public void loadTrades()
{
var dataStorage = storage.GetTradeStorage(security, null, StorageFormats.Csv);
// trades=dataStorage.Load(new DateTime(2017, 2, 13, 0, 0, 0), DateTime.Today + TimeSpan.FromMinutes(1000));
trades = dataStorage.Load(new DateTime(2017, 2, 9, 0, 0, 0), new DateTime(2017, 2, 10, 0, 0, 0));
}
static void Main()
{
// создаем тестовый инструмент
var security = new Security
{
Id = "TestId",
PriceStep = 0.1m,
Decimals = 1,
};
var trades = new List<Trade>();
// генерируем 1000 произвольных сделок
//
for (var i = 0; i < 1000; i++)
{
var t = new Trade
{
Time = DateTime.Today + TimeSpan.FromMinutes(i),
Id = i + 1,
Security = security,
Volume = RandomGen.GetInt(1, 10),
Price = RandomGen.GetInt(1, 100) * security.PriceStep ?? 1m + 99
};
trades.Add(t);
}
var storage = new StorageRegistry();
// получаем хранилище для тиковых сделок
var tradeStorage = storage.GetTradeStorage(security);
// сохраняем сделки
tradeStorage.Save(trades);
// загружаем сделки
var loadedTrades = tradeStorage.Load(DateTime.Today, DateTime.Today + TimeSpan.FromMinutes(1000));
foreach (var trade in loadedTrades)
{
Console.WriteLine(LocalizedStrings.Str2968Params, trade.Id, trade);
}
Console.ReadLine();
// удаляем сделки (очищаем файл)
tradeStorage.Delete(DateTime.Today, DateTime.Today + TimeSpan.FromMinutes(1000));
}
static void Main()
{
// создаем тестовый инструмент
var security = new Security
{
Id = "TestId",
PriceStep = 0.1m,
Decimals = 1,
};
var trades = new List <Trade>();
// генерируем 1000 произвольных сделок
//
for (var i = 0; i < 1000; i++)
{
var t = new Trade
{
Time = DateTime.Today + TimeSpan.FromMinutes(i),
Id = i + 1,
Security = security,
Volume = RandomGen.GetInt(1, 10),
Price = RandomGen.GetInt(1, 100) * security.PriceStep + 99
};
trades.Add(t);
}
var storage = new StorageRegistry();
// получаем хранилище для тиковых сделок
var tradeStorage = storage.GetTradeStorage(security);
// сохраняем сделки
tradeStorage.Save(trades);
// загружаем сделки
var loadedTrades = tradeStorage.Load(DateTime.Today, DateTime.Today + TimeSpan.FromMinutes(1000));
foreach (var trade in loadedTrades)
{
Console.WriteLine(LocalizedStrings.Str2968Params, trade.Id, trade);
}
Console.ReadLine();
// удаляем сделки (очищаем файл)
tradeStorage.Delete(DateTime.Today, DateTime.Today + TimeSpan.FromMinutes(1000));
}
static void Main(string[] args)
{
var security = new Security()
{
Id = "RIH7@FORTS", Board = ExchangeBoard.Forts
};
StorageRegistry storage = new StorageRegistry();
string path = @"../../../Data/Quik";
//Для работы будем использовать готовое локальное файловое хранилище, в которое данные были предварительно записаны при помощи Гидры.
//Создаем экземпляр LocalMarketDataDrive.
LocalMarketDataDrive drive = new LocalMarketDataDrive()
{
Path = path
};
//Передаем в StorageRegistry ссылку на локальное файловое хранилище
storage.DefaultDrive = drive;
DateTime from = new DateTime(2017, 02, 14, 10, 0, 0);
DateTime to = new DateTime(2017, 02, 15, 23, 50, 0);
// Получаем хранилище сделок для RIH7
IMarketDataStorage <Trade> tradeStorage = storage.GetTradeStorage(security);
// Загружаем сделки из хранилища
var trades = tradeStorage.Load(from, to);
// Отображаем в окне вывода информацию
foreach (var trade in trades)
{
Debug.WriteLine("{0} {1}", trade, trade.OpenInterest);
}
Console.Read();
}
/// <summary>
/// To get the storage of tick trades.
