public Worker()
{
storage = new StorageRegistry();
securityStorage = storage.GetSecurityStorage();
connectors = new List<IQFeedTrader>();
}
public HydraServer(IStorageRegistry storageRegistry, IEntityRegistry entityRegistry, IEnumerable<IHydraTask> tasks)
: base(storageRegistry, entityRegistry)
{
if (tasks == null)
throw new ArgumentNullException(nameof(tasks));
_tasks = tasks;
}
private void ConvertDirectory(string path, IStorageRegistry registry, StorageFormats format, ExchangeBoard board)
{
if (!_isStarted)
return;
Directory.GetFiles(path, "*.qsh").ForEach(f => ConvertFile(f, registry, format, board));
Directory.GetDirectories(path).ForEach(d => ConvertDirectory(d, registry, format, board));
}
/// <summary>
/// Initializes a new instance of the <see cref="StorageEntityFactory"/>.
/// </summary>
/// <param name="entityRegistry">The storage of trade objects.</param>
/// <param name="storageRegistry">The storage of market data.</param>
public StorageEntityFactory(IEntityRegistry entityRegistry, IStorageRegistry storageRegistry)
{
if (entityRegistry == null)
throw new ArgumentNullException("entityRegistry");
if (storageRegistry == null)
throw new ArgumentNullException("storageRegistry");
_entityRegistry = entityRegistry;
_storageRegistry = storageRegistry;
_securityStorage = storageRegistry.GetSecurityStorage();
_securities = _securityStorage.LookupAll()
.ToDictionary(s => s.Id, s => s, StringComparer.InvariantCultureIgnoreCase);
}
private void ConvertFile(string fileName, IStorageRegistry registry, StorageFormats format, ExchangeBoard board, string securityLike, Dictionary <SecurityId, IOrderLogMarketDepthBuilder> orderLog2OrderBookBuilders, int orderBookMaxDepth)
{
if (!_isStarted)
{
return;
}
var fileNameKey = format + "_" + fileName;
if (_convertedFiles.Contains(fileNameKey))
{
return;
}
_logManager.Application.AddInfoLog("Начата конвертация файла {0}.", fileName);
var securitiesStrings = securityLike.Split(",");
var data = new Dictionary <BusinessEntities.Security, Tuple <List <QuoteChangeMessage>, List <ExecutionMessage>, List <Level1ChangeMessage>, List <ExecutionMessage> > >();
using (var qr = QshReader.Open(fileName))
{
var reader = qr;
var currentDate = qr.CurrentDateTime;
for (var i = 0; i < qr.StreamCount; i++)
{
var stream = (ISecurityStream)qr[i];
var security = GetSecurity(stream.Security, board);
var priceStep = security.PriceStep ?? 1;
var securityId = security.ToSecurityId();
var lastTransactionId = 0L;
var builder = orderLog2OrderBookBuilders?.SafeAdd(securityId, key => new PlazaOrderLogMarketDepthBuilder(key));
if (securitiesStrings.Length > 0)
{
var secCode = securityId.SecurityCode;
var streamContainsSecurityFromMask = securitiesStrings.Any(mask =>
{
var isEndMulti = mask.EndsWith("*");
var isStartMulti = mask.StartsWith("*");
if (isStartMulti)
{
mask = mask.Substring(1);
}
if (isEndMulti)
{
mask = mask.Substring(0, mask.Length - 1);
}
if (isEndMulti)
{
if (isStartMulti)
{
return(secCode.ContainsIgnoreCase(mask));
}
else
{
return(secCode.StartsWith(mask, StringComparison.InvariantCultureIgnoreCase));
}
}
else if (isStartMulti)
{
return(secCode.EndsWith(mask, StringComparison.InvariantCultureIgnoreCase));
}
else
{
return(secCode.CompareIgnoreCase(mask));
}
});
if (!streamContainsSecurityFromMask)
{
continue;
}
}
var secData = data.SafeAdd(security, key => Tuple.Create(new List <QuoteChangeMessage>(), new List <ExecutionMessage>(), new List <Level1ChangeMessage>(), new List <ExecutionMessage>()));
switch (stream.Type)
{
case StreamType.Quotes:
{
((IQuotesStream)stream).Handler += (key, quotes, spread) =>
{
var quotes2 = quotes.Select(q =>
{
Sides side;
switch (q.Type)
{
case QuoteType.Unknown:
case QuoteType.Free:
case QuoteType.Spread:
throw new ArgumentException(q.Type.ToString());
case QuoteType.Ask:
case QuoteType.BestAsk:
side = Sides.Sell;
break;
case QuoteType.Bid:
case QuoteType.BestBid:
side = Sides.Buy;
break;
default:
throw new ArgumentOutOfRangeException();
}
return(new QuoteChange(side, priceStep * q.Price, q.Volume));
}).ToArray();
var md = new QuoteChangeMessage
{
LocalTime = reader.CurrentDateTime.ApplyTimeZone(TimeHelper.Moscow),
SecurityId = securityId,
ServerTime = currentDate.ApplyTimeZone(TimeHelper.Moscow),
Bids = quotes2.Where(q => q.Side == Sides.Buy),
Asks = quotes2.Where(q => q.Side == Sides.Sell),
};
//if (md.Verify())
//{
secData.Item1.Add(md);
TryFlushData(registry, security, format, null, secData.Item1, reader);
//}
//else
// _logManager.Application.AddErrorLog("Стакан для {0} в момент {1} не прошел валидацию. Лучший бид {2}, Лучший офер {3}.", security, qr.CurrentDateTime, md.BestBid, md.BestAsk);
};
break;
}
case StreamType.Deals:
{
((IDealsStream)stream).Handler += deal =>
{
secData.Item2.Add(new ExecutionMessage
{
LocalTime = reader.CurrentDateTime.ApplyTimeZone(TimeHelper.Moscow),
HasTradeInfo = true,
ExecutionType = ExecutionTypes.Tick,
SecurityId = securityId,
OpenInterest = deal.OI == 0 ? (long?)null : deal.OI,
ServerTime = deal.DateTime.ApplyTimeZone(TimeHelper.Moscow),
TradeVolume = deal.Volume,
TradeId = deal.Id == 0 ? (long?)null : deal.Id,
TradePrice = deal.Price,
OriginSide =
deal.Type == DealType.Buy
? Sides.Buy
: (deal.Type == DealType.Sell ? Sides.Sell : (Sides?)null)
});
TryFlushData(registry, security, format, ExecutionTypes.Tick, secData.Item2, reader);
};
break;
}
case StreamType.OrdLog:
{
((IOrdLogStream)stream).Handler += (key, ol) =>
{
var currTransactionId = ol.DateTime.Ticks;
if (lastTransactionId < currTransactionId)
{
lastTransactionId = currTransactionId;
}
else if (lastTransactionId >= currTransactionId)
{
lastTransactionId++;
}
var msg = new ExecutionMessage
{
LocalTime = reader.CurrentDateTime.ApplyTimeZone(TimeHelper.Moscow),
ExecutionType = ExecutionTypes.OrderLog,
SecurityId = securityId,
OpenInterest = ol.OI == 0 ? (long?)null : ol.OI,
OrderId = ol.OrderId,
OrderPrice = priceStep * ol.Price,
ServerTime = ol.DateTime.ApplyTimeZone(TimeHelper.Moscow),
OrderVolume = ol.Amount,
Balance = ol.AmountRest,
TradeId = ol.DealId == 0 ? (long?)null : ol.DealId,
TradePrice = ol.DealPrice == 0 ? (decimal?)null : priceStep * ol.DealPrice,
TransactionId = lastTransactionId
};
var status = 0;
if (ol.Flags.Contains(OrdLogFlags.Add))
{
msg.OrderState = OrderStates.Active;
}
else if (ol.Flags.Contains(OrdLogFlags.Fill))
{
msg.OrderState = OrderStates.Done;
}
else if (ol.Flags.Contains(OrdLogFlags.Canceled))
{
msg.OrderState = OrderStates.Done;
status |= 0x200000;
}
else if (ol.Flags.Contains(OrdLogFlags.CanceledGroup))
{
msg.OrderState = OrderStates.Done;
status |= 0x400000;
}
else if (ol.Flags.Contains(OrdLogFlags.Moved))
{
status |= 0x100000;
}
if (ol.Flags.Contains(OrdLogFlags.Buy))
{
msg.Side = Sides.Buy;
}
else if (ol.Flags.Contains(OrdLogFlags.Sell))
{
msg.Side = Sides.Sell;
}
if (ol.Flags.Contains(OrdLogFlags.FillOrKill))
{
msg.TimeInForce = TimeInForce.MatchOrCancel;
status |= 0x00080000;
}
if (ol.Flags.Contains(OrdLogFlags.Quote))
{
msg.TimeInForce = TimeInForce.PutInQueue;
status |= 0x01;
}
if (ol.Flags.Contains(OrdLogFlags.Counter))
{
status |= 0x02;
}
if (ol.Flags.Contains(OrdLogFlags.CrossTrade))
{
status |= 0x20000000;
}
if (ol.Flags.Contains(OrdLogFlags.NonSystem))
{
msg.IsSystem = false;
status |= 0x04;
}
if (ol.Flags.Contains(OrdLogFlags.EndOfTransaction))
{
status |= 0x1000;
}
msg.OrderStatus = status;
if (builder == null)
{
secData.Item4.Add(msg);
TryFlushData(registry, security, format, ExecutionTypes.OrderLog, secData.Item4, reader);
}
else
{
//if (builder.Depth.Bids.Any() || builder.Depth.Asks.Any() || msg.ServerTime.TimeOfDay >= new TimeSpan(0, 18, 45, 00, 1))
{
bool updated;
try
{
updated = builder.Update(msg);
}
catch
{
updated = false;
}
if (updated)
{
secData.Item1.Add(new QuoteChangeMessage
{
SecurityId = securityId,
ServerTime = builder.Depth.ServerTime,
Bids = builder.Depth.Bids.Take(orderBookMaxDepth).ToArray(),
Asks = builder.Depth.Asks.Take(orderBookMaxDepth).ToArray(),
IsSorted = builder.Depth.IsSorted,
LocalTime = builder.Depth.LocalTime,
});
TryFlushData(registry, security, format, null, secData.Item1, reader);
}
}
}
};
break;
}
case StreamType.AuxInfo:
{
((IAuxInfoStream)stream).Handler += (key, info) =>
{
secData.Item3.Add(new Level1ChangeMessage
{
LocalTime = reader.CurrentDateTime.ApplyTimeZone(TimeHelper.Moscow),
SecurityId = securityId,
ServerTime = info.DateTime.ApplyTimeZone(TimeHelper.Moscow),
}
.TryAdd(Level1Fields.LastTradePrice, priceStep * info.Price)
.TryAdd(Level1Fields.BidsVolume, (decimal)info.BidTotal)
.TryAdd(Level1Fields.AsksVolume, (decimal)info.AskTotal)
.TryAdd(Level1Fields.HighPrice, priceStep * info.HiLimit)
.TryAdd(Level1Fields.LowPrice, priceStep * info.LoLimit)
.TryAdd(Level1Fields.OpenInterest, (decimal)info.OI));
TryFlushData(registry, security, format, null, secData.Item3, reader);
};
break;
}
case StreamType.OwnOrders:
case StreamType.OwnTrades:
case StreamType.Messages:
case StreamType.None:
{
continue;
}
default:
throw new ArgumentOutOfRangeException("Неподдерживаемый тип потока {0}.".Put(stream.Type));
}
}
if (data.Count > 0)
{
while (qr.CurrentDateTime != DateTime.MaxValue && _isStarted)
{
qr.Read(true);
}
}
}
if (!_isStarted)
{
return;
}
foreach (var pair in data)
{
if (pair.Value.Item1.Any())
{
registry.GetQuoteMessageStorage(pair.Key, format: format).Save(pair.Value.Item1);
}
if (pair.Value.Item2.Any())
{
registry.GetTickMessageStorage(pair.Key, format: format).Save(pair.Value.Item2);
}
if (pair.Value.Item3.Any())
{
registry.GetLevel1MessageStorage(pair.Key, format: format).Save(pair.Value.Item3);
}
if (pair.Value.Item4.Any())
{
registry.GetOrderLogMessageStorage(pair.Key, format: format).Save(pair.Value.Item4);
}
}
if (data.Count > 0)
{
//File.AppendAllLines(_convertedFilesFile, new[] { fileNameKey });
_convertedFiles.Add(fileNameKey);
_convertedPerTaskPoolFiles.Add(fileNameKey);
}
_logManager.Application.AddInfoLog("Завершена конвертация файла {0}.", fileName);
}
/// <summary>
/// Initializes a new instance of the <see cref="BatchEmulation"/>.
