protected override CandleMessage Process(MessageBuffer <CandleMessage> buffer)
{
var res = new TimeFrameCandleMessage
{
SecurityId = SecurityId,
OpenTime = buffer.Time,
LocalTime = buffer.Time,
TotalVolume = Calculate(buffer, false, c => c.TotalVolume),
OpenPrice = Calculate(buffer, true, m => m.OpenPrice),
HighPrice = Calculate(buffer, true, m => m.HighPrice),
LowPrice = Calculate(buffer, true, m => m.LowPrice),
ClosePrice = Calculate(buffer, true, m => m.ClosePrice),
State = CandleStates.Finished
};
//res.Arg = IndexCandleBuilder.CloneArg(candle.Arg, Security);
if (Security.CalculateExtended)
{
//res.TotalPrice = Calculate(buffer, c => c.TotalPrice);
res.OpenVolume = Calculate(buffer, false, c => c.OpenVolume ?? 0);
res.CloseVolume = Calculate(buffer, false, c => c.CloseVolume ?? 0);
res.HighVolume = Calculate(buffer, false, c => c.HighVolume ?? 0);
res.LowVolume = Calculate(buffer, false, c => c.LowVolume ?? 0);
}
return(res);
}
public void ProcessMessage(TimeFrameCandleMessage message)
{
if(message.SecurityId.ToStringId() != _security.Id || (TimeSpan)message.Arg != _timeframe)
return;
var candle = _candles.LastOrDefault();
if(candle == null)
_candles.Add(candle = NewCandleFromMessage(message));
else if (candle.OpenTime > message.OpenTime)
throw new InvalidOperationException("received unordered candle");
else
{
if (!CheckSameCandle(candle, message))
{
if (candle.State != CandleStates.Finished)
{
candle.State = CandleStates.Finished;
Candle?.Invoke(candle);
}
_candles.Add(candle = NewCandleFromMessage(message));
}
}
candle.CloseTime = message.CloseTime;
candle.OpenPrice = message.OpenPrice;
candle.HighPrice = message.HighPrice;
candle.LowPrice = message.LowPrice;
candle.ClosePrice = message.ClosePrice;
candle.TotalVolume = message.TotalVolume;
Candle?.Invoke(candle);
}
TimeFrameCandle GetCandle(TimeFrameCandleMessage msg)
{
var key = Tuple.Create(msg.SecurityId, msg.Arg);
var candle = _lastCandles.TryGetValue(key);
if (candle == null)
{
candle = NewCandleFromMessage(msg);
}
else if (candle.OpenTime != msg.OpenTime)
{
candle.State = CandleStates.Finished;
Candle?.Invoke(candle);
candle = NewCandleFromMessage(msg);
}
_lastCandles[key] = candle;
candle.OpenPrice = msg.OpenPrice;
candle.HighPrice = msg.HighPrice;
candle.LowPrice = msg.LowPrice;
candle.ClosePrice = msg.ClosePrice;
candle.TotalVolume = msg.TotalVolume;
candle.State = msg.State;
return candle;
}
private void OnSessionHistoricMarketDataReceived(string instructionId, List <Uri> uris)
{
var transactionId = TryParseTransactionId(instructionId);
if (transactionId == null)
{
return;
}
foreach (var uri in uris)
{
_session.OpenUri(uri, (u, reader) =>
{
using (var stream = new StreamReader(new GZipStream(reader.BaseStream, CompressionMode.Decompress), Encoding.UTF8))
{
var rows = stream.ReadToEnd().Split("\n");
var index = 0;
CultureInfo.InvariantCulture.DoInCulture(() =>
rows
.Skip(1)
.Select(row => row.Split(','))
.Where(cells => !cells[1].IsEmpty())
.ForEach(cells =>
{
var message = new TimeFrameCandleMessage
{
OriginalTransactionId = transactionId.Value,
OpenTime = TimeHelper.GregorianStart.AddMilliseconds(cells[0].To <long>()).ApplyTimeZone(TimeZoneInfo.Utc),
IsFinished = index++ == (rows.Length - 2),
State = CandleStates.Finished,
};
if (cells.Length == 5)
{
message.OpenPrice = cells[1].To <decimal>();
message.OpenVolume = !cells[2].IsEmpty() ? cells[2].To <decimal>() : (decimal?)null;
message.ClosePrice = cells[3].To <decimal>();
message.CloseVolume = !cells[4].IsEmpty() ? cells[4].To <decimal>() : (decimal?)null;
}
else
{
message.OpenPrice = cells[1].To <decimal>();
message.HighPrice = cells[2].To <decimal>();
message.LowPrice = cells[3].To <decimal>();
message.ClosePrice = cells[4].To <decimal>();
message.TotalVolume = cells[5].To <decimal>() + cells[6].To <decimal>() + cells[7].To <decimal>();
}
SendOutMessage(message);
}));
}
}, CreateErrorHandler("OpenUri"));
System.Threading.Thread.Sleep(3000);
}
}
private TimeFrameCandle NewCandleFromMessage(TimeFrameCandleMessage msg)
{
return new TimeFrameCandle
{
Security = _security,
OpenTime = msg.OpenTime,
CloseTime = msg.OpenTime + _timeframe,
TimeFrame = _timeframe,
State = CandleStates.Active
};
}
/// <summary>
/// To process the new data.
