static void Main(string[] args)
{
Security sber = new Security {
Id = "SBER@TQBR", Board = ExchangeBoard.Micex
};
Security gazp = new Security {
Id = "GAZP@TQBS", Board = ExchangeBoard.Micex
};
Security gmkn = new Security {
Id = "GMKN@TQBS", Board = ExchangeBoard.Micex
};
// создаем хранилище инструментов Финам
// добавить инструменты можно через конструктор, так
//var finamSecurityStorage = new FinamSecurityStorage(sber);
// или так
var finamSecurityStorage = new FinamSecurityStorage(new List <Security>()
{
sber, gmkn
});
// или при помощи метода Add
finamSecurityStorage.Add(gazp);
// Создаем экземпляр класса FinamHistorySource. Этот объект управляет получением данных с Финама.
FinamHistorySource _finamHistorySource = new FinamHistorySource();
// Создаем жранилище для нативных идентификаторов (родные идентификаторы инструментов Финама)
var nativeIdStorage = new InMemoryNativeIdStorage();
bool isCanceled = false;
// Задаем папку, где будут сохранены запрошенные данные.. Если папку не задавать, то
// на диске данные сохранены не будут
_finamHistorySource.DumpFolder = "DataHist";
// Выполняем обновление хранилища инструментов Финама
// Перед добавлением каждого инструмента в хранилище вызывается функция (делегат) isCanceled, если функция возвращает false, то обновление
// хранилища продолжается, если true, то прерывается.
// При добавлении нового инструмента в хранилище вызывается функция (делегат) newSecurity. В нашем случае этот делегат имеет пустое тело (ничего не делает).
_finamHistorySource.Refresh(finamSecurityStorage, nativeIdStorage, new Security(), s => {}, () => isCanceled);
// Задаем таймфрем свечи
var timeFrame = TimeSpan.FromMinutes(1);
var now = DateTime.Now;
var end = new DateTime(now.Year, now.Month, now.Day - 1, 0, 0, 0);
var start = end.AddDays(-2);
// Запрашиваем свечи с Финама
var candles = _finamHistorySource.GetCandles(gazp, nativeIdStorage, timeFrame, start, end);
// Запрашиваем тики
var ticks = _finamHistorySource.GetTicks(gmkn, nativeIdStorage, start, end);
Console.Read();
}
private void StartBtnClick(object sender, RoutedEventArgs e)
{
if (_connectors.Count > 0)
{
foreach (var connector in _connectors)
{
connector.Start();
}
return;
}
if (HistoryPath.Folder.IsEmpty() || !Directory.Exists(HistoryPath.Folder))
{
MessageBox.Show(this, LocalizedStrings.Str3014);
return;
}
if (_connectors.Any(t => t.State != EmulationStates.Stopped))
{
MessageBox.Show(this, LocalizedStrings.Str3015);
return;
}
var id = SecId.Text.ToSecurityId();
//if (secIdParts.Length != 2)
//{
// MessageBox.Show(this, LocalizedStrings.Str3016);
// return;
//}
var timeFrame = TimeSpan.FromMinutes(TimeFrame.SelectedIndex == 0 ? 1 : 5);
var secCode = id.SecurityCode;
var board = _exchangeInfoProvider.GetOrCreateBoard(id.BoardCode);
// create test security
var security = new Security
{
Id = SecId.Text, // sec id has the same name as folder with historical data
Code = secCode,
Board = board,
};
if (FinamCandlesCheckBox.IsChecked == true)
{
_finamHistorySource.Refresh(new FinamSecurityStorage(security), security, s => {}, () => false);
}
// create backtesting modes
var settings = new[]
{
Tuple.Create(
TicksCheckBox,
TicksProgress,
TicksParameterGrid,
// ticks
new EmulationInfo {
UseTicks = true, CurveColor = Colors.DarkGreen, StrategyName = LocalizedStrings.Ticks
},
TicksChart,
TicksEquity,
TicksPosition),
Tuple.Create(
TicksAndDepthsCheckBox,
TicksAndDepthsProgress,
TicksAndDepthsParameterGrid,
// ticks + order book
new EmulationInfo {
UseTicks = true, UseMarketDepth = true, CurveColor = Colors.Red, StrategyName = LocalizedStrings.XamlStr757
},
TicksAndDepthsChart,
TicksAndDepthsEquity,
TicksAndDepthsPosition),
Tuple.Create(
DepthsCheckBox,
DepthsProgress,
DepthsParameterGrid,
// order book
new EmulationInfo {
UseMarketDepth = true, CurveColor = Colors.OrangeRed, StrategyName = LocalizedStrings.MarketDepths
},
DepthsChart,
DepthsEquity,
DepthsPosition),
Tuple.Create(
CandlesCheckBox,
CandlesProgress,
CandlesParameterGrid,
// candles
new EmulationInfo {
UseCandleTimeFrame = timeFrame, CurveColor = Colors.DarkBlue, StrategyName = LocalizedStrings.Candles
},
CandlesChart,
CandlesEquity,
CandlesPosition),
Tuple.Create(
CandlesAndDepthsCheckBox,
CandlesAndDepthsProgress,
CandlesAndDepthsParameterGrid,
// candles + orderbook
new EmulationInfo {
UseMarketDepth = true, UseCandleTimeFrame = timeFrame, CurveColor = Colors.Cyan, StrategyName = LocalizedStrings.XamlStr635
},
CandlesAndDepthsChart,
CandlesAndDepthsEquity,
CandlesAndDepthsPosition),
Tuple.Create(
OrderLogCheckBox,
OrderLogProgress,
OrderLogParameterGrid,
// order log
new EmulationInfo {
UseOrderLog = true, CurveColor = Colors.CornflowerBlue, StrategyName = LocalizedStrings.OrderLog
},
OrderLogChart,
OrderLogEquity,
OrderLogPosition),
Tuple.Create(
Level1CheckBox,
Level1Progress,
Level1ParameterGrid,
// order log
new EmulationInfo {
UseLevel1 = true, CurveColor = Colors.Aquamarine, StrategyName = LocalizedStrings.Level1
},
Level1Chart,
Level1Equity,
Level1Position),
Tuple.Create(
FinamCandlesCheckBox,
FinamCandlesProgress,
FinamCandlesParameterGrid,
// candles
new EmulationInfo {
UseCandleTimeFrame = timeFrame, HistorySource = d => _finamHistorySource.GetCandles(security, timeFrame, d.Date, d.Date), CurveColor = Colors.DarkBlue, StrategyName = LocalizedStrings.FinamCandles
},
FinamCandlesChart,
FinamCandlesEquity,
FinamCandlesPosition),
Tuple.Create(
YahooCandlesCheckBox,
YahooCandlesProgress,
YahooCandlesParameterGrid,
// candles
new EmulationInfo {
UseCandleTimeFrame = timeFrame, HistorySource = d => new YahooHistorySource(_exchangeInfoProvider).GetCandles(security, timeFrame, d.Date, d.Date), CurveColor = Colors.DarkBlue, StrategyName = LocalizedStrings.YahooCandles
},
YahooCandlesChart,
YahooCandlesEquity,
YahooCandlesPosition),
};
// storage to historical data
var storageRegistry = new StorageRegistry
{
// set historical path
DefaultDrive = new LocalMarketDataDrive(HistoryPath.Folder)
};
var startTime = ((DateTime)From.Value).ChangeKind(DateTimeKind.Utc);
var stopTime = ((DateTime)To.Value).ChangeKind(DateTimeKind.Utc);
// (ru only) ОЛ необходимо загружать с 18.45 пред дня, чтобы стаканы строились правильно
if (OrderLogCheckBox.IsChecked == true)
{
startTime = startTime.Subtract(TimeSpan.FromDays(1)).AddHours(18).AddMinutes(45).AddTicks(1).ApplyTimeZone(TimeHelper.Moscow).UtcDateTime;
}
// ProgressBar refresh step
var progressStep = ((stopTime - startTime).Ticks / 100).To <TimeSpan>();
// set ProgressBar bounds
_progressBars.ForEach(p =>
{
p.Value = 0;
p.Maximum = 100;
});
var logManager = new LogManager();
var fileLogListener = new FileLogListener("sample.log");
logManager.Listeners.Add(fileLogListener);
//logManager.Listeners.Add(new DebugLogListener()); // for track logs in output window in Vusial Studio (poor performance).