/// </summary>
/// <param name="securityProvider">The provider of information about instruments.</param>
/// <param name="portfolios">Portfolios, the operation will be performed with.</param>
/// <param name="storageRegistry">Market data storage.</param>
public BatchEmulation(ISecurityProvider securityProvider, IEnumerable <Portfolio> portfolios, IStorageRegistry storageRegistry)
{
if (securityProvider == null)
{
throw new ArgumentNullException(nameof(securityProvider));
}
if (portfolios == null)
{
throw new ArgumentNullException(nameof(portfolios));
}
if (storageRegistry == null)
{
throw new ArgumentNullException(nameof(storageRegistry));
}
Strategies = Enumerable.Empty <Strategy>();
EmulationSettings = new EmulationSettings();
EmulationConnector = new HistoryEmulationConnector(securityProvider, portfolios, storageRegistry)
{
UpdateSecurityLastQuotes = false,
UpdateSecurityByLevel1 = false
};
EmulationConnector.StateChanged += EmulationConnectorOnStateChanged;
EmulationConnector.MarketTimeChanged += EmulationConnectorOnMarketTimeChanged;
EmulationConnector.Disconnected += EmulationConnectorOnDisconnected;
EmulationConnector.NewSecurity += EmulationConnectorOnNewSecurity;
}
/// <summary>
/// Initializes a new instance of the <see cref="BatchEmulation"/>.
/// </summary>
/// <param name="securityProvider">The provider of information about instruments.</param>
/// <param name="portfolios">Portfolios, the operation will be performed with.</param>
/// <param name="storageRegistry">Market data storage.</param>
public BatchEmulation(ISecurityProvider securityProvider, IEnumerable<Portfolio> portfolios, IStorageRegistry storageRegistry)
{
if (securityProvider == null)
throw new ArgumentNullException(nameof(securityProvider));
if (portfolios == null)
throw new ArgumentNullException(nameof(portfolios));
if (storageRegistry == null)
throw new ArgumentNullException(nameof(storageRegistry));
Strategies = Enumerable.Empty<Strategy>().ToEx();
EmulationSettings = new EmulationSettings();
EmulationConnector = new HistoryEmulationConnector(securityProvider, portfolios, storageRegistry)
{
UpdateSecurityLastQuotes = false,
UpdateSecurityByLevel1 = false
};
//_basketSessionHolder = new HistoryBasketSessionHolder(EmulationConnector.TransactionIdGenerator);
EmulationConnector.Adapter.InnerAdapters.Add(new BasketEmulationAdapter(EmulationConnector.TransactionIdGenerator, EmulationSettings));
EmulationConnector.StateChanged += EmulationConnectorOnStateChanged;
EmulationConnector.MarketTimeChanged += EmulationConnectorOnMarketTimeChanged;
}
/// <summary>
/// Initializes a new instance of the <see cref="StorageMessageAdapter"/>.
/// </summary>
/// <param name="innerAdapter">The adapter, to which messages will be directed.</param>
/// <param name="entityRegistry">The storage of trade objects.</param>
/// <param name="storageRegistry">The storage of market data.</param>
public StorageMessageAdapter(IMessageAdapter innerAdapter, IEntityRegistry entityRegistry, IStorageRegistry storageRegistry)
: base(innerAdapter)
{
if (entityRegistry == null)
{
throw new ArgumentNullException(nameof(entityRegistry));
}
if (storageRegistry == null)
{
throw new ArgumentNullException(nameof(storageRegistry));
}
_entityRegistry = entityRegistry;
_storageRegistry = storageRegistry;
Drive = _storageRegistry.DefaultDrive;
var isProcessing = false;
var sync = new SyncObject();
ThreadingHelper.Timer(() =>
{
lock (sync)
{
if (isProcessing)
{
return;
}
isProcessing = true;
}
try
{
foreach (var pair in GetTicks())
{
GetStorage <ExecutionMessage>(pair.Key, ExecutionTypes.Tick).Save(pair.Value);
}
foreach (var pair in GetOrderLog())
{
GetStorage <ExecutionMessage>(pair.Key, ExecutionTypes.OrderLog).Save(pair.Value);
}
foreach (var pair in GetTransactions())
{
GetStorage <ExecutionMessage>(pair.Key, ExecutionTypes.Transaction).Save(pair.Value);
}
foreach (var pair in GetOrderBooks())
{
GetStorage(pair.Key, typeof(QuoteChangeMessage), null).Save(pair.Value);
}
foreach (var pair in GetLevel1())
{
GetStorage(pair.Key, typeof(Level1ChangeMessage), null).Save(pair.Value);
}
foreach (var pair in GetCandles())
{
GetStorage(pair.Key.Item1, pair.Key.Item2, pair.Key.Item3).Save(pair.Value);
}
var news = GetNews().ToArray();
if (news.Length > 0)
{
_storageRegistry.GetNewsMessageStorage(Drive, Format).Save(news);
}
}
catch (Exception excp)
{
excp.LogError();
}
finally
{
lock (sync)
isProcessing = false;
}
}).Interval(TimeSpan.FromSeconds(10));
}
public TerminalConnector(IEntityRegistry entityRegistry, IStorageRegistry storageRegistry) : base(entityRegistry, storageRegistry)
{
Connected += OnConnected;
StorageAdapter.Format = StorageFormats.Csv;
}
/// <summary>
/// Initializes a new instance of the <see cref="HistoryEmulationConnector"/>.
/// </summary>
/// <param name="securityProvider">The provider of information about instruments.</param>
/// <param name="portfolios">Portfolios, the operation will be performed with.</param>
/// <param name="storageRegistry">Market data storage.</param>
public HistoryEmulationConnector(ISecurityProvider securityProvider, IEnumerable <Portfolio> portfolios, IStorageRegistry storageRegistry)
{
if (securityProvider == null)
{
throw new ArgumentNullException(nameof(securityProvider));
}
if (portfolios == null)
{
throw new ArgumentNullException(nameof(portfolios));
}
if (storageRegistry == null)
{
throw new ArgumentNullException(nameof(storageRegistry));
}
// чтобы каждый раз при повторной эмуляции получать одинаковые номера транзакций
TransactionIdGenerator = new IncrementalIdGenerator();
_initialMoney = portfolios.ToDictionary(pf => pf, pf => pf.BeginValue);
EntityFactory = new EmulationEntityFactory(securityProvider, _initialMoney.Keys);
RiskManager = null;
SupportSubscriptionTracking = true;
SupportBasketSecurities = true;
HistoryMessageAdapter = new HistoryMessageAdapter(TransactionIdGenerator, securityProvider)
{
StorageRegistry = storageRegistry
};
InMessageChannel = new HistoryEmulationMessageChannel(HistoryMessageAdapter, SendOutError);
OutMessageChannel = new PassThroughMessageChannel();
Adapter = new HistoryBasketMessageAdapter(this);
Adapter.InnerAdapters.Add(EmulationAdapter);
Adapter.InnerAdapters.Add(HistoryMessageAdapter);
Adapter.LatencyManager = null;
Adapter.CommissionManager = null;
Adapter.PnLManager = null;
Adapter.SlippageManager = null;
// при тестировании по свечкам, время меняется быстрее и таймаут должен быть больше 30с.
ReConnectionSettings.TimeOutInterval = TimeSpan.MaxValue;
//MaxMessageCount = 1000;
TradesKeepCount = 0;
RaiseConnectedOnFirstAdapter = false;
}
/// <summary>
/// Initializes a new instance of the <see cref="StorageMessageAdapter"/>.
