public CandleDataBidAsk(CandleData candle, float spread) : base(candle)
{
openAsk = open + spread;
highAsk = high + spread;
lowAsk = low + spread;
closeAsk = close + spread;
}
public void MoveNext()
{
if (stream == null || nextCandle == null)
return;
currentCandle = nextCandle;
nextCandle = ReadCandle(nextCandle);
}
private List <CandleData> GetCandles(BarSettings timeframe, string symbol, DateTime date, int candlesCount)
{
var startTime = timeframe.GetDistanceTime(candlesCount, -1, date);
var minuteCandles = AtomCandleStorage.Instance.GetAllMinuteCandles(symbol, startTime, date) ?? new List <CandleData>();
var packer = new CandlePacker(timeframe);
var candles = new List <CandleData>();
foreach (var minuteCandle in minuteCandles)
{
var candle = packer.UpdateCandle(minuteCandle);
if (candle != null)
{
candles.Add(candle);
}
}
var tail = minuteCandles.Where(x => x.timeOpen > candles.Last().timeClose).ToArray();
if (tail.Length > 0)
{
float open = tail.First().open;
float close = tail.Last().close;
float high = tail.Max(x => x.high);
float low = tail.Min(x => x.low);
DateTime timeOpen = tail.First().timeOpen;
DateTime timeClose = tail.Last().timeClose;
var currentCandel = new CandleData(open, high, low, close, timeOpen, timeClose);
candles.Add(currentCandel);
}
return(candles);
}
private void MakeNewCandle(float price, DateTime time)
{
DateTime startTime;
CandleCloseTime = GetLastCandleClose(time, out startTime);
currentCandle = new CandleData(price, price, price, price, startTime, time);
}
public CandleData UpdateCandle(CandleData minuteCandle)
{
var time = minuteCandle.timeClose;
if (CurrentCandle == null)
{
MakeNewCandle(minuteCandle);
}
else
{
if (time > CandleCloseTime)
{
var candle = CloseCandle(minuteCandle);
return(candle);
}
// обновить уровни свечи
CurrentCandle.timeClose = time;
CurrentCandle.close = minuteCandle.close;
if (minuteCandle.high > CurrentCandle.high)
{
CurrentCandle.high = minuteCandle.high;
}
if (minuteCandle.low < CurrentCandle.low)
{
CurrentCandle.low = minuteCandle.low;
}
}
// коррекция свечи?
return(null);
}
public bool MoveToTime(DateTime time, out CandleData candle)
{
candle = null;
if (stream == null) return false;
if (currentCandle == null) return false;
if (time < currentCandle.timeClose)
{
stream.BaseStream.Position = 0;
stream.DiscardBufferedData();
Reset();
if (currentCandle.timeClose > time)
return false;
}
while (currentCandle != null)
{
if (nextCandle != null && nextCandle.timeClose > time)
{
candle = currentCandle;
return true;
}
currentCandle = nextCandle;
nextCandle = ReadCandle(nextCandle);
}
return false;
}
/// <summary>
/// Вызывает хранимую процедуру 'GetLastQuote' или 'FindQuote'
/// </summary>
public QuoteData GetQuoteStoredProc(string ticker, DateTime? start = null)
{
if (string.IsNullOrEmpty(ticker)) return null;
SqlConnection conn = null;
SqlDataReader rdr = null;
var tickerId = DalSpot.Instance.GetFXICodeBySymbol(ticker);
var date = default(DateTime);
var open = -1f;
var lhc = -1;
try
{
var connectionString = ConfigurationManager.ConnectionStrings["QuoteBase"].ConnectionString;
conn = new SqlConnection(connectionString);
conn.Open();
var procName = start.HasValue ? "FindQuote" : "GetLastQuote";
var cmd = new SqlCommand(procName, conn) { CommandType = CommandType.StoredProcedure };
cmd.Parameters.Add(new SqlParameter("@ticker", tickerId));
if (start.HasValue) cmd.Parameters.Add(new SqlParameter("@date", start.Value));
