public QuikLuaDialect(string senderCompId, string targetCompId, Stream stream, IncrementalIdGenerator idGenerator, TimeSpan heartbeatInterval, bool isResetCounter, string login, SecureString password, Func<OrderCondition> createOrderCondition)
: base(senderCompId, targetCompId, stream, idGenerator, heartbeatInterval, isResetCounter, login, password, TimeHelper.Moscow, createOrderCondition)
{
SecurityLookup = true;
PortfolioLookup = true;
OrderLookup = true;
}
/// <summary>
/// Initialize <see cref="InMemoryMessageAdapterProvider"/>.
/// </summary>
/// <param name="currentAdapters">All currently available adapters.</param>
public InMemoryMessageAdapterProvider(IEnumerable <IMessageAdapter> currentAdapters)
{
var idGenerator = new IncrementalIdGenerator();
PossibleAdapters = Extensions.Adapters.Select(type => type.CreateAdapter(idGenerator)).ToArray();
CurrentAdapters = currentAdapters ?? throw new ArgumentNullException(nameof(currentAdapters));
}
public void CreateUnsignedId_Initially_ShouldReturnExpectedResult()
{
var generator = new IncrementalIdGenerator();
var id = generator.CreateUnsignedId();
Assert.Equal(1UL, id);
}
public LuaDialect(string senderCompId, string targetCompId, Stream stream, IncrementalIdGenerator idGenerator, TimeSpan heartbeatInterval, bool isResetCounter, string login, SecureString password, Func <OrderCondition> createOrderCondition)
: base(senderCompId, targetCompId, stream, idGenerator, heartbeatInterval, isResetCounter, login, password, TimeHelper.Moscow, createOrderCondition)
{
SecurityLookup = true;
PortfolioLookup = true;
OrderLookup = true;
SecuritiesSinglePacket = true;
}
/// <summary>
/// Initializes a new instance of the <see cref="OrderLogGenerator"/>.
/// </summary>
/// <param name="securityId">The identifier of the instrument, for which data shall be generated.</param>
/// <param name="tradeGenerator">Tick trades generator using random method.</param>
public OrderLogGenerator(SecurityId securityId, TradeGenerator tradeGenerator)
: base(securityId)
{
//_lastOrderPrice = startPrice;
TradeGenerator = tradeGenerator ?? throw new ArgumentNullException(nameof(tradeGenerator));
IdGenerator = new IncrementalIdGenerator();
}
private void ApplySettings(EmulationMessageAdapter adapter, IncrementalIdGenerator tradeIdGenerator, IncrementalIdGenerator orderIdGenerator)
{
adapter.InMessageProcessor = new NonThreadMessageProcessor();
adapter.OutMessageProcessor = new NonThreadMessageProcessor();
adapter.Emulator.Settings.Load(_settings.Save());
((MarketEmulator)adapter.Emulator).TradeIdGenerator = tradeIdGenerator;
((MarketEmulator)adapter.Emulator).OrderIdGenerator = orderIdGenerator;
}
/// <summary>
/// Initialize <see cref="InMemoryConfigurationMessageAdapterProvider"/>.
/// </summary>
public InMemoryConfigurationMessageAdapterProvider()
{
var idGenerator = new IncrementalIdGenerator();
foreach (var type in Extensions.Adapters)
{
_adapters.Add(type.CreateInstance <IMessageAdapter>(idGenerator));
}
}
public void CreateUnsignedId_InParallel_ShouldReturnDistinctResults()
{
var generator = new IncrementalIdGenerator();
var results = new ConcurrentQueue <ulong>();
Parallel.For(0, 100, _ => results.Enqueue(generator.CreateUnsignedId()));
Assert.Equal(results.Count, results.Distinct().Count());
}
/// <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>
/// Создать <see cref="OrderLogGenerator"/>.
/// </summary>
/// <param name="securityId">Идентификатор инструмента, для которого необходимо генерировать данные.</param>
/// <param name="tradeGenerator">Генератор тиковых сделок случайным методом.</param>
public OrderLogGenerator(SecurityId securityId, TradeGenerator tradeGenerator)
: base(securityId)
{
if (tradeGenerator == null)
throw new ArgumentNullException("tradeGenerator");
//_lastOrderPrice = startPrice;
TradeGenerator = tradeGenerator;
IdGenerator = new IncrementalIdGenerator();
}
/// <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>
/// Создать <see cref="OrderLogGenerator"/>.
/// </summary>
/// <param name="securityId">Идентификатор инструмента, для которого необходимо генерировать данные.</param>
/// <param name="tradeGenerator">Генератор тиковых сделок случайным методом.</param>
public OrderLogGenerator(SecurityId securityId, TradeGenerator tradeGenerator)
: base(securityId)
{
if (tradeGenerator == null)
{
throw new ArgumentNullException("tradeGenerator");
}
//_lastOrderPrice = startPrice;
TradeGenerator = tradeGenerator;
IdGenerator = new IncrementalIdGenerator();
}
/// <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 void CreateUnsignedId_Repeatedly_ShouldReturnExpectedResults()
{
var generator = new IncrementalIdGenerator();
var results = new List <ulong>();
for (var i = 0; i < 100; i++)
{
results.Add(generator.CreateUnsignedId());
}
for (var i = 0; i < results.Count; i++)
{
Assert.Equal(1UL + (ulong)i, results[i]);
}
}
protected override void CreateInnerAdapters()
{
var tradeIdGenerator = new IncrementalIdGenerator();
var orderIdGenerator = new IncrementalIdGenerator();
foreach (var session in SessionHolder.InnerSessions)
{
if (!session.IsTransactionEnabled)
{
continue;
}
var adapter = (EmulationMessageAdapter)session.CreateTransactionAdapter();
ApplySettings(adapter, tradeIdGenerator, orderIdGenerator);
AddInnerAdapter(adapter, SessionHolder.InnerSessions[session]);
}
}
/// <summary>
/// Initialize <see cref="InMemoryMessageAdapterProvider"/>.
