/// <summary>
/// Сохранить свечи по инструменту в хранилище.
/// </summary>
/// <param name="security">Инструмент.</param>
/// <param name="candles">Свечи.</param>
protected void SaveCandles(HydraTaskSecurity security, IEnumerable <CandleMessage> candles)
{
if (security == null)
{
throw new ArgumentNullException(nameof(security));
}
SaveCandles(security.Security, candles);
}
/// <summary>
/// Сохранить лог заявок по инструменту в хранилище.
/// </summary>
/// <param name="security">Инструмент.</param>
/// <param name="items">Лог заявок.</param>
protected void SaveOrderLog(HydraTaskSecurity security, IEnumerable <ExecutionMessage> items)
{
if (security == null)
{
throw new ArgumentNullException(nameof(security));
}
SaveOrderLog(security.Security, items);
}
/// <summary>
/// Сохранить изменения по инструменту в хранилище.
/// </summary>
/// <param name="security">Инструмент.</param>
/// <param name="messages">Изменения.</param>
protected void SaveLevel1Changes(HydraTaskSecurity security, IEnumerable <Level1ChangeMessage> messages)
{
if (security == null)
{
throw new ArgumentNullException("security");
}
SaveLevel1Changes(security.Security, messages);
}
/// <summary>
/// Проверить, является ли дата торгуемой.
/// </summary>
/// <param name="security">Инструмент.</param>
/// <param name="date">Передаваемая дата, которую необходимо проверить.</param>
/// <returns><see langword="true"/>, если торгуемая дата, иначе, неторгуемая.</returns>
public static bool IsTradeDate(this HydraTaskSecurity security, DateTime date)
{
if (security == null)
{
throw new ArgumentNullException(nameof(security));
}
return(security.Security.Board.IsTradeDate(date.ApplyTimeZone(security.Security.Board.TimeZone), true));
}
/// <summary>
/// Проверить, является ли дата торгуемой.
/// </summary>
/// <param name="security">Инструмент.</param>
/// <param name="date">Передаваемая дата, которую необходимо проверить.</param>
/// <returns><see langword="true"/>, если торгуемая дата, иначе, неторгуемая.</returns>
public static bool IsTradeDate(this HydraTaskSecurity security, DateTime date)
{
if (security == null)
{
throw new ArgumentNullException("security");
}
return(security.Security.Board.WorkingTime.IsTradeDate(date, true));
}
/// <summary>
/// Проверить, включена ли закачка данных тиков для инструмента.
/// </summary>
/// <param name="security">Инструмент.</param>
/// <returns>Результат проверки.</returns>
public static bool IsTicksEnabled(this HydraTaskSecurity security)
{
if (security == null)
{
throw new ArgumentNullException(nameof(security));
}
return(security.DataTypesSet.Contains(DataType.Create(typeof(ExecutionMessage), ExecutionTypes.Tick)));
}
/// <summary>
/// Получить серии свечек.
/// </summary>
/// <param name="security">Инструмент.</param>
/// <returns>Серии свечек.</returns>
public static IEnumerable <DataType> GetCandleSeries(this HydraTaskSecurity security)
{
if (security == null)
{
throw new ArgumentNullException(nameof(security));
}
return(security.DataTypes.Where(t => t.MessageType.IsCandleMessage()));
}
/// <summary>
/// Сохранить стаканы в хранилище.
/// </summary>
/// <param name="security">Инструмент.</param>
/// <param name="depths">Стаканы.</param>
protected void SaveDepths(HydraTaskSecurity security, IEnumerable <QuoteChangeMessage> depths)
{
if (security == null)
{
throw new ArgumentNullException(nameof(security));
}
SaveDepths(security.Security, depths);
}
/// <summary>
/// Проверить, включена ли закачка данных <see cref="Level1ChangeMessage"/> для инструмента.
/// </summary>
/// <param name="security">Инструмент.</param>
/// <returns>Результат проверки.</returns>
public static bool IsLevel1Enabled(this HydraTaskSecurity security)
{
if (security == null)
{
throw new ArgumentNullException(nameof(security));
}
return(security.DataTypesSet.Contains(DataType.Create(typeof(Level1ChangeMessage), null)));
}
/// <summary>
/// Сохранить лог заявок по инструменту в хранилище.
/// </summary>
/// <param name="security">Инструмент.</param>
/// <param name="items">Лог заявок.</param>
protected void SaveOrderLog(HydraTaskSecurity security, IEnumerable <OrderLogItem> items)
{
if (security == null)
{
throw new ArgumentNullException("security");
}
SaveOrderLog(security.Security, items);
}
/// <summary>
/// Сохранить стаканы в хранилище.
/// </summary>
/// <param name="security">Инструмент.</param>
/// <param name="depths">Стаканы.</param>
protected void SaveDepths(HydraTaskSecurity security, IEnumerable <MarketDepth> depths)
{
if (security == null)
{
throw new ArgumentNullException("security");
}
SaveDepths(security.Security, depths);
}
/// <summary>
/// Сохранить свечи по инструменту в хранилище.
/// </summary>
/// <typeparam name="TCandle">Тип свечи.</typeparam>
/// <param name="security">Инструмент.</param>
/// <param name="candles">Свечи.</param>
protected void SaveCandles <TCandle>(HydraTaskSecurity security, IEnumerable <TCandle> candles)
where TCandle : Candle
{
if (security == null)
{
throw new ArgumentNullException("security");
}
SaveCandles(security.Security, candles);
}
/// <summary>
/// Запустить загрузку данных.
