/// <summary>
/// To emulate orders on history.
/// </summary>
/// <param name="orders">Orders to be emulated on history.</param>
/// <param name="storageRegistry">The external storage for access to history data.</param>
/// <param name="openedPositions">Trades, describing initial open positions.</param>
/// <returns>The virtual strategy, containing progress of paper trades.</returns>
public static Strategy EmulateOrders(this IEnumerable<Order> orders, IStorageRegistry storageRegistry, IDictionary<Security, decimal> openedPositions)
{
if (openedPositions == null)
throw new ArgumentNullException(nameof(openedPositions));
if (storageRegistry == null)
throw new ArgumentNullException(nameof(storageRegistry));
if (orders == null)
throw new ArgumentNullException(nameof(orders));
var array = orders.ToArray();
if (array.IsEmpty())
throw new ArgumentOutOfRangeException(nameof(orders));
using (var connector = new RealTimeEmulationTrader<HistoryMessageAdapter>(new HistoryMessageAdapter(new IncrementalIdGenerator(), new CollectionSecurityProvider(array.Select(o => o.Security).Distinct()))
{
StorageRegistry = storageRegistry
}))
{
var from = array.Min(o => o.Time);
var to = from.EndOfDay();
var strategy = new EquityStrategy(array, openedPositions) { Connector = connector };
var waitHandle = new SyncObject();
//connector.UnderlyngMarketDataAdapter.StateChanged += () =>
//{
// if (connector.UnderlyngMarketDataAdapter.State == EmulationStates.Started)
// strategy.Start();
// if (connector.UnderlyngMarketDataAdapter.State == EmulationStates.Stopped)
// {
// strategy.Stop();
// waitHandle.Pulse();
// }
//};
connector.UnderlyngMarketDataAdapter.StartDate = from;
connector.UnderlyngMarketDataAdapter.StopDate = to;
connector.Connect();
//lock (waitHandle)
//{
// if (connector.UnderlyngMarketDataAdapter.State != EmulationStates.Stopped)
// waitHandle.Wait();
//}
return strategy;
}
}
private void ConnectClick(object sender, RoutedEventArgs e)
{
if (!_isConnected)
{
ConnectBtn.IsEnabled = false;
_connector.Connect();
}
else
{
_connector.Disconnect();
}
}
private void ConnectClick(object sender, RoutedEventArgs e)
{
if (!_isConnected)
{
if (_connector == null)
{
if (SmartCom.IsChecked == true)
{
if (Login.Text.IsEmpty())
{
MessageBox.Show(this, LocalizedStrings.Str2974);
return;
}
else if (Password.Password.IsEmpty())
{
MessageBox.Show(this, LocalizedStrings.Str2975);
return;
}
// create real-time emu connector
_connector = new RealTimeEmulationTrader <IMessageAdapter>(new SmartComMessageAdapter(new MillisecondIncrementalIdGenerator())
{
Login = Login.Text,
Password = Password.Password.To <SecureString>(),
Address = Address.SelectedAddress
});
}
else
{
// create real-time emu connector
_connector = new RealTimeEmulationTrader <IMessageAdapter>(new IQFeedMarketDataMessageAdapter(new MillisecondIncrementalIdGenerator())
{
Level1Address = Level1AddressCtrl.Text.To <EndPoint>(),
Level2Address = Level2AddressCtrl.Text.To <EndPoint>(),
LookupAddress = LookupAddressCtrl.Text.To <EndPoint>(),
});
}
SecurityEditor.SecurityProvider = new FilterableSecurityProvider(_connector);
_candleManager = new CandleManager(_connector);
_logManager.Sources.Add(_connector);
// clear password for security reason
//Password.Clear();
// subscribe on connection successfully event