rdr = cmd.ExecuteReader();
while (rdr.Read())
{
if (!int.TryParse(rdr["ticker"].ToString(), out tickerId)) return null;
if (!DateTime.TryParse(rdr["date"].ToString(), out date)) return null;
if (!float.TryParse(rdr["open"].ToString(), out open)) return null;
if (!int.TryParse(rdr["HLC"].ToString(), out lhc)) return null;
}
}
catch (Exception ex)
{
Logger.Error("Ошибка в методе GetQuoteStoredProc", ex);
return null;
}
finally
{
if (conn != null)
{
conn.Close();
}
if (rdr != null)
{
rdr.Close();
}
}
var candelDataPacked = new CandleDataPacked
{
HLC = lhc,
open = open,
timeOpen = date,
close = open // default
};
var candleData = new CandleData(candelDataPacked, DalSpot.Instance.GetPrecision10(ticker));
var useOpen = start.HasValue && date == start.Value;
return GetQuoteWithDefaultSpread(candleData, ticker, useOpen);
}
public CandleDataBidAsk(CandleData candleBid, CandleData candleAsk) : base(candleBid)
{
openAsk = candleAsk.open;
highAsk = candleAsk.high;
lowAsk = candleAsk.low;
closeAsk = candleAsk.close;
}
public CandleDataBidAsk(CandleData candle, float spread)
: base(candle)
{
openAsk = open + spread;
highAsk = high + spread;
lowAsk = low + spread;
closeAsk = close + spread;
}
private void MakeNewCandle(CandleData candle)
{
var time = candle.timeClose;
DateTime startTime;
CandleCloseTime = GetLastCandleClose(time, out startTime);
currentCandle = new CandleData(candle.open, candle.high, candle.low, candle.close, startTime, time);
}
public CandleDataBidAsk(CandleData candleBid, CandleData candleAsk)
: base(candleBid)
{
openAsk = candleAsk.open;
highAsk = candleAsk.high;
lowAsk = candleAsk.low;
closeAsk = candleAsk.close;
}
public CandleData(CandleData spec)
{
open = spec.open;
high = spec.high;
close = spec.close;
low = spec.low;
timeOpen = spec.timeOpen;
timeClose = spec.timeClose;
customColor = spec.customColor;
}
public CandleData(CandleData spec)
{
open = spec.open;
high = spec.high;
close = spec.close;
low = spec.low;
timeOpen = spec.timeOpen;
timeClose = spec.timeClose;
customColor = spec.customColor;
}
public void LoadFromFiles(string quoteDir)
{
foreach (var fileName in Directory.GetFiles(quoteDir, "*.quote"))
{
// получить название торгуемого актива
var symbol = Path.GetFileNameWithoutExtension(fileName);
if (string.IsNullOrEmpty(symbol))
{
continue;
}
symbol = symbol.ToUpper();
// прочитать файл
List <CandleData> fileCandles;
try
{
fileCandles = CandleData.LoadFromFile(fileName, symbol);
}
catch (Exception ex)
{
Logger.ErrorFormat("Ошибка в AtomCandleStorage.LoadFromFiles({0}): {1}",
symbol, ex);
continue;
}
if (fileCandles == null || fileCandles.Count == 0)
{
continue;
}
if (!locker.TryEnterWriteLock(LockTimeout))
{
Logger.ErrorFormat("Ошибка в AtomCandleStorage.LoadFromFiles({0}): невозможно получить доступ на запись",
symbol);
continue;
}
// записать в словарь
try
{
if (candles.ContainsKey(symbol))
{
candles [symbol] = new ThreadSafeCandleList(fileCandles);
}
else
{
candles.Add(symbol, new ThreadSafeCandleList(fileCandles));
}
}
finally
{
locker.ExitWriteLock();
}
}
}
// private const string TableNameQuote = "QUOTE";
/// <summary>
/// получает котировки (свечи m1) по всем торгуемым активам на момент
/// времени t меньше либо равный time
/// </summary>
public static Dictionary<string, CandleData> GetCandlesOnTime(DateTime? time)
{
var candles = new Dictionary<string, CandleData>();
var cmdText =
time.HasValue ?
