private void DelayedAction(Action action, string actionName)
{
var delay = RandomGen.GetInt(1, 2);
Log($"Action '{actionName}' is delayed for {delay:0.##}sec");
Task.Delay(delay * 1000).ContinueWith(t => Dispatcher.GuiAsync(action));
}
public void UpdateData(Security sec, decimal price)
{
var ps = sec.PriceStep ?? 1;
var msg = new Level1ChangeMessage
{
SecurityId = sec.ToSecurityId(),
ServerTime = DateTimeOffset.Now,
};
if (RandomGen.GetBool())
{
msg.Changes.TryAdd(Level1Fields.BestBidPrice, price - RandomGen.GetInt(1, 10) * ps);
}
if (RandomGen.GetBool())
{
msg.Changes.TryAdd(Level1Fields.BestAskPrice, price + RandomGen.GetInt(1, 10) * ps);
}
foreach (var l1Subscriptions in _l1Subscriptions)
{
_level1Received?.Invoke(l1Subscriptions, msg);
}
}
private void UpdateRealtimeCandles()
{
if (!_historyLoaded || !_isRealTime)
{
return;
}
var nextTick = (ExecutionMessage)_tradeGenerator.Process(new TimeMessage {
ServerTime = _lastTime
});
if (nextTick != null)
{
if (_candleTransform.Process(nextTick))
{
var candles = _candleBuilder.Process(_mdMsg, _currCandle, _candleTransform);
foreach (var candle in candles)
{
_currCandle = candle;
_updatedCandles.Add((CandleMessage)candle.Clone());
}
}
}
_lastTime += TimeSpan.FromMilliseconds(RandomGen.GetInt(100, 2000));
}
private void UpdateRealtimeCandles()
{
if (!_historyLoaded || !_isRealTime)
{
return;
}
var nextTick = (ExecutionMessage)_tradeGenerator.Process(new TimeMessage {
ServerTime = _lastTime
});
if (nextTick != null)
{
if (nextTick.TradePrice != null)
{
_testProvider.UpdateData(_security, nextTick.TradePrice.Value);
}
if (_candleTransform.Process(nextTick))
{
var candles = _candleBuilder.Process(this, _candleTransform);
foreach (var candle in candles)
{
_updatedCandles.Add(candle.TypedClone());
}
}
}
_lastTime += TimeSpan.FromMilliseconds(RandomGen.GetInt(100, 20000));
}
private void ChartUpdateTimerOnTick(object sender, EventArgs eventArgs)
{
if (IsRealtime.IsChecked == true && _lastPrice != 0m)
{
var step = PriceStep.Value ?? 10;
var price = Round(_lastPrice + (decimal)((RandomGen.GetDouble() - 0.5) * 5 * step), (decimal)step);
AppendTick(_security, new ExecutionMessage
{
ServerTime = _lastTime,
TradePrice = price,
Volume = RandomGen.GetInt(50) + 1
});
_lastTime += TimeSpan.FromSeconds(10);
}
TimeFrameCandle[] candlesToUpdate;
lock (_updatedCandles.SyncRoot)
{
candlesToUpdate = _updatedCandles.OrderBy(p => p.Key).Select(p => p.Value).ToArray();
_updatedCandles.Clear();
}
_allCandles.AddRange(candlesToUpdate);
candlesToUpdate.ForEach(c =>
{
Chart.Draw(c.OpenTime, new Dictionary <IChartElement, object>
{
{ _candleElement1, c },
});
});
}
private static Security CreateStrike(decimal strike, decimal oi, decimal iv, OptionTypes type, DateTime expiryDate, Security asset, decimal?lastTrade)
{
var s = new Security
{
Code = "RI {0} {1}".Put(type == OptionTypes.Call ? 'C' : 'P', strike),
Strike = strike,
OpenInterest = oi,
ImpliedVolatility = iv,
HistoricalVolatility = iv,
OptionType = type,
ExpiryDate = expiryDate,
Board = ExchangeBoard.Forts,
UnderlyingSecurityId = asset.Id,
LastTrade = lastTrade == null ? null : new Trade {
Price = lastTrade.Value
},
Volume = RandomGen.GetInt(10000),
