public bool IsNewData(CRawDeal rd)
{
DateTime rd_date = CUtilTime.NormalizeDay(rd.Moment.Date);
if (!this.ContainsKey("M1"))
{
return(true);
}
if (!this["M1"].ContainsKey(rd_date))
{
return(true);
}
if (this["M1"][rd_date].ListTimeFrameInfo.Count == 0)
{
return(true);
}
DateTime dt = this["M1"][rd_date].ListTimeFrameInfo.Last().Dt;//.AddMinutes(1);
if (rd.Moment > dt)
{
return(true);
}
return(false);
}
/*
* public void WriteTFToFile(CTimeFrameArray tfa, EnmTF TF, DateTime dt)
* {
*
* CreateDirectoriesIfNeed();
* ArrM1.FileName = GetFileName(EnmTF.M1, dt); //TO DO split
* CSerializator.Write<CTimeFrameArray>(ref ArrM1);
*
* }
*/
public void CheckTFAnalyzerOnline(CRawDeal rd)
{
if (!Plaza2Connector.IsAnalyzerTFOnline)
{
if ((Plaza2Connector.ServerTime - rd.Moment).TotalSeconds < 1)
{
Plaza2Connector.IsAnalyzerTFOnline = true;
}
}
//first - the moment when we build candle array
//and set IsTimeToInitCandle
if (!Plaza2Connector.IsTimeToInitCandles)
{
if ((Plaza2Connector.ServerTime - rd.Moment).TotalHours < 1)
{
Plaza2Connector.IsTimeToInitCandles = true;
}
}
//now we trigger once load tf array
if (Plaza2Connector.IsTimeToInitCandles && !this._wasStartedCreateTimeArray)
{
_wasStartedCreateTimeArray = true;
CreateCandlesArrays();
}
}
private void ProcessTradeExecute(string inpInstrWithPrefix, JArray jarrTe)
{
string instrument = CBfxUtils.RemoveFirstT(inpInstrWithPrefix);
int decimalVolume = GetDecimalVolume(instrument);
long lngMilis = (long)jarrTe[1];
decimal dcmlAmountRaw = (decimal)jarrTe[2];
decimal dcmlAmount = Math.Abs(dcmlAmountRaw);
decimal dcmlPrice = (decimal)jarrTe[3];
long amount = CUtilConv.GetIntVolume(dcmlAmount, decimalVolume);
//2018-02-22
//Amount is too small. Not possible to understand how it
//could be. Was seen on LTC. For now just ignore these trades
if (amount == 0)
{
return;
}
DateTime dt = CUtilTime.DateTimeFromUnixTimestampMillis(lngMilis);
CRawDeal rd = new CRawDeal {
Amount = amount,
Price = dcmlPrice,
Moment = dt
};
if (dcmlAmountRaw > 0)
{
rd.Id_ord_buy = 1;
}
else
{
rd.Id_ord_sell = 1;
}
_client.UpdateDeal(instrument, rd);
/* DateTime dtCurr = DateTime.Now;
* double ddt = (dtCurr - dt).TotalSeconds;
*
* if (ddt != 00)
* Thread.Sleep(0);
*
*/
}
protected override void ProcessRecord()
{
int hr, mn, s;
try
{
string instrument = (string)_currentRecord.values["SECCODE"];
if (_instruments.IsContainsInstrument(instrument))
{
decimal price = Convert.ToDecimal(_currentRecord.values["PRICE"]);
string buySell = _currentRecord.values["BUYSELL"].ToString();
long amount = Convert.ToInt32(_currentRecord.values["QUANTITY"].ToString());
string tradeTime = (_currentRecord.values["TRADETIME"]).ToString();
CASTSConv.ASTSTimeToHrMinSec(tradeTime, out hr, out mn, out s);
double dmilisec = 0;
if (_currentRecord.values["MICROSECONDS"] != null)
{
dmilisec = Math.Ceiling(Convert.ToDouble(_currentRecord.values["MICROSECONDS"].ToString()) / 1000);
dmilisec = Math.Min(999, dmilisec);
}
int milisec = Convert.ToInt16(dmilisec);
//TODO use server time !