var generateDepths = GenDepthsCheckBox.IsChecked == true;
var maxDepth = MaxDepth.Text.To <int>();
var maxVolume = MaxVolume.Text.To <int>();
var secId = security.ToSecurityId();
SetIsEnabled(false, false, false);
foreach (var set in settings)
{
if (set.Item1.IsChecked == false)
{
continue;
}
var title = (string)set.Item1.Content;
InitChart(set.Item5, set.Item6, set.Item7);
var progressBar = set.Item2;
var statistic = set.Item3;
var emulationInfo = set.Item4;
var level1Info = new Level1ChangeMessage
{
SecurityId = secId,
ServerTime = startTime,
}
.TryAdd(Level1Fields.PriceStep, secCode == "RIZ2" ? 10m : 1)
.TryAdd(Level1Fields.StepPrice, 6m)
.TryAdd(Level1Fields.MinPrice, 10m)
.TryAdd(Level1Fields.MaxPrice, 1000000m)
.TryAdd(Level1Fields.MarginBuy, 10000m)
.TryAdd(Level1Fields.MarginSell, 10000m);
// test portfolio
var portfolio = new Portfolio
{
Name = "test account",
BeginValue = 1000000,
};
// create backtesting connector
var connector = new HistoryEmulationConnector(
new[] { security },
new[] { portfolio })
{
EmulationAdapter =
{
Emulator =
{
Settings =
{
// match order if historical price touched our limit order price.
// It is terned off, and price should go through limit order price level
// (more "severe" test mode)
MatchOnTouch = false,
}
}
},
//UseExternalCandleSource = emulationInfo.UseCandleTimeFrame != null,
CreateDepthFromOrdersLog = emulationInfo.UseOrderLog,
CreateTradesFromOrdersLog = emulationInfo.UseOrderLog,
HistoryMessageAdapter =
{
StorageRegistry = storageRegistry,
// set history range
StartDate = startTime,
StopDate = stopTime,
OrderLogMarketDepthBuilders =
{
{
secId,
LocalizedStrings.ActiveLanguage == Languages.Russian
? (IOrderLogMarketDepthBuilder) new PlazaOrderLogMarketDepthBuilder(secId)
: new ItchOrderLogMarketDepthBuilder(secId)
}
}
},
// set market time freq as time frame
MarketTimeChangedInterval = timeFrame,
};
((ILogSource)connector).LogLevel = DebugLogCheckBox.IsChecked == true ? LogLevels.Debug : LogLevels.Info;
logManager.Sources.Add(connector);
var candleManager = new CandleManager(connector);
var series = new CandleSeries(typeof(TimeFrameCandle), security, timeFrame)
{
BuildCandlesMode = emulationInfo.UseCandleTimeFrame == null ? BuildCandlesModes.Build : BuildCandlesModes.Load
};
_shortMa = new SimpleMovingAverage {
Length = 10
};
_shortElem = new ChartIndicatorElement
{
Color = Colors.Coral,
ShowAxisMarker = false,
FullTitle = _shortMa.ToString()
};
var chart = set.Item5;
chart.AddElement(_area, _shortElem);
_longMa = new SimpleMovingAverage {
Length = 80
};
_longElem = new ChartIndicatorElement
{
ShowAxisMarker = false,
FullTitle = _longMa.ToString()
};
chart.AddElement(_area, _longElem);
// create strategy based on 80 5-min и 10 5-min
var strategy = new SmaStrategy(chart, _candlesElem, _tradesElem, _shortMa, _shortElem, _longMa, _longElem, candleManager, series)
{
Volume = 1,
Portfolio = portfolio,
Security = security,
Connector = connector,
LogLevel = DebugLogCheckBox.IsChecked == true ? LogLevels.Debug : LogLevels.Info,
// by default interval is 1 min,
// it is excessively for time range with several months
UnrealizedPnLInterval = ((stopTime - startTime).Ticks / 1000).To <TimeSpan>()
};
logManager.Sources.Add(strategy);
connector.NewSecurity += s =>
{
if (s != security)
{
return;
}
// fill level1 values
connector.HistoryMessageAdapter.SendOutMessage(level1Info);
if (emulationInfo.HistorySource != null)
{
if (emulationInfo.UseCandleTimeFrame != null)
{
connector.RegisterHistorySource(security, MarketDataTypes.CandleTimeFrame, emulationInfo.UseCandleTimeFrame.Value, emulationInfo.HistorySource);
}
if (emulationInfo.UseTicks)
{
connector.RegisterHistorySource(security, MarketDataTypes.Trades, null, emulationInfo.HistorySource);
}
if (emulationInfo.UseLevel1)
{
connector.RegisterHistorySource(security, MarketDataTypes.Level1, null, emulationInfo.HistorySource);
}
if (emulationInfo.UseMarketDepth)
{
connector.RegisterHistorySource(security, MarketDataTypes.MarketDepth, null, emulationInfo.HistorySource);
}
}
else
{
if (emulationInfo.UseMarketDepth)
{
connector.RegisterMarketDepth(security);
if (
// if order book will be generated
generateDepths ||
// of backtesting will be on candles
emulationInfo.UseCandleTimeFrame != TimeSpan.Zero
)
{
// if no have order book historical data, but strategy is required,
// use generator based on last prices
connector.RegisterMarketDepth(new TrendMarketDepthGenerator(connector.GetSecurityId(security))
{
Interval = TimeSpan.FromSeconds(1), // order book freq refresh is 1 sec
MaxAsksDepth = maxDepth,
MaxBidsDepth = maxDepth,
UseTradeVolume = true,
MaxVolume = maxVolume,
MinSpreadStepCount = 2, // min spread generation is 2 pips
MaxSpreadStepCount = 5, // max spread generation size (prevent extremely size)
MaxPriceStepCount = 3 // pips size,
});
}
}
if (emulationInfo.UseOrderLog)
{
connector.RegisterOrderLog(security);
}
if (emulationInfo.UseTicks)
{
connector.RegisterTrades(security);
}
if (emulationInfo.UseLevel1)
{
connector.RegisterSecurity(security);
}
}
// start strategy before emulation started
strategy.Start();
candleManager.Start(series);