Type = SecurityTypes.Option
};
s.BestBid = new Quote(s, s.StepPrice ?? 1m * RandomGen.GetInt(100), s.VolumeStep ?? 1m * RandomGen.GetInt(100), Sides.Buy);
s.BestAsk = new Quote(s, s.BestBid.Price.Max(s.StepPrice ?? 1m * RandomGen.GetInt(100)), s.VolumeStep ?? 1m * RandomGen.GetInt(100), Sides.Sell);
return(s);
}
static void Main()
{
// creating AAPL security
var security = new Security
{
Id = "AAPL@NASDAQ",
PriceStep = 0.1m,
Decimals = 1,
};
var trades = new List <Trade>();
// generation 1000 random ticks
//
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);
}
using (var drive = new LocalMarketDataDrive())
{
// get AAPL storage
var aaplStorage = drive.GetSecurityDrive(security);
// get tick storage
var tradeStorage = (IMarketDataStorage <Trade>)aaplStorage.GetTickStorage(new CsvMarketDataSerializer <ExecutionMessage>());
// saving ticks
tradeStorage.Save(trades);
// loading ticks
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();
// deleting ticks (and removing file)
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));
}
private void NewAnnotation_Click(object sender, RoutedEventArgs e)
{
if (_currCandle == null)
{
return;
}
var values = Enumerator.GetValues <ChartAnnotationTypes>().ToArray();
_annotation = new ChartAnnotation {
Type = values[RandomGen.GetInt(1, values.Length - 1)]
};
_annotationData = null;
Chart.AddElement(_areaComb, _annotation);
ModifyAnnotation(true);
}
private void ChartUpdateTimerOnTick(object sender, EventArgs eventArgs)
{
if (IsRealtime.IsChecked == true && _lastPrice != 0m)
{
var step = _priceStep;
var price = Round(_lastPrice + (decimal)((RandomGen.GetDouble() - 0.5) * 5 * (double)step), step);
AppendTick(_security, new ExecutionMessage
{
ServerTime = _lastTime,
TradePrice = price,
TradeVolume = RandomGen.GetInt(50) + 1,
OriginSide = Sides.Buy,
});
_lastTime += TimeSpan.FromSeconds(10);
}
TimeFrameCandle[] candlesToUpdate;
lock (_updatedCandles.SyncRoot)
{
candlesToUpdate = _updatedCandles.OrderBy(p => p.Key).Select(p => p.Value).ToArray();
_updatedCandles.Clear();
}
var lastCandle = _allCandles.LastOrDefault();
_allCandles.AddRange(candlesToUpdate.Where(c => lastCandle == null || c.OpenTime != lastCandle.OpenTime));
var hasValue = false;
var chartData = new ChartDrawData();
foreach (var candle in candlesToUpdate)
{
chartData.Group(candle.OpenTime).Add(_candleElement1, candle);
hasValue = true;
}
if (hasValue)
{
Chart.Draw(chartData);
}
}
private void Fill_Click(object sender, RoutedEventArgs e)
{
var order = SelectedOrder;
if (IsInFinalState(order))
{
Log($"Unable to fill order in state {order.State}");
return;
}
Log($"Fill order: {order}");
order.Balance -= RandomGen.GetInt(1, (int)order.Balance);
if (order.Balance == 0)
{
order.State = OrderStates.Done;
_orders.Remove(order);
}
Chart.Draw(new ChartDrawData().Add(_activeOrdersElement, order));
}
private void ChartUpdateTimerOnTick(object sender, EventArgs eventArgs)
{
if (!_dataIsLoaded || IsRealtime.IsChecked != true || _lastPrice == 0m)
{
return;
}
_lastTime += TimeSpan.FromSeconds(10);
var numCandles = _candles.Count;
AppendTick(new ExecutionMessage
{
ServerTime = _lastTime,
TradePrice = Round(_lastPrice + (decimal)((RandomGen.GetDouble() - 0.5) * 5 * _priceStep), _priceStep),