/// </summary>
/// <param name="innerAdapter">The adapter, to which messages will be directed.</param>
/// <param name="storageRegistry">The storage of market data.</param>
/// <param name="snapshotRegistry">Snapshot storage registry.</param>
/// <param name="candleBuilderProvider">Candle builders provider.</param>
public StorageMessageAdapter(IMessageAdapter innerAdapter, IStorageRegistry storageRegistry, SnapshotRegistry snapshotRegistry, CandleBuilderProvider candleBuilderProvider)
: base(innerAdapter)
{
_storageRegistry = storageRegistry ?? throw new ArgumentNullException(nameof(storageRegistry));
_snapshotRegistry = snapshotRegistry ?? throw new ArgumentNullException(nameof(snapshotRegistry));
_candleBuilderProvider = candleBuilderProvider ?? throw new ArgumentNullException(nameof(candleBuilderProvider));
var isProcessing = false;
var sync = new SyncObject();
var unkByOrderId = new Dictionary <long, List <ExecutionMessage> >();
var unkByOrderStringId = new Dictionary <string, List <ExecutionMessage> >(StringComparer.InvariantCultureIgnoreCase);
ThreadingHelper.Timer(() =>
{
lock (sync)
{
if (isProcessing)
{
return;
}
isProcessing = true;
}
try
{
foreach (var pair in GetTicks())
{
GetStorage <ExecutionMessage>(pair.Key, ExecutionTypes.Tick).Save(pair.Value);
}
foreach (var pair in GetOrderLog())
{
GetStorage <ExecutionMessage>(pair.Key, ExecutionTypes.OrderLog).Save(pair.Value);
}
foreach (var pair in GetTransactions())
{
var secId = pair.Key;
if (Mode.Contains(StorageModes.Incremental))
{
GetStorage <ExecutionMessage>(secId, ExecutionTypes.Transaction).Save(pair.Value);
}
if (Mode.Contains(StorageModes.Snapshot))
{
var snapshotStorage = GetSnapshotStorage(typeof(ExecutionMessage), ExecutionTypes.Transaction);
foreach (var message in pair.Value)
{
var originTransId = message.OriginalTransactionId;
if (message.TransactionId == 0 && originTransId == 0)
{
if (!message.HasTradeInfo)
{
continue;
}
long transId;
if (message.OrderId != null)
{
if (!_orderIds.TryGetValue(message.OrderId.Value, out transId))
{
unkByOrderId.SafeAdd(message.OrderId.Value).Add(message);
continue;
}
}
else if (!message.OrderStringId.IsEmpty())
{
if (!_orderStringIds.TryGetValue(message.OrderStringId, out transId))
{
unkByOrderStringId.SafeAdd(message.OrderStringId).Add(message);
continue;
}
}
else
{
continue;
}
originTransId = transId;
}
else
{
// do not store cancellation commands into snapshot
if (message.IsCancellation && message.TransactionId != 0)
{
continue;
}
if (originTransId != 0)
{
if (/*message.TransactionId == 0 && */ _cancellationTransactions.TryGetValue(originTransId, out var temp))
{
// do not store cancellation errors
if (message.Error != null)
{
continue;
}
// override cancel trans id by original order's registration trans id
originTransId = temp;
}
if (_orderStatusIds.Contains(originTransId))
{
// override status request trans id by original order's registration trans id
originTransId = message.TransactionId;
}
}
if (originTransId != 0)
{
if (message.OrderId != null)
{
_orderIds.TryAdd(message.OrderId.Value, originTransId);
}
else if (message.OrderStringId != null)
{
_orderStringIds.TryAdd(message.OrderStringId, originTransId);
}
}
}
message.SecurityId = secId;
if (message.TransactionId == 0)
{
message.TransactionId = originTransId;
}
message.OriginalTransactionId = 0;
SaveTransaction(snapshotStorage, message);
if (message.OrderId != null)
{
if (unkByOrderId.TryGetValue(message.OrderId.Value, out var suspended))
{
unkByOrderId.Remove(message.OrderId.Value);
foreach (var trade in suspended)
{
trade.TransactionId = message.TransactionId;
SaveTransaction(snapshotStorage, trade);
}
}
}
else if (!message.OrderStringId.IsEmpty())
{
if (unkByOrderStringId.TryGetValue(message.OrderStringId, out var suspended))
{
unkByOrderStringId.Remove(message.OrderStringId);
foreach (var trade in suspended)
{
trade.TransactionId = message.TransactionId;
SaveTransaction(snapshotStorage, trade);
}
}
}
}
}
}
foreach (var pair in GetOrderBooks())
{
if (Mode.Contains(StorageModes.Incremental))
{
GetStorage <QuoteChangeMessage>(pair.Key, null).Save(pair.Value);
}
if (Mode.Contains(StorageModes.Snapshot))
{
var snapshotStorage = GetSnapshotStorage(typeof(QuoteChangeMessage), null);
foreach (var message in pair.Value)
{
snapshotStorage.Update(message);
}
}
}
foreach (var pair in GetLevel1())
{
var messages = pair.Value.Where(m => m.Changes.Count > 0).ToArray();
var dt = DateTime.Today;
var historical = messages.Where(m => m.ServerTime < dt).ToArray();
var today = messages.Where(m => m.ServerTime >= dt).ToArray();
GetStorage <Level1ChangeMessage>(pair.Key, null).Save(historical);
if (Mode.Contains(StorageModes.Incremental))
{
GetStorage <Level1ChangeMessage>(pair.Key, null).Save(today);
}
if (Mode.Contains(StorageModes.Snapshot))
{
var snapshotStorage = GetSnapshotStorage(typeof(Level1ChangeMessage), null);
foreach (var message in today)
{
snapshotStorage.Update(message);
}
}
}
foreach (var pair in GetCandles())
{
GetStorage(pair.Key.Item1, pair.Key.Item2, pair.Key.Item3).Save(pair.Value);
}
foreach (var pair in GetPositionChanges())
{
var messages = pair.Value.Where(m => m.Changes.Count > 0).ToArray();
if (Mode.Contains(StorageModes.Incremental))
{
GetStorage <PositionChangeMessage>(pair.Key, null).Save(messages);
}
if (Mode.Contains(StorageModes.Snapshot))
{
var snapshotStorage = GetSnapshotStorage(typeof(PositionChangeMessage), null);
foreach (var message in messages)
{
snapshotStorage.Update(message);
}
}
}
var news = GetNews().ToArray();
if (news.Length > 0)
{
_storageRegistry.GetNewsMessageStorage(Drive, Format).Save(news);
}
}
catch (Exception excp)
{
excp.LogError();
}
finally
{
lock (sync)
isProcessing = false;
}
}).Interval(TimeSpan.FromSeconds(10));
}
/// <summary>
/// Initializes a new instance of the <see cref="BatchEmulation"/>.
/// </summary>
/// <param name="securityProvider">The provider of information about instruments.</param>
/// <param name="portfolioProvider">The portfolio to be used to register orders. If value is not given, the portfolio with default name Simulator will be created.</param>
/// <param name="exchangeInfoProvider">Exchanges and trading boards provider.</param>
/// <param name="storageRegistry">Market data storage.</param>
/// <param name="storageFormat">The format of market data. <see cref="StorageFormats.Binary"/> is used by default.</param>
/// <param name="drive">The storage which is used by default. By default, <see cref="IStorageRegistry.DefaultDrive"/> is used.</param>
public BatchEmulation(ISecurityProvider securityProvider, IPortfolioProvider portfolioProvider, IExchangeInfoProvider exchangeInfoProvider, IStorageRegistry storageRegistry, StorageFormats storageFormat = StorageFormats.Binary, IMarketDataDrive drive = null)
{
_securityProvider = securityProvider ?? throw new ArgumentNullException(nameof(securityProvider));
_portfolioProvider = portfolioProvider ?? throw new ArgumentNullException(nameof(portfolioProvider));
_exchangeInfoProvider = exchangeInfoProvider ?? throw new ArgumentNullException(nameof(exchangeInfoProvider));
EmulationSettings = new EmulationSettings();
StorageSettings = new StorageCoreSettings
{
StorageRegistry = storageRegistry,
Drive = drive,
Format = storageFormat,
};
}
/// <summary>
/// Initializes a new instance of the <see cref="HistoryEmulationConnector"/>.
/// </summary>
/// <param name="securities">Instruments, the operation will be performed with.</param>
/// <param name="portfolios">Portfolios, the operation will be performed with.</param>
/// <param name="storageRegistry">Market data storage.</param>
public HistoryEmulationConnector(IEnumerable <Security> securities, IEnumerable <Portfolio> portfolios, IStorageRegistry storageRegistry)
: this(new CollectionSecurityProvider(securities), new CollectionPortfolioProvider(portfolios), storageRegistry.CheckOnNull().ExchangeInfoProvider, storageRegistry)
{
}
/// <summary>
/// Initializes a new instance of the <see cref="StorageMessageAdapter"/>.
/// </summary>
/// <param name="innerAdapter">The adapter, to which messages will be directed.</param>
/// <param name="entityRegistry">The storage of trade objects.</param>
/// <param name="storageRegistry">The storage of market data.</param>
public StorageMessageAdapter(IMessageAdapter innerAdapter, IEntityRegistry entityRegistry, IStorageRegistry storageRegistry)
: base(innerAdapter)
{
if (entityRegistry == null)
{
throw new ArgumentNullException(nameof(entityRegistry));
}
if (storageRegistry == null)
{
throw new ArgumentNullException(nameof(storageRegistry));
}
_entityRegistry = entityRegistry;
_storageRegistry = storageRegistry;
Drive = _storageRegistry.DefaultDrive;
ThreadingHelper.Timer(() =>
{
foreach (var pair in GetTicks())
{
GetStorage <ExecutionMessage>(pair.Key, ExecutionTypes.Tick).Save(pair.Value);
}
foreach (var pair in GetOrderLog())
{
GetStorage <ExecutionMessage>(pair.Key, ExecutionTypes.OrderLog).Save(pair.Value);
}
foreach (var pair in GetTransactions())
{
GetStorage <ExecutionMessage>(pair.Key, ExecutionTypes.Order).Save(pair.Value);
}
foreach (var pair in GetOrderBooks())
{
GetStorage(pair.Key, typeof(QuoteChangeMessage), null).Save(pair.Value);
}
foreach (var pair in GetLevel1())
{
GetStorage(pair.Key, typeof(Level1ChangeMessage), null).Save(pair.Value);
}
foreach (var pair in GetCandles())
{
GetStorage(pair.Key.Item1, pair.Key.Item2, pair.Key.Item3).Save(pair.Value);
}
var news = GetNews().ToArray();
if (news.Length > 0)
{
_storageRegistry.GetNewsMessageStorage(Drive, Format).Save(news);
}
}).Interval(TimeSpan.FromSeconds(10));
}
/// <summary>
/// Initializes a new instance of the <see cref="BatchEmulation"/>.