// start historical data loading when connection established successfully and all data subscribed
connector.Start();
};
// fill parameters panel
statistic.Parameters.Clear();
statistic.Parameters.AddRange(strategy.StatisticManager.Parameters);
var equity = set.Item6;
var pnlCurve = equity.CreateCurve(LocalizedStrings.PnL + " " + emulationInfo.StrategyName, emulationInfo.CurveColor, LineChartStyles.Area);
var unrealizedPnLCurve = equity.CreateCurve(LocalizedStrings.PnLUnreal + " " + emulationInfo.StrategyName, Colors.Black);
var commissionCurve = equity.CreateCurve(LocalizedStrings.Str159 + " " + emulationInfo.StrategyName, Colors.Red, LineChartStyles.DashedLine);
var posItems = set.Item7.CreateCurve(emulationInfo.StrategyName, emulationInfo.CurveColor);
strategy.PnLChanged += () =>
{
var pnl = new EquityData
{
Time = strategy.CurrentTime,
Value = strategy.PnL - strategy.Commission ?? 0
};
var unrealizedPnL = new EquityData
{
Time = strategy.CurrentTime,
Value = strategy.PnLManager.UnrealizedPnL ?? 0
};
var commission = new EquityData
{
Time = strategy.CurrentTime,
Value = strategy.Commission ?? 0
};
pnlCurve.Add(pnl);
unrealizedPnLCurve.Add(unrealizedPnL);
commissionCurve.Add(commission);
};
strategy.PositionChanged += () => posItems.Add(new EquityData {
Time = strategy.CurrentTime, Value = strategy.Position
});
var nextTime = startTime + progressStep;
// handle historical time for update ProgressBar
connector.MarketTimeChanged += d =>
{
if (connector.CurrentTime < nextTime && connector.CurrentTime < stopTime)
{
return;
}
var steps = (connector.CurrentTime - startTime).Ticks / progressStep.Ticks + 1;
nextTime = startTime + (steps * progressStep.Ticks).To <TimeSpan>();
this.GuiAsync(() => progressBar.Value = steps);
};
connector.StateChanged += () =>
{
if (connector.State == EmulationStates.Stopped)
{
candleManager.Stop(series);
strategy.Stop();
SetIsChartEnabled(chart, false);
if (_connectors.All(c => c.State == EmulationStates.Stopped))
{
logManager.Dispose();
_connectors.Clear();
SetIsEnabled(true, false, false);
}
this.GuiAsync(() =>
{
if (connector.IsFinished)
{
progressBar.Value = progressBar.Maximum;
MessageBox.Show(this, LocalizedStrings.Str3024.Put(DateTime.Now - _startEmulationTime), title);
}
else
{
MessageBox.Show(this, LocalizedStrings.cancelled, title);
}
});
}
else if (connector.State == EmulationStates.Started)
{
if (_connectors.All(c => c.State == EmulationStates.Started))
{
SetIsEnabled(false, true, true);
}
SetIsChartEnabled(chart, true);
}
else if (connector.State == EmulationStates.Suspended)
{
if (_connectors.All(c => c.State == EmulationStates.Suspended))
{
SetIsEnabled(true, false, true);
}
}
};
if (ShowDepth.IsChecked == true)
{
MarketDepth.UpdateFormat(security);
connector.NewMessage += message =>
{
var quoteMsg = message as QuoteChangeMessage;
if (quoteMsg != null)
{
MarketDepth.UpdateDepth(quoteMsg);
}
};
}
_connectors.Add(connector);
progressBar.Value = 0;
}
_startEmulationTime = DateTime.Now;
// start emulation
foreach (var connector in _connectors)
{
// raise NewSecurities and NewPortfolio for full fill strategy properties
connector.Connect();
// 1 cent commission for trade
connector.SendInMessage(new CommissionRuleMessage
{
Rule = new CommissionPerTradeRule {
Value = 0.01m
}
});
}
TabControl.Items.Cast <TabItem>().First(i => i.Visibility == Visibility.Visible).IsSelected = true;
}
private void Download_OnClick(object sender, RoutedEventArgs e)
{
var year = SelectedYear;
var from = From.Value ?? year.Days.First();
var to = (To.Value ?? year.Days.Last()).EndOfDay();
var trader = SelectedTrader;
var security = SelectedSecurity;
var tf = SelectedTimeFrame;
var series = new CandleSeries(typeof(TimeFrameCandle), security, tf);
BusyIndicator.BusyContent = "Подготовка данных...";
BusyIndicator.IsBusy = true;
Dictionary <DateTimeOffset, Tuple <MyTrade[], MyTrade> > trades = null;
var worker = new BackgroundWorker {
WorkerReportsProgress = true
};
worker.DoWork += (o, ea) =>
{
var candleStorage = _dataRegistry.GetCandleStorage(series, format: StorageFormats.Csv);
_candles = candleStorage.Load(from, to);
var candlesDatesCache = _candlesDates.SafeAdd(Tuple.Create(security, tf), k => new DatesCache(Path.Combine(((LocalMarketDataDrive)candleStorage.Drive.Drive).GetSecurityPath(security.ToSecurityId()), "{0}min_date.bin".Put((int)tf.TotalMinutes))));
var minCandleDate = candlesDatesCache.MinValue;
var maxCandleDate = candlesDatesCache.MaxValue;
if (from < minCandleDate || to > maxCandleDate)
{
var finamFrom = from;
var finamTo = to;
if (maxCandleDate != default(DateTime) && finamFrom >= minCandleDate && finamFrom <= maxCandleDate)
{
finamFrom = maxCandleDate + TimeSpan.FromDays(1);
}
if (minCandleDate != default(DateTime) && finamTo >= minCandleDate && finamTo <= maxCandleDate)
{
finamTo = minCandleDate - TimeSpan.FromDays(1);
}
if (finamTo > finamFrom)
{
worker.ReportProgress(1);
var newCandles = (tf.Ticks == 1
? finamFrom.Range(finamTo, TimeSpan.FromDays(1)).SelectMany(day => _finamHistorySource.GetTrades(security, day, day)).ToEx().ToCandles <TimeFrameCandle>(tf)