TradeVolume = RandomGen.GetInt(50) + 1
});
TimeFrameCandle candle;
var lastLightCandle = _candles[_candles.Count - 1];
if (_candles.Count != numCandles && _lastCandle != null)
{
_lastCandle.State = CandleStates.Finished;
DrawCandle(_lastCandle);
}
if (_candles.Count != numCandles || _lastCandle == null)
{
_lastCandle = candle = lastLightCandle.ToCandle(_tfSpan, _security);
}
else
{
candle = _lastCandle;
lastLightCandle.UpdateCandle(candle);
}
DrawCandle(candle);
}
private void ChartUpdateTimerOnTick(object sender, EventArgs eventArgs)
{
if (_checkRealtime.IsChecked == true && _lastPrice != 0m)
{
var step = _updownPriceStep.Value ?? 10;
var price = Round(_lastPrice + (decimal)((RandomGen.GetDouble() - 0.5) * 5 * step), (decimal)step);
AppendTick(new ExecutionMessage
{
ServerTime = _lastTime,
TradePrice = price,
Volume = RandomGen.GetInt(50) + 1
});
_lastTime += TimeSpan.FromSeconds(10);
}
var candlesToUpdate = _updatedCandles.OrderBy(c => c.OpenTime).ToArray();
_updatedCandles.Clear();
candlesToUpdate.ForEach(c =>
{
_chartCombined.Draw(c.OpenTime, new Dictionary <IChartElement, object> {
{ _candleElement1, c }
});
_chartCombined.Draw(c.OpenTime, new Dictionary <IChartElement, object> {
{ _bvElement, c }
});
_chartBindVisibleRange.Draw(c.OpenTime, new Dictionary <IChartElement, object> {
{ _candleElement2, c }
});
_chartBindVisibleRange.Draw(c.OpenTime, new Dictionary <IChartElement, object> {
{ _cpElement, c }
});
});
}
private void StartBtnClick(object sender, RoutedEventArgs e)
{
if (_batchEmulation != null)
{
_batchEmulation.Resume();
return;
}
if (HistoryPath.Folder.IsEmpty() || !Directory.Exists(HistoryPath.Folder))
{
MessageBox.Show(this, LocalizedStrings.Str3014);
return;
}
TestingProcess.Value = 0;
Curve.Clear();
Stat.Clear();
var logManager = new LogManager();
var fileLogListener = new FileLogListener("sample.log");
logManager.Listeners.Add(fileLogListener);
// SMA periods
var periods = new List <(int longMa, int shortMa, Color color)>();
for (var l = 100; l >= 50; l -= 10)
{
for (var s = 10; s >= 5; s -= 1)
{
periods.Add((l, s, Color.FromRgb((byte)RandomGen.GetInt(255), (byte)RandomGen.GetInt(255), (byte)RandomGen.GetInt(255))));
}
}
// storage to historical data
var storageRegistry = new StorageRegistry
{
// set historical path
DefaultDrive = new LocalMarketDataDrive(HistoryPath.Folder)
};
var timeFrame = TimeSpan.FromMinutes(1);
// create test security
var security = new Security
{
Id = "SBER@TQBR", // sec id has the same name as folder with historical data
Code = "SBER",
Name = "SBER",
Board = ExchangeBoard.Micex,
};
var startTime = new DateTime(2020, 4, 1);
var stopTime = new DateTime(2020, 4, 20);
var level1Info = new Level1ChangeMessage
{
SecurityId = security.ToSecurityId(),
ServerTime = startTime,
}
.TryAdd(Level1Fields.PriceStep, 0.01m)
.TryAdd(Level1Fields.StepPrice, 0.01m)
.TryAdd(Level1Fields.MinPrice, 0.01m)
.TryAdd(Level1Fields.MaxPrice, 1000000m)
.TryAdd(Level1Fields.MarginBuy, 10000m)
.TryAdd(Level1Fields.MarginSell, 10000m);
// test portfolio
var portfolio = Portfolio.CreateSimulator();
// create backtesting connector