/// </summary>
/// <param name="securities">Instruments, the operation will be performed with.</param>
/// <param name="portfolios">Portfolios, the operation will be performed with.</param>
/// <param name="storageRegistry">Market data storage.</param>
public BatchEmulation(IEnumerable <Security> securities, IEnumerable <Portfolio> portfolios, IStorageRegistry storageRegistry)
: this(new CollectionSecurityProvider(securities), new CollectionPortfolioProvider(portfolios), new InMemoryExchangeInfoProvider(), storageRegistry, StorageFormats.Binary, storageRegistry.DefaultDrive)
{
}
private void Process(IStorageRegistry storageRegistry, Security security, StorageFormats format, IMarketDataDrive drive)
{
this.GuiSync(() =>
{
_visibleEntries.Clear();
Columns.RemoveRange(_candleColumns.Values);
_candleColumns.Values.ForEach(c => FormatRules.Remove(c));
_candleColumns.Clear();
});
if (security == null)
{
return;
}
var dict = new Dictionary <DateTime, MarketDataEntry>();
drive = drive ?? storageRegistry.DefaultDrive;
var candles = new Dictionary <string, Tuple <Type, object> >();
lock (_syncObject)
{
if (_isChanged)
{
return;
}
}
foreach (var tuple in drive.GetCandleTypes(security.ToSecurityId(), format))
{
foreach (var arg in tuple.Item2)
{
var key = tuple.Item1.Name.Replace("CandleMessage", string.Empty) + " " + arg;
candles.Add(key, Tuple.Create(tuple.Item1, arg));
}
}
var candleNames = candles.Keys.ToArray();
if (candleNames.Length > 0)
{
this.GuiSync(() =>
{
foreach (var candleName in candleNames)
{
var column = new DataGridTextColumn
{
Header = candleName,
Binding = new Binding
{
Path = new PropertyPath("Candles[{0}]".Put(candleName)),
Converter = new BoolToCheckMarkConverter()
}
};
//var cbElement = new FrameworkElementFactory(typeof(CheckBox));
//var column = new DataGridTemplateColumn
//{
// Header = candle,
// CellStyle = new Style(),
// //SortMemberPath = "Candles[{0}]".Put(key)
// CellTemplate = new DataTemplate(typeof(CheckBox))
// {
// VisualTree = cbElement,
// }
//};
//var bind = new Binding { Path = new PropertyPath("Candles[{0}]".Put(candle)) };
//cbElement.SetBinding(ToggleButton.IsCheckedProperty, bind);
//cbElement.SetValue(IsHitTestVisibleProperty, false);
//cbElement.SetValue(HorizontalAlignmentProperty, HorizontalAlignment.Center);
Columns.Add(column);
_candleColumns.Add(candleName, column);
//ApplyFormatRules(column);
}
//ApplyFormatRules();
});
}
Add(dict, storageRegistry.GetTickMessageStorage(security, drive, format), candleNames, e => e.IsTick = true);
Add(dict, storageRegistry.GetQuoteMessageStorage(security, drive, format), candleNames, e => e.IsDepth = true);
Add(dict, storageRegistry.GetLevel1MessageStorage(security, drive, format), candleNames, e => e.IsLevel1 = true);
Add(dict, storageRegistry.GetOrderLogMessageStorage(security, drive, format), candleNames, e => e.IsOrderLog = true);
foreach (var c in candleNames)
{
var candleName = c;
lock (_syncObject)
{
if (_isChanged)
{
return;
}
}
var tuple = candles[candleName];
Add(dict, storageRegistry.GetCandleMessageStorage(tuple.Item1, security, tuple.Item2, drive, format), candleNames, e => e.Candles[candleName] = true);
}
if (dict.Count > 0)
{
// добавляем рабочие дни, которые отсутствуют в данных
var emptyDays = dict.Keys.Min().Range(dict.Keys.Max(), TimeSpan.FromDays(1))
.Where(d => security.Board.WorkingTime.IsTradeDate(d, true) && !dict.ContainsKey(d));
foreach (var batch in emptyDays.Batch(10))
{
lock (_syncObject)
{
if (_isChanged)
{
return;
}
}
TryAddEntries(dict, batch, candleNames, e => { });
}
}
lock (_syncObject)
{
if (_isChanged)
{
return;
}
}
this.GuiSync(RefreshSort);
}
private void InitializeDataSource()
{
_storageRegistry = new StorageRegistry();
ConfigManager.RegisterService(_storageRegistry);
_entityRegistry = (HydraEntityRegistry)ConfigManager.GetService <IEntityRegistry>();
_entityRegistry.TasksSettings.Recycle = false;
((SecurityList)_entityRegistry.Securities).BulkLoad = true;
var database = (Database)_entityRegistry.Storage;
if (database != null)
{
var conStr = new DbConnectionStringBuilder
{
ConnectionString = database.ConnectionString
};
_dbFile = (string)conStr.Cast <KeyValuePair <string, object> >().ToDictionary(StringComparer.InvariantCultureIgnoreCase).TryGetValue("Data Source");
if (_dbFile != null)
{
_dbFile = _dbFile.Replace("%Documents%", Environment.GetFolderPath(Environment.SpecialFolder.MyDocuments));
conStr["Data Source"] = _dbFile;
database.ConnectionString = conStr.ToString();
_dbFile.CreateDirIfNotExists();
if (!File.Exists(_dbFile))
{
Properties.Resources.StockSharp.Save(_dbFile);
_entityRegistry.Version = HydraEntityRegistry.LatestVersion;
UpdateDatabaseWalMode();
}
}
}
CheckDatabase();
ConfigManager.RegisterService <IExchangeInfoProvider>(new ExchangeInfoProvider(_entityRegistry));
var allSec = _entityRegistry.Securities.GetAllSecurity();
if (allSec != null)
{
return;
}
_entityRegistry.Securities.Add(new Security
{
Id = Core.Extensions.AllSecurityId,
Code = "ALL",
//Class = task.GetDisplayName(),
Name = LocalizedStrings.Str2835,
Board = ExchangeBoard.Associated,
ExtensionInfo = new Dictionary <object, object>(),
});
_entityRegistry.Securities.DelayAction.WaitFlush();
}
public OptimizationEmulationConnector(ISecurityProvider securityProvider, IEnumerable <Portfolio> portfolios, IStorageRegistry storageRegistry, StorageFormats format, IMarketDataDrive drive)
: base(securityProvider, portfolios, storageRegistry)
{
Adapter = new BasketEmulationAdapter(this);
Adapter.InnerAdapters.Add(EmulationAdapter);
Adapter.InnerAdapters.Add(HistoryMessageAdapterEx);
Adapter.LatencyManager = null;
Adapter.CommissionManager = null;
Adapter.PnLManager = null;
Adapter.SlippageManager = null;
HistoryMessageAdapter.StorageFormat = format;
HistoryMessageAdapter.Drive = drive;
}
/// <summary>
/// Initializes a new instance of the <see cref="HistoryEmulationConnector"/>.
/// </summary>
/// <param name="securityProvider">The provider of information about instruments.</param>
/// <param name="portfolios">Portfolios, the operation will be performed with.</param>
/// <param name="storageRegistry">Market data storage.</param>
public HistoryEmulationConnector(ISecurityProvider securityProvider, IEnumerable<Portfolio> portfolios, IStorageRegistry storageRegistry)
{
if (securityProvider == null)
throw new ArgumentNullException(nameof(securityProvider));
if (portfolios == null)
throw new ArgumentNullException(nameof(portfolios));
if (storageRegistry == null)
throw new ArgumentNullException(nameof(storageRegistry));
// чтобы каждый раз при повторной эмуляции получать одинаковые номера транзакций
TransactionIdGenerator = new IncrementalIdGenerator();
_initialMoney = portfolios.ToDictionary(pf => pf, pf => pf.BeginValue);
EntityFactory = new EmulationEntityFactory(securityProvider, _initialMoney.Keys);
InMessageChannel = new PassThroughMessageChannel();
OutMessageChannel = new PassThroughMessageChannel();
LatencyManager = null;
RiskManager = null;
CommissionManager = null;
PnLManager = null;
SlippageManager = null;
HistoryMessageAdapter = new HistoryMessageAdapter(TransactionIdGenerator, securityProvider) { StorageRegistry = storageRegistry };
_historyChannel = new InMemoryMessageChannel("History Out", SendOutError);
Adapter = new HistoryBasketMessageAdapter(this);
Adapter.InnerAdapters.Add(EmulationAdapter);
Adapter.InnerAdapters.Add(new ChannelMessageAdapter(HistoryMessageAdapter, new InMemoryMessageChannel("History In", SendOutError), _historyChannel));
// при тестировании по свечкам, время меняется быстрее и таймаут должен быть больше 30с.
ReConnectionSettings.TimeOutInterval = TimeSpan.MaxValue;
MaxMessageCount = 1000;
TradesKeepCount = 0;
}
/// <summary>
/// Initializes a new instance of the <see cref="HistoryEmulationConnector"/>.
/// </summary>
/// <param name="securityProvider">The provider of information about instruments.</param>
/// <param name="portfolioProvider">The portfolio to be used to register orders. If value is not given, the portfolio with default name Simulator will be created.</param>
/// <param name="storageRegistry">Market data storage.</param>
/// <param name="exchangeInfoProvider">Exchanges and trading boards provider.</param>
public HistoryEmulationConnector(ISecurityProvider securityProvider, IPortfolioProvider portfolioProvider, IExchangeInfoProvider exchangeInfoProvider, IStorageRegistry storageRegistry)
: this(new HistoryMessageAdapter(new IncrementalIdGenerator(), securityProvider) { StorageRegistry = storageRegistry }, true, new InMemoryMessageChannel(new MessageByLocalTimeQueue(), "Emulator in", err => err.LogError()), securityProvider, portfolioProvider, exchangeInfoProvider)
{
}
/// <summary>
/// Создать <see cref="BatchEmulation"/>.