_connector.Connected += () =>
{
// set flag (connection is established)
_isConnected = true;
// update gui labels
this.GuiAsync(() =>
{
ChangeConnectStatus(true);
ConnectBtn.IsEnabled = false;
});
};
// subscribe on connection error event
_connector.ConnectionError += error => this.GuiAsync(() =>
{
// update gui labels
ChangeConnectStatus(false);
MessageBox.Show(this, error.ToString(), LocalizedStrings.Str2959);
});
_connector.NewMarketDepths += OnDepths;
_connector.MarketDepthsChanged += OnDepths;
_connector.NewPortfolios += PortfolioGrid.Portfolios.AddRange;
_connector.NewPositions += PortfolioGrid.Positions.AddRange;
_connector.NewOrders += OrderGrid.Orders.AddRange;
_connector.NewMyTrades += TradeGrid.Trades.AddRange;
// subscribe on error of order registration event
_connector.OrdersRegisterFailed += OrdersFailed;
_candleManager.Processing += (s, candle) =>
{
if (candle.State == CandleStates.Finished)
{
_buffer.Add(candle);
}
};
// subscribe on error event
_connector.Error += error =>
this.GuiAsync(() => MessageBox.Show(this, error.ToString(), LocalizedStrings.Str2955));
// subscribe on error of market data subscription event
_connector.MarketDataSubscriptionFailed += (security, type, error) =>
this.GuiAsync(() => MessageBox.Show(this, error.ToString(), LocalizedStrings.Str2956Params.Put(type, security)));
}
_connector.Connect();
}
else
{
_connector.Disconnect();
}
}
/// <summary>
/// Сэмулировать заявки на истории.
/// </summary>
/// <param name="orders">Заявки, которые необходимо сэмулировать на истории.</param>
/// <param name="storageRegistry">Внешнеее хранилище для доступа к исторических данным.</param>
/// <param name="openedPositions">Сделки, описывающие начальные открытые позиции.</param>
/// <returns>Виртуальная стратегии, содержащая в себе ход эмуляционных торгов.</returns>
public static Strategy EmulateOrders(this IEnumerable <Order> orders, IStorageRegistry storageRegistry, IDictionary <Security, decimal> openedPositions)
{
if (openedPositions == null)
{
throw new ArgumentNullException("openedPositions");
}
if (storageRegistry == null)
{
throw new ArgumentNullException("storageRegistry");
}
if (orders == null)
{
throw new ArgumentNullException("orders");
}
if (orders.IsEmpty())
{
throw new ArgumentOutOfRangeException("orders");
}
using (var connector = new RealTimeEmulationTrader <HistoryEmulationConnector>(new HistoryEmulationConnector(orders.Select(o => o.Security).Distinct(), orders.Select(o => o.Portfolio).Distinct())
{
StorageRegistry = storageRegistry
}))
{
var from = orders.Min(o => o.Time).Date;
var to = from.EndOfDay();
var strategy = new EquityStrategy(orders, openedPositions)
{
Connector = connector
};
var waitHandle = new SyncObject();
connector.UnderlyingConnector.StateChanged += () =>
{
if (connector.UnderlyingConnector.State == EmulationStates.Started)
{
strategy.Start();
}
if (connector.UnderlyingConnector.State == EmulationStates.Stopped)
{
strategy.Stop();
waitHandle.Pulse();
}
};
connector.Connect();
connector.StartExport();
connector.UnderlyingConnector.Start(from, to);
lock (waitHandle)
{
if (connector.UnderlyingConnector.State != EmulationStates.Stopped)
{
waitHandle.Wait();
}
}
return(strategy);
}
}
private void ConnectClick(object sender, RoutedEventArgs e)
{
if (!_isConnected)
{
if (_connector == null)
{