: _finamHistorySource.GetCandles(security, tf, finamFrom, finamTo)
).ToArray();
candleStorage.Save(newCandles);
foreach (var date in newCandles.Select(c => c.OpenTime.Date).Distinct())
{
candlesDatesCache.Add(date);
}
candlesDatesCache.Save();
_candles = _candles.Concat(newCandles);
}
}
var traderDrive = new LocalMarketDataDrive(trader);
var traderStorage = _traderStorages.SafeAdd(trader, key => new StorageRegistry {
DefaultDrive = traderDrive
});
var olStorage = traderStorage.GetOrderLogStorage(security, format: StorageFormats.Csv);
var tradeDatesCache = _tradesDates.SafeAdd(trader, k => new DatesCache(Path.Combine(traderDrive.Path, "dates.bin")));
trades = from
.Range(to, TimeSpan.FromDays(1))
.Intersect(year.Days)
.SelectMany(date =>
{
if (olStorage.Dates.Contains(date))
{
return(olStorage.Load(date));
}
if (tradeDatesCache.Contains(date))
{
return(Enumerable.Empty <OrderLogItem>());
}
worker.ReportProgress(2, date);
var loadedTrades = year.GetTrades(_securityStorage, trader, date);
var secTrades = Enumerable.Empty <OrderLogItem>();
foreach (var group in loadedTrades.GroupBy(t => t.Order.Security))
{
var sec = group.Key;
traderStorage
.GetOrderLogStorage(sec, format: StorageFormats.Csv)
.Save(group.OrderBy(i => i.Order.Time));
if (group.Key == security)
{
secTrades = group;
}
}
tradeDatesCache.Add(date);
tradeDatesCache.Save();
return(secTrades);
})
.GroupBy(ol =>
{
var time = ol.Order.Time;
var period = security.Board.WorkingTime.GetPeriod(time.DateTime);
if (period != null && period.Times.Length > 0)
{
var last = period.Times.Last().Max;
if (time.TimeOfDay >= last)
{
time = time.AddTicks(-1);
}
}
return(time.Truncate(tf));
})
.ToDictionary(g => g.Key, g =>
{
var candleTrades = g
.Select(order => new MyTrade
{
Order = order.Order,
Trade = order.Trade
})
.ToArray();
if (candleTrades.Length > 0)
{
var order = candleTrades[0].Order;
var volume = candleTrades.Sum(t1 => t1.Trade.Volume * (t1.Order.Direction == Sides.Buy ? 1 : -1));
if (volume == 0)
{
return(Tuple.Create(candleTrades, (MyTrade)null));
}
var side = volume > 0 ? Sides.Buy : Sides.Sell;
volume = volume.Abs();
var availableVolume = volume;
var avgPrice = 0m;
foreach (var trade in candleTrades.Where(t1 => t1.Order.Direction == side))
{
var tradeVol = trade.Trade.Volume.Min(availableVolume);
avgPrice += trade.Trade.Price * tradeVol;
availableVolume -= tradeVol;
if (availableVolume <= 0)
{
break;
}
}
avgPrice = avgPrice / volume;
return(Tuple.Create(candleTrades, new MyTrade
{
Order = new Order
{
Security = order.Security,
Direction = side,
Time = g.Key,
Portfolio = order.Portfolio,
Price = avgPrice,
Volume = volume,
},
Trade = new Trade
{
Security = order.Security,
Time = g.Key,
Volume = volume,
Price = avgPrice
}
}));
}
return(null);
});
};
worker.ProgressChanged += (o, ea) =>
{
switch (ea.ProgressPercentage)
{
case 1:
BusyIndicator.BusyContent = "Скачивание свечей...";
break;
default:
BusyIndicator.BusyContent = "Скачивание сделок за {0:yyyy-MM-dd}...".Put(ea.UserState);
break;
}
};
worker.RunWorkerCompleted += (o, ea) =>
{
BusyIndicator.IsBusy = false;
if (ea.Error == null)
{
Chart.ClearAreas();
_statisticManager.Reset();
var area = new ChartArea();
area.YAxises.Add(new ChartAxis
{
Id = "equity",
AutoRange = true,
AxisType = ChartAxisType.Numeric,
AxisAlignment = ChartAxisAlignment.Left,
});
Chart.AddArea(area);
var candlesElem = new ChartCandleElement {
ShowAxisMarker = false
};
Chart.AddElement(area, candlesElem, series);
var tradesElem = new ChartTradeElement
{
BuyStrokeColor = Colors.Black,
SellStrokeColor = Colors.Black,
FullTitle = "trades",
};
Chart.AddElement(area, tradesElem);
var equityElem = new ChartIndicatorElement {
YAxisId = "equity", FullTitle = "equity", IndicatorPainter = new PnlPainter()
};
var equityInd = new SimpleMovingAverage {
Length = 1
};
Chart.AddElement(area, equityElem);
var positionArea = new ChartArea {
Height = 200
};
Chart.AddArea(positionArea);
var positionElem = new ChartIndicatorElement {
FullTitle = "position"
};
var positionInd = new SimpleMovingAverage {
Length = 1
};
Chart.AddElement(positionArea, positionElem);
Chart.IsAutoRange = true;
var pnlQueue = new PnLQueue(security.ToSecurityId());
//var level1Info = new Level1ChangeMessage
//{
// SecurityId = pnlQueue.SecurityId,
//}
//.TryAdd(Level1Fields.PriceStep, security.PriceStep)
//.TryAdd(Level1Fields.StepPrice, security.StepPrice);
//pnlQueue.ProcessLevel1(level1Info);
var pos = 0m;
var chartValues = _candles
.Select(c =>
{
c.State = CandleStates.Finished;
pnlQueue.ProcessLevel1(new Level1ChangeMessage
{
SecurityId = security.ToSecurityId(),
}.TryAdd(Level1Fields.LastTradePrice, c.ClosePrice));
var values = new Dictionary <IChartElement, object>
{
{ candlesElem, c },
};
var candleTrade = trades.TryGetValue(c.OpenTime);
if (candleTrade != null)
{
if (candleTrade.Item2 != null)
{
values.Add(tradesElem, candleTrade.Item2);
}
foreach (var myTrade in candleTrade.Item1)
{
pos += myTrade.Order.Direction == Sides.Buy ? myTrade.Trade.Volume : -myTrade.Trade.Volume;
var pnl = pnlQueue.Process(myTrade.ToMessage());
_statisticManager.AddMyTrade(pnl);
}
_statisticManager.AddPosition(c.OpenTime, pos);