_batchEmulation = new BatchEmulation(new[] { security }, new[] { portfolio }, storageRegistry)
{
EmulationSettings =
{
MarketTimeChangedInterval = timeFrame,
StartTime = startTime,
StopTime = stopTime,
// count of parallel testing strategies
// if not set, then CPU count * 2
//BatchSize = 3,
}
};
// handle historical time for update ProgressBar
_batchEmulation.TotalProgressChanged += (currBatch, total) => this.GuiAsync(() => TestingProcess.Value = total);
_batchEmulation.StateChanged += (oldState, newState) =>
{
var isFinished = _batchEmulation.IsFinished;
if (_batchEmulation.State == ChannelStates.Stopped)
{
_batchEmulation = null;
}
this.GuiAsync(() =>
{
switch (newState)
{
case ChannelStates.Stopping:
case ChannelStates.Starting:
case ChannelStates.Suspending:
SetIsEnabled(false, false, false);
break;
case ChannelStates.Stopped:
SetIsEnabled(true, false, false);
if (isFinished)
{
TestingProcess.Value = TestingProcess.Maximum;
MessageBox.Show(this, LocalizedStrings.Str3024.Put(DateTime.Now - _startEmulationTime));
}
else
{
MessageBox.Show(this, LocalizedStrings.cancelled);
}
break;
case ChannelStates.Started:
SetIsEnabled(false, true, true);
break;
case ChannelStates.Suspended:
SetIsEnabled(true, false, true);
break;
default:
throw new ArgumentOutOfRangeException(newState.ToString());
}
});
};
_startEmulationTime = DateTime.Now;
var strategies = periods
.Select(period =>
{
var series = new CandleSeries(typeof(TimeFrameCandle), security, timeFrame);
// create strategy based SMA
var strategy = new SampleHistoryTesting.SmaStrategy(series)
{
ShortSma = { Length = period.shortMa },
LongSma = { Length = period.longMa },
Volume = 1,
Security = security,
Portfolio = portfolio,
//Connector = connector,
// by default interval is 1 min,
// it is excessively for time range with several months
UnrealizedPnLInterval = ((stopTime - startTime).Ticks / 1000).To <TimeSpan>()
};
this.GuiSync(() =>
{
var curveElem = Curve.CreateCurve(LocalizedStrings.Str3026Params.Put(period.Item1, period.Item2), period.Item3, ChartIndicatorDrawStyles.Line);
strategy.PnLChanged += () =>
{
var data = new ChartDrawData();
data
.Group(strategy.CurrentTime)
.Add(curveElem, strategy.PnL);
Curve.Draw(data);
};
Stat.AddStrategies(new[] { strategy });
});
return(strategy);
});
// start emulation
_batchEmulation.Start(strategies, periods.Count);
}
private void ModifyAnnotation(bool isNew)
{
Brush RandomBrush()
{
var b = new SolidColorBrush(Color.FromRgb((byte)RandomGen.GetInt(0, 255), (byte)RandomGen.GetInt(0, 255), (byte)RandomGen.GetInt(0, 255)));
b.Freeze();
return(b);
}
if (_annotation == null)
{
return;
}
IComparable x1, x2, y1, y2;
var mode = RandomGen.GetDouble() > 0.5 ? AnnotationCoordinateMode.Absolute : AnnotationCoordinateMode.Relative;
if (_annotationData == null)
{
if (mode == AnnotationCoordinateMode.Absolute)
{
GetMiddle(out var x0, out var y0);
x1 = x0 - TimeSpan.FromMinutes(RandomGen.GetInt(10, 60));
x2 = x0 + TimeSpan.FromMinutes(RandomGen.GetInt(10, 60));
y1 = y0 - RandomGen.GetInt(5, 10) * _security.PriceStep ?? 0.01m;
y2 = y0 + RandomGen.GetInt(5, 10) * _security.PriceStep ?? 0.01m;
}
else
{
x1 = 0.5 - RandomGen.GetDouble() / 10;
x2 = 0.5 + RandomGen.GetDouble() / 10;
y1 = 0.5 - RandomGen.GetDouble() / 10;
