public static DateTime GetKLineTime(DateTime quoteTime, KLineSize klineSize, ProdDef prodDef = null)
{
if (klineSize == KLineSize.Day)
{
return(Products.GetLocalDateRegardingSessionRefreshTime(quoteTime, prodDef));
}
PeriodAttribute attr = GetAttribute <PeriodAttribute>(klineSize);
int period = attr.Period;
return(DateTimes.GetPeriodStartTime(quoteTime, period));
}
public static decimal?GetOpenPrice(ProdDef prodDef)
{
if (prodDef.OpenAsk == null || prodDef.OpenBid == null)
{
return(null);
}
int c1 = BitConverter.GetBytes(decimal.GetBits(prodDef.OpenAsk.Value)[3])[2];
int c2 = BitConverter.GetBytes(decimal.GetBits(prodDef.OpenBid.Value)[3])[2];
int decimalCount = Math.Max(c1, c2);
return(Math.Round((prodDef.OpenAsk.Value + prodDef.OpenBid.Value) / 2, decimalCount, MidpointRounding.AwayFromZero));
}
public static DateTime GetLocalDateRegardingSessionRefreshTime(DateTime dt, ProdDef prodDef)
{
var offset = GetTimeZoneOffset(prodDef.SessionZone);
var localTime = dt.AddHours(offset);
var localSessionTime = DateTime.ParseExact(prodDef.SessionTime, "HH:mm:ss", null);
//compare local quote time to local session refresh time
var sQuote = localTime.Hour * 3600 + localTime.Minute * 60 + localTime.Second;
var sSession = localSessionTime.Hour * 3600 + localSessionTime.Minute * 60 + localSessionTime.Second;
if (sQuote < sSession)
{
return(localTime.Date);
}
else
{
return(localTime.Date.AddDays(1));
}
}
private static void UpdateKLine(List <Quote> quotes, IRedisTypedClient <KLine> redisKLineClient, ProdDef prodDef,
DateTime dtAyondoNow, KLineSize kLineSize)
{
var list = redisKLineClient.Lists[KLines.GetKLineListNamePrefix(kLineSize) + prodDef.Id];
if (quotes.Count == 0) //no quotes received, then should just fill the non-changing candle
{
if (kLineSize != KLineSize.Day) //no need to fill the non-changing candle for day kline
{
if (list.Count != 0)
{
var last = list[list.Count - 1];
var klineTime = KLines.GetKLineTime(dtAyondoNow, kLineSize, prodDef);
if (prodDef.QuoteType == enmQuoteType.Closed)
{
klineTime = KLines.GetKLineTime(prodDef.LastClose.Value, kLineSize);
}
if (klineTime > last.T) //a new candle?
{
//fill the non-changing candle
list.Add(new KLine()
{
T = klineTime,
O = last.C,
C = last.C,
H = last.C,
L = last.C,
});
}
}
}
}
else
{
var orderedQuotes = quotes.OrderBy(o => o.Time).ToList();
var firstQuote = orderedQuotes.First();
var lastQuote = orderedQuotes.Last();
var klineTime1 = KLines.GetKLineTime(firstQuote.Time, kLineSize, prodDef);
var klineTime2 = KLines.GetKLineTime(lastQuote.Time, kLineSize, prodDef);
//var list = redisKLineClient.Lists[KLines.GetKLineListNamePrefix(kLineSize) + prodDef.Id];
if (klineTime1 != klineTime2 && kLineSize != KLineSize.Day) //quotes range more than 1 candle
{
var list1 = orderedQuotes.Where(o => o.Time < klineTime2).ToList();
var list2 = orderedQuotes.Where(o => o.Time >= klineTime2).ToList();
var k1 = new KLine()
{
T = klineTime1,
O = Quotes.GetLastPrice(list1.First()),
C = Quotes.GetLastPrice(list1.Last()),
H = list1.Max(o => Quotes.GetLastPrice(o)),
L = list1.Min(o => Quotes.GetLastPrice(o)),
};
var k2 = new KLine()
{
T = klineTime2,
O = Quotes.GetLastPrice(list2.First()),
C = Quotes.GetLastPrice(list2.Last()),
H = list2.Max(o => Quotes.GetLastPrice(o)),
L = list2.Min(o => Quotes.GetLastPrice(o)),
};
if (list.Count == 0)
{
list.Add(k1);
list.Add(k2);
}
else
{
var last = list[list.Count - 1];
if (last.T < klineTime1) //2 new candles to append
{
list.Add(k1);
list.Add(k2);
}
else if (last.T == klineTime1) //update last 1, append 1 new