"WITH e AS ( select ticker, MAX([date]) as 'mxdate' from QUOTE where [date] <= '"
+ time.Value.ToString("yyyyMMdd HH:mm") +
"' group by ticker ) select q.* " +
"FROM e join QUOTE q on q.ticker = e.ticker and q.date = e.mxdate"
:
"WITH e AS ( select ticker, MAX([date]) as 'mxdate' from QUOTE group by ticker ) select q.* " +
"FROM e join QUOTE q on q.ticker = e.ticker and q.date = e.mxdate";
var cmd = new SqlCommand(cmdText);
var values = new object[4];
try
{
using (var conn = MakeSqlConnection())
{
cmd.Connection = conn;
conn.Open();
using (var reader = cmd.ExecuteReader())
{
while (reader.Read())
{
if (reader.GetValues(values) != values.Length) continue;
var ticker = (Int16) values[0];
var symbol = DalSpot.Instance.GetSymbolByFXICode(ticker);
if (string.IsNullOrEmpty(symbol)) continue;
var pointValue = DalSpot.Instance.GetPrecision10(symbol);
var candle = new CandleData
{
timeOpen = (DateTime)values[1],
open = (float)(double)values[2],
};
var hlc = (int)values[3];
candle.MakeHlcFromOffset(hlc, pointValue);
candles.Add(symbol, candle);
}
}
}
}
catch (Exception ex)
{
Logger.Error("GetCandlesOnTime() - ошибка доступа к БД котировок", ex);
}
return candles;
}
private static CandleFileFormat GetCandleFileFormat(StreamReader sr)
{
bool?isHexFormat = null;
try
{
while (!sr.EndOfStream)
{
var line = sr.ReadLine();
if (string.IsNullOrEmpty(line))
{
continue;
}
if (!isHexFormat.HasValue)
{
isHexFormat = line.ToIntSafe() != null;
if (isHexFormat.Value)
{
continue;
}
}
var parts = line.Split(new [] { ';', ' ' }, StringSplitOptions.RemoveEmptyEntries);
if (isHexFormat.Value)
{
// 0401 1.32030 7FFF801D
if (parts.Length != 3)
{
return(CandleFileFormat.Misformatted);
}
var format = parts[2].Length == 6 ? CandleFileFormat.Hex : CandleFileFormat.Hex16;
DateTime? date = new DateTime(2000, 1, 1);
CandleData prev = null;
var candle = ParseLine(line, ref date, 4, ref prev);
return(candle == null ? CandleFileFormat.Misformatted : format);
}
// 20150101 00:00;1.21500;1.21527
CandleData prevCandle = null;
var quote = ParseQuote(line, ref prevCandle);
return(quote == null ? CandleFileFormat.Misformatted : CandleFileFormat.Quote);
}
}
finally
{
sr.DiscardBufferedData();
sr.BaseStream.Seek(0, SeekOrigin.Begin);
sr.BaseStream.Position = 0;
}
return(CandleFileFormat.Misformatted);
}
public void FlushInFiles(string quoteFilesDir)
{
// получить копию словаря
if (!locker.TryEnterReadLock(LockTimeout))
{
return;
}
Dictionary <string, ThreadSafeCandleList> deepCopyCandles;
try
{
deepCopyCandles = candles.ToDictionary(p => p.Key, p => p.Value);
}
finally
{
locker.ExitReadLock();
}
try
{
Directory.CreateDirectory(quoteFilesDir);
}
catch (Exception ex)
{
Logger.ErrorFormat("Ошибка в AtomCandleStorage.FlushInFiles()", ex);
}
// по каждому тикеру - сохранить свечки в файл
foreach (var pair in deepCopyCandles)
{
var symbol = pair.Key;
var list = pair.Value;
var candlesByTicker = list.GetAllCandles();
if (candlesByTicker == null || deepCopyCandles.Count == 0)
{
return;
}
var path = quoteFilesDir + "\\" + symbol + ".quote";
try
{
CandleData.SaveInFile(path, symbol, candlesByTicker);
}
catch (Exception ex)
{
Logger.ErrorFormat("Ошибка в AtomCandleStorage.FlushInFiles({0}): {1}", symbol, ex);
}
}
}
/// <summary>
/// Завершить формирование свечки
/// </summary>
private CandleData CloseCandle(float price, DateTime time)
{
var completed = new CandleData
{
open = CurrentCandle.open,
close = CurrentCandle.close,
high = CurrentCandle.high,
low = CurrentCandle.low,
timeOpen = CurrentCandle.timeOpen,
timeClose = CandleCloseTime,
};
MakeNewCandle(price, time);
return(completed);
}
public void UpdateQuotes(List<TickerQuoteData> quotes)
{
var candlesToSave = new List<Cortege2<int, CandleData>>();