if (Login.Text.IsEmpty())
{
MessageBox.Show(this, LocalizedStrings.Str2974);
return;
}
else if (Password.Password.IsEmpty())
{
MessageBox.Show(this, LocalizedStrings.Str2975);
return;
}
// создаем подключение
_connector = new RealTimeEmulationTrader <Connector>(new SmartTrader
{
Login = Login.Text,
Password = Password.Password,
Address = Address.SelectedAddress
});
//_trader = new RealTimeEmulationTrader<Connector>(new StockSharp.Plaza.PlazaTrader
//{
// IsCGate = true,
//}, portfolio);
SecurityEditor.SecurityProvider = new FilterableSecurityProvider(_connector);
_logManager.Sources.Add(_connector);
// очищаем из текстового поля в целях безопасности
//Password.Clear();
// подписываемся на событие успешного соединения
_connector.Connected += () =>
{
// возводим флаг, что соединение установлено
_isConnected = true;
// разблокируем кнопку Экспорт
this.GuiAsync(() => ChangeConnectStatus(true));
_candleManager = new CandleManager(_connector);
_connector.NewMarketDepths += OnDepths;
_connector.MarketDepthsChanged += OnDepths;
_connector.NewOrders += orders => Orders.Orders.AddRange(orders);
_connector.NewMyTrades += trades => Trades.Trades.AddRange(trades);
// подписываемся на событие о неудачной регистрации заявок
_connector.OrdersRegisterFailed += OrdersFailed;
_candleManager.Processing += (s, candle) =>
{
if (candle.State == CandleStates.Finished)
{
_buffer.Add(candle);
}
};
_connector.StartExport();
this.GuiAsync(() =>
{
ConnectBtn.IsEnabled = false;
});
};
// подписываемся на событие разрыва соединения
_connector.ConnectionError += error => this.GuiAsync(() =>
{
// заблокируем кнопку Экспорт (так как соединение было потеряно)
ChangeConnectStatus(false);
MessageBox.Show(this, error.ToString(), LocalizedStrings.Str2959);
});
// подписываемся на ошибку обработки данных (транзакций и маркет)
_connector.ProcessDataError += error =>
this.GuiAsync(() => MessageBox.Show(this, error.ToString(), LocalizedStrings.Str2955));
// подписываемся на ошибку подписки маркет-данных
_connector.MarketDataSubscriptionFailed += (security, type, error) =>
this.GuiAsync(() => MessageBox.Show(this, error.ToString(), LocalizedStrings.Str2956Params.Put(type, security)));
}
_connector.Connect();
}
else
{
_connector.Disconnect();
}
}
private void ConnectClick(object sender, RoutedEventArgs e)
{
if (!_isConnected)
{
if (_connector == null)
{
if (Login.Text.IsEmpty())
{
MessageBox.Show(this, LocalizedStrings.Str2974);
return;
}
else if (Password.Password.IsEmpty())
{
MessageBox.Show(this, LocalizedStrings.Str2975);
return;
}
// create real-time emu connector
_connector = new RealTimeEmulationTrader <Connector>(new SmartTrader
{
Login = Login.Text,
Password = Password.Password,
Address = Address.SelectedAddress
});
//_connector = new RealTimeEmulationTrader<Connector>(new PlazaTrader
//{
// IsCGate = true,
//}, portfolio);
SecurityEditor.SecurityProvider = new FilterableSecurityProvider(_connector);
_logManager.Sources.Add(_connector);
// clear password for security reason
//Password.Clear();
// subscribe on connection successfully event
_connector.Connected += () =>
{
// set flag (connection is established)
_isConnected = true;
// update gui labels
this.GuiAsync(() => ChangeConnectStatus(true));
_candleManager = new CandleManager(_connector);
_connector.NewMarketDepths += OnDepths;