{
list[list.Count - 1] = new KLine()
{
T = last.T,
O = last.O,
C = k1.C,
H = Math.Max(last.H, k1.H),
L = Math.Min(last.L, k1.L),
};
list.Add(k2);
}
else
{
//should not be here
}
}
}
else //quotes range within 1 candle
{
var k = new KLine()
{
T = klineTime1,
O = Quotes.GetLastPrice(firstQuote),
C = Quotes.GetLastPrice(lastQuote),
H = orderedQuotes.Max(o => Quotes.GetLastPrice(o)),
L = orderedQuotes.Min(o => Quotes.GetLastPrice(o)),
};
if (list.Count == 0)
{
list.Add(k);
}
else
{
var last = list[list.Count - 1];
if (last.T < k.T) //append 1 new
{
list.Add(k);
}
else if (last.T == k.T) //update last 1
{
list[list.Count - 1] = new KLine()
{
T = last.T,
O = last.O,
C = k.C,
H = Math.Max(last.H, k.H),
L = Math.Min(last.L, k.L),
};
}
else
{
//should not be here
}
}
}
}
//clear history/prevent data increasing for good
var clearWhenSize = KLines.GetClearWhenSize(kLineSize);
var clearToSize = KLines.GetClearToSize(kLineSize);
if (list.Count > clearWhenSize) //data count at most possible size (in x days )
{
YJYGlobal.LogLine("KLine " + kLineSize + " " + prodDef.Id + " Clearing data from " + list.Count + " to " +
clearToSize);
var klines = list.GetAll();
var newKLines = klines.Skip(klines.Count - clearToSize);
list.RemoveAll();
list.AddRange(newKLines);
}
}
public void FromApp(Message message, SessionID sessionID)
{
//YJYGlobal.LogLine("FromApp: cracking message...");
////-------clear inactive products-------------
//if (_activeProdIds.Count==121)
//{
// var redisProdDefClient = YJYGlobal.BasicRedisClientManager.GetClient().As<ProdDef>();
// var allIds = redisProdDefClient.GetAll().Select(o => o.Id).ToList();
// var removeIds = allIds.Where(o => !_activeProdIds.Contains(o)).ToList();
// redisProdDefClient.DeleteByIds(removeIds);
// allIds = redisQuoteClient.GetAll().Select(o => o.Id).ToList();
// removeIds = allIds.Where(o => !_activeProdIds.Contains(o)).ToList();
// redisQuoteClient.DeleteByIds(removeIds);
// var redis = YJYGlobal.BasicRedisClientManager.GetClient();
// var keys = redis.SearchKeys("tick:*");
// foreach (var key in keys)
// {
// var secId = Convert.ToInt32(key.Replace("tick:", ""));
// if (!_activeProdIds.Contains(secId))
// redis.RemoveEntry(key);
// }
//}//---------------------------------------------
string msgType = message.Header.GetString(Tags.MsgType);
if (msgType == MsgType.QUOTE)
{
Crack(message, sessionID);
}
else if (msgType == "MDS2")
{
/*other new fields:
* MDS_SFACTOR: This is the slippage factor for a product. It is a value used in margin calculations.
*
* MDS_SFACTOR is Slippage Factor. It is used in the margin calculation.
* MDS_MULT is a scaling factor used in some PL calculations. It's important for spread bets (which you do not trade).
*/
//YJYGlobal.LogLine(message.ToString());
//YJYGlobal.LogLine(GetMessageString(message));
var id = Convert.ToInt32(message.GetString(Tags.SecurityID));
var time = message.Header.GetDateTime(Tags.SendingTime);
var quoteType = (enmQuoteType)message.GetInt(Tags.QuoteType);
var name = message.GetString(Tags.Symbol);
var symbol = message.GetString(DD.FieldsByName["MDS_BBC"].Tag);
var assetClass = message.GetString(DD.FieldsByName["MDS_ASSETCLASS"].Tag);
//some security MDS2 dont have Bid/Offer...
var bid = message.Any(o => o.Key == Tags.BidPx) ? message.GetDecimal(Tags.BidPx) : (decimal?)null;
var offer = message.Any(o => o.Key == Tags.OfferPx) ? message.GetDecimal(Tags.OfferPx) : (decimal?)null;
//some security MDS2 dont have MDS_CLOSEBID/MDS_CLOSEASK...
