private Task saveStockElementToDB(StockDataElement element)
{
return(Task.Run(() =>
{
lock (contextVol)
{
//Int64 stockID = (from s in dbStocks
// where s.ticker == element.ticker
// select s.id).FirstOrDefault();
//if (stockID == 0)
//{
// stocks ns = new stocks();
// ns.ticker = element.ticker;
// ns.enddate = null;
// ns.pricestep = 100;
// ns.active = true;
// contextVol.stocks.InsertOnSubmit(ns);
// contextVol.SubmitChanges();
// dbStocks = from s in contextVol.stocks
// where s.active == true
// select s;
// stockID = (from s in dbStocks
// where s.ticker == element.ticker
// select s.id).FirstOrDefault();
//}
volquotes nq = new volquotes();
nq.stock = stockID;
nq.timeframe = currentTimeFrameId;
nq.datetime = element.date;
nq.high = element.high;
nq.low = element.low;
nq.open = element.open;
nq.close = element.close;
nq.middle = element.middle;
nq.volume = element.Volume;
nq.volumebuy = element.VolumeBuy;
nq.volumesell = element.VolumeSell;
contextVol.volquotes.InsertOnSubmit(nq);
contextVol.SubmitChanges();
}
}));
}
// **********************************************************************
public override void ProcessTick(Tick tick)
{
if (tick.DateTime < firstTickDt)
{
return;
}
lock (VolumeVector)
{
DateTime lastDT = DateTime.MinValue;
if (lastDateTimeVolume.TryGetValue(tick.SecCode, out lastDT) == false)
{
// начальная установка даты и времени отсчета
lastDT = tick.DateTime;
}
Dictionary <DateTime, StockDataElement> volumes = new Dictionary <DateTime, StockDataElement>();
if (VolumeVector.TryGetValue(tick.SecCode, out volumes) == false)
{
createNewVolume(tick.SecCode, lastDT);
VolumeVector.TryGetValue(tick.SecCode, out volumes);
}
StockDataElement vds = new StockDataElement(tick.SecCode, lastDT);
volumes.TryGetValue(lastDT, out vds);
// если время больше XXX мин, делаем новую группу
long csTicks = currentTimeFrame * TimeSpan.TicksPerSecond;
if (tick.DateTime.Ticks - lastDT.Ticks >= csTicks)
{ // новая группа
//--------------------
//+ old
lastDT = tick.DateTime;
createNewVolume(tick.SecCode, lastDT);
volumes.TryGetValue(lastDT, out vds);
//- old
vds.high = tick.IntPrice;
vds.low = tick.IntPrice;
vds.open = tick.IntPrice;
vds.close = tick.IntPrice;
firstLoopInCandle = true;
}
if (firstRound)
{
vds.high = tick.IntPrice;
vds.low = tick.IntPrice;
vds.open = tick.IntPrice;
vds.close = tick.IntPrice;
}
//+ 02082015 Bug fix
if (vds.open == 0)
{
vds.open = tick.IntPrice;
}
//+ 02082015 Bug fix
if (tick.IntPrice > vds.high)
{
vds.high = tick.IntPrice;
}
if (tick.IntPrice < vds.low)
{
vds.low = tick.IntPrice;
}
vds.close = tick.IntPrice;
vds.Volume += tick.Volume;
vds.PriceVolumeSum += (tick.IntPrice * tick.Volume);
if (tick.Op == TradeOp.Sell)
{
vds.VolumeSell += tick.Volume;
}
else
{
vds.VolumeBuy += tick.Volume;
}
firstRound = false;
firstLoopInCandle = false;
volumes[lastDT] = vds;
VolumeVector[tick.SecCode] = volumes;
// Save last tick
if (vds.date >= lastTickDt && !lastCandleSend)
{
vds.middle = vds.PriceVolumeSum / vds.Volume;
saveStockElementToDB(vds);
lastCandleSend = true;
}
}
}
// **********************************************************************
private async void createNewVolume(string SecCode, DateTime lastDT)
{
if (stockID == 0)
{
stockID = (from s in dbStocks
where s.ticker == SecCode
select s.id).FirstOrDefault();
}
bool found = false;
DateTime lastCandleTime = DateTime.MinValue;
if (lastDateTimeVolume.TryGetValue(SecCode, out lastCandleTime) == false)
{
// начальная установка даты и времени отсчета
lastCandleTime = lastDT;
lastDT = firstTickDt; // ставим на начало сессии
lastDateTimeVolume[SecCode] = lastDT; // сохраняем
}
StockDataElement lastEl1 = new StockDataElement(SecCode, lastDT);
lock (VolumeVector)
{
Dictionary <DateTime, StockDataElement> volumes = new Dictionary <DateTime, StockDataElement>();
lock (volumes)
{
if (VolumeVector.TryGetValue(SecCode, out volumes) == false)
{
volumes = new Dictionary <DateTime, StockDataElement>();
StockDataElement vds = new StockDataElement(SecCode, lastDT);
volumes[lastDT] = vds;
VolumeVector[SecCode] = volumes;
}
else
{
if (volumes.TryGetValue(lastCandleTime, out lastEl1) == true)
{
found = true;
}
StockDataElement vds = new StockDataElement(SecCode, lastDT);
volumes[lastDT] = vds;
VolumeVector[SecCode] = volumes;
}
}
}
lastDateTimeVolume[SecCode] = lastDT;
// запуск в отдельном процессе сохранения последнего элемента в базу
if (found)
{
lastEl1.middle = lastEl1.PriceVolumeSum / lastEl1.Volume;
lastEl1.date = lastCandleTime; // будет одной временной точкой
await saveStockElementToDB(lastEl1);
await createNew_VAT(SecCode);
}
}