/// </summary>
/// <param name="security">Security.</param>
/// <returns>The storage of tick trades.</returns>
protected override IMarketDataStorage <Trade> GetStorage(Security security)
{
return(StorageRegistry.GetTradeStorage(security, Drive));
}
protected override TimeSpan OnProcess()
{
var source = new MfdHistorySource();
if (_settings.UseTemporaryFiles != TempFiles.NotUse)
{
source.DumpFolder = GetTempPath();
}
var allSecurity = this.GetAllSecurity();
// если фильтр по инструментам выключен (выбран инструмент все инструменты)
var selectedSecurities = (allSecurity != null ? this.ToHydraSecurities(_mfdSecurityStorage.Securities) : Settings.Securities).ToArray();
var hasNonMfd = selectedSecurities.Any(s => !IsMfd(s));
if (selectedSecurities.IsEmpty() || hasNonMfd)
{
this.AddWarningLog(selectedSecurities.IsEmpty()
? LocalizedStrings.Str2289
: LocalizedStrings.Str2290.Put("MFD"));
source.Refresh(_mfdSecurityStorage, new Security(), SaveSecurity, () => !CanProcess(false));
selectedSecurities = (allSecurity != null ? this.ToHydraSecurities(_mfdSecurityStorage.Securities) : Settings.Securities)
.Where(s =>
{
var retVal = IsMfd(s);
if (!retVal)
{
this.AddWarningLog(LocalizedStrings.Str2291Params, s.Security.Id, "MFD");
}
return(retVal);
}).ToArray();
}
if (!CanProcess())
{
return(base.OnProcess());
}
if (selectedSecurities.IsEmpty())
{
this.AddWarningLog(LocalizedStrings.Str2292);
return(TimeSpan.MaxValue);
}
var startDate = _settings.StartFrom;
var endDate = DateTime.Today - TimeSpan.FromDays(_settings.DayOffset);
var allDates = startDate.Range(endDate, TimeSpan.FromDays(1)).ToArray();
foreach (var security in selectedSecurities)
{
if (!CanProcess())
{
break;
}
#region LoadTrades
if ((allSecurity ?? security).IsTicksEnabled())
{
var storage = StorageRegistry.GetTradeStorage(security.Security, _settings.Drive, _settings.StorageFormat);
var emptyDates = allDates.Except(storage.Dates).ToArray();
if (emptyDates.IsEmpty())
{
this.AddInfoLog(LocalizedStrings.Str2293Params, security.Security.Id);
}
else
{
foreach (var emptyDate in emptyDates)
{
if (!CanProcess())
{
break;
}
if (_settings.IgnoreWeekends && !security.IsTradeDate(emptyDate))
{
this.AddDebugLog(LocalizedStrings.WeekEndDate, emptyDate);
continue;
}
try
{
this.AddInfoLog(LocalizedStrings.Str2294Params, emptyDate, security.Security.Id);
var ticks = source.GetTicks(security.Security, emptyDate, emptyDate);
if (ticks.Any())
{
SaveTicks(security, ticks);
}
else
{
this.AddDebugLog(LocalizedStrings.NoData);
}
if (_settings.UseTemporaryFiles == TempFiles.UseAndDelete)
{
File.Delete(source.GetDumpFile(security.Security, emptyDate, emptyDate, typeof(ExecutionMessage), ExecutionTypes.Tick));
}
}
catch (Exception ex)
{
HandleError(new InvalidOperationException(LocalizedStrings.Str2295Params
.Put(emptyDate, security.Security.Id), ex));
}
}
}
}
else
{
this.AddDebugLog(LocalizedStrings.MarketDataNotEnabled, security.Security.Id, typeof(Trade).Name);
}
#endregion
if (!CanProcess())
{
break;
}
#region LoadCandles
foreach (var pair in (allSecurity ?? security).GetCandleSeries())
{
if (!CanProcess())
{
break;
}
if (pair.MessageType != typeof(TimeFrameCandleMessage))
{
this.AddWarningLog(LocalizedStrings.Str2296Params, pair);
continue;
}
var tf = (TimeSpan)pair.Arg;
var storage = StorageRegistry.GetCandleMessageStorage(pair.MessageType, security.Security, tf, _settings.Drive, _settings.StorageFormat);
var emptyDates = allDates.Except(storage.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;
}
try
{
var till = currDate.AddDays(_settings.CandleDayStep - 1);
this.AddInfoLog(LocalizedStrings.Str2298Params, tf, currDate, till, security.Security.Id);
var candles = source.GetCandles(security.Security, tf, currDate, till);
if (candles.Any())
{
SaveCandles(security, candles);
}
else
{
this.AddDebugLog(LocalizedStrings.NoData);
}
if (_settings.UseTemporaryFiles == TempFiles.UseAndDelete)
{
File.Delete(source.GetDumpFile(security.Security, currDate, till, typeof(TimeFrameCandleMessage), tf));
}
}
catch (Exception ex)
{
HandleError(new InvalidOperationException(LocalizedStrings.Str2299Params
.Put(tf, currDate, security.Security.Id), ex));
}
currDate = currDate.AddDays(_settings.CandleDayStep);
}
}
#endregion
}
if (CanProcess())
{
this.AddInfoLog(LocalizedStrings.Str2300);
}
return(base.OnProcess());
}
protected override TimeSpan OnProcess()