_statisticManager.AddPnL(c.OpenTime, pnlQueue.RealizedPnL + pnlQueue.UnrealizedPnL);
}
values.Add(equityElem, equityInd.Process(pnlQueue.RealizedPnL + pnlQueue.UnrealizedPnL));
values.Add(positionElem, positionInd.Process(pos));
return(new RefPair <DateTimeOffset, IDictionary <IChartElement, object> >
{
First = c.OpenTime,
Second = values
});
})
.ToArray();
Chart.Draw(chartValues);
Chart.IsAutoRange = false;
}
else
{
new MessageBoxBuilder()
.Error()
.Owner(this)
.Text(ea.Error.ToString())
.Show();
}
};
worker.RunWorkerAsync();
}
protected override TimeSpan OnProcess()
{
var source = new FinamHistorySource();
if (_settings.UseTemporaryFiles != TempFiles.NotUse)
source.DumpFolder = GetTempPath();
var allSecurity = this.GetAllSecurity();
// если фильтр по инструментам выключен (выбран инструмент все инструменты)
var selectedSecurities = (allSecurity != null ? this.ToHydraSecurities(_finamSecurityStorage.Securities) : Settings.Securities).ToArray();
var hasNonFinam = selectedSecurities.Any(s => !IsFinam(s));
if (selectedSecurities.IsEmpty() || hasNonFinam)
{
this.AddWarningLog(selectedSecurities.IsEmpty()
? LocalizedStrings.Str2289
: LocalizedStrings.Str2290.Put("Finam"));
source.Refresh(_finamSecurityStorage, new Security(), SaveSecurity, () => !CanProcess(false));
selectedSecurities = (allSecurity != null ? this.ToHydraSecurities(_finamSecurityStorage.Securities) : Settings.Securities)
.Where(s =>
{
var retVal = IsFinam(s);
if (!retVal)
this.AddWarningLog(LocalizedStrings.Str2291Params, s.Security.Id, "Finam");
return retVal;
}).ToArray();
}
if (!CanProcess())
return base.OnProcess();
if (selectedSecurities.IsEmpty())
{
this.AddWarningLog(LocalizedStrings.Str2292);
return TimeSpan.MaxValue;
}
var startDate = _settings.StartFrom;
var endDate = DateTime.Today - TimeSpan.FromDays(_settings.DayOffset);
var allDates = startDate.Range(endDate, TimeSpan.FromDays(1)).ToArray();
foreach (var security in selectedSecurities)
{
if (!CanProcess())
break;
#region LoadTrades
if ((allSecurity ?? security).MarketDataTypesSet.Contains(typeof(Trade)))
{
var storage = StorageRegistry.GetTradeStorage(security.Security, _settings.Drive, _settings.StorageFormat);
var emptyDates = allDates.Except(storage.Dates).ToArray();
if (emptyDates.IsEmpty())
{
this.AddInfoLog(LocalizedStrings.Str2293Params, security.Security.Id);
}
else
{
foreach (var emptyDate in emptyDates)
{
if (!CanProcess())
break;
if (_settings.IgnoreWeekends && !security.IsTradeDate(emptyDate))
{
this.AddDebugLog(LocalizedStrings.WeekEndDate, emptyDate);
continue;
}
try
{
this.AddInfoLog(LocalizedStrings.Str2294Params, emptyDate, security.Security.Id);
var trades = source.GetTicks(security.Security, emptyDate, emptyDate);
if (trades.Any())
SaveTicks(security, trades);
else
this.AddDebugLog(LocalizedStrings.NoData);
if (_settings.UseTemporaryFiles == TempFiles.UseAndDelete)
File.Delete(source.GetDumpFile(security.Security, emptyDate, emptyDate, typeof(ExecutionMessage), ExecutionTypes.Tick));
}
catch (Exception ex)
{
HandleError(new InvalidOperationException(LocalizedStrings.Str2295Params
.Put(emptyDate, security.Security.Id), ex));
}
}
}
}
else
this.AddDebugLog(LocalizedStrings.MarketDataNotEnabled, security.Security.Id, typeof(Trade).Name);
#endregion
if (!CanProcess())
break;
#region LoadCandles
foreach (var series in (allSecurity ?? security).CandleSeries)
{
if (!CanProcess())
break;
if (series.CandleType != typeof(TimeFrameCandle))
{
this.AddWarningLog(LocalizedStrings.Str2296Params, series);
continue;
}
var storage = StorageRegistry.GetCandleStorage(series.CandleType, security.Security, series.Arg, _settings.Drive, _settings.StorageFormat);
var emptyDates = allDates.Except(storage.Dates).ToArray();
if (emptyDates.IsEmpty())
{
this.AddInfoLog(LocalizedStrings.Str2297Params, series.Arg, security.Security.Id);
continue;
}
var currDate = emptyDates.First();
var lastDate = emptyDates.Last();
while (currDate <= lastDate)
{
if (!CanProcess())
break;
if (_settings.IgnoreWeekends && !security.IsTradeDate(currDate))
{
this.AddDebugLog(LocalizedStrings.WeekEndDate, currDate);
currDate = currDate.AddDays(1);
continue;
}
try
{
var till = currDate.AddDays(_settings.CandleDayStep - 1);
this.AddInfoLog(LocalizedStrings.Str2298Params, series.Arg, currDate, till, security.Security.Id);
var candles = source.GetCandles(security.Security, (TimeSpan)series.Arg, currDate, till);
if (candles.Any())
SaveCandles(security, candles);
else
this.AddDebugLog(LocalizedStrings.NoData);
if (_settings.UseTemporaryFiles == TempFiles.UseAndDelete)
File.Delete(source.GetDumpFile(security.Security, currDate, till, typeof(TimeFrameCandleMessage), series.Arg));
currDate = currDate.AddDays(_settings.CandleDayStep);
}
catch (Exception ex)
{
HandleError(new InvalidOperationException(LocalizedStrings.Str2299Params
.Put(series.Arg, currDate, security.Security.Id), ex));
}
}
}
#endregion
}
if (CanProcess())
{
this.AddInfoLog(LocalizedStrings.Str2300);
_settings.StartFrom = endDate;
SaveSettings();
}
return base.OnProcess();
}
protected override TimeSpan OnProcess()
{
var source = new FinamHistorySource();