/// </summary>
/// <param name="message">The message contains information about the time-frame candle.</param>
/// <returns>A new candles changes.</returns>
public IEnumerable <CandleMessage> Process(CandleMessage message)
{
TimeFrameCandleMessage lastCandle = null;
foreach (var candle in _processParts.SelectMany(p => ProcessCandlePart(p, message)).ToArray().Cast <TimeFrameCandleMessage>())
{
if (candle != lastCandle)
{
lastCandle = candle;
yield return(candle);
}
}
}
/// <inheritdoc />
public override IEnumerable <Message> Process(Message message)
{
switch (message.Type)
{
case MessageTypes.QuoteChange:
var quotesMsg = (QuoteChangeMessage)message;
foreach (var msg in ProcessMessage(Holder <QuoteChangeMessage> .Messages, quotesMsg.SecurityId, quotesMsg, quotes => new QuoteChangeMessage
{
SecurityId = SecurityId,
ServerTime = quotesMsg.ServerTime,
}))
{
yield return(msg);
}
break;
case MessageTypes.Execution:
var execMsg = (ExecutionMessage)message;
switch (execMsg.ExecutionType)
{
case ExecutionTypes.OrderLog:
{
foreach (var msg in ProcessMessage(_ol, execMsg.SecurityId, execMsg, execMsgs =>
{
var prices = new decimal[execMsgs.Length];
var volumes = new decimal[execMsgs.Length];
for (var i = 0; i < execMsgs.Length; i++)
{
var msg = execMsgs[i];
prices[i] = msg.OrderPrice;
volumes[i] = msg.OrderVolume ?? 0;
}
return(new ExecutionMessage
{
SecurityId = SecurityId,
ServerTime = execMsg.ServerTime,
ExecutionType = execMsg.ExecutionType,
OrderPrice = Calculate(prices, true),
OrderVolume = Calculate(volumes, false),
});
}))
{
yield return(msg);
}
break;
}
case ExecutionTypes.Tick:
{
foreach (var msg in ProcessMessage(_ticks, execMsg.SecurityId, execMsg, execMsgs =>
{
var prices = new decimal[execMsgs.Length];
var volumes = new decimal[execMsgs.Length];
for (var i = 0; i < execMsgs.Length; i++)
{
var msg = execMsgs[i];
prices[i] = msg.TradePrice ?? 0;
volumes[i] = msg.TradeVolume ?? 0;
}
return(new ExecutionMessage
{
SecurityId = SecurityId,
ServerTime = execMsg.ServerTime,
ExecutionType = execMsg.ExecutionType,
TradePrice = Calculate(prices, true),
TradeVolume = Calculate(volumes, false),
});
}))
{
yield return(msg);
}
break;
}
}
break;
case MessageTypes.CandleTimeFrame:
{
var candleMsg = (CandleMessage)message;
var dict = _candles.SafeAdd(candleMsg.OpenTime);
dict[candleMsg.SecurityId] = (CandleMessage)candleMsg.Clone();
if (dict.Count == BasketLegs.Length)
{
var keys = _candles.Keys.Where(t => t <= candleMsg.OpenTime).ToArray();
foreach (var key in keys)
{
var d = _candles.GetAndRemove(key);
if (d.Count < BasketLegs.Length && BasketSecurity.FillGapsByZeros)
{
continue;
}
var indexCandle = new TimeFrameCandleMessage();
FillIndexCandle(indexCandle, candleMsg, d.Values.ToArray());
yield return(indexCandle);
}
}
break;
}
case MessageTypes.CandlePnF:
{
var candleMsg = (PnFCandleMessage)message;
foreach (var msg in ProcessMessage(Holder <PnFCandleMessage> .Messages, candleMsg.SecurityId, candleMsg, candles => CreateBasketCandle(candles, candleMsg)))
{
yield return(msg);
}
break;
}
case MessageTypes.CandleRange:
{
var candleMsg = (RangeCandleMessage)message;