/// </summary>
/// <param name="currentAdapters">All currently available adapters.</param>
public InMemoryMessageAdapterProvider(IEnumerable <IMessageAdapter> currentAdapters)
{
CurrentAdapters = currentAdapters ?? throw new ArgumentNullException(nameof(currentAdapters));
var idGenerator = new IncrementalIdGenerator();
PossibleAdapters = GetAdapters().Select(t =>
{
try
{
return(t.CreateAdapter(idGenerator));
}
catch (Exception ex)
{
ex.LogError();
return(null);
}
}).Where(a => a != null).ToArray();
}
/// <summary>
/// Создать <see cref="HistoryEmulationConnector"/>.
/// </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 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);
_sessionHolder = new HistorySessionHolder(TransactionIdGenerator, securityProvider);
MarketDataAdapter = _marketDataAdapter = new HistoryMessageAdapter(_sessionHolder)
{
StorageRegistry = storageRegistry
};
_sessionHolder.MarketTimeChangedInterval = TimeSpan.FromSeconds(1);
// при тестировании по свечкам, время меняется быстрее и таймаут должен быть больше 30с.
_sessionHolder.ReConnectionSettings.TimeOutInterval = TimeSpan.MaxValue;
ApplyMessageProcessor(MessageDirections.In, true, true);
ApplyMessageProcessor(MessageDirections.Out, true, true, new NonThreadMessageProcessor(TransactionAdapter.InMessageProcessor));
((MessageAdapter <IMessageSessionHolder>)TransactionAdapter).SessionHolder = _sessionHolder;
}
/// <summary>
/// Initialize <see cref="TradeGenerator"/>.
/// </summary>
/// <param name="securityId">The identifier of the instrument, for which data shall be generated.</param>
protected TradeGenerator(SecurityId securityId)
: base(securityId)
{
IdGenerator = new IncrementalIdGenerator();
}
/// <summary>
/// Create FIX protocol dialect.
/// </summary>
/// <param name="stream">Stream.</param>
/// <param name="idGenerator">Sequence id generator.</param>
/// <returns>The dialect.</returns>
protected override IFixDialect CreateDialect(Stream stream, IncrementalIdGenerator idGenerator)
{
return new LuaDialect(SenderCompId, TargetCompId, stream, idGenerator, HeartbeatInterval, IsResetCounter, Login, Password, () => { throw new NotSupportedException(); });
}
/// <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>
/// Create FIX protocol dialect.
/// </summary>
/// <param name="stream">Stream.</param>
/// <param name="idGenerator">Sequence id generator.</param>
/// <returns>The dialect.</returns>
protected override IFixDialect CreateDialect(Stream stream, IncrementalIdGenerator idGenerator)
{
return new QuikLuaDialect(SenderCompId, TargetCompId, stream, idGenerator, HeartbeatInterval, IsResetCounter, Login, Password, CreateOrderCondition);
}
public void Construct_Regularly_ShouldSucceed()
{
_ = new IncrementalIdGenerator();
}
//protected override void CreateInnerAdapters()
//{
// var tradeIdGenerator = new IncrementalIdGenerator();
// var orderIdGenerator = new IncrementalIdGenerator();
// foreach (var session in SessionHolder.InnerSessions)
// {
// if (!session.IsTransactionEnabled)
// continue;
// var adapter = (EmulationMessageAdapter)session.CreateTransactionAdapter();
// ApplySettings(adapter, tradeIdGenerator, orderIdGenerator);
// AddInnerAdapter(adapter, SessionHolder.InnerSessions[session]);
// }
//}
private void ApplySettings(EmulationMessageAdapter adapter, IncrementalIdGenerator tradeIdGenerator, IncrementalIdGenerator orderIdGenerator)
{
adapter.Emulator.Settings.Load(_settings.Save());
((MarketEmulator)adapter.Emulator).TradeIdGenerator = tradeIdGenerator;
((MarketEmulator)adapter.Emulator).OrderIdGenerator = orderIdGenerator;
}
/// <summary>
/// Create FIX protocol dialect.
/// </summary>
/// <param name="stream">Stream.</param>
/// <param name="idGenerator">Sequence id generator.</param>
/// <returns>The dialect.</returns>
protected override IFixDialect CreateDialect(Stream stream, IncrementalIdGenerator idGenerator)
{
return(new QuikLuaDialect(SenderCompId, TargetCompId, stream, idGenerator, HeartbeatInterval, IsResetCounter, Login, Password, () => { throw new NotSupportedException(); }));
}
/// <summary>
/// Initialize <see cref="TradeGenerator"/>.
/// </summary>
/// <param name="securityId">The identifier of the instrument, for which data shall be generated.</param>
protected TradeGenerator(SecurityId securityId)
: base(securityId)
{
IdGenerator = new IncrementalIdGenerator();
}
/// <summary>
/// Create FIX protocol dialect.
/// </summary>
/// <param name="stream">Stream.</param>
/// <param name="idGenerator">Sequence id generator.</param>
/// <returns>The dialect.</returns>
protected override IFixDialect CreateDialect(Stream stream, IncrementalIdGenerator idGenerator)
{
return(new QuikLuaDialect(SenderCompId, TargetCompId, stream, idGenerator, HeartbeatInterval, IsResetCounter, Login, Password, CreateOrderCondition));
}