if (_settings.UseTemporaryFiles != TempFiles.NotUse)
{
source.DumpFolder = GetTempPath();
}
var allSecurity = this.GetAllSecurity();
// если фильтр по инструментам выключен (выбран инструмент все инструменты)
var selectedSecurities = (allSecurity != null ? this.ToHydraSecurities(_finamSecurityStorage.Securities) : Settings.Securities).ToArray();
var hasNonFinam = selectedSecurities.Any(s => !IsFinam(s));
if (selectedSecurities.IsEmpty() || hasNonFinam)
{
this.AddWarningLog(selectedSecurities.IsEmpty()
? LocalizedStrings.Str2289
: LocalizedStrings.Str2290.Put("Finam"));
source.Refresh(_finamSecurityStorage, new Security(), SaveSecurity, () => !CanProcess(false));
selectedSecurities = (allSecurity != null ? this.ToHydraSecurities(_finamSecurityStorage.Securities) : Settings.Securities)
.Where(s =>
{
var retVal = IsFinam(s);
if (!retVal)
{
this.AddWarningLog(LocalizedStrings.Str2291Params, s.Security.Id, "Finam");
}
return(retVal);
}).ToArray();
}
if (!CanProcess())
{
return(base.OnProcess());
}
if (selectedSecurities.IsEmpty())
{
this.AddWarningLog(LocalizedStrings.Str2292);
return(TimeSpan.MaxValue);
}
var startDate = _settings.StartFrom;
var endDate = DateTime.Today - TimeSpan.FromDays(_settings.DayOffset);
var allDates = startDate.Range(endDate, TimeSpan.FromDays(1)).ToArray();
foreach (var security in selectedSecurities)
{
if (!CanProcess())
{
break;
}
#region LoadTrades
if ((allSecurity ?? security).MarketDataTypesSet.Contains(typeof(Trade)))
{
var storage = StorageRegistry.GetTradeStorage(security.Security, _settings.Drive, _settings.StorageFormat);
var emptyDates = allDates.Except(storage.Dates).ToArray();
if (emptyDates.IsEmpty())
{
this.AddInfoLog(LocalizedStrings.Str2293Params, security.Security.Id);
}
else
{
foreach (var emptyDate in emptyDates)
{
if (!CanProcess())
{
break;
}
if (_settings.IgnoreWeekends && !security.IsTradeDate(emptyDate))
{
this.AddDebugLog(LocalizedStrings.WeekEndDate, emptyDate);
continue;
}
try
{
this.AddInfoLog(LocalizedStrings.Str2294Params, emptyDate, security.Security.Id);
var trades = source.GetTrades(security.Security, emptyDate, emptyDate);
if (trades.Any())
{
SaveTrades(security, trades);
}
else
{
this.AddDebugLog(LocalizedStrings.NoData);
}
if (_settings.UseTemporaryFiles == TempFiles.UseAndDelete)
{
File.Delete(source.GetDumpFile(security.Security, emptyDate, emptyDate, typeof(Trade), null));
}
}
catch (Exception ex)
{
HandleError(new InvalidOperationException(LocalizedStrings.Str2295Params
.Put(emptyDate, security.Security.Id), ex));
}
}
}
}
else
{
this.AddDebugLog(LocalizedStrings.MarketDataNotEnabled, security.Security.Id, typeof(Trade).Name);
}
#endregion
if (!CanProcess())
{
break;
}
#region LoadCandles
foreach (var series in (allSecurity ?? security).CandleSeries)
{
if (!CanProcess())
{
break;
}
if (series.CandleType != typeof(TimeFrameCandle))
{
this.AddWarningLog(LocalizedStrings.Str2296Params, series);
continue;
}
var storage = StorageRegistry.GetCandleStorage(series.CandleType, security.Security, series.Arg, _settings.Drive, _settings.StorageFormat);
var emptyDates = allDates.Except(storage.Dates).ToArray();
if (emptyDates.IsEmpty())
{
this.AddInfoLog(LocalizedStrings.Str2297Params, series.Arg, security.Security.Id);
continue;
}
foreach (var emptyDate in emptyDates)
{
if (!CanProcess())
{
break;
}
if (_settings.IgnoreWeekends && !security.IsTradeDate(emptyDate))
{
this.AddDebugLog(LocalizedStrings.WeekEndDate, emptyDate);
continue;
}
try
{
this.AddInfoLog(LocalizedStrings.Str2298Params, series.Arg, emptyDate, security.Security.Id);
var candles = source.GetCandles(security.Security, (TimeSpan)series.Arg, emptyDate, emptyDate);
if (candles.Any())
{
SaveCandles(security, candles);
}
else
{
this.AddDebugLog(LocalizedStrings.NoData);
}
if (_settings.UseTemporaryFiles == TempFiles.UseAndDelete)
{
File.Delete(source.GetDumpFile(security.Security, emptyDate, emptyDate, typeof(TimeFrameCandle), series.Arg));
}
}
catch (Exception ex)
{
HandleError(new InvalidOperationException(LocalizedStrings.Str2299Params
.Put(series.Arg, emptyDate, security.Security.Id), ex));
}
}
}
#endregion
}
if (CanProcess())
{
this.AddInfoLog(LocalizedStrings.Str2300);
_settings.StartFrom = endDate;
SaveSettings();
}
return(base.OnProcess());
}
private void Download_OnClick(object sender, RoutedEventArgs e)
{
var settings = new Settings
{
Year = SelectedYear.Year,
Trader = Trader.Text,
From = From.Value,
To = To.Value,
Security1 = Security1.Text,
Security2 = Security2.Text,
Security3 = Security3.Text,
Security4 = Security4.Text,
TimeFrame = SelectedTimeFrame,
Apart = Apart.IsChecked == true,
};
CultureInfo.InvariantCulture.DoInCulture(() => new XmlSerializer <SettingsStorage>().Serialize(settings.Save(), _settingsFile));
var year = SelectedYear;
var from = From.Value ?? year.Days.First();
var to = (To.Value ?? year.Days.Last()).EndOfDay();
var trader = SelectedTrader;
var tf = SelectedTimeFrame;
var apart = Apart.IsChecked == true;
var seriesSet = _securityCtrls
.Where(pair => pair.Key.SelectedSecurity != null)
.Select(pair => Tuple.Create(new CandleSeries(typeof(TimeFrameCandle), pair.Key.SelectedSecurity, tf), pair.Value))