{
var source = new RtsHistorySource
{
IsSystemOnly = _settings.IsSystemOnly,
LoadEveningSession = _settings.LoadEveningSession,
SaveRtsStdTrades = _settings.SaveRtsStdTrades,
SaveRtsStdCombinedOnly = _settings.SaveRtsStdCombinedOnly
};
if (_settings.UseTemporaryFiles != TempFiles.NotUse)
{
source.DumpFolder = GetTempPath();
}
// если фильтр по инструментам выключен (выбран инструмент все инструменты)
var allSecurity = this.GetAllSecurity();
var usdRur = GetUsdRur(source.SecurityIdGenerator.GenerateId("USD/RUR", ExchangeBoard.Forts));
var startDate = _settings.StartFrom;
var endDate = DateTime.Today - TimeSpan.FromDays(_settings.DayOffset);
var allDates = startDate.Range(endDate, TimeSpan.FromDays(1)).ToArray();
var secMap = new HashSet <Security>();
if (allSecurity == null)
{
secMap.AddRange(Settings.Securities.Select(s => s.Security));
}
foreach (var date in allDates)
{
if (!CanProcess())
{
break;
}
if (_settings.IgnoreWeekends && !ExchangeBoard.Forts.IsTradeDate(date.ApplyTimeZone(ExchangeBoard.Forts.TimeZone), true))
{
this.AddDebugLog(LocalizedStrings.WeekEndDate, date);
continue;
}
this.AddInfoLog(LocalizedStrings.Str2823Params, date);
var trades = source.LoadTicks(EntityRegistry.Securities, date);
if (trades.Count == 0)
{
this.AddDebugLog(LocalizedStrings.NoData);
}
else
{
if (allSecurity == null)
{
trades = trades.Where(p => secMap.Contains(p.Key)).ToDictionary();
}
foreach (var pair in trades)
{
SaveSecurity(pair.Key);
SaveTicks(pair.Key, pair.Value);
}
}
if (_settings.UseTemporaryFiles == TempFiles.UseAndDelete)
{
var dir = source.GetDumpFile(null, date, date, typeof(ExecutionMessage), ExecutionTypes.Tick);
if (Directory.Exists(dir))
{
Directory.Delete(dir, true);
}
}
_settings.StartFrom = date.AddDays(1);
SaveSettings();
}
if (_settings.IsDownloadUsdRate)
{
var usdRurStorage = StorageRegistry.GetTradeStorage(usdRur, _settings.Drive, _settings.StorageFormat);
foreach (var date in _settings.UsdRurStartFrom
.Range(endDate, TimeSpan.FromDays(1))
.Except(usdRurStorage.Dates))
{
if (!CanProcess())
{
break;
}
if (_settings.IgnoreWeekends && !usdRur.Board.IsTradeDate(date.ApplyTimeZone(ExchangeBoard.Forts.TimeZone), true))
{
this.AddDebugLog(LocalizedStrings.WeekEndDate, date);
continue;
}
this.AddInfoLog(LocalizedStrings.Str2294Params, date, usdRur.Id);
var rate = FortsDailyData.GetRate(usdRur, date, date.Add(TimeSpan.FromDays(1)));
if (rate.Count == 0)
{
this.AddDebugLog(LocalizedStrings.NoData);
}
else
{
SaveTicks(usdRur, rate.Select(p => new ExecutionMessage
{
SecurityId = usdRur.ToSecurityId(),
TradePrice = p.Value,
ServerTime = p.Key,
ExecutionType = ExecutionTypes.Tick
}).OrderBy(t => t.ServerTime));
}
_settings.UsdRurStartFrom = date.AddDays(1);
SaveSettings();
}
}
if (CanProcess())
{
this.AddInfoLog(LocalizedStrings.Str2300);
}
return(base.OnProcess());
}
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;
var storages = BasketStorage.InnerStorages;
Exception error = null;
switch (message.DataType)
{
case MarketDataTypes.Level1:
{
if (message.IsSubscribe)
{
if (history == null)
{
storages.Add(StorageRegistry.GetLevel1MessageStorage(security, Drive, StorageFormat));
storages.Add(new InMemoryMarketDataStorage <ClearingMessage>(security, null, date => new[]
{
new ClearingMessage
{
LocalTime = date.Date + security.Board.ExpiryTime,
SecurityId = securityId,
ClearMarketDepth = true
}
}));
}
else
{
storages.Add(new InMemoryMarketDataStorage <Level1ChangeMessage>(security, null, history.GetMessages));
}
}
else
{
RemoveStorage <IMarketDataStorage <Level1ChangeMessage> >(security, MessageTypes.Level1Change, null);
RemoveStorage <InMemoryMarketDataStorage <ClearingMessage> >(security, ExtendedMessageTypes.Clearing, null);
}
break;
}
case MarketDataTypes.MarketDepth:
{
if (message.IsSubscribe)
{
if (history == null)
{
storages.Add((IMarketDataStorage <QuoteChangeMessage>)StorageRegistry.GetMarketDepthStorage(security, Drive, StorageFormat));
}
else
{
storages.Add(new InMemoryMarketDataStorage <QuoteChangeMessage>(security, null, history.GetMessages));
}
}
else
{
RemoveStorage <IMarketDataStorage <QuoteChangeMessage> >(security, MessageTypes.QuoteChange, null);
}
break;
}
case MarketDataTypes.Trades:
{
if (message.IsSubscribe)
{
if (history == null)
{
storages.Add((IMarketDataStorage <ExecutionMessage>)StorageRegistry.GetTradeStorage(security, Drive, StorageFormat));
