public async Task MarketCandlesTest()
{
const string figi = Figi;
const string from = "2019-10-17T18:38:33.1316420Z";
const string to = "2019-10-17T18:39:33.1316420Z";
_handler.Expect(HttpMethod.Get, $"{BaseUri}market/candles")
.WithQueryString(new Dictionary <string, string>
{
["figi"] = figi,
["from"] = from,
["to"] = to,
["interval"] = "1min"
})
.WithoutContent()
.RespondJsonFromFile("market-candles-response");
var candles = await _context.MarketCandlesAsync(figi,
DateTime.Parse(from).ToUniversalTime(),
DateTime.Parse(to).ToUniversalTime(), CandleInterval.Minute);
var expected = new CandleList(figi, CandleInterval.Minute, new List <CandlePayload>
{
new CandlePayload(299.5m, 298.87m, 299.59m, 298.8m, 18887,
DateTime.Parse("2019-10-17T15:39Z").ToUniversalTime(), CandleInterval.Minute, figi)
});
candles.Should().BeEquivalentTo(expected);
}
/// <summary>
/// 親専用
/// Tickerでローソクを更新する
/// </summary>
/// <param name="ticker">Ticker</param>
public void Update(Ticker ticker)
{
// 現在のTickerに設定
CurrentTicker = ticker;
if (CurrentCandle == null)
{
// 起動してから初回の動作
if (SystemConstants.IsFirstDeleteCandle)
{
// この板の全ローソクデータを削除
Logger.LogInformation($"ローソクデータ全削除:{Board.Name}");
var delList = DbContext.Candles.Include(x => x.MBoard).Where(d => d.MBoard.MBoardId == Board.MBoardId).ToList();
DbContext.Candles.RemoveRange(delList);
DbContext.SaveChanges();
}
// 新しいローソクの準備
CurrentCandle = new Candle(Board, TimeScale, CurrentTicker);
// 子要素を新しいローソクで更新
UpdateChildren(CurrentCandle);
}
else // 初回ではない場合
{
// ローソクを更新
var newCandles = CurrentCandle.UpdateByTicker(CurrentTicker);
foreach (var item in newCandles)
{
// 新しいローソクがある場合
// 現在のローソクでDB更新
Logger.LogDebug($"DB:Candles更新:{Board.Name} {TimeScale.DisplayName}");
DbContext.Candles.Add(CurrentCandle);
// 今まで作成したローソクに追加
CandleList.Add(CurrentCandle);
// 子要素を新しいローソクで更新
UpdateChildren(item);
// 新しいローソクをセット
CurrentCandle = item;
}
if (newCandles.Count > 0)
{
// 更新があった場合
// 最大データ数を超えていたら、古いデータを1件削除
DeleteOldData();
// 子要素も更新が終わったらコミット
DbContext.SaveChanges(SystemConstants.SystemName);
}
}
}
public async Task <decimal> GetPrice(string figi, DateTime moment = default)
{
//по стакану
if (moment == default)
{
return(await GetPriceByOrderbook(figi));
}
//по истории свечей
CandleList candleList = await _context.MarketCandlesAsync(figi, moment.AddDays(-7), moment, CandleInterval.Week);
if (candleList.Candles.Any())
{
return(candleList.Candles.OrderBy(candle => candle.Time).Last().Close);
}
throw new Exception($"Не удалось найти цену на {moment.ToShortDateString()} с FIGI {figi}");
}
public async Task AddOrAppendCandles(CurrencyCode currency, AssetFIGI figi, CandleList candles)
{
var model = TryGetModel(figi);
var candleModels = candles.Candles
.Select(c => new CandleModel(new DateTimeOffset(c.Time), c.Open, c.Close, c.Low, c.High))
.ToList();
if (model != null)
{
_logger.LogTrace($"Add {candleModels.Count} candles to existing model '{currency}' with FIGI '{figi}'");
model.Candles.AddRange(candleModels);
await _repository.Update(model);
}
else
{
_logger.LogTrace($"Creating new model '{currency}' with FIGI '{figi}'");
