private static void Client_SpreadReceived(object sender, Events.KrakenDataEventArgs<SpreadMessage> e)
{
// += (sender, e) => Console.WriteLine($"Spread received");
return;
string pair = e.Pair.ToString();
Sec security = Securities.Find(sec => sec.NameInSocket == pair);
DateTime time = new DateTime(1970, 1, 1).AddSeconds(Convert.ToDouble(e.DataMessage.Time));
OsEngine.Entity.MarketDepth depth = new OsEngine.Entity.MarketDepth();
depth.Time = time;
depth.SecurityNameCode = security.NameInRest;
OsEngine.Entity.MarketDepthLevel ask = new OsEngine.Entity.MarketDepthLevel();
ask.Price = e.DataMessage.Ask;
ask.Ask = 1;
OsEngine.Entity.MarketDepthLevel bid = new OsEngine.Entity.MarketDepthLevel();
bid.Price = e.DataMessage.Bid;
bid.Bid = 1;
depth.Asks.Add(ask);
depth.Bids.Add(bid);
if(MarketDepthUpdateEvent != null)
{
MarketDepthUpdateEvent(depth);
}
}
// operation of the flow of drawing glasses
// работа потока прорисовывающего стаканы
/// <summary>
/// draw a glass
/// прорисовать стакан
/// </summary>
private void TryPaintMarketDepth()
{
if (_hostGlass == null)
{
return;
}
MarketDepth depth = _currentMaretDepth;
_currentMaretDepth = null;
if (depth != null)
{
PaintMarketDepth(depth);
}
if (_bid != 0 && _ask != 0)
{
PaintBidAsk(_bid, _ask);
_bid = 0;
_ask = 0;
}
}
// создание свечек из Стакана
public void SetNewMarketDepth(MarketDepth marketDepth)
{
if (_isStarted == false)
{
return;
}
if (_isStoped)
{
return;
}
if (SeriesCreateDataType != CandleSeriesCreateDataType.MarketDepth)
{
return;
}
if (marketDepth.Bids == null ||
marketDepth.Bids.Count == 0 ||
marketDepth.Bids[0].Price == 0)
{
return;
}
if (marketDepth.Asks == null ||
marketDepth.Asks.Count == 0 ||
marketDepth.Asks[0].Price == 0)
{
return;
}
decimal price = marketDepth.Bids[0].Price + (marketDepth.Asks[0].Price - marketDepth.Bids[0].Price) / 2;
UpDateCandle(marketDepth.Time, price, 1, true, Side.UnKnown);
}
// создание свечек из Стакана
public void SetNewMarketDepth(MarketDepth marketDepth)
{
if (_isStarted == false)
{
return;
}
if (_isStoped)
{
return;
}
if (_timeFrameBuilder.CandleMarketDataType != CandleMarketDataType.MarketDepth)
{
return;
}
if (marketDepth.Bids == null ||
marketDepth.Bids.Count == 0 ||
marketDepth.Bids[0].Price == 0)
{
return;
}
if (marketDepth.Asks == null ||
marketDepth.Asks.Count == 0 ||
marketDepth.Asks[0].Price == 0)
{
return;
}
decimal price = marketDepth.Bids[0].Price + (marketDepth.Asks[0].Price - marketDepth.Bids[0].Price) / 2;
UpDateCandle(marketDepth.Time, price, 1, true, Side.None);
}
/// <summary>
/// draw a glass
/// прорисовать стакан
/// </summary>
private void PaintMarketDepth(MarketDepth depth)
{
try
{
_lastMarketDepth = depth;
if (_hostGlass == null || depth == null)
{
return;
}
if (_glassBox.InvokeRequired)
{
_glassBox.Invoke(new Action <MarketDepth>(PaintMarketDepth), depth);
return;
}
if (depth.Bids[0].Bid == 0 ||
depth.Asks[0].Ask == 0)
{
return;
}
decimal maxVol = 0;
decimal allBid = 0;
decimal allAsk = 0;
for (int i = 0; depth.Bids != null && i < 25; i++)
{
if (i < depth.Bids.Count)
{
_glassBox.Rows[25 + i].Cells[2].Value = depth.Bids[i].Price.ToStringWithNoEndZero();
_glassBox.Rows[25 + i].Cells[3].Value = depth.Bids[i].Bid.ToStringWithNoEndZero();
if (depth.Bids[i].Bid > maxVol)
{
maxVol = depth.Bids[i].Bid;
}
allAsk += depth.Bids[i].Bid;
}
else if (_glassBox.Rows[25 + i].Cells[2].Value != null)
{
_glassBox.Rows[25 + i].Cells[0].Value = null;
_glassBox.Rows[25 + i].Cells[1].Value = null;
_glassBox.Rows[25 + i].Cells[2].Value = null;
_glassBox.Rows[25 + i].Cells[3].Value = null;
}
}
for (int i = 0; depth.Asks != null && i < 25; i++)
{
if (i < depth.Asks.Count)
{
_glassBox.Rows[24 - i].Cells[2].Value = depth.Asks[i].Price.ToStringWithNoEndZero();
_glassBox.Rows[24 - i].Cells[3].Value = depth.Asks[i].Ask.ToStringWithNoEndZero();
if (depth.Asks[i].Ask > maxVol)
{
