
}
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());
}
private void LoadData()
{
_lastPrice = 0m;
_candles.Clear();
var id = _securityId.ToSecurityId();
_security = new Security
{
Id = _securityId,
PriceStep = _priceStep,
Board = _exchangeInfoProvider.GetExchangeBoard(id.BoardCode) ?? ExchangeBoard.Associated
};
Chart.Reset(new IChartElement[] { _candleElement });
var storage = new StorageRegistry();
var maxDays = 50;
//BusyIndicator.IsBusy = true;
var path = _historyPath;
_curCandleNum = 0;
Task.Factory.StartNew(() =>
{
var date = DateTime.MinValue;
foreach (var tick in storage.GetTickMessageStorage(_security, new LocalMarketDataDrive(path)).Load())
{
if (date != tick.ServerTime.Date)
{
date = tick.ServerTime.Date;
//var str = $"Loading ticks for {date:dd MMM yyyy}...";
//this.GuiAsync(() => BusyIndicator.BusyContent = str);
if (--maxDays == 0)
{
break;
}
}
AppendTick(tick);
}
})
.ContinueWith(t =>
{
//this.GuiAsync(() => BusyIndicator.IsBusy = false);
for (var i = 0; i < _candles.Count; i += _candlesPacketSize)
{
var data = new ChartDrawData();
var candles = _candles.GetRange(i, Math.Min(_candlesPacketSize, _candles.Count - i)).Select(c => c.ToCandle(_tfSpan, _security));
foreach (var candle in candles)
{
candle.State = CandleStates.Finished;
var group = data.Group(candle.OpenTime);
group.Add(_candleElement, candle);
if (_indicatorElement != null)
{
group.Add(_indicatorElement, _indicator.Process((double)candle.ClosePrice));
}
}
Chart.Draw(data);
}
})
.ContinueWith(t =>
{
if (t.Exception != null)
{
Error(t.Exception.Message);
}
_dataIsLoaded = true;
//this.GuiAsync(() => BusyIndicator.IsBusy = false);
Chart.IsAutoRange = false;
//_area.YAxises.FirstOrDefault().Do(a => a.AutoRange = false);
}, TaskScheduler.FromCurrentSynchronizationContext());
}
private void LoadData()
{
_candle = null;
_lastPrice = 0m;
_allCandles.Clear();
var id = new SecurityIdGenerator().Split(SecurityId.Text);
_security = new Security
{
Id = SecurityId.Text,
PriceStep = _priceStep,
Board = _exchangeInfoProvider.GetExchangeBoard(id.BoardCode)
};
Chart.Reset(new IChartElement[] { _candleElement1 });
var storage = new StorageRegistry();
var maxDays = 2;
BusyIndicator.IsBusy = true;
var path = HistoryPath.Folder;
Task.Factory.StartNew(() =>
{
var date = DateTime.MinValue;
foreach (var tick in storage.GetTickMessageStorage(_security, new LocalMarketDataDrive(path)).Load())
{
AppendTick(_security, tick);
_lastTime = tick.ServerTime;
if (date != tick.ServerTime.Date)
{
date = tick.ServerTime.Date;
var str = date.To <string>();
this.GuiAsync(() => BusyIndicator.BusyContent = str);
maxDays--;
if (maxDays == 0)
{
break;
}
}
}
})
.ContinueWith(t =>
{
if (t.Exception != null)
{
Error(t.Exception.Message);
}
this.GuiAsync(() =>
{
BusyIndicator.IsBusy = false;
Chart.IsAutoRange = false;
_areaComb.YAxises.First().AutoRange = false;
});
}, TaskScheduler.FromCurrentSynchronizationContext());
}
private void LoadData()
{
_lastPrice = 0m;
_candles.Clear();
var id = new SecurityIdGenerator().Split(SecurityId);
_security = new Security
