/// <summary>
/// Сохранение данных по всем сделкам для всех инструментов
/// </summary>
/// <param name="tickDispatcher">Диспетчер тиковых данных</param>
/// <param name="sessionDbPath">Каталог данных текущей сессии (определяется датой)</param>
public void SaveData(ITickDispatcher tickDispatcher, string sessionDbPath)
{
if (tickDispatcher == null)
{
throw new ArgumentNullException("tickDispatcher");
}
if (string.IsNullOrWhiteSpace(sessionDbPath))
{
throw new ArgumentException("SessionDbPath is empty, session not opened.");
}
_logger.AddInfo("AllTradesData", "Save data ...");
try
{
var allTradesDir = Path.Combine(sessionDbPath, "AllTrades");
if (!Directory.Exists(allTradesDir))
{
Directory.CreateDirectory(allTradesDir);
}
var insIDs = tickDispatcher.GetInstrumIDs();
foreach (var insID in insIDs)
{
Instrum ins = _instrumTable.GetInstrum(insID);
if (ins == null)
{
continue;
}
var ticks = tickDispatcher.GetTicks(insID);
if (ticks == null || !ticks.Any())
{
continue;
}
var encoder = new AllTradesEncoder(ins.Decimals);
var persist = new AllTradesPersist();
persist.Initialize(allTradesDir, ins.Ticker);
_insStoreData.InitInsStores(insID);
foreach (Tick tick in ticks)
{
uint seconds = (uint)(tick.Time.Hour * 60 * 60 + tick.Time.Minute * 60 + tick.Time.Second);
byte[] buf = encoder.AddTick(seconds, tick.Price, tick.Lots);
persist.Write(buf);
_insStoreData.AddTick(insID, tick.Time, tick.Price, tick.Lots);
}
persist.Close();
}
_insStoreData.SaveData();
}
catch (Exception ex)
{
_logger.AddException("AllTradesData", ex);
}
_logger.AddInfo("AllTradesData", "Data saved");
}
public PosManager(int insID, IInstrumTable instrums, IHoldingTable holdings, IOrderTable orders, IAccountTable accounts, AlorTradeWrapper alorTrade)
{
_holdings = holdings;
_orders = orders;
_instrum = instrums.GetInstrum(insID);
if (_instrum == null)
{
throw new Exception("Инструмент не найден");
}
_account = accounts.GetDefaultAccount();
if (_account == null)
{
throw new Exception("Не найден торговый счет");
}
_alorTrade = alorTrade;
}
public void OnRecv(byte[] data)
{
if (data == null)
{
return;
}
string cmd = Encoding.UTF8.GetString(data);
string[] args = Regex.Split(cmd, @"\s+");
if (args.Length == 2 && args[0] == "GetLastPrices")
{
var tickers = Regex.Split(args[1], @"\s*,\s*");
List <LastPrice> prices = new List <LastPrice>();
foreach (var t in tickers)
{
var instrum = _instrumTable.GetInstrum(t);
if (instrum == null)
{
continue;
}
var tick = _tickDisp.GetLastTick(instrum.InsID);
if (tick.InsID == 0)
{
continue; // диспетчер вернул default value структуры Tick, значит тика еще нет
}
prices.Add(new LastPrice(instrum.Ticker, tick.Time, tick.Price, tick.Lots));
}
var json = JsonConvert.SerializeObject(prices);
var bytes = Encoding.UTF8.GetBytes(json);
_core.SendResponseAsync(this, bytes).Wait();
}
if (args.Length == 3 && args[0] == "GetLastTicks")
{
var ticker = args[1];
var instrum = _instrumTable.GetInstrum(ticker);
if (instrum == null)
{
_core.SendResponseAsync(this, new byte[] { 0xff });
return;
}
int skip;
if (!int.TryParse(args[2], out skip))
{
_core.SendResponseAsync(this, new byte[] { 0xfe }).Wait();
return;
}
var ticks = _tickDisp.GetLastTicks(instrum.InsID, skip);
if (ticks.Length == 0)
{
_core.SendResponseAsync(this, new byte[] { 0x0 }).Wait();
return;
}
AllTradesEncoder encoder = new AllTradesEncoder(instrum.Decimals);
using (MemoryStream ms = new MemoryStream())
{