var closeBid = message.Any(o => o.Key == DD.FieldsByName["MDS_CLOSEBID"].Tag) ? message.GetDecimal(DD.FieldsByName["MDS_CLOSEBID"].Tag) : (decimal?)null;
var closeAsk = message.Any(o => o.Key == DD.FieldsByName["MDS_CLOSEASK"].Tag) ? message.GetDecimal(DD.FieldsByName["MDS_CLOSEASK"].Tag) : (decimal?)null;
//
var shortable = Convert.ToBoolean(message.GetString(DD.FieldsByName["MDS_SHORTABLE"].Tag));
var minSizeShort = message.GetDecimal(DD.FieldsByName["MDS_MinSizeShort"].Tag);
var maxSizeShort = message.GetDecimal(DD.FieldsByName["MDS_MaxSizeShort"].Tag);
var minSizeLong = message.GetDecimal(DD.FieldsByName["MDS_MinSizeLong"].Tag);
var maxSizeLong = message.GetDecimal(DD.FieldsByName["MDS_MaxSizeLong"].Tag);
var maxLeverage = message.GetDecimal(DD.FieldsByName["MDS_EFFLEVERAGE"].Tag);
var plUnits = message.GetDecimal(DD.FieldsByName["MDS_PLUNITS"].Tag);
var lotSize = message.GetDecimal(DD.FieldsByName["MDS_LOTSIZE"].Tag);
var ccy2 = message.GetString(DD.FieldsByName["MDS_CCY2"].Tag);
var prec = message.GetInt(DD.FieldsByName["MDS_PREC"].Tag);
var smd = message.Any(o => o.Key == DD.FieldsByName["MDS_SMD"].Tag) ?message.GetDecimal(DD.FieldsByName["MDS_SMD"].Tag):(decimal?)null;
var gsmd = message.Any(o => o.Key == DD.FieldsByName["MDS_GSMD"].Tag) ? message.GetDecimal(DD.FieldsByName["MDS_GSMD"].Tag) : (decimal?)null;
var gsms = message.Any(o => o.Key == DD.FieldsByName["MDS_GSMS"].Tag) ? message.GetDecimal(DD.FieldsByName["MDS_GSMS"].Tag) : (decimal?)null;
//var sFactor = message.GetDecimal(DD.FieldsByName["MDS_SFACTOR"].Tag);
//var tickTime = message.Any(o=>o.Key== DD.FieldsByName["MDS_TICKTIME"].Tag)? message.GetDateTime(DD.FieldsByName["MDS_TICKTIME"].Tag):(DateTime?)null;
var sessionTime = message.GetString(DD.FieldsByName["MDS_SESSIONTIME"].Tag);
var sessionZone = message.GetString(DD.FieldsByName["MDS_SESSIONZONE"].Tag);
//var mult = message.GetDecimal(DD.FieldsByName["MDS_MULT"].Tag);
QueueProdDefs.Enqueue(new ProdDef
{
Id = id,
Time = time,
QuoteType = quoteType,
Name = name,
Symbol = symbol,
AssetClass = assetClass,
Bid = bid,
Offer = offer,
CloseBid = closeBid,
CloseAsk = closeAsk,
Shortable = shortable,
MinSizeShort = minSizeShort,
MaxSizeShort = maxSizeShort,
MinSizeLong = minSizeLong,
MaxSizeLong = maxSizeLong,
MaxLeverage = maxLeverage,
PLUnits = plUnits,
LotSize = lotSize,
Ccy2 = ccy2,
Prec = prec,
SMD = smd,
GSMD = gsmd,
GSMS = gsms,
SessionTime = sessionTime,
SessionZone = sessionZone,
});
ProdDefs[id] = new ProdDef
{
Id = id,
Time = time,
QuoteType = quoteType,
Name = name,
Symbol = symbol,
AssetClass = assetClass,
Bid = bid,
Offer = offer,
CloseBid = closeBid,
CloseAsk = closeAsk,
Shortable = shortable,
MinSizeShort = minSizeShort,
MaxSizeShort = maxSizeShort,
MinSizeLong = minSizeLong,
MaxSizeLong = maxSizeLong,
MaxLeverage = maxLeverage,
PLUnits = plUnits,
LotSize = lotSize,
Ccy2 = ccy2,
Prec = prec,
SMD = smd,
GSMD = gsmd,
GSMS = gsms,
SessionTime = sessionTime,
SessionZone = sessionZone,
};
}
else
{
YJYGlobal.LogLine("Unknown MsgType: " + message.ToString());
}
}