.ToArray();
BusyIndicator.BusyContent = "Подготовка данных...";
BusyIndicator.IsBusy = true;
_candles.Clear();
var trades = new Dictionary <Security, Dictionary <DateTimeOffset, Tuple <MyTrade[], MyTrade> > >();
var worker = new BackgroundWorker {
WorkerReportsProgress = true
};
worker.DoWork += (o, ea) =>
{
foreach (var series in seriesSet)
{
var security = series.Item1.Security;
var candleStorage = _dataRegistry.GetCandleStorage(series.Item1, format: StorageFormats.Csv);
var secCandles = _candles.SafeAdd(security);
secCandles.Clear();
secCandles.AddRange(candleStorage.Load(from, to));
var candlesDatesCache = _candlesDates.SafeAdd(Tuple.Create(security, tf), k => new DatesCache(Path.Combine(((LocalMarketDataDrive)candleStorage.Drive.Drive).GetSecurityPath(security.ToSecurityId()), "{0}min_date.bin".Put((int)tf.TotalMinutes))));
var minCandleDate = candlesDatesCache.MinValue;
var maxCandleDate = candlesDatesCache.MaxValue;
if (from >= minCandleDate && to <= maxCandleDate)
{
continue;
}
var finamFrom = from;
var finamTo = to;
if (maxCandleDate != null && finamFrom >= minCandleDate && finamFrom <= maxCandleDate)
{
finamFrom = maxCandleDate.Value + TimeSpan.FromDays(1);
}
if (minCandleDate != null && finamTo >= minCandleDate && finamTo <= maxCandleDate)
{
finamTo = minCandleDate.Value - TimeSpan.FromDays(1);
}
if (finamTo <= finamFrom)
{
continue;
}
TimeFrameCandle[] newCandles;
if (tf.Ticks == 1)
{
newCandles = finamFrom.Range(finamTo, TimeSpan.FromDays(1)).SelectMany(day =>
{
worker.ReportProgress(1, Tuple.Create(security, day));
var candles = _finamHistorySource.GetTrades(security, day, day).ToEx().ToCandles <TimeFrameCandle>(tf).ToArray();
candleStorage.Save(candles);
candlesDatesCache.Add(day);
return(candles);
}).ToArray();
}
else
{
worker.ReportProgress(1, Tuple.Create(security, finamFrom, finamTo));
newCandles = _finamHistorySource.GetCandles(security, tf, finamFrom, finamTo).ToArray();
candleStorage.Save(newCandles);
candlesDatesCache.Add(newCandles.Select(c => c.OpenTime.Date).Distinct().ToArray());
}
// TODO
secCandles.AddRange(newCandles);
}
var traderDrive = new LocalMarketDataDrive(Path.Combine(_settingsDir, trader));
var traderStorage = _traderStorages.SafeAdd(trader, key => new StorageRegistry {
DefaultDrive = traderDrive
});
foreach (var series in seriesSet)
{
var security = series.Item1.Security;
var olStorage = traderStorage.GetOrderLogStorage(security, format: StorageFormats.Csv);
var tradeDatesCache = _tradesDates.SafeAdd(trader, k => new DatesCache(Path.Combine(traderDrive.Path, "dates.xml")));
var secTrades = from
.Range(to, TimeSpan.FromDays(1))
.Intersect(year.Days)
.SelectMany(date =>
{
if (olStorage.Dates.Contains(date))
{
return(olStorage.Load(date));
}
if (tradeDatesCache.Contains(date))
{
return(Enumerable.Empty <OrderLogItem>());
}
worker.ReportProgress(2, date);
var loadedTrades = year.GetTrades(_securityStorage, trader, date);
var dateTrades = Enumerable.Empty <OrderLogItem>();
foreach (var group in loadedTrades.GroupBy(t => t.Order.Security))
{
var sec = group.Key;
traderStorage
.GetOrderLogStorage(sec, format: StorageFormats.Csv)
.Save(group.OrderBy(i => i.Order.Time));
if (group.Key == security)
{
dateTrades = group;
}
}
tradeDatesCache.Add(date);
return(dateTrades);
})
.GroupBy(ol =>
{
var time = ol.Order.Time;
var period = security.Board.WorkingTime.GetPeriod(time.ToLocalTime(security.Board.Exchange.TimeZoneInfo));
if (period != null && period.Times.Length > 0)
{
var last = period.Times.Last().Max;
if (time.TimeOfDay >= last)
{
time = time.AddTicks(-1);
}
}
if (tf == TimeSpan.FromDays(1) && period != null && period.Times.Length > 0)
{
return(new DateTimeOffset(time.Date + period.Times[0].Min, time.Offset));
}
return(time.Truncate(tf));
})
.ToDictionary(g => g.Key, g =>
{
var candleTrades = g.Select(ol => new MyTrade
{
Order = ol.Order,
Trade = ol.Trade
})
.ToArray();
if (candleTrades.Length == 0)
{
return(null);
}
var order = candleTrades[0].Order;
var volume = candleTrades.Sum(t1 => t1.Trade.Volume * (t1.Order.Direction == Sides.Buy ? 1 : -1));
if (volume == 0)
{
return(Tuple.Create(candleTrades, (MyTrade)null));
}
var side = volume > 0 ? Sides.Buy : Sides.Sell;
volume = volume.Abs();
var availableVolume = volume;
var avgPrice = 0m;
foreach (var trade in candleTrades.Where(t1 => t1.Order.Direction == side))
{
var tradeVol = trade.Trade.Volume.Min(availableVolume);
avgPrice += trade.Trade.Price * tradeVol;
availableVolume -= tradeVol;
if (availableVolume <= 0)
{
break;
}
}
avgPrice = avgPrice / volume;
return(Tuple.Create(candleTrades, new MyTrade
{
Order = new Order
{
Security = order.Security,
Direction = side,
Time = g.Key,
Portfolio = order.Portfolio,
Price = avgPrice,
Volume = volume,
},
Trade = new Trade
{
Security = order.Security,
Time = g.Key,
Volume = volume,
Price = avgPrice
}
}));
});
trades.Add(security, secTrades);
}
};
worker.ProgressChanged += (o, ea) =>
{
switch (ea.ProgressPercentage)
{
case 1:
{
if (ea.UserState is Tuple <Security, DateTime> )
{
BusyIndicator.BusyContent = "Скачивание {Item1.Id} тиков за {Item2:yyyy-MM-dd}...".PutEx(ea.UserState);