y2 = 0.5 - RandomGen.GetDouble() / 10;
}
}
else
{
mode = _annotationData.CoordinateMode.Value;
if (mode == AnnotationCoordinateMode.Absolute)
{
x1 = (DateTimeOffset)_annotationData.X1 - TimeSpan.FromMinutes(1);
x2 = (DateTimeOffset)_annotationData.X2 + TimeSpan.FromMinutes(1);
y1 = (decimal)_annotationData.Y1 + _security.PriceStep ?? 0.01m;
y2 = (decimal)_annotationData.Y2 - _security.PriceStep ?? 0.01m;
}
else
{
x1 = ((double)_annotationData.X1) - 0.05;
x2 = ((double)_annotationData.X2) + 0.05;
y1 = ((double)_annotationData.Y1) - 0.05;
y2 = ((double)_annotationData.Y2) + 0.05;
}
}
_dataThreadActions.Add(() =>
{
var data = new ChartDrawData.AnnotationData
{
X1 = x1,
X2 = x2,
Y1 = y1,
Y2 = y2,
IsVisible = true,
Fill = RandomBrush(),
Stroke = RandomBrush(),
Foreground = RandomBrush(),
Thickness = new Thickness(RandomGen.GetInt(1, 5)),
};
if (isNew)
{
data.Text = "random annotation #" + (++_annotationId);
data.HorizontalAlignment = HorizontalAlignment.Stretch;
data.VerticalAlignment = VerticalAlignment.Stretch;
data.LabelPlacement = LabelPlacement.Axis;
data.ShowLabel = true;
data.CoordinateMode = mode;
}
var dd = new ChartDrawData();
dd.Add(_annotation, data);
Chart.Draw(dd);
});
}
/// <inheritdoc />
protected override Message OnProcess(Message message)
{
DateTimeOffset time;
switch (message.Type)
{
case MessageTypes.Board:
return(null);
case MessageTypes.Level1Change:
{
var l1Msg = (Level1ChangeMessage)message;
var value = l1Msg.TryGetDecimal(Level1Fields.LastTradePrice);
if (value != null)
{
_lastTradePrice = value.Value;
}
time = l1Msg.ServerTime;
break;
}
case MessageTypes.Execution:
{
var execMsg = (ExecutionMessage)message;
var price = execMsg.TradePrice;
if (price != null)
{
_lastTradePrice = price.Value;
}
else if (execMsg.ExecutionType != ExecutionTypes.OrderLog)
{
return(null);
}
time = execMsg.ServerTime;
break;
}
case MessageTypes.Time:
{
var timeMsg = (TimeMessage)message;
time = timeMsg.ServerTime;
break;
}
default:
return(null);
}
if (!IsTimeToGenerate(time))
{
return(null);
}
var trade = new ExecutionMessage
{
SecurityId = SecurityId,
TradeId = IdGenerator.GetNextId(),
ServerTime = time,
LocalTime = time,
OriginSide = GenerateOriginSide ? RandomGen.GetEnum <Sides>() : null,
TradeVolume = Volumes.Next(),
ExecutionType = ExecutionTypes.Tick
};
var priceStep = SecurityDefinition.PriceStep ?? 0.01m;
_lastTradePrice += RandomGen.GetInt(-MaxPriceStepCount, MaxPriceStepCount) * priceStep;
if (_lastTradePrice <= 0)
{
_lastTradePrice = priceStep;
}
trade.TradePrice = _lastTradePrice;
LastGenerationTime = time;
return(trade);
}
public void UpdateData(Security sec, decimal price)
{
var ps = sec.PriceStep ?? 1;
var list = new List <KeyValuePair <Level1Fields, object> >();
if (RandomGen.GetBool())
{
list.Add(new KeyValuePair <Level1Fields, object>(Level1Fields.BestBidPrice, price - RandomGen.GetInt(1, 10) * ps));
}
if (RandomGen.GetBool())
{
list.Add(new KeyValuePair <Level1Fields, object>(Level1Fields.BestAskPrice, price + RandomGen.GetInt(1, 10) * ps));
}
var now = DateTimeOffset.Now;
ValuesChanged?.Invoke(sec, list, now, now);
}
private static Color GetRandomColor() => Color.FromRgb((byte)RandomGen.GetInt(0, 255), (byte)RandomGen.GetInt(0, 255), (byte)RandomGen.GetInt(0, 255));