}
else
{
storages.Add(new InMemoryMarketDataStorage <ExecutionMessage>(security, null, history.GetMessages));
}
}
else
{
RemoveStorage <IMarketDataStorage <ExecutionMessage> >(security, MessageTypes.Execution, ExecutionTypes.Tick);
}
break;
}
case MarketDataTypes.OrderLog:
{
if (message.IsSubscribe)
{
if (history == null)
{
storages.Add((IMarketDataStorage <ExecutionMessage>)StorageRegistry.GetOrderLogStorage(security, Drive, StorageFormat));
}
else
{
storages.Add(new InMemoryMarketDataStorage <ExecutionMessage>(security, null, history.GetMessages));
}
}
else
{
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();
if (history == null)
{
storages.Add(StorageRegistry.GetCandleMessageStorage(candleType, security, message.Arg, Drive, StorageFormat));
}
else
{
storages.Add(new InMemoryMarketDataStorage <CandleMessage>(security, message.Arg, history.GetMessages, candleType));
}
}
else
{
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 allSecurity = this.GetAllSecurity();
// если фильтр по инструментам выключен (выбран инструмент все инструменты)
IEnumerable <HydraTaskSecurity> selectedSecurities = (allSecurity != null
? this.ToHydraSecurities(EntityRegistry.Securities.Filter(ExchangeBoard.Ux).Concat(EntityRegistry.Securities.Filter(ExchangeBoard.UxStock)))
: Settings.Securities
).ToArray();
var source = new UxHistorySource();
if (selectedSecurities.IsEmpty())
{
this.AddWarningLog(LocalizedStrings.Str2289);
source.Refresh(EntityRegistry.Securities, new Security(), SaveSecurity, () => !CanProcess(false));
selectedSecurities = this.ToHydraSecurities(EntityRegistry.Securities.Filter(ExchangeBoard.Ux).Concat(EntityRegistry.Securities.Filter(ExchangeBoard.UxStock)));
}
if (selectedSecurities.IsEmpty())
{
this.AddWarningLog(LocalizedStrings.Str2292);
return(TimeSpan.MaxValue);
}
var startDate = _settings.StartFrom;
var endDate = DateTime.Today - TimeSpan.FromDays(_settings.DayOffset);
var allDates = startDate.Range(endDate, TimeSpan.FromDays(1)).ToArray();
foreach (var security in selectedSecurities)
{
if (!CanProcess())
{
break;
}
#region LoadTicks
if ((allSecurity ?? security).MarketDataTypesSet.Contains(typeof(Trade)))
{
var storage = StorageRegistry.GetTradeStorage(security.Security, _settings.Drive, _settings.StorageFormat);
var emptyDates = allDates.Except(storage.Dates).ToArray();
if (emptyDates.IsEmpty())
{
this.AddInfoLog(LocalizedStrings.Str2293Params, security.Security.Id);
}
else
{
foreach (var emptyDate in emptyDates)
{
if (!CanProcess())
{
break;
}
if (_settings.IgnoreWeekends && !security.IsTradeDate(emptyDate))
{
this.AddDebugLog(LocalizedStrings.WeekEndDate, emptyDate);
continue;
}
try
{
this.AddInfoLog(LocalizedStrings.Str2294Params, emptyDate, security.Security.Id);
var trades = source.GetTrades(security.Security, emptyDate, emptyDate);
if (trades.Any())
{
SaveTrades(security, trades);
}
else
{
this.AddDebugLog(LocalizedStrings.NoData);
}
}
catch (Exception ex)
{
HandleError(new InvalidOperationException(LocalizedStrings.Str2295Params
.Put(emptyDate, security.Security.Id), ex));
}
}
}
}
else
{
this.AddDebugLog(LocalizedStrings.MarketDataNotEnabled, security.Security.Id, typeof(Trade).Name);
}
#endregion
if (!CanProcess())
{
break;
}
#region LoadCandles
foreach (var series in (allSecurity ?? security).CandleSeries)
{
if (!CanProcess())
{
break;
}
if (series.CandleType != typeof(TimeFrameCandle))
{
this.AddWarningLog(LocalizedStrings.Str2296Params, series);
continue;
}
var storage = StorageRegistry.GetCandleStorage(series.CandleType, security.Security, series.Arg, _settings.Drive, _settings.StorageFormat);
var emptyDates = allDates.Except(storage.Dates).ToArray();
if (emptyDates.IsEmpty())
{
this.AddInfoLog(LocalizedStrings.Str2297Params, series.Arg, security.Security.Id);
continue;
}
foreach (var emptyDate in emptyDates)
{
if (!CanProcess())
{
break;
}
if (_settings.IgnoreWeekends && !security.IsTradeDate(emptyDate))
{
this.AddDebugLog(LocalizedStrings.WeekEndDate, emptyDate);
continue;
}
try
{
this.AddInfoLog(LocalizedStrings.Str2298Params, series.Arg, emptyDate, security.Security.Id);
var candles = source.GetCandles(security.Security, (TimeSpan)series.Arg, emptyDate, emptyDate);
if (candles.Any())
{
SaveCandles(security, candles);
}
else
{
this.AddDebugLog(LocalizedStrings.NoData);
}
}
catch (Exception ex)
{
HandleError(new InvalidOperationException(LocalizedStrings.Str2299Params