var newModel = new CurrencyPriceModel(currency, candles.Figi, candleModels);
await _repository.Add(newModel);
}
}
/// <summary>
/// 子専用
/// 親から送られてきたローソクで更新する
/// </summary>
/// <param name="candle">ローソクデータ</param>
public void UpdateByCandle(Candle candle)
{
Logger.LogDebug($"DB:Candles更新:{Board.Name} {TimeScale.DisplayName}");
if (CurrentCandle == null)
{
// 初回
// 新しいローソクの準備
CurrentCandle = new Candle(Board, TimeScale, candle);
// 子要素を更新
UpdateChildren(candle);
}
else
{
// 2回目以降
var newCandles = CurrentCandle.UpdateByCandle(candle);
foreach (var item in newCandles)
{
// 新しいローソクがある場合
// 現在のローソクでDB更新
DbContext.Candles.Add(CurrentCandle);
// 今まで作成したローソクに追加
CandleList.Add(CurrentCandle);
// 子要素を新しいローソクで更新
UpdateChildren(item);
// 新しいローソクをセット
CurrentCandle = item;
}
if (newCandles.Count > 0)
{
// 更新があった場合
// 最大データ数を超えていたら、古いデータを1件削除
DeleteOldData();
}
}
}
public async Task MarketCandlesTest()
{
var handler = new HttpMessageHandlerStub(HttpStatusCode.OK, "{\"trackingId\":\"QBASTAN\",\"payload\":{\"candles\":[{\"o\":299.5,\"c\":298.87,\"h\":299.59,\"l\":298.8,\"v\":18887,\"time\":\"2019-10-17T15:39Z\",\"interval\":\"1min\",\"figi\":\"BBG000CL9VN6\"}],\"interval\":\"1min\",\"figi\":\"BBG000CL9VN6\"},\"status\":\"Ok\"}");
var connection = new Connection(BaseUri, WebSocketBaseUri, Token, new HttpClient(handler));
var context = connection.Context;
var candles = await context.MarketCandlesAsync("BBG000CL9VN6", DateTime.Parse("2019-10-17T18:38:33.1316420+03:00"), DateTime.Parse("2019-10-17T18:39:33.1316420+03:00"), CandleInterval.Minute);
Assert.NotNull(handler.RequestMessage);
Assert.Equal(HttpMethod.Get, handler.RequestMessage.Method);
Assert.Equal(new Uri($"{BaseUri}market/candles?figi=BBG000CL9VN6&from={HttpUtility.UrlEncode("2019-10-17T18:38:33.1316420+03:00")}&to={HttpUtility.UrlEncode("2019-10-17T18:39:33.1316420+03:00")}&interval=1min"), handler.RequestMessage.RequestUri);
Assert.Null(handler.RequestMessage.Content);
Assert.NotNull(candles);
var expected = new CandleList("BBG000CL9VN6", CandleInterval.Minute, new List <CandlePayload>
{
new CandlePayload(299.5m, 298.87m, 299.59m, 298.8m, 18887, DateTime.Parse("2019-10-17T15:39Z").ToUniversalTime(), CandleInterval.Minute, "BBG000CL9VN6")
});
Assert.Equal(expected.Figi, candles.Figi);
Assert.Equal(expected.Interval, candles.Interval);
Assert.Equal(expected.Candles.Count, candles.Candles.Count);
for (var i = 0; i < expected.Candles.Count; ++i)
{
var expectedCandle = expected.Candles[i];
var actualCandle = candles.Candles[i];
Assert.Equal(expectedCandle.Time, actualCandle.Time);
Assert.Equal(expectedCandle.Interval, actualCandle.Interval);
Assert.Equal(expectedCandle.Figi, actualCandle.Figi);
Assert.Equal(expectedCandle.Open, actualCandle.Open);
Assert.Equal(expectedCandle.Close, actualCandle.Close);
Assert.Equal(expectedCandle.High, actualCandle.High);
Assert.Equal(expectedCandle.Low, actualCandle.Low);
Assert.Equal(expectedCandle.Volume, actualCandle.Volume);
}
}
/// <summary>
/// 親子共通
/// 最大データ数を超えていたら古いデータを削除する
/// 1件だけ
/// </summary>
private void DeleteOldData()
{
// コミットしていない分は数えられないことに注意
// 今は起動のたびに消しているから良いが、メモリ内ローソクとDBのローソクの数が異なる場合があることも注意