var nowTime = GetDateTimeWoSeconds(DateTime.Now);
foreach (var q in quotes)
{
int ticker;
if (!tickerCodeBySymbol.TryGetValue(q.Ticker, out ticker))
{
logNoFlood.LogMessageFormatCheckFlood(LogEntryType.Info, LogMsgTickerCodeMissed,
1000 * 30, "[{0}] code is missed - can not store", q.Ticker);
continue;
}
if (q.bid <= 0)
{
logNoFlood.LogMessageFormatCheckFlood(LogEntryType.Info, LogMsgTickerBidWrong,
1000 * 30, "[{0}] bid is not valid - can not store", q.Ticker);
continue;
}
// обновить свечу
CandleData candle;
if (!lastCandles.TryGetValue(ticker, out candle)) continue;
if (candle == null)
{
candle = new CandleData(q.bid, q.bid, q.bid, q.bid, nowTime, nowTime);
candlesToSave.Add(new Cortege2<int, CandleData>(ticker, candle));
lastCandles[ticker] = candle;
continue;
}
if (candle.high < q.bid) candle.high = q.bid;
if (candle.low > q.bid) candle.low = q.bid;
candle.close = q.bid;
if (candle.timeOpen != nowTime)
{
candlesToSave.Add(new Cortege2<int, CandleData>(ticker, candle));
candle = new CandleData(q.bid, q.bid, q.bid, q.bid, nowTime, nowTime);
lastCandles[ticker] = candle;
}
}
// сохранить новые свечки
if (candlesToSave.Count > 0)
CandleStoreStream.Instance.EnqueueCandles(candlesToSave);
}
public static List <CandleData> LoadFromFile(string filePath, string symbol)
{
var precision = DalSpot.Instance.GetPrecision10(symbol);
var candles = new List <CandleData>();
CandleData previousCandle = null;
DateTime? date = null;
var countErrorsLeft = 25;
using (var sr = new StreamReader(filePath, Encoding.ASCII))
{
var format = GetCandleFileFormat(sr);
if (format == CandleFileFormat.Misformatted)
{
return(new List <CandleData>());
}
while (!sr.EndOfStream)
{
var line = sr.ReadLine();
var oldDate = date;
var candle = (format == CandleFileFormat.Hex || format == CandleFileFormat.Hex16)
? ParseLine(line, ref date, precision, ref previousCandle)
: ParseQuote(line, ref previousCandle);
if (candle == null)
{
if (!oldDate.HasValue && date.HasValue)
{
continue;
}
if (oldDate.HasValue && date.HasValue && oldDate.Value != date.Value)
{
continue;
}
countErrorsLeft--;
if (countErrorsLeft <= 0)
{
break;
}
}
else // prevent adding nulls
{
candles.Add(candle);
}
}
}
return(candles);
}
public void FlushInFile(string quoteFilesDir, string symbol)
{
// получить копию словаря
if (!locker.TryEnterReadLock(LockTimeout))
{
return;
}
ThreadSafeCandleList candlesBySymbol;
try
{
if (!candles.TryGetValue(symbol, out candlesBySymbol))
{
return;
}
}
finally
{
locker.ExitReadLock();
}
var lstCandles = candlesBySymbol.GetAllCandles();
if (lstCandles == null || lstCandles.Count == 0)
{
return;
}
// по каждому тикеру - сохранить свечки в файл
var path = quoteFilesDir + "\\" + symbol + ".quote";
try
{
Directory.CreateDirectory(quoteFilesDir);
CandleData.SaveInFile(path, symbol, lstCandles);
}
catch (Exception ex)
{
Logger.ErrorFormat("Ошибка в AtomCandleStorage.FlushInFile({0}): {1}", symbol, ex);
}
}
public void TestHlcFormat()
{
var candleData = new CandleData
{
open = (float) 1.2345,
high = (float) 1.2355,
low = (float) 1.2335,
close = (float) 1.2344
};
var offset = candleData.GetHlcOffset(VersePointValue);
Assert.AreEqual(0x7E7589, offset, "TestHlcFormat: GetHlcOffset error");
var line = candleData.GetHlcOffsetHEX(VersePointValue);
Assert.AreEqual("7E7589", line, "TestHlcFormat: GetHlcOffsetHEX error");
var offset16 = candleData.GetHlcOffset16(VersePointValue);
Assert.AreEqual(0x7F9B8063, offset16, "TestHlcFormat: GetHlcOffset16 error");
var line16 = candleData.GetHlcOffsetHEX16(VersePointValue);
Assert.AreEqual("7F9B8063", line16, "TestHlcFormat: GetHlcOffsetHEX16 error");
var candle = new CandleData {open = candleData.open};
candle.MakeHlcFromOffset(offset, VersePointValue);
