/// <summary> /// To get the order books storage. /// </summary> /// <param name="security">Security.</param> /// <returns>The order books storage.</returns> protected override IMarketDataStorage <MarketDepth> GetStorage(Security security) { return(StorageRegistry.GetMarketDepthStorage(security, Drive)); }
private void ProcessMarketDataMessage(MarketDataMessage message) { var securityId = message.SecurityId; var security = SecurityProvider.LookupById(securityId.ToStringId()); if (security == null) { RaiseMarketDataMessage(message, new InvalidOperationException(LocalizedStrings.Str704Params.Put(securityId))); return; } if (StorageRegistry == null) { RaiseMarketDataMessage(message, new InvalidOperationException(LocalizedStrings.Str1117Params.Put(message.DataType, securityId))); return; } var history = message as HistorySourceMessage; var storages = BasketStorage.InnerStorages; Exception error = null; switch (message.DataType) { case MarketDataTypes.Level1: { if (message.IsSubscribe) { if (history == null) { storages.Add(StorageRegistry.GetLevel1MessageStorage(security, Drive, StorageFormat)); storages.Add(new InMemoryMarketDataStorage <ClearingMessage>(security, null, date => new[] { new ClearingMessage { LocalTime = date.Date + security.Board.ExpiryTime, SecurityId = securityId, ClearMarketDepth = true } })); } else { storages.Add(new InMemoryMarketDataStorage <Level1ChangeMessage>(security, null, history.GetMessages)); } } else { RemoveStorage <IMarketDataStorage <Level1ChangeMessage> >(security, MessageTypes.Level1Change, null); RemoveStorage <InMemoryMarketDataStorage <ClearingMessage> >(security, ExtendedMessageTypes.Clearing, null); } break; } case MarketDataTypes.MarketDepth: { if (message.IsSubscribe) { if (history == null) { storages.Add((IMarketDataStorage <QuoteChangeMessage>)StorageRegistry.GetMarketDepthStorage(security, Drive, StorageFormat)); } else { storages.Add(new InMemoryMarketDataStorage <QuoteChangeMessage>(security, null, history.GetMessages)); } } else { RemoveStorage <IMarketDataStorage <QuoteChangeMessage> >(security, MessageTypes.QuoteChange, null); } break; } case MarketDataTypes.Trades: { if (message.IsSubscribe) { if (history == null) { storages.Add((IMarketDataStorage <ExecutionMessage>)StorageRegistry.GetTradeStorage(security, Drive, StorageFormat)); } else { storages.Add(new InMemoryMarketDataStorage <ExecutionMessage>(security, null, history.GetMessages)); } } else { RemoveStorage <IMarketDataStorage <ExecutionMessage> >(security, MessageTypes.Execution, ExecutionTypes.Tick); } break; } case MarketDataTypes.OrderLog: { if (message.IsSubscribe) { if (history == null) { storages.Add((IMarketDataStorage <ExecutionMessage>)StorageRegistry.GetOrderLogStorage(security, Drive, StorageFormat)); } else { storages.Add(new InMemoryMarketDataStorage <ExecutionMessage>(security, null, history.GetMessages)); } } else { RemoveStorage <IMarketDataStorage <ExecutionMessage> >(security, MessageTypes.Execution, ExecutionTypes.OrderLog); } break; } case MarketDataTypes.CandleTimeFrame: case MarketDataTypes.CandleTick: case MarketDataTypes.CandleVolume: case MarketDataTypes.CandleRange: case MarketDataTypes.CandlePnF: case MarketDataTypes.CandleRenko: { var msgType = message.DataType.ToCandleMessageType(); if (message.IsSubscribe) { var candleType = message.DataType.ToCandleMessage(); if (history == null) { storages.Add(StorageRegistry.GetCandleMessageStorage(candleType, security, message.Arg, Drive, StorageFormat)); } else { storages.Add(new InMemoryMarketDataStorage <CandleMessage>(security, message.Arg, history.GetMessages, candleType)); } } else { RemoveStorage <IMarketDataStorage <CandleMessage> >(security, msgType, message.Arg); } break; } default: error = new InvalidOperationException(LocalizedStrings.Str1118Params.Put(message.DataType)); break; } RaiseMarketDataMessage(message, error); }
