/// <summary>
/// To get the file name by the type of data.
/// </summary>
/// <param name="dataType">Data type.</param>
/// <param name="arg">The parameter associated with the <paramref name="dataType" /> type. For example, <see cref="CandleMessage.Arg"/>.</param>
/// <returns>The file name.</returns>
public static string GetFileName(Type dataType, object arg)
{
if (dataType == null)
{
throw new ArgumentNullException("dataType");
}
if (dataType.IsSubclassOf(typeof(CandleMessage)))
{
return("candles_{0}_{1}".Put(dataType.Name.Replace("Message", string.Empty), TraderHelper.CandleArgToFolderName(arg)));
}
else
{
if (arg != null && arg.Equals(ExecutionTypes.Trade))
{
arg = ExecutionTypes.Order;
}
var fileName = _fileNames.TryGetValue(Tuple.Create(dataType, arg));
if (fileName == null)
{
throw new NotSupportedException(LocalizedStrings.Str2872Params.Put(dataType.FullName));
}
return(fileName);
}
}
//private void CandleManagerStopped(CandleSeries series)
//{
// if (series == this)
// Stopped.SafeInvoke();
//}
//private void CandleManagerProcessing(CandleSeries series, Candle candle)
//{
// if (series == this)
// ProcessCandle.SafeInvoke(candle);
//}
///// <summary>
///// Release resources.
///// </summary>
//protected override void DisposeManaged()
//{
// base.DisposeManaged();
// if (CandleManager != null)
// CandleManager.Stop(this);
//}
/// <summary>
/// Returns a string that represents the current object.
/// </summary>
/// <returns>A string that represents the current object.</returns>
public override string ToString()
{
return(CandleType.Name + "_" + Security + "_" + TraderHelper.CandleArgToFolderName(Arg));
}
/// <summary>
/// To get the file name by the type of data.
/// </summary>
/// <param name="dataType">Data type.</param>
/// <param name="arg">The parameter associated with the <paramref name="dataType" /> type. For example, <see cref="CandleMessage.Arg"/>.</param>
/// <returns>The file name.</returns>
public static string GetFileName(Type dataType, object arg)
{
if (dataType == null)
{
throw new ArgumentNullException(nameof(dataType));
}
if (dataType.IsCandleMessage())
{
return("candles_{0}_{1}".Put(dataType.Name.Replace("Message", string.Empty), TraderHelper.CandleArgToFolderName(arg)));
}
else
{
var fileName = _fileNames.TryGetValue(DataType.Create(dataType, arg));
if (fileName == null)
{
throw new NotSupportedException(LocalizedStrings.Str2872Params.Put(dataType.FullName));
}
return(fileName);
}
}
/// <summary>
/// Получить название файла по типу данных.
/// </summary>
/// <param name="dataType">Тип маркет-данных.</param>
/// <param name="arg">Параметр, ассоциированный с типом <paramref name="dataType"/>. Например, <see cref="CandleMessage.Arg"/>.</param>
/// <returns>Название файла.</returns>
public static string CreateFileName(Type dataType, object arg)
{
if (dataType == null)
{
throw new ArgumentNullException("dataType");
}
if (dataType == typeof(ExecutionMessage))
{
switch ((ExecutionTypes)arg)
{
case ExecutionTypes.Tick:
return("trades");
case ExecutionTypes.Order:
case ExecutionTypes.Trade:
return("execution");
case ExecutionTypes.OrderLog:
return("orderLog");
default:
throw new ArgumentOutOfRangeException();
}
}
else if (dataType == typeof(QuoteChangeMessage))
{
return("quotes");
}
else if (dataType == typeof(Level1ChangeMessage))
{
return("security");
}
else if (dataType == typeof(NewsMessage))
{
return("news");
}
else if (dataType.IsSubclassOf(typeof(CandleMessage)))
{
return("candles_{0}_{1}".Put(dataType.Name.Replace("Message", string.Empty), TraderHelper.CandleArgToFolderName(arg)));
}
else
{
throw new NotSupportedException(LocalizedStrings.Str2872Params.Put(dataType.FullName));
}
}
/// <summary>
/// To get the file name by the type of data.