{
Id = SecurityId,
PriceStep = PriceStep,
Board = ExchangeBoard.GetBoard(id.BoardCode)
};
Chart.Reset(new IChartElement[] { _candleElement });
var storage = new StorageRegistry();
var maxDays = 1;
BusyIndicator.IsBusy = true;
var path = HistoryPath;
_curCandleNum = 0;
Task.Factory.StartNew(() =>
{
var date = DateTime.MinValue;
foreach (var tick in storage.GetTickMessageStorage(_security, new LocalMarketDataDrive(path)).Load())
{
if (date != tick.ServerTime.Date)
{
date = tick.ServerTime.Date;
this.GuiAsync(() => BusyIndicator.BusyContent = $"Loading ticks for {date:dd MMM yyyy}...");
if (maxDays-- == 0)
{
break;
}
}
AppendTick(tick);
}
})
.ContinueWith(t =>
{
this.GuiAsync(() => BusyIndicator.IsBusy = false);
for (var i = 0; i < _candles.Count; i += CandlesPacketSize)
{
var candles = _candles.GetRange(i, Math.Min(CandlesPacketSize, _candles.Count - i)).Select(c => c.ToCandle(TFSpan));
Chart.Draw(candles.Select(c =>
{
c.State = CandleStates.Finished;
var dict = (IDictionary <IChartElement, object>) new Dictionary <IChartElement, object>
{
{ _candleElement, c }
};
if (_indicatorElement != null)
{
dict.Add(_indicatorElement, _indicator.Process((double)c.ClosePrice));
}
if (_tradeElement != null && _curCandleNum++ % TradeEveryNCandles == 0)
{
dict.Add(_tradeElement, new MyTrade
{
Trade = new Trade
{
Security = _security,
Volume = 1,
Price = c.LowPrice,
OrderDirection = Sides.Buy,
Time = c.OpenTime
},
Order = new Order {
Security = _security, Direction = Sides.Buy
}
});
}
return(RefTuple.Create(c.OpenTime, dict));
}).ToArray());
}
})
.ContinueWith(t =>
{
if (t.Exception != null)
{
Error(t.Exception.Message);
}
_dataIsLoaded = true;
this.GuiAsync(() => BusyIndicator.IsBusy = false);
Chart.IsAutoRange = false;
//_area.YAxises.FirstOrDefault().Do(a => a.AutoRange = false);
}, TaskScheduler.FromCurrentSynchronizationContext());
}
private void LoadData(string path)
{
var storage = new StorageRegistry();
var maxDays = 2;
BusyIndicator.IsBusy = true;
Task.Factory.StartNew(() =>
{
var date = DateTime.MinValue;
foreach (var tick in storage.GetTickMessageStorage(_security, new LocalMarketDataDrive(path)).Load())
{
AppendTick(tick.ServerTime, tick.TradePrice.Value, tick.Volume.Value);
_lastTime = tick.ServerTime;
if (date != tick.ServerTime.Date)
{
date = tick.ServerTime.Date;
this.GuiAsync(() =>
{
BusyIndicator.BusyContent = date.ToString();
});
maxDays--;
if (maxDays == 0)
break;
}
}
})
.ContinueWith(t =>
{
if (t.Exception != null)
Error(t.Exception.Message);
BusyIndicator.IsBusy = false;
}, TaskScheduler.FromCurrentSynchronizationContext());
}
private void LoadData()
{
_candle = null;
_lastPrice = 0m;
_allCandles.Clear();
var id = new SecurityIdGenerator().Split(SecurityId.Text);
_security = new Security
{
Id = SecurityId.Text,
PriceStep = 5,
Board = ExchangeBoard.GetBoard(id.BoardCode)
};
Chart.Reset(new IChartElement[] { _candleElement1 });
var storage = new StorageRegistry();
var maxDays = 2;
BusyIndicator.IsBusy = true;
var path = HistoryPath.Folder;
Task.Factory.StartNew(() =>
{