private void ProcessMarketDataMessage(MarketDataMessage message) { var security = _sessionHolder.SecurityProvider.LookupById(message.SecurityId.SecurityCode + "@" + message.SecurityId.BoardCode); if (security == null) { RaiseMarketDataMessage(message, new InvalidOperationException(LocalizedStrings.Str704Params.Put(message.SecurityId))); return; } if (TryGetGenerator(message) != null) { RaiseMarketDataMessage(message, null); return; } if (StorageRegistry == null) { RaiseMarketDataMessage(message, new InvalidOperationException(LocalizedStrings.Str1117Params.Put(message.DataType, message.SecurityId))); return; } Exception error = null; switch (message.DataType) { case MarketDataTypes.Level1: { if (message.IsSubscribe) { _basketStorage.InnerStorages.Add(StorageRegistry.GetLevel1MessageStorage(security, Drive, StorageFormat)); _basketStorage.InnerStorages.Add(new InMemoryMarketDataStorage <ClearingMessage>(date => new[] { new ClearingMessage { LocalTime = date.Date + security.Board.ExpiryTime, SecurityId = message.SecurityId, ClearMarketDepth = true } })); } else { RemoveStorage <IMarketDataStorage <Level1ChangeMessage> >(security, MessageTypes.Level1Change, message.Arg); RemoveStorage <InMemoryMarketDataStorage <ClearingMessage> >(security, ExtendedMessageTypes.Clearing, message.Arg); } break; } case MarketDataTypes.MarketDepth: { if (message.IsSubscribe) { _basketStorage.InnerStorages.Add((IMarketDataStorage <QuoteChangeMessage>)StorageRegistry.GetMarketDepthStorage(security, Drive, StorageFormat)); } else { RemoveStorage <IMarketDataStorage <QuoteChangeMessage> >(security, MessageTypes.QuoteChange, message.Arg); } break; } case MarketDataTypes.Trades: { if (message.IsSubscribe) { _basketStorage.InnerStorages.Add((IMarketDataStorage <ExecutionMessage>)StorageRegistry.GetTradeStorage(security, Drive, StorageFormat)); } else { RemoveStorage <IMarketDataStorage <ExecutionMessage> >(security, MessageTypes.Execution, message.Arg); } break; } case MarketDataTypes.OrderLog: { if (message.IsSubscribe) { //var msg = "OrderLog".ValidateLicense(); //if (msg == null) _basketStorage.InnerStorages.Add((IMarketDataStorage <ExecutionMessage>)StorageRegistry.GetOrderLogStorage(security, Drive, StorageFormat)); //else // SessionHolder.AddErrorLog(msg); } else { RemoveStorage <IMarketDataStorage <ExecutionMessage> >(security, MessageTypes.Execution, message.Arg); } break; } case MarketDataTypes.CandleTimeFrame: case MarketDataTypes.CandleTick: case MarketDataTypes.CandleVolume: case MarketDataTypes.CandleRange: case MarketDataTypes.CandlePnF: case MarketDataTypes.CandleRenko: { Type candleMessageType; MessageTypes msgType; switch (message.DataType) { case MarketDataTypes.CandleTimeFrame: msgType = MessageTypes.CandleTimeFrame; candleMessageType = typeof(TimeFrameCandleMessage); break; case MarketDataTypes.CandleTick: msgType = MessageTypes.CandleTick; candleMessageType = typeof(TickCandleMessage); break; case MarketDataTypes.CandleVolume: msgType = MessageTypes.CandleVolume; candleMessageType = typeof(VolumeCandleMessage); break; case MarketDataTypes.CandleRange: msgType = MessageTypes.CandleRange; candleMessageType = typeof(RangeCandleMessage); break; case MarketDataTypes.CandlePnF: msgType = MessageTypes.CandlePnF; candleMessageType = typeof(PnFCandleMessage); break; case MarketDataTypes.CandleRenko: msgType = MessageTypes.CandleRenko; candleMessageType = typeof(RenkoCandleMessage); break; default: throw new InvalidOperationException(); } if (message.IsSubscribe) { _basketStorage.InnerStorages.Add(StorageRegistry.GetCandleMessageStorage(candleMessageType, security, message.Arg, Drive, StorageFormat)); } else { RemoveStorage <IMarketDataStorage <CandleMessage> >(security, msgType, message.Arg); } break; } default: error = new InvalidOperationException(LocalizedStrings.Str1118Params.Put(message.DataType)); break; } RaiseMarketDataMessage(message, error); }