/// </summary>
/// <param name="dataType">Data type.</param>
/// <param name="arg">The parameter associated with the <paramref name="dataType" /> type. For example, <see cref="CandleMessage.Arg"/>.</param>
/// <param name="format">Storage format. If set an extension will be added to the file name.</param>
/// <returns>The file name.</returns>
public static string GetFileName(Type dataType, object arg, StorageFormats?format = null)
{
if (dataType == null)
{
throw new ArgumentNullException(nameof(dataType));
}
string fileName;
if (dataType.IsCandleMessage())
{
fileName = "candles_{0}_{1}".Put(dataType.Name.Remove(nameof(Message)), TraderHelper.CandleArgToFolderName(arg));
}
else
{
fileName = _fileNames.TryGetValue(DataType.Create(dataType, arg));
if (fileName == null)
{
throw new NotSupportedException(LocalizedStrings.Str2872Params.Put(dataType.FullName));
}
}
if (format != null)
{
fileName += GetExtension(format.Value);
}
return(fileName);
}
/// <summary>
/// Send message.
/// </summary>
/// <param name="message">Message.</param>
protected override void OnSendInMessage(Message message)
{
switch (message.Type)
{
case MessageTypes.Reset:
{
if (_client != null)
{
DisposeClient();
}
try
{
Connection.Close();
Connection.ClearCache();
}
catch (Exception ex)
{
SendOutError(ex);
}
Connection.StatusChange -= ConnectionOnStatusChange;
SendOutMessage(new ResetMessage());
break;
}
case MessageTypes.Connect:
{
if (_client != null)
{
throw new InvalidOperationException(LocalizedStrings.Str3378);
}
var doc = XDocument.Load("http://www.ddfplus.com/getusersettings.php?username={0}&password={1}".Put(Login, Password.To <string>()));
var loginElem = doc.Element("usersettings").Elements("login").First();
if (loginElem.GetAttributeValue <string>("status") != "ok")
{
throw new InvalidOperationException(LocalizedStrings.UnknownServerError);
}
if (loginElem.GetAttributeValue <string>("credentials") != "ok")
{
throw new InvalidOperationException(LocalizedStrings.Str3350);
}
foreach (var elem in doc.Element("usersettings").Element("servers").Elements())
{
switch (elem.GetAttributeValue <string>("type"))
{
case "stream":
_streamAddress = elem.GetAttributeValue <string>("primary");
break;
case "historicalv2":
_historicalAddress = elem.GetAttributeValue <string>("primary");
break;
case "extras":
_extrasAddress = elem.GetAttributeValue <string>("primary");
break;
case "news":
_newsAddress = elem.GetAttributeValue <string>("primary");
break;
}
}
SendOutMessage(new ConnectMessage());
Connection.StatusChange += ConnectionOnStatusChange;
Connection.Properties["streamingversion"] = "3";
_client = new Client();
_client.Error += ClientOnError;
_client.NewBookQuote += ClientOnNewBookQuote;
_client.NewOHLCQuote += ClientOnNewOhlcQuote;
_client.NewQuote += ClientOnNewQuote;
Connection.Username = Login;
Connection.Password = Password.To <string>();
Connection.Mode = ConnectionMode.TCPClient;
break;
}
case MessageTypes.Disconnect:
{
if (_client == null)
{
throw new InvalidOperationException(LocalizedStrings.Str1856);
}
DisposeClient();
Connection.Close();
break;
}
case MessageTypes.SecurityLookup:
{
var lookupMsg = (SecurityLookupMessage)message;
XDocument doc = null;
if (!lookupMsg.SecurityId.SecurityCode.IsEmpty())
{
doc = XDocument.Load("{0}/instruments/?lookup={1}".Put(_extrasAddress, lookupMsg.SecurityId.SecurityCode));
}
else if (!lookupMsg.SecurityId.BoardCode.IsEmpty())
{
doc = XDocument.Load("{0}/instruments/?exchange={1}".Put(_extrasAddress, lookupMsg.SecurityId.BoardCode));
}
if (doc != null)
{
foreach (var element in doc.Element("instruments").Elements())
{
SendOutMessage(new SecurityMessage
{
SecurityId = new SecurityId
{
SecurityCode = element.GetAttributeValue <string>("guid"),
BoardCode = element.GetAttributeValue <string>("exchange"),
},
Name = element.GetAttributeValue <string>("symbol_description"),
OriginalTransactionId = lookupMsg.TransactionId,
SecurityType = TraderHelper.FromIso10962(element.GetAttributeValue <string>("symbol_cfi")),