foreach (var msg in ProcessMessage(Holder <RangeCandleMessage> .Messages, candleMsg.SecurityId, candleMsg, candles => CreateBasketCandle(candles, candleMsg)))
{
yield return(msg);
}
break;
}
case MessageTypes.CandleRenko:
{
var candleMsg = (RenkoCandleMessage)message;
foreach (var msg in ProcessMessage(Holder <RenkoCandleMessage> .Messages, candleMsg.SecurityId, candleMsg, candles => CreateBasketCandle(candles, candleMsg)))
{
yield return(msg);
}
break;
}
case MessageTypes.CandleTick:
{
var candleMsg = (TickCandleMessage)message;
foreach (var msg in ProcessMessage(Holder <TickCandleMessage> .Messages, candleMsg.SecurityId, candleMsg, candles => CreateBasketCandle(candles, candleMsg)))
{
yield return(msg);
}
break;
}
case MessageTypes.CandleVolume:
{
var candleMsg = (VolumeCandleMessage)message;
foreach (var msg in ProcessMessage(Holder <VolumeCandleMessage> .Messages, candleMsg.SecurityId, candleMsg, candles => CreateBasketCandle(candles, candleMsg)))
{
yield return(msg);
}
break;
}
}
//return Enumerable.Empty<Message>();
}
private void OnSessionHistoricMarketDataReceived(string instructionId, List<Uri> uris)
{
var transactionId = TryParseTransactionId(instructionId);
if (transactionId == null)
return;
foreach (var uri in uris)
{
_session.OpenUri(uri, (u, reader) =>
{
using (var stream = new StreamReader(new GZipStream(reader.BaseStream, CompressionMode.Decompress), Encoding.UTF8))
{
var rows = stream.ReadToEnd().Split("\n");
var index = 0;
CultureInfo.InvariantCulture.DoInCulture(() =>
rows
.Skip(1)
.Select(row => row.Split(','))
.Where(cells => !cells[1].IsEmpty())
.ForEach(cells =>
{
var message = new TimeFrameCandleMessage
{
OriginalTransactionId = transactionId.Value,
OpenTime = TimeHelper.GregorianStart.AddMilliseconds(cells[0].To<long>()).ApplyTimeZone(TimeZoneInfo.Utc),
IsFinished = index++ == (rows.Length - 2),
State = CandleStates.Finished,
};
if (cells.Length == 5)
{
message.OpenPrice = cells[1].To<decimal>();
message.OpenVolume = !cells[2].IsEmpty() ? cells[2].To<decimal>() : (decimal?)null;
message.ClosePrice = cells[3].To<decimal>();
message.CloseVolume = !cells[4].IsEmpty() ? cells[4].To<decimal>() : (decimal?)null;
}
else
{
message.OpenPrice = cells[1].To<decimal>();
message.HighPrice = cells[2].To<decimal>();
message.LowPrice = cells[3].To<decimal>();
message.ClosePrice = cells[4].To<decimal>();
message.TotalVolume = cells[5].To<decimal>() + cells[6].To<decimal>() + cells[7].To<decimal>();
}
SendOutMessage(message);
}));
}
}, CreateErrorHandler("OpenUri"));
System.Threading.Thread.Sleep(3000);
}
}
private bool CheckSameCandle(TimeFrameCandle candle, TimeFrameCandleMessage msg)
{
return candle.Arg == msg.Arg && candle.OpenTime == msg.OpenTime;
}
TimeFrameCandle NewCandleFromMessage(TimeFrameCandleMessage msg)
{
return new TimeFrameCandle
{
Security = GetSecurity(msg.SecurityId),
OpenTime = msg.OpenTime,
CloseTime = msg.CloseTime,
OpenPrice = msg.OpenPrice,
HighPrice = msg.HighPrice,
LowPrice = msg.LowPrice,
ClosePrice = msg.ClosePrice,
TotalVolume = msg.TotalVolume,
State = msg.State,
};
}