static void Main(string[] args) { var tradeBufferMax = 200; var depthBufferMax = 1000; var tradeBuffers = new Dictionary <string, List <Trade> >(); var depthBuffers = new Dictionary <string, List <MarketDepth> >(); var tradeStorages = new Dictionary <string, IMarketDataStorage <Trade> >(); var depthStorages = new Dictionary <string, IMarketDataStorage <MarketDepth> >(); List <string> securityIds = new List <string>(); StorageFormats storageFormat; string storagePath; var settings = XElement.Load("settings.xml"); storagePath = @settings.Element("storage-path").Value; storageFormat = (StorageFormats)Enum.Parse(typeof(StorageFormats), settings.Element("storage-format").Value.ToUpper()); foreach (var item in settings.Element("securities").Elements()) { var secId = item.Element("security").Value; securityIds.Add(secId); depthBuffers.Add(secId, new List <MarketDepth>()); tradeBuffers.Add(secId, new List <Trade>()); } var storage = new StorageRegistry() { DefaultDrive = new LocalMarketDataDrive { Path = storagePath } }; var connector = new QuikTrader(); // Ставим false, чтобы квик при старте не загрузил все 30 тыс инструментов connector.RequestAllSecurities = false; // Контролируем соединение в течение работы срочного рынка connector.ReConnectionSettings.WorkingTime = ExchangeBoard.Forts.WorkingTime; // Обработчик события успешного соединения connector.Connected += () => { Console.WriteLine("Соединение установлено!"); if (securityIds.Any()) { // Запрашиваем инструменты foreach (var id in securityIds) { connector.LookupSecurities(new Security() { Code = id.Split('@')[0], Board = ExchangeBoard.GetBoard(id.Split('@')[1]) }); } } else { Console.WriteLine("Нет инструментов для запроса!"); } }; connector.LookupSecuritiesResult += (ex, securities) => { foreach (var security in securities) { if (tradeStorages.ContainsKey(security.Id) || depthStorages.ContainsKey(security.Id)) { continue; } // Инициализируем специализированные хранилища tradeStorages.Add(security.Id, storage.GetTradeStorage(security, null, storageFormat)); depthStorages.Add(security.Id, storage.GetMarketDepthStorage(security, null, storageFormat)); // Региструем получение сделок if (!connector.RegisteredTrades.Contains(security)) { connector.RegisterTrades(security); } // Региструем получение стаканов if (!connector.RegisteredMarketDepths.Contains(security)) { connector.RegisterMarketDepth(security); } } }; connector.NewTrades += trades => { foreach (var trade in trades) { var secId = trade.Security.Id; tradeBuffers[secId].Add(trade); if (tradeBuffers[secId].Count >= tradeBufferMax) { var forsave = tradeBuffers[secId].TakeLast(tradeBufferMax); tradeBuffers[secId] = tradeBuffers[secId].Except(forsave).ToList(); var task = Task.Factory.StartNew(() => tradeStorages[secId].Save(forsave)); } } }; connector.MarketDepthsChanged += depths => { foreach (var depth in depths) { var secId = depth.Security.Id; depthBuffers[secId].Add(depth); if (depthBuffers[secId].Count >= depthBufferMax) { var forsave = depthBuffers[secId].TakeLast(depthBufferMax); depthBuffers[secId] = depthBuffers[secId].Except(forsave).ToList(); var task = Task.Factory.StartNew(() => depthStorages[secId].Save(forsave)); } } }; // Обработчик события разрыва соединения connector.Disconnected += () => Console.WriteLine("Соединение разорвано!"); // Команда соединения connector.Connect(); Console.Read(); var ttasks = new List <Task>(); var dtasks = new List <Task>(); foreach (var security in connector.Securities) { // Отменяем регистрацию сделок if (connector.RegisteredTrades.Contains(security)) { connector.UnRegisterTrades(security); } // Отменяем получение стаканов if (connector.RegisteredMarketDepths.Contains(security)) { connector.UnRegisterMarketDepth(security); } // Записываем остатки данных ttasks.Add(Task.Factory.StartNew(() => tradeStorages[security.Id].Save(tradeBuffers[security.Id]))); dtasks.Add(Task.Factory.StartNew(() => depthStorages[security.Id].Save(depthBuffers[security.Id]))); } Console.WriteLine("Записываем остатки данных!"); // Чуток ждем Task.WaitAll(ttasks.ToArray()); Task.WaitAll(dtasks.ToArray()); // Команда разрыва соединения connector.Disconnect(); }