PriceStep = element.GetAttributeValue <decimal?>("tick_increment"),
Multiplier = element.GetAttributeValue <decimal?>("point_value"),
Currency = element.GetAttributeValue <CurrencyTypes?>("currency")
});
}
}
SendOutMessage(new SecurityLookupResultMessage
{
OriginalTransactionId = lookupMsg.TransactionId,
});
break;
}
case MessageTypes.MarketData:
{
var mdMsg = (MarketDataMessage)message;
switch (mdMsg.DataType)
{
case MarketDataTypes.Level1:
break;
case MarketDataTypes.MarketDepth:
break;
case MarketDataTypes.Trades:
{
if (mdMsg.Count != null || mdMsg.From != null || mdMsg.To != null)
{
var url = new Url("{0}/queryticks.ashx".Put(_historicalAddress));
url.QueryString
.Append("username", Login)
.Append("password", Password.To <string>())
.Append("symbol", mdMsg.SecurityId.SecurityCode)
.Append("order", "asc");
if (mdMsg.Count != null)
{
url.QueryString.Append("maxrecords", mdMsg.Count.Value);
}
if (mdMsg.From != null)
{
url.QueryString.Append("start", mdMsg.From.Value.FromDateTimeOffset(_defaultTimeFormatRequest));
}
if (mdMsg.To != null)
{
url.QueryString.Append("end", mdMsg.To.Value.FromDateTimeOffset(_defaultTimeFormatRequest));
}
using (var client = new WebClient())
{
var lines = client.DownloadString(url)
.Split("\n")
.Where(l => l != "\r")
.ToArray();
var i = 0;
foreach (var line in lines)
{
var columns = line.Split(',');
try
{
var msg = new ExecutionMessage
{
SecurityId = mdMsg.SecurityId,
OriginalTransactionId = mdMsg.TransactionId,
ExecutionType = ExecutionTypes.Tick,
ServerTime = columns[0].ToDateTime("yyyy-MM-dd HH:mm:ss.fff"),
TradePrice = columns[3].To <decimal>(),
Volume = columns[4].To <decimal>(),
};
msg.AddValue("IsFinished", ++i == lines.Length);
SendOutMessage(msg);
}
catch (Exception ex)
{
throw new InvalidOperationException(LocalizedStrings.Str2141Params.Put(line), ex);
}
}
}
}
break;
}
case MarketDataTypes.News:
break;
case MarketDataTypes.CandleTimeFrame:
{
var tf = (TimeSpan)mdMsg.Arg;
string serviceName;
string timeFormatRequest = _defaultTimeFormatRequest;
string timeFormatResponse = "yyyy-MM-dd";
if (tf == TimeSpan.FromMinutes(1))
{
serviceName = "queryminutes";
timeFormatResponse = "yyyy-MM-dd HH:mm";
}
else if (tf == TimeSpan.FromDays(1))
{
serviceName = "queryeod";
timeFormatRequest = "yyyyMMdd";
}
else
{
throw new InvalidOperationException(LocalizedStrings.Str2102);
}
var url = new Url("{0}/{1}.ashx".Put(_historicalAddress, serviceName));
url.QueryString
.Append("username", Login)
.Append("password", Password.To <string>())
.Append("symbol", mdMsg.SecurityId.SecurityCode)
.Append("order", "asc");
if (mdMsg.Count != null)
{
url.QueryString.Append("maxrecords", mdMsg.Count.Value);
}
if (mdMsg.From != null)
{
url.QueryString.Append("start", mdMsg.From.Value.FromDateTimeOffset(timeFormatRequest));
}
if (mdMsg.To != null)
{
url.QueryString.Append("end", mdMsg.To.Value.FromDateTimeOffset(timeFormatRequest));
}
using (var client = new WebClient())
{
var lines = client.DownloadString(url)
.Split("\n")
.Where(l => l != "\r")
.ToArray();
var i = 0;
foreach (var line in lines)
{
var columns = line.Split(',');
try
{
SendOutMessage(new TimeFrameCandleMessage
{
SecurityId = mdMsg.SecurityId,
OriginalTransactionId = mdMsg.TransactionId,
OpenTime = columns[tf == TimeSpan.FromMinutes(1) ? 0 : 1].ToDateTime(timeFormatResponse).ApplyTimeZone(TimeHelper.Est),
OpenPrice = columns[2].To <decimal>(),
HighPrice = columns[3].To <decimal>(),
LowPrice = columns[4].To <decimal>(),
ClosePrice = columns[5].To <decimal>(),
TotalVolume = columns[6].To <decimal>(),
OpenInterest = columns.Length > 7 ? columns[7].To <decimal>() : (decimal?)null,
IsFinished = ++i == lines.Length
});
}
catch (Exception ex)
{
throw new InvalidOperationException(LocalizedStrings.Str2141Params.Put(line), ex);
}
}
}
break;
}
default:
{
SendOutMarketDataNotSupported(mdMsg.TransactionId);
return;
}
}
SendOutMessage(new MarketDataMessage {
OriginalTransactionId = mdMsg.TransactionId
});
break;
}
}
}
/// <summary>
/// Получить название файла по типу данных.