_connector.MarketDepthsChanged += OnDepths;
_connector.NewOrders += orders => Orders.Orders.AddRange(orders);
_connector.NewMyTrades += trades => Trades.Trades.AddRange(trades);
// подписываемся на событие о неудачной регистрации заявок
_connector.OrdersRegisterFailed += OrdersFailed;
_candleManager.Processing += (s, candle) =>
{
if (candle.State == CandleStates.Finished)
{
_buffer.Add(candle);
}
};
this.GuiAsync(() =>
{
ConnectBtn.IsEnabled = false;
});
};
// subscribe on connection error event
_connector.ConnectionError += error => this.GuiAsync(() =>
{
// update gui labels
ChangeConnectStatus(false);
MessageBox.Show(this, error.ToString(), LocalizedStrings.Str2959);
});
// subscribe on error event
_connector.Error += error =>
this.GuiAsync(() => MessageBox.Show(this, error.ToString(), LocalizedStrings.Str2955));
// subscribe on error of market data subscription event
_connector.MarketDataSubscriptionFailed += (security, type, error) =>
this.GuiAsync(() => MessageBox.Show(this, error.ToString(), LocalizedStrings.Str2956Params.Put(type, security)));
}
_connector.Connect();
}
else
{
_connector.Disconnect();
}
}
static void Main(string[] args)
{
_logManager = new LogManager();
_logManager.Listeners.Add(new FileLogListener("log.log")
{
LogDirectory = "Logs"
});
BasketMessageAdapter realAdapter = new BasketMessageAdapter(new MillisecondIncrementalIdGenerator());
// Можно использовать два варианта создания коннектора
// 1 вариант. Из файла настроек connection.xml. Чтобы создать файл настроек запустите пример
// SampleRealTimeEmulation из поставочного комплекта s# и создайте соединение для коннектора
// Quik. Обратите внимание, что нужно добавлять только MarketDataAdapter, т.к. в нашем случае
// используется специальный эмуляционный TransactionAdapter, который создает сам RealTimeEmulationTrader.
// 2 вариант. Самостоятельно создаем адаптер
// В этом примере показаны два варианта.
if (File.Exists(_settingsFile))
{
// Создаем адаптер из файла настроек
realAdapter.Load(new XmlSerializer <SettingsStorage>().Deserialize(_settingsFile));
realAdapter.InnerAdapters.ForEach(a => a.RemoveTransactionalSupport());
}
else
{
// Создаем адаптер "вручную
realAdapter.AssociatedBoardCode = "ALL";
realAdapter.LogLevel = LogLevels.Inherit;
realAdapter.InnerAdapters.Add(new LuaFixMarketDataMessageAdapter(realAdapter.TransactionIdGenerator)
{
Dialect = StockSharp.Fix.FixDialects.Default,
SenderCompId = "quik",
TargetCompId = "StockSharpMD",
Login = "******",
Password = "******".To <SecureString>(),
Address = "localhost:5001".To <EndPoint>(),
RequestAllPortfolios = false,
RequestAllSecurities = true,
IsResetCounter = true,
ReadTimeout = TimeSpan.Zero,
WriteTimeout = TimeSpan.Zero,
HeartbeatInterval = TimeSpan.Zero,
SupportedMessages = new MessageTypes[] { MessageTypes.MarketData, MessageTypes.SecurityLookup, MessageTypes.ChangePassword },
AssociatedBoardCode = "ALL",
LogLevel = LogLevels.Inherit
});
}
// Добавляем адаптер к коннектору
_connector = new RealTimeEmulationTrader <IMessageAdapter>(realAdapter);
_connector.EmulationAdapter.Emulator.Settings.TimeZone = TimeHelper.Est;
_connector.EmulationAdapter.Emulator.Settings.ConvertTime = true;
_logManager.Sources.Add(_connector);
_logManager.Sources.Add(_connector);
_handler = new AutoResetEvent(false);