// →コミット済みに関して、メモリローソクの数を上回った分を削除するようにする
if (CandleList.Count > SystemConstants.MaxCandle)
{
// 今まで作成したローソクから削除
int delCount = CandleList.Count - SystemConstants.MaxCandle;
for (int i = 0; i < delCount; i++)
{
CandleList.RemoveAt(0);
}
}
var count = DbContext.Candles.Include(x => x.MTimeScale).Include(x => x.MBoard).Where(d => d.MTimeScale.Id == TimeScale.Id && d.MBoard.MBoardId == Board.MBoardId).Count();
// DBの、メモリのローソクよりも多い分を削除（今回コミットされてないものは除くので、1件ズレたりする）
// ※遅いようだったらOrderByの使用をやめておく
if (count > CandleList.Count)
{
int delCount = count - CandleList.Count;
Logger.LogDebug($"Candle{delCount}件削除:{Board.Name} {TimeScale.DisplayName}");
var delList = new List <Candle>(delCount);
var dataList = DbContext.Candles.Where(d => d.MTimeScale.Id == TimeScale.Id && d.MBoard.MBoardId == Board.MBoardId).OrderBy(d => d.Id).ToList();
for (int i = 0; i < delCount; i++)
{
delList.Add(dataList[i]);
}
foreach (var item in delList)
{
DbContext.Candles.Remove(item);
}
}
}
private async Task <bool> GetMonthStats(IStockModel stock)
{
if (!stock.MonthStatsExpired)
{
return(true);
}
_apiCount++;
//Debug.WriteLine($"API Request {++_apiCount} for {stock.Ticker} {stock.PriceF} {stock.DayChangeF} {DateTime.Now}");
CandleList prices = null;
try
{
prices = await CommonConnection.Context.MarketCandlesAsync(stock.Figi,
DateTime.Now.Date.AddMonths(-1),
DateTime.Now.Date.AddDays(1), CandleInterval.Day);
stock.LastMonthDataUpdate = DateTime.Now;
}
catch
{
return(false);
}
if (prices.Candles.Count == 0)
{
return(false);
}
decimal monthVolume = 0, monthHigh = 0, monthLow = 0, monthAvgPrice = 0,
avgDayVolumePerMonth = 0, avgDayPricePerMonth = 0, monthOpen = -1,
yesterdayVolume = 0, yesterdayMin = 0, yesterdayMax = 0, yesterdayAvgPrice = 0;
var todayCandle = prices.Candles[prices.Candles.Count - 1];
foreach (var candle in prices.Candles)
{
if (monthOpen == -1)
{
monthOpen = candle.Open;
}
monthLow = monthLow == 0 ? candle.Low : Math.Min(monthLow, candle.Low);
monthHigh = monthHigh == 0 ? candle.High : Math.Min(monthHigh, candle.High);
monthVolume += candle.Volume;
avgDayPricePerMonth += (candle.High + candle.Low) / 2;
yesterdayVolume = candle.Volume;
yesterdayMin = candle.Low;
yesterdayMax = candle.High;
AddCandleToStock(Tuple.Create(stock, candle));
}
monthAvgPrice = (monthLow + monthHigh) / 2;
yesterdayAvgPrice = (yesterdayMin + yesterdayMax) / 2;
avgDayPricePerMonth /= prices.Candles.Count;
avgDayVolumePerMonth = monthVolume / prices.Candles.Count;
stock.MonthOpen = monthOpen;
stock.MonthHigh = monthHigh;
stock.MonthLow = monthLow;
stock.MonthVolume = monthVolume;
stock.MonthVolumeCost = monthVolume * monthAvgPrice * stock.Lot;
stock.AvgDayVolumePerMonth = Math.Round(avgDayVolumePerMonth);
stock.AvgDayPricePerMonth = avgDayPricePerMonth;
stock.AvgDayVolumePerMonthCost = avgDayPricePerMonth * avgDayVolumePerMonth * stock.Lot;
stock.DayVolChgOfAvg = stock.DayVolume / stock.AvgDayVolumePerMonth;
stock.YesterdayAvgPrice = yesterdayAvgPrice;
stock.YesterdayVolume = yesterdayVolume;
stock.YesterdayVolumeCost = yesterdayVolume * yesterdayAvgPrice * stock.Lot;
return(true);
}