.Put(series.Arg, emptyDate, security.Security.Id), ex));
}
}
}
#endregion
}
if (CanProcess())
{
this.AddInfoLog(LocalizedStrings.Str2300);
}
return(base.OnProcess());
}
protected override TimeSpan OnProcess()
{
var source = new FinamHistorySource();
if (_settings.UseTemporaryFiles != TempFiles.NotUse)
{
source.DumpFolder = GetTempPath();
}
var allSecurity = this.GetAllSecurity();
// если фильтр по инструментам выключен (выбран инструмент все инструменты)
var selectedSecurities = (allSecurity != null ? this.ToHydraSecurities(_finamSecurityStorage.Securities) : Settings.Securities).ToArray();
var hasNonFinam = selectedSecurities.Any(s => !IsFinam(s));
if (selectedSecurities.IsEmpty() || hasNonFinam)
{
this.AddWarningLog(selectedSecurities.IsEmpty()
? LocalizedStrings.Str2289
: LocalizedStrings.Str2290.Put("Finam"));
source.Refresh(_finamSecurityStorage, new Security(), SaveSecurity, () => !CanProcess(false));
selectedSecurities = (allSecurity != null ? this.ToHydraSecurities(_finamSecurityStorage.Securities) : Settings.Securities)
.Where(s =>
{
var retVal = IsFinam(s);
if (!retVal)
{
this.AddWarningLog(LocalizedStrings.Str2291Params, s.Security.Id, "Finam");
}
return(retVal);
}).ToArray();
}
if (!CanProcess())
{
return(base.OnProcess());
}
if (selectedSecurities.IsEmpty())
{
this.AddWarningLog(LocalizedStrings.Str2292);
return(TimeSpan.MaxValue);
}
var startDate = _settings.StartFrom;
var endDate = DateTime.Today - TimeSpan.FromDays(_settings.DayOffset);
var allDates = startDate.Range(endDate, TimeSpan.FromDays(1)).ToArray();
foreach (var security in selectedSecurities)
{
if (!CanProcess())
{
break;
}
#region LoadTrades
if ((allSecurity ?? security).MarketDataTypesSet.Contains(typeof(Trade)))
{
var storage = StorageRegistry.GetTradeStorage(security.Security, _settings.Drive, _settings.StorageFormat);
var emptyDates = allDates.Except(storage.Dates).ToArray();
if (emptyDates.IsEmpty())
{
this.AddInfoLog(LocalizedStrings.Str2293Params, security.Security.Id);
}
else
{
foreach (var emptyDate in emptyDates)
{
if (!CanProcess())
{
break;
}
if (_settings.IgnoreWeekends && !security.IsTradeDate(emptyDate))
{
this.AddDebugLog(LocalizedStrings.WeekEndDate, emptyDate);
continue;
}
try
{
this.AddInfoLog(LocalizedStrings.Str2294Params, emptyDate, security.Security.Id);
var trades = source.GetTrades(security.Security, emptyDate, emptyDate);
if (trades.Any())
{
SaveTrades(security, trades);
}
else
{
this.AddDebugLog(LocalizedStrings.NoData);
}
if (_settings.UseTemporaryFiles == TempFiles.UseAndDelete)
{
File.Delete(source.GetDumpFile(security.Security, emptyDate, emptyDate, typeof(Trade), null));
}
}
catch (Exception ex)
{
HandleError(new InvalidOperationException(LocalizedStrings.Str2295Params
.Put(emptyDate, security.Security.Id), ex));
}
}
}
}
else
{
this.AddDebugLog(LocalizedStrings.MarketDataNotEnabled, security.Security.Id, typeof(Trade).Name);
}
#endregion
if (!CanProcess())
{
break;
}
#region LoadCandles
foreach (var series in (allSecurity ?? security).CandleSeries)
{
if (!CanProcess())
{
break;
}
if (series.CandleType != typeof(TimeFrameCandle))
{
this.AddWarningLog(LocalizedStrings.Str2296Params, series);
continue;
}
var storage = StorageRegistry.GetCandleStorage(series.CandleType, security.Security, series.Arg, _settings.Drive, _settings.StorageFormat);
var emptyDates = allDates.Except(storage.Dates).ToArray();
if (emptyDates.IsEmpty())
{
this.AddInfoLog(LocalizedStrings.Str2297Params, series.Arg, security.Security.Id);
continue;
}
foreach (var emptyDate in emptyDates)
{
if (!CanProcess())
{
break;
}
if (_settings.IgnoreWeekends && !security.IsTradeDate(emptyDate))
{
this.AddDebugLog(LocalizedStrings.WeekEndDate, emptyDate);
continue;
}
try
{
this.AddInfoLog(LocalizedStrings.Str2298Params, series.Arg, emptyDate, security.Security.Id);
var candles = source.GetCandles(security.Security, (TimeSpan)series.Arg, emptyDate, emptyDate);
if (candles.Any())
{
SaveCandles(security, candles);
}
else
{
this.AddDebugLog(LocalizedStrings.NoData);
}
if (_settings.UseTemporaryFiles == TempFiles.UseAndDelete)
{
File.Delete(source.GetDumpFile(security.Security, emptyDate, emptyDate, typeof(TimeFrameCandle), series.Arg));
}
}
catch (Exception ex)
{
HandleError(new InvalidOperationException(LocalizedStrings.Str2299Params
.Put(series.Arg, emptyDate, security.Security.Id), ex));