private void ProcessMarketDataMessage(MarketDataMessage message) { var generatorMessage = message as GeneratorMarketDataMessage; if (generatorMessage != null) { if (generatorMessage.Generator == null) { throw new ArgumentException("message"); } var tradeGen = generatorMessage.Generator as TradeGenerator; if (tradeGen != null) { if (generatorMessage.IsSubscribe) { _tradeGenerators.Add(generatorMessage.SecurityId, tradeGen); } else { _tradeGenerators.Remove(generatorMessage.SecurityId); } } else { var depthGen = generatorMessage.Generator as MarketDepthGenerator; if (depthGen != null) { if (generatorMessage.IsSubscribe) { _depthGenerators.Add(generatorMessage.SecurityId, depthGen); } else { _depthGenerators.Remove(generatorMessage.SecurityId); } } else { var olGen = generatorMessage.Generator as OrderLogGenerator; if (olGen != null) { if (generatorMessage.IsSubscribe) { _orderLogGenerators.Add(generatorMessage.SecurityId, olGen); } else { _orderLogGenerators.Remove(generatorMessage.SecurityId); } } else { throw new InvalidOperationException(); } } } return; } var security = SecurityProvider.LookupById(message.SecurityId.SecurityCode + "@" + message.SecurityId.BoardCode); if (security == null) { RaiseMarketDataMessage(message, new InvalidOperationException(LocalizedStrings.Str704Params.Put(message.SecurityId))); return; } if (TryGetGenerator(message) != null) { RaiseMarketDataMessage(message, null); return; } if (StorageRegistry == null) { RaiseMarketDataMessage(message, new InvalidOperationException(LocalizedStrings.Str1117Params.Put(message.DataType, message.SecurityId))); return; } Exception error = null; switch (message.DataType) { case MarketDataTypes.Level1: { if (message.IsSubscribe) { BasketStorage.InnerStorages.Add(StorageRegistry.GetLevel1MessageStorage(security, Drive, StorageFormat)); BasketStorage.InnerStorages.Add(new InMemoryMarketDataStorage <ClearingMessage>(date => new[] { new ClearingMessage { LocalTime = date.Date + security.Board.ExpiryTime, SecurityId = message.SecurityId, ClearMarketDepth = true } })); } else { RemoveStorage <IMarketDataStorage <Level1ChangeMessage> >(security, MessageTypes.Level1Change, message.Arg); RemoveStorage <InMemoryMarketDataStorage <ClearingMessage> >(security, ExtendedMessageTypes.Clearing, message.Arg); } break; } case MarketDataTypes.MarketDepth: { if (message.IsSubscribe) { BasketStorage.InnerStorages.Add((IMarketDataStorage <QuoteChangeMessage>)StorageRegistry.GetMarketDepthStorage(security, Drive, StorageFormat)); } else { RemoveStorage <IMarketDataStorage <QuoteChangeMessage> >(security, MessageTypes.QuoteChange, message.Arg); } break; } case MarketDataTypes.Trades: { if (message.IsSubscribe) { BasketStorage.InnerStorages.Add((IMarketDataStorage <ExecutionMessage>)StorageRegistry.GetTradeStorage(security, Drive, StorageFormat)); } else { RemoveStorage <IMarketDataStorage <ExecutionMessage> >(security, MessageTypes.Execution, message.Arg); } break; } case MarketDataTypes.OrderLog: { if (message.IsSubscribe) { BasketStorage.InnerStorages.Add((IMarketDataStorage <ExecutionMessage>)StorageRegistry.GetOrderLogStorage(security, Drive, StorageFormat)); } else { RemoveStorage <IMarketDataStorage <ExecutionMessage> >(security, MessageTypes.Execution, message.Arg); } break; } case MarketDataTypes.CandleTimeFrame: case MarketDataTypes.CandleTick: case MarketDataTypes.CandleVolume: case MarketDataTypes.CandleRange: case MarketDataTypes.CandlePnF: case MarketDataTypes.CandleRenko: { Type candleMessageType; MessageTypes msgType; switch (message.DataType) { case MarketDataTypes.CandleTimeFrame: msgType = MessageTypes.CandleTimeFrame; candleMessageType = typeof(TimeFrameCandleMessage); break; case MarketDataTypes.CandleTick: msgType = MessageTypes.CandleTick; candleMessageType = typeof(TickCandleMessage); break; case MarketDataTypes.CandleVolume: msgType = MessageTypes.CandleVolume; candleMessageType = typeof(VolumeCandleMessage); break; case MarketDataTypes.CandleRange: msgType = MessageTypes.CandleRange; candleMessageType = typeof(RangeCandleMessage); break; case MarketDataTypes.CandlePnF: msgType = MessageTypes.CandlePnF; candleMessageType = typeof(PnFCandleMessage); break; case MarketDataTypes.CandleRenko: msgType = MessageTypes.CandleRenko; candleMessageType = typeof(RenkoCandleMessage); break; default: throw new InvalidOperationException(); } if (message.IsSubscribe) { BasketStorage.InnerStorages.Add(StorageRegistry.GetCandleMessageStorage(candleMessageType, security, message.Arg, Drive, StorageFormat)); } else { RemoveStorage <IMarketDataStorage <CandleMessage> >(security, msgType, message.Arg); } break; } default: error = new InvalidOperationException(LocalizedStrings.Str1118Params.Put(message.DataType)); break; } RaiseMarketDataMessage(message, error); }