foreach (var tick in ticks)
{
uint seconds = (uint)(tick.Time.Hour * 60 * 60 + tick.Time.Minute * 60 + tick.Time.Second);
byte[] buf = encoder.AddTick(seconds, tick.Price, tick.Lots);
ms.Write(buf, 0, buf.Length);
}
_core.SendResponseAsync(this, ms.ToArray()).Wait();
}
}
}
private void OnAddRow(int OpenID, int RowID, object Fields)
{
object[] fields = (object[])Fields;
if (_all_trades_table != null && OpenID == _all_trades_table.ID)
{
if (RowID <= _allTrades_lastRowID)
{
return;
}
_allTrades_lastRowID = RowID;
string secboard = Convert.ToString(fields[5]).Trim();
if (secboard != _secBoard)
{
return;
}
string ticker = Convert.ToString(fields[6]).Trim();
long tradeNo = Convert.ToInt64(fields[2]);
DateTime msktime = Convert.ToDateTime(fields[3]).AddHours(_addHours);
if (msktime.TimeOfDay < _startSessionMskTime)
{
msktime = new DateTime(msktime.Year, msktime.Month, msktime.Day, _startSessionMskTime.Hours, _startSessionMskTime.Minutes, _startSessionMskTime.Seconds);
}
if (msktime.TimeOfDay > _endSessionMskTime)
{
msktime = new DateTime(msktime.Year, msktime.Month, msktime.Day, _endSessionMskTime.Hours, _endSessionMskTime.Minutes, _endSessionMskTime.Seconds);
}
int lots = Convert.ToInt32(fields[8]);
double price = Convert.ToDouble(fields[9]);
Common.Data.Instrum ins = _instrumTable.GetInstrum(ticker);
if (ins == null)
{
return;
}
_tickDispatcher.AddTick(new Tick(tradeNo, msktime, ins.InsID, lots, (decimal)price));
}
else if (_securities_table != null && OpenID == _securities_table.ID)
{
if (RowID <= _securities_lastRowID)
{
return;
}
_securities_lastRowID = RowID;
string secboard = Convert.ToString(fields[1]).Trim();
if (secboard != _secBoard)
{
return;
}
string ticker = Convert.ToString(fields[2]).Trim();
string name = Convert.ToString(fields[3]).Trim();
string shortname = Convert.ToString(fields[4]).Trim();
int lotsize = Convert.ToInt32(fields[13]);
decimal pricestep = Convert.ToDecimal(fields[15]);
int decimals = Convert.ToInt32(fields[17]);
_instrumTable.SyncInstrum(ticker, shortname, name, lotsize, decimals, pricestep);
}
else if (_trdacc_table != null && OpenID == _trdacc_table.ID)
{
string account = Convert.ToString(fields[1]).Trim();
string name = Convert.ToString(fields[2]).Trim();
_accountTable.AddAccount(account, name);
}
else if (_orders_table != null && OpenID == _orders_table.ID)
{
var ticker = Convert.ToString(fields[21]).Trim();
var ins = _instrumTable.GetInstrum(ticker);
if (ins == null)
{
return;
}
string accCode = Convert.ToString(fields[19]).Trim();
var acc = _accountTable.GetAccount(accCode);
if (acc == null)
{
return;
}
Order order = new Order();
order.OrderNo = Convert.ToInt64(fields[1]);
order.Time = Convert.ToDateTime(fields[3]).AddHours(_addHours);
order.InsID = ins.InsID;
order.AccountID = acc.AccountID;
var bs = Convert.ToString(fields[12]).Trim();
order.BuySell = bs == "B" ? BuySell.Buy : BuySell.Sell;
order.LotCount = Convert.ToInt32(fields[25]);
order.Price = Convert.ToDecimal(fields[23]);
if (order.Price == 0)
{
order.Price = null;
}
var status = Convert.ToString(fields[10]).Trim();
if (status == "M")
{
order.Status = OrderStatus.Trade;
}
else if (status == "C")
{
order.Status = OrderStatus.EndTime;
}
else if (status == "N")
{
order.Status = OrderStatus.Reject;
}
else if (status == "W")
{
order.Status = OrderStatus.Remove;
}
else
{
order.Status = OrderStatus.Active; // A, O
}
_orderTable.AddOrder(order);
}