}
}
}
#endregion
}
if (CanProcess())
{
this.AddInfoLog(LocalizedStrings.Str2300);
_settings.StartFrom = endDate;
SaveSettings();
}
return(base.OnProcess());
}
static void Main(string[] args)
{
var tradeBufferMax = 200;
var depthBufferMax = 1000;
var tradeBuffers = new Dictionary <string, List <Trade> >();
var depthBuffers = new Dictionary <string, List <MarketDepth> >();
var tradeStorages = new Dictionary <string, IMarketDataStorage <Trade> >();
var depthStorages = new Dictionary <string, IMarketDataStorage <MarketDepth> >();
List <string> securityIds = new List <string>();
StorageFormats storageFormat;
string storagePath;
var settings = XElement.Load("settings.xml");
storagePath = @settings.Element("storage-path").Value;
storageFormat = (StorageFormats)Enum.Parse(typeof(StorageFormats), settings.Element("storage-format").Value.ToUpper());
foreach (var item in settings.Element("securities").Elements())
{
var secId = item.Element("security").Value;
securityIds.Add(secId);
depthBuffers.Add(secId, new List <MarketDepth>());
tradeBuffers.Add(secId, new List <Trade>());
}
var storage = new StorageRegistry()
{
DefaultDrive = new LocalMarketDataDrive {
Path = storagePath
}
};
var connector = new QuikTrader();
// Ставим false, чтобы квик при старте не загрузил все 30 тыс инструментов
connector.RequestAllSecurities = false;
// Контролируем соединение в течение работы срочного рынка
connector.ReConnectionSettings.WorkingTime = ExchangeBoard.Forts.WorkingTime;
// Обработчик события успешного соединения
connector.Connected += () =>
{
Console.WriteLine("Соединение установлено!");
if (securityIds.Any())
{
// Запрашиваем инструменты
foreach (var id in securityIds)
{
connector.LookupSecurities(new Security()
{
Code = id.Split('@')[0], Board = ExchangeBoard.GetBoard(id.Split('@')[1])
});
}
}
else
{
Console.WriteLine("Нет инструментов для запроса!");
}
};
connector.LookupSecuritiesResult += (ex, securities) =>
{
foreach (var security in securities)
{
if (tradeStorages.ContainsKey(security.Id) || depthStorages.ContainsKey(security.Id))
{
continue;
}
// Инициализируем специализированные хранилища
tradeStorages.Add(security.Id, storage.GetTradeStorage(security, null, storageFormat));
depthStorages.Add(security.Id, storage.GetMarketDepthStorage(security, null, storageFormat));
// Региструем получение сделок
if (!connector.RegisteredTrades.Contains(security))
{
connector.RegisterTrades(security);
}
// Региструем получение стаканов
if (!connector.RegisteredMarketDepths.Contains(security))
{
connector.RegisterMarketDepth(security);
}
}
};
connector.NewTrades += trades =>
{
foreach (var trade in trades)
{
var secId = trade.Security.Id;
tradeBuffers[secId].Add(trade);
if (tradeBuffers[secId].Count >= tradeBufferMax)
{
var forsave = tradeBuffers[secId].TakeLast(tradeBufferMax);
tradeBuffers[secId] = tradeBuffers[secId].Except(forsave).ToList();
var task = Task.Factory.StartNew(() => tradeStorages[secId].Save(forsave));
}
}
};
connector.MarketDepthsChanged += depths =>
{
foreach (var depth in depths)
{
var secId = depth.Security.Id;
depthBuffers[secId].Add(depth);
if (depthBuffers[secId].Count >= depthBufferMax)
{
var forsave = depthBuffers[secId].TakeLast(depthBufferMax);
depthBuffers[secId] = depthBuffers[secId].Except(forsave).ToList();
var task = Task.Factory.StartNew(() => depthStorages[secId].Save(forsave));
}
}
};
// Обработчик события разрыва соединения
connector.Disconnected += () => Console.WriteLine("Соединение разорвано!");
// Команда соединения
connector.Connect();
Console.Read();
var ttasks = new List <Task>();
var dtasks = new List <Task>();
foreach (var security in connector.Securities)
{
// Отменяем регистрацию сделок
if (connector.RegisteredTrades.Contains(security))
{
connector.UnRegisterTrades(security);
}
// Отменяем получение стаканов
if (connector.RegisteredMarketDepths.Contains(security))
{
connector.UnRegisterMarketDepth(security);
}
// Записываем остатки данных
ttasks.Add(Task.Factory.StartNew(() => tradeStorages[security.Id].Save(tradeBuffers[security.Id])));
dtasks.Add(Task.Factory.StartNew(() => depthStorages[security.Id].Save(depthBuffers[security.Id])));
}
Console.WriteLine("Записываем остатки данных!");
// Чуток ждем
Task.WaitAll(ttasks.ToArray());
Task.WaitAll(dtasks.ToArray());
// Команда разрыва соединения
connector.Disconnect();
}