protected override void OnSendInMessage(Message message)
{
switch (message.Type)
{
case MessageTypes.Reset:
SendOutMessage(new ResetMessage());
break;
case MessageTypes.Connect:
SendOutMessage(new ConnectMessage());
break;
case MessageTypes.Disconnect:
SendOutMessage(new DisconnectMessage());
break;
case MessageTypes.SecurityLookup:
{
var lookupMsg = (SecurityLookupMessage)message;
foreach (var id in new[] { "RIZ2@FORTS", "@ES#@CMEMINI" })
{
SendOutMessage(new SecurityMessage
{
SecurityId = id.ToSecurityId(),
OriginalTransactionId = lookupMsg.TransactionId,
});
}
SendOutMessage(new SecurityLookupResultMessage {
OriginalTransactionId = lookupMsg.TransactionId
});
break;
}
case MessageTypes.MarketData:
{
var mdMsg = (MarketDataMessage)message;
switch (mdMsg.DataType)
{
case MarketDataTypes.CandleTimeFrame:
{
if (mdMsg.IsSubscribe)
{
var start = mdMsg.From.Value;
var stop = mdMsg.To.Value;
var tf = mdMsg.GetTimeFrame();
// sends subscribed successfully
SendOutMarketDataReply(mdMsg.TransactionId);
const decimal step = 0.01m;
for (var curr = start; curr < stop; curr += tf)
{
var price = RandomGen.GetInt(100, 110);
var open = price + RandomGen.GetInt(10) * step;
var high = open + RandomGen.GetInt(10) * step;
var low = high - RandomGen.GetInt(10) * step;
var close = low + RandomGen.GetInt(10) * step;
if (high < low)
{
var d = high;
high = low;
low = d;
}
SendOutMessage(new TimeFrameCandleMessage
{
OriginalTransactionId = mdMsg.TransactionId,
OpenPrice = open,
HighPrice = high,
LowPrice = low,
ClosePrice = close,
OpenTime = curr,
State = CandleStates.Finished,
});
}
SendOutMessage(new MarketDataFinishedMessage {
OriginalTransactionId = mdMsg.TransactionId
});
}
else
{
// sends unsubscribed successfully
SendOutMarketDataReply(mdMsg.TransactionId);
}
break;
}
default:
// not supported other data types
SendOutMarketDataNotSupported(mdMsg.TransactionId);
break;
}
break;
}
}
}
/// <summary>
/// Обработать сообщение.
/// </summary>
/// <param name="message">Сообщение.</param>
/// <returns>Результат обработки. Если будет возрвщено <see langword="null"/>,
/// то генератору пока недостаточно данных для генерации нового сообщения.</returns>
protected override Message OnProcess(Message message)
{
DateTimeOffset time;
switch (message.Type)
{
case MessageTypes.Level1Change:
{
var l1Msg = (Level1ChangeMessage)message;
var value = l1Msg.Changes.TryGetValue(Level1Fields.LastTradePrice);
if (value != null)
{
_lastOrderPrice = (decimal)value;
}
TradeGenerator.Process(message);
time = l1Msg.ServerTime;
break;
}
case MessageTypes.Execution:
{
var execMsg = (ExecutionMessage)message;
switch (execMsg.ExecutionType)
{
case ExecutionTypes.Tick:
_lastOrderPrice = execMsg.GetTradePrice();
break;
default:
return(null);
}
time = execMsg.ServerTime;
break;
}
case MessageTypes.Time:
{
var timeMsg = (TimeMessage)message;
time = timeMsg.ServerTime;
break;
}
default:
return(null);
}
if (!IsTimeToGenerate(time))
{
return(null);
}
// TODO более реалистичную генерацию, так как сейчас объемы, цены и сделки c потолка
var action = RandomGen.GetInt(0, 5);
var isNew = action < 3 || _activeOrders.IsEmpty();