DateTime dt = DateTime.Now;
DateTime moment = new DateTime(dt.Year, dt.Month, dt.Day, hr, mn, s, milisec);
// moment = moment.AddHours(-2);
CRawDeal rd = new CRawDeal(amount, price, buySell, moment);
_dealBox.Update(instrument, rd);
if (!_client.IsDealsOnline)
{
_client.IsDealsOnline = true;
_client.EvDealsOnline.Set();
}
}
}
catch (Exception e)
{
Error("CTableAll_Trades.ProcessRecord", e);
}
finally
{
base.ProcessRecord();
}
}
public void CheckDataOnline(CRawDeal currRD)
{
if (!this.IsOnlineData && Plaza2Connector.IsDealsOnline)
{
if (currRD.ReplID == Plaza2Connector.DealBox.DealsStruct[m_isin].LastRcvRD.ReplID)
{
this.IsOnlineData = true;
}
}
}
public void AnalyzeOnlineData(CRawDeal rd)
{
try
{
if (m_timerWriteFiles == null)
{
m_timerWriteFiles = new CTimer(5000, new Action(m_dictTFArray.WriteAllDataToDisk), true);
}
CheckTFAnalyzerOnline(rd);
if (m_prevDeal == null && m_currDeal == null)
{
m_currDeal = rd;
CTimeFrameInfo tfi = m_dictTFArray.GetLatestTFI();
if (tfi != null)
{
m_prevDeal = new CRawDeal(tfi);
}
else
{
m_prevDeal = rd;
return;
}
}
m_prevDeal = m_currDeal;
m_currDeal = rd;
//if data old do not analyze it
if (!m_dictTFArray.IsNewData(rd))
{
return;
}
AnalyzeOnlineM1((CRawDeal)rd.Copy(), m_prevDeal);
/*
* if (m_dictTFArray.IsTimeToWrite(EnmTF.M1))
* {
*
* (new System.Threading.Tasks.Task(() => m_dictTFArray.WriteAllDataToDisk())).Start();
* }
*
*/
}
catch (Exception e)
{
Error("Error AnalyzeData", e);
}
}
public void SimUpdateDeals(CRawDeal dealInp)
{
try
{
int isin_id = (int)dealInp.Isin_id;
string isin = _client.Instruments.GetInstrumentByIsinId(isin_id);
//TODO normal
// if (m_dealsStructList.ContainsKey(isin))
m_dealsStructList[isin].Update(dealInp);
}
catch (Exception e)
{
Error("CDealsBox.SimUpdateDeals", e);
}
}
private void ThreadAnalyzeOnline()
{
const int MAX_COUNT = 10000;
// foreach (CRawDeal rd in m_blkColRowDeals.GetConsumingEnumerable())
while (true)
{
CRawDeal rd = m_bqRawDeals.GetElementBlocking();
/* if (m_blkColRowDeals.Count > MAX_COUNT)
* Plaza2Connector.Error("ThreadAnalyzeOnline > MAX_COUNT. "+m_isin+
* " count="+m_blkColRowDeals.Count);
*/
AnalyzeOnlineData(rd);
}
}
private void ParseDealsLine(string st)
{
if (!st.Contains("replID"))
{
return;
}
DateTime dt = GetDateTimeDoub(st);
CRawDeal rawDeal = GetRawDeal(st);
_listData.Add(new CDataElement()
{
Dt = dt,
RawDeal = rawDeal
}
);
}
public void UpdateDeal(string instrument, CRawDeal rd)
{
_dealBoxCrypto.Update(instrument, rd);
}
private CRawDeal GetRawDeal(string st)
{
string [] res = st.Split(' ');
CRawDeal rd = new CRawDeal();
rd.Moment = GetDateTimeP2(st);
foreach (var s in res.ToList())
{
string [] r = s.Split('=');
if (r.Length <= 1)
{
continue;
}
if (r[0].Contains("replID"))
{
rd.ReplID = Convert.ToInt64(r[1]);
}
else if (r[0].Contains("replRev"))
{
rd.ReplRev = Convert.ToInt64(r[1]);
}
else if (r[0].Contains("id_deal"))
{
rd.Id_deal = Convert.ToInt64(r[1]);
}
else if (r[0].Contains("isin_id"))
{
rd.Isin_id = Convert.ToInt64(r[1]);
}
else if (r[0].Contains("amount"))
{
rd.Amount = Convert.ToInt64(r[1]);
}
else if (r[0].Contains("id_ord_buy"))
{
rd.Id_ord_buy = Convert.ToInt64(r[1]);