/// </summary>
/// <param name="securityProvider">Поставщик информации об инструментах.</param>
/// <param name="portfolios">Портфели, с которыми будет вестись работа.</param>
/// <param name="storageRegistry">Хранилище данных.</param>
public BatchEmulation(ISecurityProvider securityProvider, IEnumerable <Portfolio> portfolios, IStorageRegistry storageRegistry)
{
if (securityProvider == null)
{
throw new ArgumentNullException("securityProvider");
}
if (portfolios == null)
{
throw new ArgumentNullException("portfolios");
}
if (storageRegistry == null)
{
throw new ArgumentNullException("storageRegistry");
}
Strategies = Enumerable.Empty <Strategy>().ToEx();
EmulationSettings = new EmulationSettings();
EmulationConnector = new HistoryEmulationConnector(securityProvider, portfolios, storageRegistry)
{
UpdateSecurityLastQuotes = false,
UpdateSecurityByLevel1 = false
};
_basketSessionHolder = new HistoryBasketSessionHolder(EmulationConnector.TransactionIdGenerator);
EmulationConnector.TransactionAdapter = new BasketEmulationAdapter(_basketSessionHolder, EmulationSettings)
{
OutMessageProcessor = new NonThreadMessageProcessor()
};
EmulationConnector.StateChanged += EmulationConnectorOnStateChanged;
EmulationConnector.MarketTimeChanged += EmulationConnectorOnMarketTimeChanged;
}
private void Process(IStorageRegistry storageRegistry, Security security, StorageFormats format, IMarketDataDrive drive)
{
this.GuiSync(() =>
{
_visibleEntries.Clear();
Columns.RemoveRange(_candleColumns.Values);
_candleColumns.Values.ForEach(c => FormatRules.Remove(c));
_candleColumns.Clear();
});
if (security == null)
return;
var dict = new Dictionary<DateTime, MarketDataEntry>();
drive = drive ?? storageRegistry.DefaultDrive;
var candles = new Dictionary<string, Tuple<Type, object>>();
lock (_syncObject)
{
if (_isChanged)
return;
}
foreach (var tuple in drive.GetCandleTypes(security.ToSecurityId(), format))
{
foreach (var arg in tuple.Item2)
{
var key = tuple.Item1.Name.Replace("CandleMessage", string.Empty) + " " + arg;
candles.Add(key, Tuple.Create(tuple.Item1, arg));
}
}
var candleNames = candles.Keys.ToArray();
if (candleNames.Length > 0)
{
this.GuiSync(() =>
{
foreach (var candleName in candleNames)
{
var column = new DataGridTextColumn
{
Header = candleName,
Binding = new Binding
{
Path = new PropertyPath("Candles[{0}]".Put(candleName)),
Converter = new BoolToCheckMarkConverter()
}
};
//var cbElement = new FrameworkElementFactory(typeof(CheckBox));
//var column = new DataGridTemplateColumn
//{
// Header = candle,
// CellStyle = new Style(),
// //SortMemberPath = "Candles[{0}]".Put(key)
// CellTemplate = new DataTemplate(typeof(CheckBox))
// {
// VisualTree = cbElement,
// }
//};
//var bind = new Binding { Path = new PropertyPath("Candles[{0}]".Put(candle)) };
//cbElement.SetBinding(ToggleButton.IsCheckedProperty, bind);
//cbElement.SetValue(IsHitTestVisibleProperty, false);
//cbElement.SetValue(HorizontalAlignmentProperty, HorizontalAlignment.Center);
Columns.Add(column);
_candleColumns.Add(candleName, column);
//ApplyFormatRules(column);
}
//ApplyFormatRules();
});
}
Add(dict, storageRegistry.GetTickMessageStorage(security, drive, format), candleNames, e => e.IsTick = true);
Add(dict, storageRegistry.GetQuoteMessageStorage(security, drive, format), candleNames, e => e.IsDepth = true);
Add(dict, storageRegistry.GetLevel1MessageStorage(security, drive, format), candleNames, e => e.IsLevel1 = true);
Add(dict, storageRegistry.GetOrderLogMessageStorage(security, drive, format), candleNames, e => e.IsOrderLog = true);
foreach (var c in candleNames)
{
var candleName = c;
lock (_syncObject)
{
if (_isChanged)
return;
}
var tuple = candles[candleName];
Add(dict, storageRegistry.GetCandleMessageStorage(tuple.Item1, security, tuple.Item2, drive, format), candleNames, e => e.Candles[candleName] = true);
}
if (dict.Count > 0)
{
// добавляем рабочие дни, которые отсутствуют в данных
var emptyDays = dict.Keys.Min().Range(dict.Keys.Max(), TimeSpan.FromDays(1))
.Where(d => security.Board.WorkingTime.IsTradeDate(d, true) && !dict.ContainsKey(d));
foreach (var batch in emptyDays.Batch(10))
{
lock (_syncObject)
{
if (_isChanged)
return;
}
TryAddEntries(dict, batch, candleNames, e => { });
}
}
lock (_syncObject)
{
if (_isChanged)
return;
}
this.GuiSync(RefreshSort);
}
/// <summary>
/// Initializes a new instance of the <see cref="StorageMessageAdapter"/>.
/// </summary>
/// <param name="innerAdapter">The adapter, to which messages will be directed.</param>
/// <param name="entityRegistry">The storage of trade objects.</param>
/// <param name="storageRegistry">The storage of market data.</param>
public StorageMessageAdapter(IMessageAdapter innerAdapter, IEntityRegistry entityRegistry, IStorageRegistry storageRegistry)
: base(innerAdapter)
{
if (entityRegistry == null)
{
throw new ArgumentNullException(nameof(entityRegistry));
}
if (storageRegistry == null)
{
throw new ArgumentNullException(nameof(storageRegistry));
}
_entityRegistry = entityRegistry;
_storageRegistry = storageRegistry;
var isProcessing = false;
var sync = new SyncObject();
ThreadingHelper.Timer(() =>
{
lock (sync)
{
if (isProcessing)
{
return;
}
isProcessing = true;
}
try
{
foreach (var pair in GetTicks())
{
GetStorage <ExecutionMessage>(pair.Key, ExecutionTypes.Tick).Save(pair.Value);
}
foreach (var pair in GetOrderLog())
{
GetStorage <ExecutionMessage>(pair.Key, ExecutionTypes.OrderLog).Save(pair.Value);
}
foreach (var pair in GetTransactions())
{
// TODO
//if (Mode.Contains(StorageModes.Incremental))
GetStorage <ExecutionMessage>(pair.Key, ExecutionTypes.Transaction).Save(pair.Value);
//if (Mode.Contains(StorageModes.Snapshot))
//{
// var snapshotStorage = GetSnapshotStorage(typeof(ExecutionMessage), ExecutionTypes.Transaction);
// foreach (var message in pair.Value)
// snapshotStorage.Update(message);
//}
}
foreach (var pair in GetOrderBooks())
{
if (Mode.Contains(StorageModes.Incremental))
{
GetStorage <QuoteChangeMessage>(pair.Key, null).Save(pair.Value);
}
if (Mode.Contains(StorageModes.Snapshot))
{
var snapshotStorage = GetSnapshotStorage(typeof(QuoteChangeMessage), null);
foreach (var message in pair.Value)
{
snapshotStorage.Update(message);
}
}
}
foreach (var pair in GetLevel1())
{
var messages = pair.Value.Where(m => m.Changes.Count > 0).ToArray();
var dt = DateTime.Today;
var historical = messages.Where(m => m.ServerTime < dt).ToArray();
var today = messages.Where(m => m.ServerTime >= dt).ToArray();
GetStorage <Level1ChangeMessage>(pair.Key, null).Save(historical);
if (Mode.Contains(StorageModes.Incremental))
{
GetStorage <Level1ChangeMessage>(pair.Key, null).Save(today);
}
if (Mode.Contains(StorageModes.Snapshot))
{
var snapshotStorage = GetSnapshotStorage(typeof(Level1ChangeMessage), null);
foreach (var message in today)
{
snapshotStorage.Update(message);
}
}
}
foreach (var pair in GetCandles())
{
GetStorage(pair.Key.Item1, pair.Key.Item2, pair.Key.Item3).Save(pair.Value);
}
foreach (var pair in GetPositionChanges())
{
var messages = pair.Value.Where(m => m.Changes.Count > 0).ToArray();
if (Mode.Contains(StorageModes.Incremental))
{
GetStorage <PositionChangeMessage>(pair.Key, null).Save(messages);
}
if (Mode.Contains(StorageModes.Snapshot))
{
var snapshotStorage = GetSnapshotStorage(typeof(PositionChangeMessage), null);
foreach (var message in messages)
{
snapshotStorage.Update(message);
}
}
}
var news = GetNews().ToArray();
if (news.Length > 0)
{
_storageRegistry.GetNewsMessageStorage(Drive, Format).Save(news);
}
}
catch (Exception excp)
{
excp.LogError();
}
finally
{
lock (sync)
isProcessing = false;
}
}).Interval(TimeSpan.FromSeconds(10));
}
public OptimizationEmulationConnector(ISecurityProvider securityProvider, IEnumerable <Portfolio> portfolios, IStorageRegistry storageRegistry)
: base(securityProvider, portfolios, storageRegistry)
{
Adapter = new BasketEmulationAdapter(this);
Adapter.InnerAdapters.Add(EmulationAdapter);
Adapter.InnerAdapters.Add(HistoryMessageAdapter);
Adapter.LatencyManager = null;
Adapter.CommissionManager = null;
Adapter.PnLManager = null;
Adapter.SlippageManager = null;
}
/// <summary>
/// Initializes a new instance of the <see cref="BatchEmulation"/>.