ExecutionMessage item;
if (isNew)
{
var priceStep = SecurityDefinition.PriceStep ?? 0.01m;
_lastOrderPrice += RandomGen.GetInt(-MaxPriceStepCount, MaxPriceStepCount) * priceStep;
if (_lastOrderPrice <= 0)
{
_lastOrderPrice = priceStep;
}
item = new ExecutionMessage
{
OrderId = IdGenerator.GetNextId(),
SecurityId = SecurityId,
ServerTime = time,
OrderState = OrderStates.Active,
Volume = Volumes.Next(),
Side = RandomGen.GetEnum <Sides>(),
Price = _lastOrderPrice,
ExecutionType = ExecutionTypes.OrderLog,
};
_activeOrders.Enqueue((ExecutionMessage)item.Clone());
}
else
{
var activeOrder = _activeOrders.Peek();
item = (ExecutionMessage)activeOrder.Clone();
item.ServerTime = time;
var isMatched = action == 5;
ExecutionMessage trade = null;
if (isMatched)
{
trade = (ExecutionMessage)TradeGenerator.Process(message);
}
if (isMatched && trade != null)
{
item.Volume = RandomGen.GetInt(1, (int)activeOrder.GetVolume());
item.TradeId = trade.TradeId;
item.TradePrice = trade.TradePrice;
item.TradeStatus = trade.TradeStatus;
// TODO
//quote.Trade = TradeGenerator.Generate(time);
//item.Volume = activeOrder.Volume;
//if (item.Side == Sides.Buy && quote.Trade.Price > quote.Order.Price)
// item.TradePrice = item.Price;
//else if (item.Side == Sides.Sell && quote.Trade.Price < quote.Order.Price)
// item.TradePrice = item.Price;
activeOrder.Volume -= item.Volume;
if (activeOrder.Volume == 0)
{
item.OrderState = OrderStates.Done;
_activeOrders.Dequeue();
}
else
{
item.OrderState = OrderStates.Active;
}
}
else
{
item.OrderState = OrderStates.Done;
item.IsCancelled = true;
_activeOrders.Dequeue();
}
}
LastGenerationTime = time;
return(item);
}
private void Move_Click(object sender, RoutedEventArgs e)
{
Chart_OnMoveOrder(SelectedOrder, SelectedOrder.Price + RandomGen.GetInt(-3, 3) * _priceStep);
}
private void ChartUpdateTimerOnTick(object sender, EventArgs eventArgs)
{
if (_historyLoaded && IsRealtime.IsChecked == true)
{
var nextTick = (ExecutionMessage)_tradeGenerator.Process(new TimeMessage {
ServerTime = _lastTime
});
if (nextTick != null)
{
if (_candleTransform.Process(nextTick))
{
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 += TimeSpan.FromSeconds(RandomGen.GetInt(1, 10));
}
Tuple <Candle, bool>[] candlesToUpdate;
lock (_updatedCandles.SyncRoot)
{
candlesToUpdate = _updatedCandles.OrderBy(p => p.Key).Select(p => Tuple.Create(p.Value.Item1.ToCandle(_security), p.Value.Item2)).ToArray();
_updatedCandles.Clear();
}
var lastCandle = _allCandles.LastOrDefault();
_allCandles.AddRange(candlesToUpdate.Where(c => lastCandle == null || c.Item1.OpenTime != lastCandle.OpenTime).Select(t => t.Item1));
ChartDrawData chartData = null;
foreach (var tuple in candlesToUpdate)
{
var candle = tuple.Item1;
var needToFinish = tuple.Item2;
if (chartData == null)
{
chartData = new ChartDrawData();
}
if (needToFinish && candle.State != CandleStates.Finished)
{
candle.State = CandleStates.Finished;
}
var chartGroup = chartData.Group(candle.OpenTime);
lock (_lock)
{
chartGroup.Add(_candleElement, candle);
}
foreach (var pair in _indicators.CachedPairs)
{
chartGroup.Add(pair.Key, pair.Value.Process(candle));
}
}
if (chartData != null)
{
Chart.Draw(chartData);
}
}