bool isHandlerSet = false;
var _sendCancelOrders = new List <Order>();
_connector.Connected += () =>
{
Console.WriteLine("Соединение установлено!");
};
_connector.Disconnected += () =>
{
Console.WriteLine("Соединение разорвано!");
Console.WriteLine("Для выхода нажмите Q и Enter.");
};
_connector.NewPortfolios += portfolios =>
{
portfolios.ForEach(portfolio =>
{
Console.WriteLine("Получен портфель: {0}", portfolio.Name);
_connector.RegisterPortfolio(portfolio);
_portfolio = portfolio;
});
};
_connector.NewSecurities += securities =>
{
securities.ForEach(s =>
{
if (s.Id == _securityId)
{
_security = s;
_connector.RegisterSecurity(s);
_handler.Set();
}
});
};
_connector.ValuesChanged += (security, values, stime, ltime) =>
{
//TODO
};
_connector.PortfoliosChanged += portfolios =>
{
Debug.WriteLine("Изменение состояния портфелей.");
var sb = new StringBuilder();
portfolios.ForEach(p =>
{
sb.AppendFormat("Name: {0}{1}", p.Name, Environment.NewLine);
sb.AppendFormat("AveragePrice: {0}{1}", p.AveragePrice, Environment.NewLine);
sb.AppendFormat("BeginValue: {0}{1}", p.BeginValue, Environment.NewLine);
sb.AppendFormat("BlockedValue: {0}{1}", p.BlockedValue, Environment.NewLine);
sb.AppendFormat("Board: {0}{1}", p.Board, Environment.NewLine);
sb.AppendFormat("Commission: {0}{1}", p.Commission, Environment.NewLine);
sb.AppendFormat("CurrentPrice: {0}{1}", p.CurrentPrice, Environment.NewLine);
sb.AppendFormat("CurrentValue: {0}{1}", p.CurrentValue, Environment.NewLine);
sb.AppendFormat("Leverage: {0}{1}", p.Leverage, Environment.NewLine);
sb.AppendFormat("RealizedPnL: {0}{1}", p.RealizedPnL, Environment.NewLine);
sb.AppendFormat("UnrealizedPnL: {0}{1}", p.UnrealizedPnL, Environment.NewLine);
sb.AppendFormat("VariationMargin: {0}{1}", p.VariationMargin, Environment.NewLine);
Debug.WriteLine(sb.ToString());
sb.Clear();
});
};
_connector.NewPositions += positions =>
{
Debug.WriteLine("Новые позиции.");
PrintPositions(positions);
};
_connector.PositionsChanged += positions =>
{
Debug.WriteLine("Изменение позиций.");
PrintPositions(positions);
};
_connector.NewOrders += orders =>
{
orders.ForEach(o => Debug.WriteLine(string.Format("NewOrders. {0}", o)));
};
_connector.OrdersChanged += orders =>
{
orders.ForEach(o =>
{
Debug.WriteLine(string.Format("OrdersChanged. {0}. IsMatched: {1}, IsCanceled : {2}", o, o.IsMatched().ToString(), o.IsCanceled().ToString()));
});
};
_connector.OrdersRegisterFailed += fails =>
{
fails.ForEach(f => Debug.WriteLine(string.Format("OrdersRegisterFailed. {0}", f.Error.Message)));
};
_connector.OrdersCancelFailed += fails =>
{
fails.ForEach(f => Debug.WriteLine(string.Format("OrdersCancelFailed. {0}", f.Error.Message)));
};
_connector.NewMyTrades += trades =>
{
trades.ForEach(t => Debug.WriteLine(string.Format("NewMyTrades. {0}", t.ToString())));
};
_connector.Connect();
_handler.WaitOne();
Console.WriteLine("Инструмент и портфель получены");
var order = new Order()
{
Security = _security,
Portfolio = _portfolio,
Type = OrderTypes.Market,
Direction = Sides.Buy,
Volume = 1
};
_connector.RegisterOrder(order);
Console.WriteLine("ПОСЛАНА ЗАЯВКА");
Console.Read();
_connector.Disconnect();
// Ждет, пока последовательно не будут нажаты клаваши Q и Enter,
// после чего программа завершит работу
while (Console.ReadLine().ToUpper() != "Q")
{
;
}
}