var date = DateTime.MinValue;
foreach (var tick in storage.GetTickMessageStorage(_security, new LocalMarketDataDrive(path)).Load())
{
AppendTick(_security, tick);
_lastTime = tick.ServerTime;
if (date != tick.ServerTime.Date)
{
date = tick.ServerTime.Date;
this.GuiAsync(() =>
{
BusyIndicator.BusyContent = date.ToString();
});
maxDays--;
if (maxDays == 0)
break;
}
}
})
.ContinueWith(t =>
{
if (t.Exception != null)
Error(t.Exception.Message);
BusyIndicator.IsBusy = false;
}, TaskScheduler.FromCurrentSynchronizationContext());
}
private void LoadData(CandleSeries series)
{
_currCandle = null;
_historyLoaded = false;
_allCandles.Clear();
_candleTransform.Process(new ResetMessage());
_candleBuilder = series.CandleType.ToCandleMessageType().ToCandleMarketDataType().CreateCandleBuilder();
Chart.Reset(new IChartElement[] { _candleElement });
var storage = new StorageRegistry();
BusyIndicator.IsBusy = true;
var path = HistoryPath.Folder;
var isBuild = BuildFromTicks.IsChecked == true;
var format = Format.SelectedFormat;
var maxDays = (isBuild || series.CandleType != typeof(TimeFrameCandle))
? 5
: 30 * (int)((TimeSpan)series.Arg).TotalMinutes;
_mdMsg = series.ToMarketDataMessage(true);
Task.Factory.StartNew(() =>
{
var date = DateTime.MinValue;
if (isBuild)
{
foreach (var tick in storage.GetTickMessageStorage(series.Security, new LocalMarketDataDrive(path), format).Load())
{
_tradeGenerator.Process(tick);
if (_candleTransform.Process(tick))
{
var candles = _candleBuilder.Process(_mdMsg, _currCandle, _candleTransform);
lock (_lock)
{
foreach (var candle in candles)
{
_currCandle = candle;
_updatedCandles[candle.OpenTime] = Tuple.Create(candle, candle.State == CandleStates.Finished);
}
}
}
_lastTime = tick.ServerTime;
if (date != tick.ServerTime.Date)
{
date = tick.ServerTime.Date;
var str = date.To <string>();
this.GuiAsync(() => BusyIndicator.BusyContent = str);
maxDays--;
if (maxDays == 0)
{
break;
}
}
}
}
else
{
foreach (var candleMsg in storage.GetCandleMessageStorage(series.CandleType.ToCandleMessageType(), series.Security, series.Arg, new LocalMarketDataDrive(path), format).Load())
{
lock (_updatedCandles.SyncRoot)
{
_currCandle = candleMsg;
_updatedCandles[candleMsg.OpenTime] = Tuple.Create(candleMsg, true);
}
_lastTime = candleMsg.OpenTime;
if (candleMsg is TimeFrameCandleMessage)
{
_lastTime += (TimeSpan)series.Arg;
}
_tradeGenerator.Process(new ExecutionMessage
{
ExecutionType = ExecutionTypes.Tick,
SecurityId = series.Security.ToSecurityId(),
ServerTime = _lastTime,
TradePrice = candleMsg.ClosePrice,
});
if (date != candleMsg.OpenTime.Date)
{
date = candleMsg.OpenTime.Date;
var str = date.To <string>();
this.GuiAsync(() => BusyIndicator.BusyContent = str);
maxDays--;
if (maxDays == 0)
{
break;
}
}
}
}
_historyLoaded = true;
})
.ContinueWith(t =>
{
if (t.Exception != null)
{
Error(t.Exception.Message);
}
this.GuiAsync(() =>
{
BusyIndicator.IsBusy = false;
Chart.IsAutoRange = false;
//_areaComb.YAxises.First().AutoRange = false;
});
}, TaskScheduler.FromCurrentSynchronizationContext());
}