else if (_stoporders_table != null && OpenID == _stoporders_table.ID)
{
string secboard = Convert.ToString(fields[4]).Trim();
if (secboard != _secBoard)
{
return;
}
var ticker = Convert.ToString(fields[5]).Trim();
var ins = _instrumTable.GetInstrum(ticker);
if (ins == null)
{
return;
}
string accCode = Convert.ToString(fields[21]).Trim();
var acc = _accountTable.GetAccount(accCode);
if (acc == null)
{
return;
}
StopOrder so = new StopOrder();
so.StopOrderNo = Convert.ToInt64(fields[3]);
so.Time = Convert.ToDateTime(fields[1]).AddHours(_addHours);
so.InsID = ins.InsID;
so.AccountID = acc.AccountID;
var bs = Convert.ToString(fields[6]).Trim();
so.BuySell = bs == "B" ? BuySell.Buy : BuySell.Sell;
var st = Convert.ToString(fields[10]).Trim();
so.StopType = StopOrderType.TakeProfit;
if (st == "L")
{
so.StopType = StopOrderType.StopLoss;
}
else if (st == "P")
{
so.StopType = StopOrderType.TakeProfit;
}
so.AlertPrice = Convert.ToDecimal(fields[13]);
so.Price = Convert.ToDecimal(fields[14]);
if (so.Price == 0)
{
so.Price = null;
}
so.LotCount = Convert.ToInt32(fields[15]);
var status = Convert.ToString(fields[18]).Trim();
if (status == "M")
{
so.Status = StopOrderStatus.Order;
}
else if (status == "E")
{
so.Status = StopOrderStatus.EndTime;
}
else if (status == "R")
{
so.Status = StopOrderStatus.Reject;
}
else if (status == "W")
{
so.Status = StopOrderStatus.Remove;
}
else
{
so.Status = StopOrderStatus.Active; // A, O, space
}
so.EndTime = (DateTime?)fields[11]; // если время не указать, то сначала оно будет null, а потом сработает update, поменяется статус на Активный и время завершения установится на конец торговой сессии
if (so.EndTime != null)
{
so.EndTime = so.EndTime.Value.AddHours(_addHours);
}
_stopOrderTable.AddStopOrder(so, GetCurrentTime());
}
else if (_trades_table != null && OpenID == _trades_table.ID)
{
var ticker = Convert.ToString(fields[6]).Trim();
var ins = _instrumTable.GetInstrum(ticker);
if (ins == null)
{
return;
}
string accCode = Convert.ToString(fields[29]).Trim();
var acc = _accountTable.GetAccount(accCode);
if (acc == null)
{
return;
}
long orderNo = Convert.ToInt64(fields[2]);
Order order = _orderTable.GetOrder(orderNo);
if (order == null)
{
return;
}
Trade trade = new Trade();
trade.TradeNo = Convert.ToInt64(fields[1]);
trade.OrderID = order.OrderID;
trade.Time = Convert.ToDateTime(fields[3]).AddHours(_addHours);
trade.InsID = ins.InsID;
trade.AccountID = acc.AccountID;
var bs = Convert.ToString(fields[8]).Trim();
trade.BuySell = bs == "B" ? BuySell.Buy : BuySell.Sell;
trade.LotCount = Convert.ToInt32(fields[9]);
trade.Price = Convert.ToDecimal(fields[10]);
_tradeTable.AddTrade(trade);
}
else if (_holding_table != null && OpenID == _holding_table.ID)
{
var ticker = Convert.ToString(fields[5]).Trim();
var ins = _instrumTable.GetInstrum(ticker);
if (ins == null)
{
return;
}
var acc = _accountTable.GetDefaultAccount();
if (acc == null)
{
return;
}
int lots = Convert.ToInt32(fields[8]);
_holdingTable.SetHolding(acc.AccountID, ins.InsID, lots);
}
else if (_positions_table != null && OpenID == _positions_table.ID)
{
string accCode = Convert.ToString(fields[2]).Trim();
var acc = _accountTable.GetAccount(accCode);
if (acc == null)
{
return;
}
double pos = Convert.ToDouble(fields[11]);
decimal curPos = (decimal)pos;
_positionTable.SetPosition(acc.AccountID, curPos);
}
}
public IInstrum GetInstrum(string ticker)
{
return(_instrumTable.GetInstrum(ticker));
}