/// </summary>
/// <param name="securityProvider">The provider of information about instruments.</param>
/// <param name="portfolios">Portfolios, the operation will be performed with.</param>
/// <param name="storageRegistry">Market data storage.</param>
public BatchEmulation(ISecurityProvider securityProvider, IEnumerable <Portfolio> portfolios, IStorageRegistry storageRegistry)
{
if (securityProvider == null)
{
throw new ArgumentNullException(nameof(securityProvider));
}
if (portfolios == null)
{
throw new ArgumentNullException(nameof(portfolios));
}
if (storageRegistry == null)
{
throw new ArgumentNullException(nameof(storageRegistry));
}
Strategies = Enumerable.Empty <Strategy>();
EmulationSettings = new EmulationSettings();
EmulationConnector = new HistoryEmulationConnector(securityProvider, portfolios, storageRegistry)
{
UpdateSecurityLastQuotes = false,
UpdateSecurityByLevel1 = false
};
//_basketSessionHolder = new HistoryBasketSessionHolder(EmulationConnector.TransactionIdGenerator);
EmulationConnector.Adapter.InnerAdapters.Add(new BasketEmulationAdapter(EmulationConnector.TransactionIdGenerator, EmulationSettings));
EmulationConnector.StateChanged += EmulationConnectorOnStateChanged;
EmulationConnector.MarketTimeChanged += EmulationConnectorOnMarketTimeChanged;
}
/// <summary>
/// Initializes a new instance of the <see cref="HistoryEmulationConnector"/>.
/// </summary>
/// <param name="securityProvider">The provider of information about instruments.</param>
/// <param name="portfolios">Portfolios, the operation will be performed with.</param>
/// <param name="storageRegistry">Market data storage.</param>
public HistoryEmulationConnector(ISecurityProvider securityProvider, IEnumerable <Portfolio> portfolios, IStorageRegistry storageRegistry)
{
if (securityProvider == null)
{
throw new ArgumentNullException(nameof(securityProvider));
}
if (portfolios == null)
{
throw new ArgumentNullException(nameof(portfolios));
}
if (storageRegistry == null)
{
throw new ArgumentNullException(nameof(storageRegistry));
}
// чтобы каждый раз при повторной эмуляции получать одинаковые номера транзакций
TransactionIdGenerator = new IncrementalIdGenerator();
EntityFactory = new EmulationEntityFactory(securityProvider, portfolios);
RiskManager = null;
SupportBasketSecurities = true;
InMessageChannel = new HistoryEmulationMessageChannel(this);
OutMessageChannel = new PassThroughMessageChannel();
Adapter = new HistoryBasketMessageAdapter(this);
Adapter.InnerAdapters.Add(EmulationAdapter);
Adapter.InnerAdapters.Add(new HistoryMessageAdapter(TransactionIdGenerator, securityProvider)
{
StorageRegistry = storageRegistry
});
Adapter.LatencyManager = null;
Adapter.CommissionManager = null;
Adapter.PnLManager = null;
Adapter.SlippageManager = null;
// при тестировании по свечкам, время меняется быстрее и таймаут должен быть больше 30с.
//ReConnectionSettings.TimeOutInterval = TimeSpan.MaxValue;
//MaxMessageCount = 1000;
TradesKeepCount = 0;
Adapter.SupportCandlesCompression = false;
Adapter.SupportBuildingFromOrderLog = false;
Adapter.SupportPartialDownload = false;
Adapter.SupportLookupTracking = false;
Adapter.SupportOrderBookTruncate = false;
Adapter.ConnectDisconnectEventOnFirstAdapter = false;
}
/// <summary>
/// Initializes a new instance of the <see cref="HistoryEmulationConnector"/>.
/// </summary>
/// <param name="securities">Instruments, the operation will be performed with.</param>
/// <param name="portfolios">Portfolios, the operation will be performed with.</param>
/// <param name="storageRegistry">Market data storage.</param>
public HistoryEmulationConnector(IEnumerable <Security> securities, IEnumerable <Portfolio> portfolios, IStorageRegistry storageRegistry)
: this((ISecurityProvider) new CollectionSecurityProvider(securities), portfolios, storageRegistry)
{
}
private void InitializeDataSource()
{
_storageRegistry = new StorageRegistry();
ConfigManager.RegisterService(_storageRegistry);
_entityRegistry = (HydraEntityRegistry)ConfigManager.GetService<IEntityRegistry>();
_entityRegistry.TasksSettings.Recycle = false;
((SecurityList)_entityRegistry.Securities).BulkLoad = true;
var database = (Database)_entityRegistry.Storage;
if (database != null)
{
var conStr = new DbConnectionStringBuilder
{
ConnectionString = database.ConnectionString
};
_dbFile = (string)conStr.Cast<KeyValuePair<string, object>>().ToDictionary(StringComparer.InvariantCultureIgnoreCase).TryGetValue("Data Source");
if (_dbFile != null)
{
_dbFile = _dbFile.Replace("%Documents%", Environment.GetFolderPath(Environment.SpecialFolder.MyDocuments));
conStr["Data Source"] = _dbFile;
database.ConnectionString = conStr.ToString();
_dbFile.CreateDirIfNotExists();
if (!File.Exists(_dbFile))
{
Properties.Resources.StockSharp.Save(_dbFile);
_entityRegistry.Version = HydraEntityRegistry.LatestVersion;
UpdateDatabaseWalMode();
}
}
}
CheckDatabase();
ConfigManager.RegisterService<IExchangeInfoProvider>(new ExchangeInfoProvider(_entityRegistry));
var allSec = _entityRegistry.Securities.ReadById(Core.Extensions.AllSecurityId);
if (allSec != null)
return;
_entityRegistry.Securities.Add(new Security
{
Id = Core.Extensions.AllSecurityId,
Code = "ALL",
//Class = task.GetDisplayName(),
Name = LocalizedStrings.Str2835,
Board = ExchangeBoard.Associated,
ExtensionInfo = new Dictionary<object, object>(),
});
_entityRegistry.Securities.DelayAction.WaitFlush();
}
/// <summary>
/// Initializes a new instance of the <see cref="StockSharpExporter"/>.
/// </summary>
/// <param name="security">Security.</param>
/// <param name="arg">The data parameter.</param>
/// <param name="isCancelled">The processor, returning export interruption sign.</param>
/// <param name="storageRegistry">The storage of market data.</param>
/// <param name="drive">Storage.</param>
/// <param name="format">Format type.</param>
public StockSharpExporter(Security security, object arg, Func <int, bool> isCancelled, IStorageRegistry storageRegistry, IMarketDataDrive drive, StorageFormats format)
: base(security, arg, isCancelled, drive.Path)
{
if (storageRegistry == null)
{
throw new ArgumentNullException(nameof(storageRegistry));
}
if (drive == null)
{
throw new ArgumentNullException(nameof(drive));
}
_storageRegistry = storageRegistry;
_drive = drive;
_format = format;
}
private void ConvertFile(string fileName, IStorageRegistry registry, StorageFormats format, ExchangeBoard board)
{
if (!_isStarted)
return;
var fileNameKey = format + "_" + fileName;
if (_convertedFiles.Contains(fileNameKey))
return;
_logManager.Application.AddInfoLog("Конвертация файла {0}.", fileName);
const int maxBufCount = 1000;
var data = new Dictionary<Security, Tuple<List<QuoteChangeMessage>, List<ExecutionMessage>, List<Level1ChangeMessage>, List<ExecutionMessage>>>();
using (var qr = QshReader.Open(fileName))
{
var currentDate = qr.CurrentDateTime;
for (var i = 0; i < qr.StreamCount; i++)
{
var stream = (ISecurityStream)qr[i];
var security = GetSecurity(stream.Security, board);
var priceStep = security.PriceStep ?? 1;
var securityId = security.ToSecurityId();
var lastTransactionId = 0L;
var secData = data.SafeAdd(security, key => Tuple.Create(new List<QuoteChangeMessage>(), new List<ExecutionMessage>(), new List<Level1ChangeMessage>(), new List<ExecutionMessage>()));
switch (stream.Type)
{
case StreamType.Stock:
{
((IStockStream)stream).Handler += (key, quotes, spread) =>
{
var quotes2 = quotes.Select(q =>
{
Sides side;
switch (q.Type)
{
case QuoteType.Unknown:
case QuoteType.Free:
case QuoteType.Spread:
throw new ArgumentException(q.Type.ToString());
case QuoteType.Ask:
case QuoteType.BestAsk:
side = Sides.Sell;
break;
case QuoteType.Bid:
case QuoteType.BestBid:
side = Sides.Buy;
break;
default:
throw new ArgumentOutOfRangeException();
}
return new QuoteChange(side, priceStep * q.Price, q.Volume);
}).ToArray();
var md = new QuoteChangeMessage
{
SecurityId = securityId,
ServerTime = currentDate.ApplyTimeZone(TimeHelper.Moscow),
Bids = quotes2.Where(q => q.Side == Sides.Buy),
Asks = quotes2.Where(q => q.Side == Sides.Sell),
};
//if (md.Verify())
//{
secData.Item1.Add(md);
if (secData.Item1.Count > maxBufCount)
{
registry.GetQuoteMessageStorage(security).Save(secData.Item1);
secData.Item1.Clear();
}
//}
//else
// _logManager.Application.AddErrorLog("Стакан для {0} в момент {1} не прошел валидацию. Лучший бид {2}, Лучший офер {3}.", security, qr.CurrentDateTime, md.BestBid, md.BestAsk);
};
break;
}
case StreamType.Deals:
{
((IDealsStream)stream).Handler += deal =>
{
secData.Item2.Add(new ExecutionMessage
{
ExecutionType = ExecutionTypes.Tick,
SecurityId = securityId,
OpenInterest = deal.OI == 0 ? (long?)null : deal.OI,
ServerTime = deal.DateTime.ApplyTimeZone(TimeHelper.Moscow),
Volume = deal.Volume,
TradeId = deal.Id == 0 ? (long?)null : deal.Id,
TradePrice = (decimal)deal.Price,
