/// <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));
if (!(this is StorageMetaInfoMessageAdapter))
{
StartStorageTimer();
}
}
public CandleMessageBuildableStorage(CandleBuilderProvider provider, IStorageRegistry registry, SecurityId securityId, TimeSpan timeFrame, IMarketDataDrive drive, StorageFormats format)
{
if (registry == null)
{
throw new ArgumentNullException(nameof(registry));
}
_getStorage = tf => registry.GetCandleMessageStorage(typeof(TimeFrameCandleMessage), securityId, tf, drive, format);
_original = _getStorage(timeFrame);
_timeFrame = timeFrame;
_compressors = GetSmallerTimeFrames().ToDictionary(tf => tf, tf => new BiggerTimeFrameCandleCompressor(new MarketDataMessage
{
SecurityId = securityId,
DataType = MarketDataTypes.CandleTimeFrame,
Arg = timeFrame,
IsSubscribe = true,
}, provider.Get(typeof(TimeFrameCandleMessage))));
}
public BasketEmulationAdapter(IdGenerator transactionIdGenerator, IPortfolioMessageAdapterProvider adapterProvider, CandleBuilderProvider candleBuilderProvider, EmulationSettings settings)
: base(transactionIdGenerator, adapterProvider, candleBuilderProvider)
{
_settings = settings;
}
/// <summary>
/// Initializes a new instance of the <see cref="StorageMetaInfoMessageAdapter"/>.
/// </summary>
/// <param name="innerAdapter">The adapter, to which messages will be directed.</param>
/// <param name="securityStorage">Securities meta info storage.</param>
/// <param name="positionStorage">Position storage.</param>
/// <param name="exchangeInfoProvider">Exchanges and trading boards provider.</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 StorageMetaInfoMessageAdapter(IMessageAdapter innerAdapter, ISecurityStorage securityStorage,
IPositionStorage positionStorage, IExchangeInfoProvider exchangeInfoProvider,
IStorageRegistry storageRegistry, SnapshotRegistry snapshotRegistry, CandleBuilderProvider candleBuilderProvider)
: base(innerAdapter, storageRegistry, snapshotRegistry, candleBuilderProvider)
{
_securityStorage = securityStorage ?? throw new ArgumentNullException(nameof(securityStorage));
_positionStorage = positionStorage ?? throw new ArgumentNullException(nameof(positionStorage));
_exchangeInfoProvider = exchangeInfoProvider ?? throw new ArgumentNullException(nameof(_exchangeInfoProvider));
}
/// <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="StorageProcessor"/>.
/// </summary>
/// <param name="storageRegistry">The storage of market data.</param>
/// <param name="snapshotRegistry">Snapshot storage registry.</param>
/// <param name="candleBuilderProvider">Candle builders provider.</param>
public StorageProcessor(IStorageRegistry storageRegistry, SnapshotRegistry snapshotRegistry, CandleBuilderProvider candleBuilderProvider)
{
StorageRegistry = storageRegistry; // ?? throw new ArgumentNullException(nameof(storageRegistry));
SnapshotRegistry = snapshotRegistry; // ?? throw new ArgumentNullException(nameof(snapshotRegistry));
CandleBuilderProvider = candleBuilderProvider ?? throw new ArgumentNullException(nameof(candleBuilderProvider));
}
/// <summary>
/// Initializes a new instance of the <see cref="StorageProcessor"/>.
/// </summary>
/// <param name="settings">Storage settings.</param>
/// <param name="candleBuilderProvider">Candle builders provider.</param>
public StorageProcessor(StorageCoreSettings settings, CandleBuilderProvider candleBuilderProvider)
{
Settings = settings ?? throw new ArgumentNullException(nameof(settings));
CandleBuilderProvider = candleBuilderProvider ?? throw new ArgumentNullException(nameof(candleBuilderProvider));
}