}
else if (r[0].Contains("ord_sell")) //note: incorrect in log
{
rd.Id_ord_sell = Convert.ToInt64(r[1]);
}
else if (r[0].Contains("pos")) //note: incorrect in log
{
rd.Pos = Convert.ToInt32(r[1]);
}
else if (r[0].Contains("price")) //note: incorrect in log
{
rd.Price = Convert.ToDecimal(r[1]);
}
}
/* Regex newReg = new Regex(@"replID=([0-9]{11})\sid_deal=([0-9])");
* Match m = newReg.Match(st);
*
* if (m.Groups.Count <= 1)
* throw new ApplicationException("GetRawDeal");
*
*/
return(rd);
}
public void UpdateDeal(string instrument, CRawDeal rd)
{
}
public void Update(string instrument, CRawDeal rd)
{
m_dealsStructList[instrument].Update(rd);
}
private void AnalyzeOnlineM1(CRawDeal rd, CRawDeal prevDeal)
{
DateTime dtTill = rd.Moment.AddSeconds(-rd.Moment.Second);
dtTill = dtTill.AddMilliseconds(-dtTill.Millisecond);
if (!m_dictTFArray.IsContainTimeFrameInfo(EnmTF.M1, dtTill))
{
m_dictTFArray.AddNewTimeFrameInfo(m_isin, EnmTF.M1, dtTill, this);
}
CTimeFrameInfo tfi = m_dictTFArray.GetLastTimeFrameInfo(EnmTF.M1);
DateTime currMoment = rd.Moment;
CRawDeal currRd = rd;
//changed 2016/08/01
//only if changed extremum do recalc
bool bChangedExtr = false;
if (rd.ReplID > tfi.LastReplId)
{
tfi.LastReplId = rd.ReplID;
tfi.OpenedPos = rd.Pos;
tfi.Volume += rd.Amount;
tfi.numOfDeals++;
if (currRd.Price > tfi.HighPrice)
{
bChangedExtr = true;;
tfi.HighPrice = currRd.Price;
}
if (currRd.Price < tfi.LowPrice)
{
bChangedExtr = true;
tfi.LowPrice = currRd.Price;
}
tfi.LastUpdate = rd.Moment;
if (!tfi.bProcessedData)
{
tfi.OpenPrice = rd.Price;
tfi.bProcessedData = true;
}
tfi.ClosePrice = rd.Price;
DateTime dtcnd = CUtilTime.NormalizeDay(dtTill);
CheckTFIConsistent(tfi);
// sw5.Stop();
//Plaza2Connector.GUIBox.GUICandleBox.UpdateCandle(this.m_isin, EnmTF.M1.ToString(), dtcnd.ToString(), tfi);
Plaza2Connector.GUIBox.GUICandleBox.QueueTFinfo(this.m_isin, EnmTF.M1.ToString(), dtcnd.ToString(), tfi);
}
// TrapError(m_dictTFArray["M1"][CUtil.NormalizeDay(tfi.Dt)]);
CheckDataOnline(rd);
if (Plaza2Connector.IsDealsOnline)
{
//changed 2016/08/01
//only if changed extremum do recalc
if (bChangedExtr)
{
TriggerRecalcAllBotsUpdateTF(EnmTF.M1, tfi);
}
DateTime dtTmp = Plaza2Connector.ServerTime;
DateTime dtFrom = new DateTime(0);
DateTime dtTo = new DateTime(0);
CTimeFrameInfo tfiPrev = m_dictTFArray.GetPrevLastTimeFrameInfo(EnmTF.M1);
if (CUtilTF.WasClose_M1_TF(prevDeal.Moment, rd.Moment))
{
Log("M1 was closed prevDeal.Moment=" + prevDeal.Moment + " rd.Moment=" + rd.Moment);
if (Plaza2Connector.IsAnalyzerTFOnline)
{
TriggerRecalcAllBotsChangedTF(EnmTF.M1, tfiPrev);
}
}
}
AnalyzeOnlineTF(CUtilTF./*(IsClosed_M5_M15_M30_TF*/ WasClosed_M5_M15_M30_TF, m_M5_scale, EnmTF.M5, EnmTF.M1, prevDeal, rd);
AnalyzeOnlineTF(CUtilTF./*IsClosed_M5_M15_M30_TF*/ WasClosed_M5_M15_M30_TF, m_M15_scale, EnmTF.M15, EnmTF.M5, prevDeal, rd);
AnalyzeOnlineTF(CUtilTF./*IsClosed_M5_M15_M30_TF*/ WasClosed_M5_M15_M30_TF, m_M30_scale, EnmTF.M30, EnmTF.M15, prevDeal, rd);
AnalyzeOnlineTF(CUtilTF./*IsClosed_H1*/ WasClosed_H1, m_M30_scale, EnmTF.H1, EnmTF.M30, prevDeal, rd);