OriginSide =
deal.Type == DealType.Buy
? Sides.Buy
: (deal.Type == DealType.Sell ? Sides.Sell : (Sides?)null)
});
if (secData.Item2.Count > maxBufCount)
{
registry.GetTickMessageStorage(security).Save(secData.Item2);
secData.Item2.Clear();
}
};
break;
}
case StreamType.OrdLog:
{
((IOrdLogStream)stream).Handler += (key, ol) =>
{
var currTransactionId = ol.DateTime.Ticks;
if (lastTransactionId < currTransactionId)
lastTransactionId = currTransactionId;
else if (lastTransactionId >= currTransactionId)
lastTransactionId++;
var msg = new ExecutionMessage
{
ExecutionType = ExecutionTypes.OrderLog,
SecurityId = securityId,
OpenInterest = ol.OI == 0 ? (long?)null : ol.OI,
OrderId = ol.OrderId,
Price = priceStep * ol.Price,
ServerTime = ol.DateTime.ApplyTimeZone(TimeHelper.Moscow),
Volume = ol.Amount,
Balance = ol.AmountRest,
TradeId = ol.DealId == 0 ? (long?)null : ol.DealId,
TradePrice = ol.DealPrice == 0 ? (decimal?)null : priceStep * ol.DealPrice,
TransactionId = lastTransactionId
};
var status = 0;
if (ol.Flags.Contains(OrdLogFlags.Add))
{
msg.OrderState = OrderStates.Active;
}
else if (ol.Flags.Contains(OrdLogFlags.Fill))
{
msg.OrderState = OrderStates.Done;
}
else if (ol.Flags.Contains(OrdLogFlags.Canceled))
{
msg.OrderState = OrderStates.Done;
status |= 0x200000;
}
else if (ol.Flags.Contains(OrdLogFlags.CanceledGroup))
{
msg.OrderState = OrderStates.Done;
status |= 0x400000;
}
else if (ol.Flags.Contains(OrdLogFlags.Moved))
{
status |= 0x100000;
}
if (ol.Flags.Contains(OrdLogFlags.Buy))
{
msg.Side = Sides.Buy;
}
else if (ol.Flags.Contains(OrdLogFlags.Sell))
{
msg.Side = Sides.Sell;
}
if (ol.Flags.Contains(OrdLogFlags.FillOrKill))
{
msg.TimeInForce = TimeInForce.MatchOrCancel;
status |= 0x00080000;
}
if (ol.Flags.Contains(OrdLogFlags.Quote))
{
msg.TimeInForce = TimeInForce.PutInQueue;
status |= 0x01;
}
if (ol.Flags.Contains(OrdLogFlags.Counter))
{
status |= 0x02;
}
if (ol.Flags.Contains(OrdLogFlags.CrossTrade))
{
status |= 0x20000000;
}
if (ol.Flags.Contains(OrdLogFlags.NonSystem))
{
msg.IsSystem = false;
status |= 0x04;
}
if (ol.Flags.Contains(OrdLogFlags.EndOfTransaction))
{
status |= 0x1000;
}
msg.OrderStatus = (OrderStatus)status;
secData.Item4.Add(msg);
if (secData.Item4.Count > maxBufCount)
{
registry.GetOrderLogMessageStorage(security).Save(secData.Item4);
secData.Item4.Clear();
}
};
break;
}
case StreamType.AuxInfo:
{
((IAuxInfoStream)stream).Handler += (key, info) =>
{
secData.Item3.Add(new Level1ChangeMessage
{
SecurityId = securityId,
ServerTime = info.DateTime.ApplyTimeZone(TimeHelper.Moscow),
}
.TryAdd(Level1Fields.LastTradePrice, priceStep * info.Price)
.TryAdd(Level1Fields.BidsVolume, (decimal)info.BidTotal)
.TryAdd(Level1Fields.AsksVolume, (decimal)info.AskTotal)
.TryAdd(Level1Fields.HighPrice, priceStep * info.HiLimit)
.TryAdd(Level1Fields.LowPrice, priceStep * info.LoLimit)
.TryAdd(Level1Fields.OpenInterest, (decimal)info.OI));
if (secData.Item3.Count > maxBufCount)
{
registry.GetLevel1MessageStorage(security).Save(secData.Item3);
secData.Item3.Clear();
}
};
break;
}
case StreamType.Orders:
case StreamType.Trades:
case StreamType.Messages:
case StreamType.None:
{
continue;
}
default:
throw new ArgumentOutOfRangeException("Неподдерживаемый тип потока {0}.".Put(stream.Type));
}
}
while (qr.CurrentDateTime != DateTime.MaxValue && _isStarted)
qr.Read(true);
}
if (!_isStarted)
return;
foreach (var pair in data)
{
if (pair.Value.Item1.Any())
{
registry.GetQuoteMessageStorage(pair.Key, format: format).Save(pair.Value.Item1);
}
if (pair.Value.Item2.Any())
{
registry.GetTickMessageStorage(pair.Key, format: format).Save(pair.Value.Item2);
}
if (pair.Value.Item3.Any())
{
registry.GetLevel1MessageStorage(pair.Key, format: format).Save(pair.Value.Item3);
}
if (pair.Value.Item4.Any())
{
registry.GetOrderLogMessageStorage(pair.Key, format: format).Save(pair.Value.Item4);
}
}
File.AppendAllLines(_convertedFilesFile, new[] { fileNameKey });
_convertedFiles.Add(fileNameKey);
}
/// <summary>
/// Initializes a new instance of the <see cref="BatchEmulation"/>.
/// </summary>
/// <param name="securities">Instruments, the operation will be performed with.</param>
/// <param name="portfolios">Portfolios, the operation will be performed with.</param>
/// <param name="storageRegistry">Market data storage.</param>
public BatchEmulation(IEnumerable<Security> securities, IEnumerable<Portfolio> portfolios, IStorageRegistry storageRegistry)
: this(new CollectionSecurityProvider(securities), portfolios, storageRegistry)
{
}
private void Process(IStorageRegistry storageRegistry, Security security, StorageFormats format, IMarketDataDrive drive)
{
this.GuiSync(() =>
{
_visibleEntries.Clear();
Columns.RemoveRange(_candleColumns.Values);
_candleColumns.Values.ForEach(c => FormatRules.Remove(c));
_candleColumns.Clear();
});
if (security == null)
return;
var dict = new Dictionary<DateTime, MarketDataEntry>();
drive = drive ?? storageRegistry.DefaultDrive;
var candles = new Dictionary<string, DataType>();
lock (_syncObject)
{
if (_isChanged)
return;
}
foreach (var tuple in drive.GetAvailableDataTypes(security.ToSecurityId(), format))
{
if (tuple.MessageType.IsCandleMessage())
continue;
var key = tuple.MessageType.Name.Replace("CandleMessage", string.Empty) + " " + tuple.Arg;
candles.Add(key, tuple.Clone());
}
var candleNames = candles.Keys.ToArray();
if (candleNames.Length > 0)
{
this.GuiSync(() =>
{
foreach (var candleName in candleNames)
{
var column = new DataGridTextColumn
{
Header = candleName,
Binding = new Binding
{
Path = new PropertyPath("Candles[{0}]".Put(candleName)),
Converter = new BoolToCheckMarkConverter()
}
};
//var cbElement = new FrameworkElementFactory(typeof(CheckBox));
//var column = new DataGridTemplateColumn
//{
// Header = candle,
// CellStyle = new Style(),
// //SortMemberPath = "Candles[{0}]".Put(key)
// CellTemplate = new DataTemplate(typeof(CheckBox))
// {
// VisualTree = cbElement,
// }
//};
//var bind = new Binding { Path = new PropertyPath("Candles[{0}]".Put(candle)) };
//cbElement.SetBinding(ToggleButton.IsCheckedProperty, bind);
//cbElement.SetValue(IsHitTestVisibleProperty, false);
//cbElement.SetValue(HorizontalAlignmentProperty, HorizontalAlignment.Center);
Columns.Add(column);
_candleColumns.Add(candleName, column);
//ApplyFormatRules(column);
}
//ApplyFormatRules();
});
}
Add(dict, storageRegistry.GetTickMessageStorage(security, drive, format).Dates, candleNames, e => e.IsTick = true);
Add(dict, storageRegistry.GetQuoteMessageStorage(security, drive, format).Dates, candleNames, e => e.IsDepth = true);
Add(dict, storageRegistry.GetLevel1MessageStorage(security, drive, format).Dates, candleNames, e => e.IsLevel1 = true);
Add(dict, storageRegistry.GetOrderLogMessageStorage(security, drive, format).Dates, candleNames, e => e.IsOrderLog = true);
foreach (var c in candleNames)
{
var candleName = c;
lock (_syncObject)
{
if (_isChanged)
return;
}
var tuple = candles[candleName];
Add(dict, storageRegistry.GetCandleMessageStorage(tuple.MessageType, security, tuple.Arg, drive, format).Dates, candleNames, e => e.Candles[candleName] = true);
}
if (dict.Count > 0)
{
// add gaps by working days
var emptyDays = dict.Keys.Min().Range(dict.Keys.Max(), TimeSpan.FromDays(1))
.Where(d => !dict.ContainsKey(d)/* && security.Board.WorkingTime.IsTradeDate(d, true)*/)
.OrderBy()
.ToList();
foreach (var monthGroup in emptyDays.ToArray().GroupBy(d => new DateTime(d.Year, d.Month, 1)))
{
var firstDay = monthGroup.First();
var lastDay = monthGroup.Last();
// whole month do not have any values
if (firstDay.Day == 1 && lastDay.Day == monthGroup.Key.DaysInMonth())
emptyDays.RemoveRange(monthGroup);
}
Add(dict, emptyDays, candleNames, e => { });
}
lock (_syncObject)
{
if (_isChanged)
return;
}
this.GuiSync(RefreshSort);
}
private void InitializeDataSource()
{
_storageRegistry = new StorageRegistry();
ConfigManager.RegisterService(_storageRegistry);
_entityRegistry = (HydraEntityRegistry)ConfigManager.GetService<IEntityRegistry>();
_entityRegistry.TasksSettings.Recycle = false;
((SecurityList)_entityRegistry.Securities).BulkLoad = true;
_dbFile = _entityRegistry.FirstTimeInit(Properties.Resources.StockSharp, db => _entityRegistry.Version = HydraEntityRegistry.LatestVersion);
CheckDatabase();
ConfigManager.RegisterService<IExchangeInfoProvider>(new ExchangeInfoProvider(_entityRegistry));
var allSec = _entityRegistry.Securities.GetAllSecurity();
if (allSec != null)
return;
_entityRegistry.Securities.Add(new Security
{
Id = Core.Extensions.AllSecurityId,
Code = "ALL",
//Class = task.GetDisplayName(),
Name = LocalizedStrings.Str2835,
Board = ExchangeBoard.Associated,
ExtensionInfo = new Dictionary<object, object>(),
});
_entityRegistry.Securities.DelayAction.WaitFlush();
}
/// <summary>
/// Initializes a new instance of the <see cref="HistoryEmulationConnector"/>.