/// </summary>
/// <param name="dataType">Тип маркет-данных.</param>
/// <param name="arg">Параметр, ассоциированный с типом <paramref name="dataType"/>. Например, <see cref="Candle.Arg"/>.</param>
/// <returns>Название файла.</returns>
public static string CreateFileName(Type dataType, object arg)
{
if (dataType == null)
{
throw new ArgumentNullException("dataType");
}
if (dataType == typeof(ExecutionMessage))
{
var execType = (ExecutionTypes)arg;
switch (execType)
{
case ExecutionTypes.Tick:
dataType = typeof(Trade);
break;
case ExecutionTypes.Order:
case ExecutionTypes.Trade:
dataType = typeof(Order);
break;
case ExecutionTypes.OrderLog:
dataType = typeof(OrderLogItem);
break;
default:
throw new ArgumentOutOfRangeException();
}
}
else if (dataType.IsSubclassOf(typeof(CandleMessage)))
{
dataType = dataType.ToCandleType();
}
else if (dataType == typeof(QuoteChangeMessage))
{
dataType = typeof(MarketDepth);
}
if (dataType == typeof(Trade))
{
return("trades");
}
else if (dataType == typeof(MarketDepth))
{
return("quotes");
}
else if (dataType == typeof(OrderLogItem))
{
return("orderLog");
}
else if (dataType == typeof(Level1ChangeMessage))
{
return("security");
}
else if (dataType == typeof(Order))
{
return("execution");
}
else if (dataType.IsSubclassOf(typeof(Candle)))
{
return("candles_{0}_{1}".Put(dataType.Name, TraderHelper.CandleArgToFolderName(arg)));
}
else
{
throw new NotSupportedException(LocalizedStrings.Str2872Params.Put(dataType.FullName));
}
}
/// <summary>
/// Рассчитать прибыльность сделки. Если сделка уже ранее была обработана, то возвращается предыдущая информация.
/// </summary>
/// <param name="trade">Сделка.</param>
/// <returns>Информация о новой сделке.</returns>
public PnLInfo Process(ExecutionMessage trade)
{
if (trade == null)
{
throw new ArgumentNullException("trade");
}
var closedVolume = 0m;
var pnl = 0m;
var volume = trade.GetVolume();
var price = trade.GetTradePrice();
_unrealizedPnL = null;
lock (_openedTrades.SyncRoot)
{
if (_openedTrades.Count > 0)
{
var currTrade = _openedTrades.Peek();
if (_openedPosSide != trade.Side)
{
while (volume > 0)
{
if (currTrade == null)
{
currTrade = _openedTrades.Peek();
}
var diff = currTrade.Second.Min(volume);
closedVolume += diff;
pnl += TraderHelper.GetPnL(currTrade.First, diff, _openedPosSide, price);
volume -= diff;
currTrade.Second -= diff;
if (currTrade.Second != 0)
{
continue;
}
currTrade = null;
_openedTrades.Pop();
if (_openedTrades.Count == 0)
{
break;
}
}
}
}
if (volume > 0)
{
_openedPosSide = trade.Side;
_openedTrades.Push(RefTuple.Create(price, volume));
}
RealizedPnL += _multiplier * pnl;
}
return(new PnLInfo(trade, closedVolume, pnl));
}