AnalyzeOnlineTF(CUtilTF./*IsClosed_D1*/ WasClosed_D1, m_M30_scale, EnmTF.D1, EnmTF.H1, prevDeal, rd);
CTimeFrameInfo TFinfo_D1 = m_dictTFArray.GetLastTimeFrameInfo(EnmTF.D1);
LowDayPrice = TFinfo_D1.LowPrice;
HighDayPrice = TFinfo_D1.HighPrice;
}
private void AnalyzeOnlineTF(ChangedTF changedTF, List <int> lstScale, EnmTF TF_high, EnmTF TF_low, CRawDeal prevDeal, CRawDeal currDeal)
{
DateTime dtPrev = prevDeal.Moment;
DateTime dtCurr = currDeal.Moment;
//Get last high TF
CTimeFrameInfo TFinfo_low = m_dictTFArray.GetLastTimeFrameInfo(TF_low);
/* if (!TFinfo_low.bNotProcessedData)
* return;
*/
DateTime dtFrom = new DateTime(0);
DateTime dtTo = new DateTime(0);
bool b_wasChangedTF = changedTF(prevDeal.Moment, currDeal.Moment, lstScale, ref dtFrom, ref dtTo);
if (!m_dictTFArray.IsContainTimeFrameInfo(TF_high, /*dtFrom*/ dtTo))
{
m_dictTFArray.AddNewTimeFrameInfo(m_isin, TF_high, /*dtFrom*/ dtTo, this);
}
CTimeFrameInfo TFinfo_low_prev = m_dictTFArray.GetPrevLastTimeFrameInfo(TF_low);
CTimeFrameInfo TFinfo_high_prev = m_dictTFArray.GetPrevLastTimeFrameInfo(TF_high);
CTimeFrameInfo TFinfo_high = m_dictTFArray.GetLastTimeFrameInfo(TF_high);
bool bChangedExtr = false;
if (currDeal.ReplID > TFinfo_high.LastReplId)
{
TFinfo_high.numOfDeals++;
TFinfo_high.Volume += currDeal.Amount;
TFinfo_high.OpenedPos = currDeal.Pos;
//changed 2016/08/01
//only if changed extremum do recalc
if (TFinfo_high.HighPrice < TFinfo_low.HighPrice)
{
TFinfo_high.HighPrice = currDeal.Price;
bChangedExtr = true;
}
if (TFinfo_high.LowPrice > TFinfo_low.LowPrice)
{
TFinfo_high.LowPrice = currDeal.Price;
bChangedExtr = true;
}
TFinfo_high.LastReplId = currDeal.ReplID;
TFinfo_high.LastUpdate = DateTime.Now;
if (!TFinfo_high.bProcessedData)
{
TFinfo_high.OpenPrice = TFinfo_low.OpenPrice;
TFinfo_high.bProcessedData = true;
}
//KAA 2015-12-23
//because low TF was already updated
// if (!b_wasChangedTF)
TFinfo_high.ClosePrice = TFinfo_low.ClosePrice;
// else
// TFinfo_high.ClosePrice = TFinfo_low_prev.ClosePrice; //TFinfo_low.ClosePrice;
DateTime dtcnd = CUtilTime.NormalizeDay(dtFrom);
// Plaza2Connector.GUIBox.GUICandleBox.UpdateCandle(this.m_isin, TF_high.ToString(), dtcnd.ToString(), TFinfo_high);
Plaza2Connector.GUIBox.GUICandleBox.QueueTFinfo(this.m_isin, TF_high.ToString(), dtcnd.ToString(), TFinfo_high);
//changed 2016/08/01
//only if changed extremum do recalc
if (bChangedExtr)
{
TriggerRecalcAllBotsUpdateTF(TF_high, TFinfo_high);
}
if (b_wasChangedTF)
{
Log(TF_high.ToString() + " TFinfo_high.Dt=" + TFinfo_high.Dt.ToString() + " was closed prevDeal.Moment=" + prevDeal.Moment + " currDeal.Moment=" + currDeal.Moment + " TFinfo_high.ClosePrice=" + TFinfo_high.ClosePrice +
" TFinfo_low_prev.ClosePrice=" + TFinfo_low_prev.ClosePrice + " TFinfo_low_prev.Dt =" + TFinfo_low_prev.Dt);
if (Plaza2Connector.IsDealsOnline && Plaza2Connector.IsAnalyzerTFOnline)
{
TriggerRecalcAllBotsChangedTF(TF_high, TFinfo_high_prev);
}
}
}
else
{
}
// TrapError(m_dictTFArray[TF_high.ToString()][CUtil.NormalizeDay(dtFrom)]);
int tmp = 1;
}
public void AddNewDeal(CRawDeal rd)
{
DelayIfLargMemUsage();
//m_blkColRowDeals.Add(rd);
m_bqRawDeals.Add(rd);
}