}
else
{
BusyIndicator.BusyContent = "Скачивание {Item1.Id} свечей с {Item2:yyyy-MM-dd} по {Item3:yyyy-MM-dd}...".PutEx(ea.UserState);
}
break;
}
default:
BusyIndicator.BusyContent = "Скачивание сделок за {0:yyyy-MM-dd}...".Put(ea.UserState);
break;
}
};
worker.RunWorkerCompleted += (o, ea) =>
{
BusyIndicator.IsBusy = false;
if (ea.Error == null)
{
Chart.ClearAreas();
_statisticManager.Reset();
var equityInd = new SimpleMovingAverage {
Length = 1
};
ChartIndicatorElement equityElem;
var candlesAreas = new Dictionary <CandleSeries, ChartArea>();
if (apart)
{
foreach (var series in seriesSet)
{
var area = new ChartArea {
Title = series.Item1.Security.Id
};
Chart.AddArea(area);
area.YAxises.Clear();
candlesAreas.Add(series.Item1, area);
}
var equityArea = new ChartArea {
Title = LocalizedStrings.PnL
};
Chart.AddArea(equityArea);
equityElem = new ChartIndicatorElement
{
FullTitle = LocalizedStrings.PnL,
IndicatorPainter = new PnlPainter()
};
Chart.AddElement(equityArea, equityElem);
}
else
{
var candlesArea = new ChartArea();
Chart.AddArea(candlesArea);
foreach (var tuple in seriesSet)
{
candlesAreas.Add(tuple.Item1, candlesArea);
}
const string equityYAxis = "Equity";
candlesArea.YAxises.Clear();
candlesArea.YAxises.Add(new ChartAxis
{
Id = equityYAxis,
AutoRange = true,
AxisType = ChartAxisType.Numeric,
AxisAlignment = ChartAxisAlignment.Left,
});
equityElem = new ChartIndicatorElement
{
YAxisId = equityYAxis,
FullTitle = LocalizedStrings.PnL,
IndicatorPainter = new PnlPainter()
};
Chart.AddElement(candlesArea, equityElem);
}
var positionArea = new ChartArea {
Height = 100
};
Chart.AddArea(positionArea);
positionArea.YAxises.Clear();
var chartValues = new SortedDictionary <DateTimeOffset, IDictionary <IChartElement, object> >();
var pnlValues = new Dictionary <DateTimeOffset, decimal>();
foreach (var series in seriesSet)
{
var security = series.Item1.Security;
var candleYAxis = "Candles_Y_" + security.Id;
var candlesArea = candlesAreas[series.Item1];
candlesArea.YAxises.Add(new ChartAxis
{
Id = candleYAxis,
AutoRange = true,
AxisType = ChartAxisType.Numeric,
AxisAlignment = ChartAxisAlignment.Right,
});
var candlesElem = new ChartCandleElement
{
ShowAxisMarker = false,
YAxisId = candleYAxis,
};
Chart.AddElement(candlesArea, candlesElem, series.Item1);
var tradesElem = new ChartTradeElement
{
BuyStrokeColor = Colors.Black,
SellStrokeColor = Colors.Black,
BuyColor = series.Item2.Buy,
SellColor = series.Item2.Sell,
FullTitle = LocalizedStrings.Str985 + " " + security.Id,
YAxisId = candleYAxis,
};
Chart.AddElement(candlesArea, tradesElem);
var posYAxis = "Pos_Y_" + security.Id;
positionArea.YAxises.Add(new ChartAxis
{
Id = posYAxis,
AutoRange = true,
AxisType = ChartAxisType.Numeric,
AxisAlignment = ChartAxisAlignment.Right,
});
var positionElem = new ChartIndicatorElement
{
FullTitle = LocalizedStrings.Str862 + " " + security.Id,
YAxisId = posYAxis,
Color = series.Item2.Position
};
var positionInd = new SimpleMovingAverage {
Length = 1
};
Chart.AddElement(positionArea, positionElem);
var pnlQueue = new PnLQueue(security.ToSecurityId());
//var level1Info = new Level1ChangeMessage
//{
// SecurityId = pnlQueue.SecurityId,
//}
//.TryAdd(Level1Fields.PriceStep, security.PriceStep)
//.TryAdd(Level1Fields.StepPrice, security.StepPrice);
//pnlQueue.ProcessLevel1(level1Info);
var pos = 0m;
var secTrades = trades[security];
var secValues = _candles[security]
.Select(c =>
{
if (c.State != CandleStates.Finished)
{
c.State = CandleStates.Finished;
}
pnlQueue.ProcessLevel1(new Level1ChangeMessage
{
SecurityId = security.ToSecurityId(),
}.TryAdd(Level1Fields.LastTradePrice, c.ClosePrice));
var values = new Dictionary <IChartElement, object>
{
{ candlesElem, c },
};
var candleTrade = secTrades.TryGetValue(c.OpenTime);
if (candleTrade != null)
{
if (candleTrade.Item2 != null)
{
values.Add(tradesElem, candleTrade.Item2);
}
foreach (var myTrade in candleTrade.Item1)
{
pos += myTrade.Order.Direction == Sides.Buy ? myTrade.Trade.Volume : -myTrade.Trade.Volume;
var pnl = pnlQueue.Process(myTrade.ToMessage());
_statisticManager.AddMyTrade(pnl);
}
_statisticManager.AddPosition(c.OpenTime, pos);
_statisticManager.AddPnL(c.OpenTime, pnlQueue.RealizedPnL + pnlQueue.UnrealizedPnL);
}
pnlValues[c.OpenTime] = pnlValues.TryGetValue(c.OpenTime) + (pnlQueue.RealizedPnL + pnlQueue.UnrealizedPnL);
values.Add(positionElem, positionInd.Process(pos));
return(new RefPair <DateTimeOffset, IDictionary <IChartElement, object> >
{
First = c.OpenTime,
Second = values
});
})
.ToArray();
foreach (var pair in secValues)
{
var dict = chartValues.SafeAdd(pair.First, key => new Dictionary <IChartElement, object>());
foreach (var pair2 in pair.Second)
{
dict[pair2.Key] = pair2.Value;
}
}
}
foreach (var pair in pnlValues)
{
chartValues[pair.Key].Add(equityElem, equityInd.Process(pair.Value));
}
Chart.IsAutoRange = true;
try
{
Chart.Draw(chartValues.Select(p => RefTuple.Create(p.Key, p.Value)));
}
finally
{
Chart.IsAutoRange = false;
}
}
else
{
new MessageBoxBuilder()
.Error()
.Owner(this)
.Text(ea.Error.ToString())
.Show();
}
};
worker.RunWorkerAsync();
}