private void ProcessMarketDataMessage(MarketDataMessage message)
{
var security = _sessionHolder.SecurityProvider.LookupById(message.SecurityId.SecurityCode + "@" + message.SecurityId.BoardCode);
if (security == null)
{
RaiseMarketDataMessage(message, new InvalidOperationException(LocalizedStrings.Str704Params.Put(message.SecurityId)));
return;
}
if (TryGetGenerator(message) != null)
{
RaiseMarketDataMessage(message, null);
return;
}
if (StorageRegistry == null)
{
RaiseMarketDataMessage(message, new InvalidOperationException(LocalizedStrings.Str1117Params.Put(message.DataType, message.SecurityId)));
return;
}
Exception error = null;
switch (message.DataType)
{
case MarketDataTypes.Level1:
{
if (message.IsSubscribe)
{
_basketStorage.InnerStorages.Add(StorageRegistry.GetLevel1MessageStorage(security, Drive, StorageFormat));
_basketStorage.InnerStorages.Add(new InMemoryMarketDataStorage <ClearingMessage>(date => new[]
{
new ClearingMessage
{
LocalTime = date.Date + security.Board.ExpiryTime,
SecurityId = message.SecurityId,
ClearMarketDepth = true
}
}));
}
else
{
RemoveStorage <IMarketDataStorage <Level1ChangeMessage> >(security, MessageTypes.Level1Change, message.Arg);
RemoveStorage <InMemoryMarketDataStorage <ClearingMessage> >(security, ExtendedMessageTypes.Clearing, message.Arg);
}
break;
}
case MarketDataTypes.MarketDepth:
{
if (message.IsSubscribe)
{
_basketStorage.InnerStorages.Add((IMarketDataStorage <QuoteChangeMessage>)StorageRegistry.GetMarketDepthStorage(security, Drive, StorageFormat));
}
else
{
RemoveStorage <IMarketDataStorage <QuoteChangeMessage> >(security, MessageTypes.QuoteChange, message.Arg);
}
break;
}
case MarketDataTypes.Trades:
{
if (message.IsSubscribe)
{
_basketStorage.InnerStorages.Add((IMarketDataStorage <ExecutionMessage>)StorageRegistry.GetTradeStorage(security, Drive, StorageFormat));
}
else
{
RemoveStorage <IMarketDataStorage <ExecutionMessage> >(security, MessageTypes.Execution, message.Arg);
}
break;
}
case MarketDataTypes.OrderLog:
{
if (message.IsSubscribe)
{
//var msg = "OrderLog".ValidateLicense();
//if (msg == null)
_basketStorage.InnerStorages.Add((IMarketDataStorage <ExecutionMessage>)StorageRegistry.GetOrderLogStorage(security, Drive, StorageFormat));
//else
// SessionHolder.AddErrorLog(msg);
}
else
{
RemoveStorage <IMarketDataStorage <ExecutionMessage> >(security, MessageTypes.Execution, message.Arg);
}
break;
}
case MarketDataTypes.CandleTimeFrame:
case MarketDataTypes.CandleTick:
case MarketDataTypes.CandleVolume:
case MarketDataTypes.CandleRange:
case MarketDataTypes.CandlePnF:
case MarketDataTypes.CandleRenko:
{
Type candleMessageType;
MessageTypes msgType;
switch (message.DataType)
{
case MarketDataTypes.CandleTimeFrame:
msgType = MessageTypes.CandleTimeFrame;
candleMessageType = typeof(TimeFrameCandleMessage);
break;
case MarketDataTypes.CandleTick:
msgType = MessageTypes.CandleTick;
candleMessageType = typeof(TickCandleMessage);
break;
case MarketDataTypes.CandleVolume:
msgType = MessageTypes.CandleVolume;
candleMessageType = typeof(VolumeCandleMessage);
break;
case MarketDataTypes.CandleRange:
msgType = MessageTypes.CandleRange;
candleMessageType = typeof(RangeCandleMessage);
break;
case MarketDataTypes.CandlePnF:
msgType = MessageTypes.CandlePnF;
candleMessageType = typeof(PnFCandleMessage);
break;
case MarketDataTypes.CandleRenko:
msgType = MessageTypes.CandleRenko;
candleMessageType = typeof(RenkoCandleMessage);
break;
default:
throw new InvalidOperationException();
}
if (message.IsSubscribe)
{
_basketStorage.InnerStorages.Add(StorageRegistry.GetCandleMessageStorage(candleMessageType, security, message.Arg, Drive, StorageFormat));
}
else
{
RemoveStorage <IMarketDataStorage <CandleMessage> >(security, msgType, message.Arg);
}
break;
}
default:
error = new InvalidOperationException(LocalizedStrings.Str1118Params.Put(message.DataType));
break;
}
RaiseMarketDataMessage(message, error);
}
private void ProcessMarketDataMessage(MarketDataMessage message)
{
var generatorMessage = message as GeneratorMarketDataMessage;
if (generatorMessage != null)
{
if (generatorMessage.Generator == null)
{
throw new ArgumentException("message");
}
var tradeGen = generatorMessage.Generator as TradeGenerator;
if (tradeGen != null)
{
if (generatorMessage.IsSubscribe)
{
_tradeGenerators.Add(generatorMessage.SecurityId, tradeGen);
}
else
{