maxVol = depth.Asks[i].Ask;
}
allBid += depth.Asks[i].Ask;
}
else if (_glassBox.Rows[24 - i].Cells[2].Value != null)
{
_glassBox.Rows[24 - i].Cells[2].Value = null;
_glassBox.Rows[24 - i].Cells[3].Value = null;
_glassBox.Rows[24 - i].Cells[0].Value = null;
_glassBox.Rows[24 - i].Cells[1].Value = null;
}
}
// volume in sticks for ask
// объём в палках для аска
for (int i = 0; depth.Bids != null && i < 25 && i < depth.Bids.Count; i++)
{
int percentFromMax = Convert.ToInt32(depth.Bids[i].Bid / maxVol * 50);
if (percentFromMax == 0)
{
percentFromMax = 1;
}
StringBuilder builder = new StringBuilder(percentFromMax);
for (int i2 = 0; i2 < percentFromMax; i2++)
{
builder.Append('|');
}
_glassBox.Rows[25 + i].Cells[1].Value = builder;
}
// volume in bid sticks
// объём в палках для бида
for (int i = 0; depth.Asks != null && i < 25 && i < depth.Asks.Count; i++)
{
int percentFromMax = Convert.ToInt32(depth.Asks[i].Ask / maxVol * 50);
if (percentFromMax == 0)
{
percentFromMax = 1;
}
StringBuilder builder = new StringBuilder(percentFromMax);
for (int i2 = 0; i2 < percentFromMax; i2++)
{
builder.Append('|');
}
_glassBox.Rows[24 - i].Cells[1].Value = builder;
}
decimal maxSeries;
if (allAsk > allBid)
{
maxSeries = allAsk;
}
else
{
maxSeries = allBid;
}
// volume cumulative for ask
// объём комулятивный для аска
decimal summ = 0;
for (int i = 0; depth.Bids != null && i < 25 && i < depth.Bids.Count; i++)
{
summ += depth.Bids[i].Bid;
int percentFromMax = Convert.ToInt32(summ / maxSeries * 50);
if (percentFromMax == 0)
{
percentFromMax = 1;
}
StringBuilder builder = new StringBuilder(percentFromMax);
for (int i2 = 0; i2 < percentFromMax; i2++)
{
builder.Append('|');
}
_glassBox.Rows[25 + i].Cells[0].Value = builder;
}
// volume is cumulative for bids
// объём комулятивный для бида
summ = 0;
for (int i = 0; depth.Asks != null && i < 25 && i < depth.Asks.Count; i++)
{
summ += depth.Asks[i].Ask;
int percentFromMax = Convert.ToInt32(summ / maxSeries * 50);
if (percentFromMax == 0)
{
percentFromMax = 1;
}
StringBuilder builder = new StringBuilder(percentFromMax);
for (int i2 = 0; i2 < percentFromMax; i2++)
{
builder.Append('|');
}
_glassBox.Rows[24 - i].Cells[0].Value = builder;
}
// _glassBox.Refresh();
}
catch (Exception error)
{
//SendNewLogMessage(error.ToString(), LogMessageType.Error);
}
}
/// <summary>
/// to send a glass to draw
/// отправить стакан на прорисовку
/// </summary>
public void ProcessMarketDepth(MarketDepth depth)
{
_currentMaretDepth = depth;
}
private void MarketDepthSpreadAnaliser_MarketDepthUpdateEvent(MarketDepth obj)
{
if (Tabs.Count < 2)
{
return;
}
foreach (var tab in Tabs)
{
if (!tab.IsConnected)
{
return;
}
if (tab.MarketDepth == null)
{
return;
}
if (tab.MarketDepth.Asks == null || tab.MarketDepth.Asks.Count == 0)
{
return;
}
if (tab.MarketDepth.Bids == null || tab.MarketDepth.Bids.Count == 0)
{
return;
}
if (tab.PriceBestBid == 0 || tab.PriceBestAsk == 0)
{
return;
}
if (tab.CandlesAll == null || tab.CandlesAll.Count == 0)
{
return;
}
//если сильный спрэд то возможно ошибка в данных
if ((tab.PriceBestAsk - tab.PriceBestBid) / tab.PriceBestBid > 0.005m)
{
return;
}
if ((tab.PriceBestAsk - tab.CandlesAll[tab.CandlesAll.Count - 1].Close) / tab.CandlesAll[tab.CandlesAll.Count - 1].Close > MaxSpread)
{
return;
}
if ((tab.CandlesAll[tab.CandlesAll.Count - 1].Close - tab.PriceBestBid) / tab.PriceBestBid > MaxSpread)
{
return;
}
}
lock (_locker)
{
//CalcIndex();
//CalcChanges();
decimal NewSpread = CalcSpread();
NewSpread = Math.Round(NewSpread, 2);
if (Spread != NewSpread)
{
if (SpreadChangeEvent != null)
{
SpreadChangeEvent(NewSpread);
}
Spread = NewSpread;
}
decimal NewProfit = 0;
if (!CanChange)
{
NewProfit = GetProfitPersent();
NewProfit = Math.Round(NewProfit, 2);
if (Profit != NewProfit)
{
if (SpreadChangeEvent != null)
{
ProfitChangeEvent(NewProfit);
}
Profit = NewProfit;
}
}
}
}