/// </summary>
protected override void OnStarting()
{
var connectorSettings = (ConnectorHydraTaskSettings)Settings;
var settings = Connector.ReConnectionSettings;
if (connectorSettings == null)
{
settings.AttemptCount = -1;
settings.ReAttemptCount = -1;
}
else
{
settings.Load(connectorSettings.ReConnectionSettings.Save());
Connector.LogLevel = LogLevel;
}
Adapter = GetAdapter(Connector.TransactionIdGenerator);
_adapter = new BufferMessageAdapter(Adapter);
Connector.Adapter.InnerAdapters.Clear();
Connector.Adapter.InnerAdapters.Add(_adapter);
// если фильтр по инструментам выключен (выбран инструмент все инструменты)
_allSecurity = this.GetAllSecurity();
_securityMap.Clear();
_associatedSecurityCodes.Clear();
if (_allSecurity == null)
{
_securityMap.AddRange(Settings.Securities.ToDictionary(s => s.Security, s => s));
var associatedSecurities = Settings
.Securities
.Where(p => p.Security.Board == ExchangeBoard.Associated)
.DistinctBy(sec => sec.Security.Code);
_associatedSecurityCodes.AddRange(associatedSecurities.ToDictionary(s => s.Security.Code, s => s));
}
_adapter.SendInMessage(new ConnectMessage());
}
/// <summary>
/// Запустить загрузку данных.
/// </summary>
protected override void OnStarting()
{
// если фильтр по инструментам выключен (выбран инструмент все инструменты)
_allSecurity = this.GetAllSecurity();
_securityMap.Clear();
_associatedSecurityCodes.Clear();
if (_allSecurity == null)
{
_securityMap.AddRange(Settings.Securities.ToDictionary(s => s.Security, s => s));
var associatedSecurities = Settings
.Securities
.Where(p => p.Security.Board == ExchangeBoard.Associated)
.DistinctBy(sec => sec.Security.Code);
_associatedSecurityCodes.AddRange(associatedSecurities.ToDictionary(s => s.Security.Code, s => s));
}
Connector.Start();
}
private static bool IsQuandl(HydraTaskSecurity taskSecurity)
{
var security = taskSecurity.Security;
return security.ExtensionInfo.ContainsKey(QuandlHistorySource.SecurityCodeField)
&& security.ExtensionInfo.ContainsKey(QuandlHistorySource.SourceCodeField);
}
private bool DownloadData(HydraTaskSecurity security, Type dataType, object arg, RemoteStorageClient client)
{
var localStorage = StorageRegistry.GetStorage(security.Security, dataType, arg, _settings.Drive, _settings.StorageFormat);
var remoteStorage = client.GetRemoteStorage(security.Security.ToSecurityId(), dataType, arg, _settings.StorageFormat);
var endDate = DateTime.Today - TimeSpan.FromDays(_settings.Offset);
var dates = remoteStorage.Dates.Where(date => date >= _settings.StartFrom && date <= endDate).Except(localStorage.Dates).ToArray();
if (dates.IsEmpty())
{
if (!CanProcess())
return false;
}
else
{
this.AddInfoLog(LocalizedStrings.Str2308Params.Put(dataType.Name));
foreach (var date in dates)
{
if (!CanProcess())
return false;
if (_settings.IgnoreWeekends && !security.IsTradeDate(date))
{
this.AddDebugLog(LocalizedStrings.WeekEndDate, date);
continue;
}
this.AddDebugLog(LocalizedStrings.StartDownloding, dataType, arg, date, security.Security.Id);
using (var stream = remoteStorage.LoadStream(date))
{
if (stream == Stream.Null)
{
this.AddDebugLog(LocalizedStrings.NoData);
continue;
}
this.AddInfoLog(LocalizedStrings.Str2309Params.Put(date));
localStorage.Drive.SaveStream(date, stream);
var info = localStorage.Serializer.CreateMetaInfo(date);
stream.Position = 0;
info.Read(stream);
if (dataType == typeof(Trade))
{
dataType = typeof(ExecutionMessage);
arg = ExecutionTypes.Tick;
}
else if (dataType == typeof(OrderLogItem))
{
dataType = typeof(ExecutionMessage);
arg = ExecutionTypes.OrderLog;
}
else if (dataType.IsSubclassOf(typeof(Candle)))
{
dataType = dataType.ToCandleMessageType();
}
RaiseDataLoaded(security.Security, dataType, arg, date, info.Count);
}
}
}
return true;
}
/// <summary>
/// Сохранить сделки в хранилище.
/// </summary>
/// <param name="security">Инструмент.</param>
/// <param name="trades">Сделки.</param>
protected void SaveTrades(HydraTaskSecurity security, IEnumerable <Trade> trades)
{
SaveTrades(security.Security, trades);
}
private static bool IsMfd(HydraTaskSecurity taskSecurity)
{
var security = taskSecurity.Security;
return security.ExtensionInfo.ContainsKey(MfdHistorySource.MarketIdField)
&& security.ExtensionInfo.ContainsKey(MfdHistorySource.SecurityIdField);
}
/// <summary>
/// Сохранить тиковые сделки в хранилище.
/// </summary>
/// <param name="security">Инструмент.</param>
/// <param name="ticks">Тиковые сделки.</param>
protected void SaveTicks(HydraTaskSecurity security, IEnumerable <ExecutionMessage> ticks)
{
SaveTicks(security.Security, ticks);
}