_tradeGenerators.Remove(generatorMessage.SecurityId);
}
}
else
{
var depthGen = generatorMessage.Generator as MarketDepthGenerator;
if (depthGen != null)
{
if (generatorMessage.IsSubscribe)
{
_depthGenerators.Add(generatorMessage.SecurityId, depthGen);
}
else
{
_depthGenerators.Remove(generatorMessage.SecurityId);
}
}
else
{
var olGen = generatorMessage.Generator as OrderLogGenerator;
if (olGen != null)
{
if (generatorMessage.IsSubscribe)
{
_orderLogGenerators.Add(generatorMessage.SecurityId, olGen);
}
else
{
_orderLogGenerators.Remove(generatorMessage.SecurityId);
}
}
else
{
throw new InvalidOperationException();
}
}
}
return;
}
var security = SecurityProvider.LookupById(message.SecurityId.SecurityCode + "@" + message.SecurityId.BoardCode);
if (security == null)
{
RaiseMarketDataMessage(message, new InvalidOperationException(LocalizedStrings.Str704Params.Put(message.SecurityId)));
return;
}
if (TryGetGenerator(message) != null)
{
RaiseMarketDataMessage(message, null);
return;
}
if (StorageRegistry == null)
{
RaiseMarketDataMessage(message, new InvalidOperationException(LocalizedStrings.Str1117Params.Put(message.DataType, message.SecurityId)));
return;
}
Exception error = null;
switch (message.DataType)
{
case MarketDataTypes.Level1:
{
if (message.IsSubscribe)
{
BasketStorage.InnerStorages.Add(StorageRegistry.GetLevel1MessageStorage(security, Drive, StorageFormat));
BasketStorage.InnerStorages.Add(new InMemoryMarketDataStorage <ClearingMessage>(date => new[]
{
new ClearingMessage
{
LocalTime = date.Date + security.Board.ExpiryTime,
SecurityId = message.SecurityId,
ClearMarketDepth = true
}
}));
}
else
{
RemoveStorage <IMarketDataStorage <Level1ChangeMessage> >(security, MessageTypes.Level1Change, message.Arg);
RemoveStorage <InMemoryMarketDataStorage <ClearingMessage> >(security, ExtendedMessageTypes.Clearing, message.Arg);
}
break;
}
case MarketDataTypes.MarketDepth:
{
if (message.IsSubscribe)
{
BasketStorage.InnerStorages.Add((IMarketDataStorage <QuoteChangeMessage>)StorageRegistry.GetMarketDepthStorage(security, Drive, StorageFormat));
}
else
{
RemoveStorage <IMarketDataStorage <QuoteChangeMessage> >(security, MessageTypes.QuoteChange, message.Arg);
}
break;
}
case MarketDataTypes.Trades:
{
if (message.IsSubscribe)
{
BasketStorage.InnerStorages.Add((IMarketDataStorage <ExecutionMessage>)StorageRegistry.GetTradeStorage(security, Drive, StorageFormat));
}
else
{
RemoveStorage <IMarketDataStorage <ExecutionMessage> >(security, MessageTypes.Execution, message.Arg);
}
break;
}
case MarketDataTypes.OrderLog:
{
if (message.IsSubscribe)
{
BasketStorage.InnerStorages.Add((IMarketDataStorage <ExecutionMessage>)StorageRegistry.GetOrderLogStorage(security, Drive, StorageFormat));
}
else
{
RemoveStorage <IMarketDataStorage <ExecutionMessage> >(security, MessageTypes.Execution, message.Arg);
}
break;
}
case MarketDataTypes.CandleTimeFrame:
case MarketDataTypes.CandleTick:
case MarketDataTypes.CandleVolume:
case MarketDataTypes.CandleRange:
case MarketDataTypes.CandlePnF:
case MarketDataTypes.CandleRenko:
{
Type candleMessageType;
MessageTypes msgType;
switch (message.DataType)
{
case MarketDataTypes.CandleTimeFrame:
msgType = MessageTypes.CandleTimeFrame;
candleMessageType = typeof(TimeFrameCandleMessage);
break;
case MarketDataTypes.CandleTick:
msgType = MessageTypes.CandleTick;
candleMessageType = typeof(TickCandleMessage);
break;
case MarketDataTypes.CandleVolume:
msgType = MessageTypes.CandleVolume;
candleMessageType = typeof(VolumeCandleMessage);
break;
case MarketDataTypes.CandleRange:
msgType = MessageTypes.CandleRange;
candleMessageType = typeof(RangeCandleMessage);
break;
case MarketDataTypes.CandlePnF:
msgType = MessageTypes.CandlePnF;
candleMessageType = typeof(PnFCandleMessage);
break;
case MarketDataTypes.CandleRenko:
msgType = MessageTypes.CandleRenko;
candleMessageType = typeof(RenkoCandleMessage);
break;
default:
throw new InvalidOperationException();
}
if (message.IsSubscribe)
{
BasketStorage.InnerStorages.Add(StorageRegistry.GetCandleMessageStorage(candleMessageType, security, message.Arg, Drive, StorageFormat));
}
else
{
RemoveStorage <IMarketDataStorage <CandleMessage> >(security, msgType, message.Arg);
}
break;
}
default:
error = new InvalidOperationException(LocalizedStrings.Str1118Params.Put(message.DataType));
break;
}
RaiseMarketDataMessage(message, error);
}