/// </summary>
/// <param name="securityProvider">The provider of information about instruments.</param>
/// <param name="portfolios">Portfolios, the operation will be performed with.</param>
/// <param name="storageRegistry">Market data storage.</param>
public HistoryEmulationConnector(ISecurityProvider securityProvider, IEnumerable <Portfolio> portfolios, IStorageRegistry storageRegistry)
{
if (securityProvider == null)
{
throw new ArgumentNullException("securityProvider");
}
if (portfolios == null)
{
throw new ArgumentNullException("portfolios");
}
if (storageRegistry == null)
{
throw new ArgumentNullException("storageRegistry");
}
// чтобы каждый раз при повторной эмуляции получать одинаковые номера транзакций
TransactionIdGenerator = new IncrementalIdGenerator();
_initialMoney = portfolios.ToDictionary(pf => pf, pf => pf.BeginValue);
EntityFactory = new EmulationEntityFactory(securityProvider, _initialMoney.Keys);
InMessageChannel = new PassThroughMessageChannel();
OutMessageChannel = new PassThroughMessageChannel();
LatencyManager = null;
RiskManager = null;
CommissionManager = null;
PnLManager = null;
SlippageManager = null;
_historyAdapter = new HistoryMessageAdapter(TransactionIdGenerator, securityProvider)
{
StorageRegistry = storageRegistry
};
_historyChannel = new InMemoryMessageChannel("History Out", SendOutError);
Adapter = new HistoryBasketMessageAdapter(this);
Adapter.InnerAdapters.Add(EmulationAdapter);
Adapter.InnerAdapters.Add(new ChannelMessageAdapter(_historyAdapter, new InMemoryMessageChannel("History In", SendOutError), _historyChannel));
// при тестировании по свечкам, время меняется быстрее и таймаут должен быть больше 30с.
ReConnectionSettings.TimeOutInterval = TimeSpan.MaxValue;
MaxMessageCount = 1000;
TradesKeepCount = 0;
}
public TerminalConnector(IEntityRegistry entityRegistry, IStorageRegistry storageRegistry) : base(entityRegistry, storageRegistry)
{
}
/// <summary>
/// To get the storage of candles.
/// </summary>
/// <typeparam name="TCandle">The candle type.</typeparam>
/// <typeparam name="TArg">The type of candle parameter.</typeparam>
/// <param name="storageRegistry">The external storage.</param>
/// <param name="security">Security.</param>
/// <param name="arg">Candle arg.</param>
/// <param name="drive">The storage. If a value is <see langword="null" />, <see cref="IStorageRegistry.DefaultDrive"/> will be used.</param>
/// <param name="format">The format type. By default <see cref="StorageFormats.Binary"/> is passed.</param>
/// <returns>The candles storage.</returns>
public static IMarketDataStorage <Candle> GetCandleStorage <TCandle, TArg>(this IStorageRegistry storageRegistry, Security security, TArg arg, IMarketDataDrive drive = null, StorageFormats format = StorageFormats.Binary)
where TCandle : Candle
{
return(storageRegistry.ThrowIfNull().GetCandleStorage(typeof(TCandle), security, arg, drive, format));
}
/// <summary>
/// To refresh the table. It is carried out asynchronously.
/// </summary>
/// <param name="storageRegistry">Market-data storage.</param>
/// <param name="security">Security.</param>
/// <param name="format">Data format.</param>
/// <param name="drive">Storage.</param>
public void BeginMakeEntries(IStorageRegistry storageRegistry, Security security, StorageFormats format, IMarketDataDrive drive)
{
if (storageRegistry == null)
throw new ArgumentNullException(nameof(storageRegistry));
lock (_syncObject)
{
_query = new Query(storageRegistry, security, format, drive);
_isChanged = true;
if (_isFlushing)
return;
_isFlushing = true;
ThreadingHelper
.Thread(() => CultureInfo.InvariantCulture.DoInCulture(OnFlush))
.Launch();
}
}
/// <summary>
/// Initializes a new instance of the <see cref="HistoryEmulationConnector"/>.
/// </summary>
/// <param name="securityProvider">The provider of information about instruments.</param>
/// <param name="portfolios">Portfolios, the operation will be performed with.</param>
/// <param name="storageRegistry">Market data storage.</param>
public HistoryEmulationConnector(ISecurityProvider securityProvider, IEnumerable <Portfolio> portfolios, IStorageRegistry storageRegistry)
: base(new EmulationMessageAdapter(new HistoryMessageAdapter(new IncrementalIdGenerator(), securityProvider), new MessageByLocalTimeQueue(), true) { OwnInnerAdapter = true }, securityProvider, new CollectionPortfolioProvider(portfolios))
{
if (securityProvider == null)
{
throw new ArgumentNullException(nameof(securityProvider));
}
if (portfolios == null)
{
throw new ArgumentNullException(nameof(portfolios));
}
if (storageRegistry == null)
{
throw new ArgumentNullException(nameof(storageRegistry));
}
// чтобы каждый раз при повторной эмуляции получать одинаковые номера транзакций
TransactionIdGenerator = EmulationAdapter.TransactionIdGenerator;
Adapter.LatencyManager = null;
Adapter.CommissionManager = null;
Adapter.PnLManager = null;
Adapter.SlippageManager = null;
InMessageChannel = new PassThroughMessageChannel();
OutMessageChannel = new PassThroughMessageChannel();
// при тестировании по свечкам, время меняется быстрее и таймаут должен быть больше 30с.
//ReConnectionSettings.TimeOutInterval = TimeSpan.MaxValue;
//MaxMessageCount = 1000;
//Adapter.SupportCandlesCompression = false;
Adapter.SupportBuildingFromOrderLog = false;
Adapter.SupportPartialDownload = false;
Adapter.SupportLookupTracking = false;
Adapter.SupportOrderBookTruncate = false;
Adapter.ConnectDisconnectEventOnFirstAdapter = false;
}
/// <summary>
/// Initializes a new instance of the <see cref="HistoryEmulationConnector"/>.
/// </summary>
/// <param name="securities">Instruments, the operation will be performed with.</param>
/// <param name="portfolios">Portfolios, the operation will be performed with.</param>
/// <param name="storageRegistry">Market data storage.</param>
public HistoryEmulationConnector(IEnumerable<Security> securities, IEnumerable<Portfolio> portfolios, IStorageRegistry storageRegistry)
: this((ISecurityProvider)new CollectionSecurityProvider(securities), portfolios, storageRegistry)
{
}
/// <summary>
/// To emulate orders on history.
/// </summary>
/// <param name="orders">Orders to be emulated on history.</param>
/// <param name="storageRegistry">The external storage for access to history data.</param>
/// <param name="openedPositions">Trades, describing initial open positions.</param>
/// <returns>The virtual strategy, containing progress of paper trades.</returns>
public static Strategy EmulateOrders(this IEnumerable <Order> orders, IStorageRegistry storageRegistry, IDictionary <Security, decimal> openedPositions)
{
if (openedPositions == null)
{
throw new ArgumentNullException(nameof(openedPositions));
}
if (storageRegistry == null)
{
throw new ArgumentNullException(nameof(storageRegistry));
}
if (orders == null)
{
throw new ArgumentNullException(nameof(orders));
}
var array = orders.ToArray();
if (array.IsEmpty())
{
throw new ArgumentOutOfRangeException(nameof(orders));
}
using (var connector = new RealTimeEmulationTrader <HistoryMessageAdapter>(new HistoryMessageAdapter(new IncrementalIdGenerator(), new CollectionSecurityProvider(array.Select(o => o.Security).Distinct()))
{
StorageRegistry = storageRegistry
}))
{
var from = array.Min(o => o.Time);
var to = from.EndOfDay();
var strategy = new EquityStrategy(array, openedPositions)
{
Connector = connector
};
var waitHandle = new SyncObject();
//connector.UnderlyngMarketDataAdapter.StateChanged += () =>
//{
// if (connector.UnderlyngMarketDataAdapter.State == EmulationStates.Started)
// strategy.Start();
// if (connector.UnderlyngMarketDataAdapter.State == EmulationStates.Stopped)
// {
// strategy.Stop();
// waitHandle.Pulse();
// }
//};
connector.UnderlyngMarketDataAdapter.StartDate = from;
connector.UnderlyngMarketDataAdapter.StopDate = to;
connector.Connect();
//lock (waitHandle)
//{
// if (connector.UnderlyngMarketDataAdapter.State != EmulationStates.Stopped)
// waitHandle.Wait();
//}
return(strategy);
}
}
/// <summary>
/// The method is called when the <see cref="Strategy.Start"/> method has been called and the <see cref="Strategy.ProcessState"/> state has been taken the <see cref="ProcessStates.Started"/> value.
/// </summary>
protected override void OnStarted()
{
var storateRegistry = new StorageRegistry();
var drive = Environment.GetValue<IMarketDataDrive>("Drive");
if (drive != null)
storateRegistry.DefaultDrive = drive;
StorateRegistry = storateRegistry;
ThreadingHelper
.Thread(() =>
{
try
{
OnAnalyze();
}
catch (Exception ex)
{
this.AddErrorLog(ex);
ex.LogError();
}
})
.Name("{0} analyze thread.".Put(Name))
.Culture(CultureInfo.InvariantCulture)
.Launch();
}
/// <summary>
/// Создать <see cref="BatchEmulation"/>.
/// </summary>
/// <param name="securities">Инструменты, с которыми будет вестись работа.</param>
/// <param name="portfolios">Портфели, с которыми будет вестись работа.</param>
/// <param name="storageRegistry">Хранилище данных.</param>
public BatchEmulation(IEnumerable <Security> securities, IEnumerable <Portfolio> portfolios, IStorageRegistry storageRegistry)
: this(new CollectionSecurityProvider(securities), portfolios, storageRegistry)
{
}
