static void Main(string[] args)
{
Security sber = new Security {
Id = "SBER@TQBR", Board = ExchangeBoard.Micex
};
Security gazp = new Security {
Id = "GAZP@TQBS", Board = ExchangeBoard.Micex
};
Security gmkn = new Security {
Id = "GMKN@TQBS", Board = ExchangeBoard.Micex
};
// создаем хранилище инструментов Финам
// добавить инструменты можно через конструктор, так
//var finamSecurityStorage = new FinamSecurityStorage(sber);
// или так
var finamSecurityStorage = new FinamSecurityStorage(new List <Security>()
{
sber, gmkn
});
// или при помощи метода Add
finamSecurityStorage.Add(gazp);
// Создаем экземпляр класса FinamHistorySource. Этот объект управляет получением данных с Финама.
FinamHistorySource _finamHistorySource = new FinamHistorySource();
// Создаем жранилище для нативных идентификаторов (родные идентификаторы инструментов Финама)
var nativeIdStorage = new InMemoryNativeIdStorage();
bool isCanceled = false;
// Задаем папку, где будут сохранены запрошенные данные.. Если папку не задавать, то
// на диске данные сохранены не будут
_finamHistorySource.DumpFolder = "DataHist";
// Выполняем обновление хранилища инструментов Финама
// Перед добавлением каждого инструмента в хранилище вызывается функция (делегат) isCanceled, если функция возвращает false, то обновление
// хранилища продолжается, если true, то прерывается.
// При добавлении нового инструмента в хранилище вызывается функция (делегат) newSecurity. В нашем случае этот делегат имеет пустое тело (ничего не делает).
_finamHistorySource.Refresh(finamSecurityStorage, nativeIdStorage, new Security(), s => {}, () => isCanceled);
// Задаем таймфрем свечи
var timeFrame = TimeSpan.FromMinutes(1);
var now = DateTime.Now;
var end = new DateTime(now.Year, now.Month, now.Day - 1, 0, 0, 0);
var start = end.AddDays(-2);
// Запрашиваем свечи с Финама
var candles = _finamHistorySource.GetCandles(gazp, nativeIdStorage, timeFrame, start, end);
// Запрашиваем тики
var ticks = _finamHistorySource.GetTicks(gmkn, nativeIdStorage, start, end);
Console.Read();
}
public MainWindow()
{
InitializeComponent();
HistoryPath.Folder = @"..\..\..\HistoryData\".ToFullPath();
if (LocalizedStrings.ActiveLanguage == Languages.Russian)
{
SecId.Text = "RIZ2@FORTS";
From.Value = new DateTime(2012, 10, 1);
To.Value = new DateTime(2012, 10, 25);
TimeFrame.SelectedIndex = 1;
}
else
{
SecId.Text = "@ES#@CMEMINI";
From.Value = new DateTime(2015, 8, 1);
To.Value = new DateTime(2015, 8, 31);
TimeFrame.SelectedIndex = 0;
}
_progressBars.AddRange(new[]
{
TicksProgress,
TicksAndDepthsProgress,
DepthsProgress,
CandlesProgress,
CandlesAndDepthsProgress,
OrderLogProgress,
Level1Progress,
FinamCandlesProgress,
YahooCandlesProgress
});
_checkBoxes.AddRange(new[]
{
TicksCheckBox,
TicksAndDepthsCheckBox,
DepthsCheckBox,
CandlesCheckBox,
CandlesAndDepthsCheckBox,
OrderLogCheckBox,
Level1CheckBox,
FinamCandlesCheckBox,
YahooCandlesCheckBox,
});
_finamHistorySource = new FinamHistorySource(_nativeIdStorage, _exchangeInfoProvider);
}
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.GetTicks(security.Security, emptyDate, emptyDate);
if (trades.Any())
SaveTicks(security, trades);
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 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;
}
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, series.Arg, currDate, till, security.Security.Id);
var candles = source.GetCandles(security.Security, (TimeSpan)series.Arg, 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), series.Arg));
currDate = currDate.AddDays(_settings.CandleDayStep);
}
catch (Exception ex)
{
HandleError(new InvalidOperationException(LocalizedStrings.Str2299Params
.Put(series.Arg, currDate, security.Security.Id), ex));
}
}
}
#endregion
}
if (CanProcess())
{
this.AddInfoLog(LocalizedStrings.Str2300);
_settings.StartFrom = endDate;
SaveSettings();
}
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());
}