Assert.AreEqual(candleData.high, candle.high, 0.00001, "TestHlcFormat: MakeHlcFromOffset error (high)");
Assert.AreEqual(candleData.low, candle.low, 0.00001, "TestHlcFormat: MakeHlcFromOffset error (low)");
Assert.AreEqual(candleData.close, candle.close, 0.00001, "TestHlcFormat: MakeHlcFromOffset error (close)");
candle.MakeHlcFromOffsetHEX(line, VersePointValue);
Assert.AreEqual(candleData.high, candle.high, 0.00001, "TestHlcFormat: MakeHlcFromOffsetHEX error (high)");
Assert.AreEqual(candleData.low, candle.low, 0.00001, "TestHlcFormat: MakeHlcFromOffsetHEX error (low)");
Assert.AreEqual(candleData.close, candle.close, 0.00001, "TestHlcFormat: MakeHlcFromOffsetHEX error (close)");
candle.MakeHlcFromOffset16(offset16, VersePointValue);
Assert.AreEqual(candleData.high, candle.high, 0.00001, "TestHlcFormat: MakeHlcFromOffset16 error (high)");
Assert.AreEqual(candleData.low, candle.low, 0.00001, "TestHlcFormat: MakeHlcFromOffset16 error (low)");
candle.MakeHlcFromOffsetHEX16(line16, VersePointValue);
Assert.AreEqual(candleData.high, candle.high, 0.00001, "TestHlcFormat: MakeHlcFromOffset16 error (high)");
Assert.AreEqual(candleData.low, candle.low, 0.00001, "TestHlcFormat: MakeHlcFromOffset16 error (low)");
}
public static CandleData ParseQuote(string line, ref CandleData previousCandle)
{
// 20150101 00:00;1.21500;1.21527
var parts = line.Split(new [] { ';' }, StringSplitOptions.RemoveEmptyEntries);
if (parts.Length != 3)
{
return(null);
}
try
{
var dateTime = DateTime.ParseExact(parts[0], "yyyyMMdd HH:mm", CultureInfo.InvariantCulture);
var bid = parts[1].ToFloatUniform();
var open = previousCandle == null ? bid : previousCandle.close;
previousCandle = new CandleData(open, Math.Max(open, bid), Math.Min(open, bid), bid,
dateTime, dateTime.AddMinutes(1));
return(previousCandle);
}
catch
{
return(null);
}
}
public void Setup()
{
// Mock для словаря метаданных
TradeSharpDictionary.Initialize(MoqTradeSharpDictionary.Mock);
MakeGaps();
// подготовить список котировок для "клиента" и "сервера"
var allCandles = new List<CandleData>();
var clientCandles = new List<CandleData>();
var index = 0;
for (var time = timeHistStart; time <= timeNow; time = time.AddMinutes(1))
{
// проверить попадание в дырку на сервере
if (serverGaps.Any(g => g.IsIn(time))) continue;
if (DaysOff.Instance.IsDayOff(time)) continue;
var o = (float) Math.Sin((index++)/15.0);
var candle = new CandleData(o, o + 0.001f, o - 0.003f, o - 0.001f, time, time.AddMinutes(1));
allCandles.Add(candle);
if (time > timeFileEnd) continue;
// проверить попадание в дырку на клиенте
if (clientGaps.Any(g => g.IsIn(time))) continue;
clientCandles.Add(candle);
}
// поместить его в "локальное хранилище"
AtomCandleStorage.Instance.RewriteCandles(Ticker, clientCandles);
// инициализировать хранилище котировок
moq = MoqQuoteStorage.MakeMoq(new Dictionary<string, List<CandleData>>
{
{Ticker, allCandles}
});
QuoteStorage.Initialize(moq.Object);
}
public void DoCheckCommonStop(CandleData candle, List<MarketOrder> orders, List<string> events)
{
if ((Side == PriceSide.Выше && candle.close < (float)StopLevel) ||
(Side == PriceSide.Ниже && candle.close > (float)StopLevel)) return;
var eventStr = string.Format("Условный стоп сделок закрытие свечи на {0} ({1} отметки {2})",
candle.close.ToStringUniformPriceFormat(),
Side.ToString().ToLower(),
StopLevel.ToStringUniformPriceFormat());
events.Add(eventStr);
Logger.Info(eventStr);
foreach (var order in orders)
{
// проверить - у ордера не должно быть индивидуальной цены закрытия
if (OverrideIndividualStop)
if (!string.IsNullOrEmpty(order.Comment))
{
if (regConStop.IsMatch(order.Comment.Replace(',', '.'))) continue;
}
// закрыть ордер
CloseMarketOrder(order.ID);
}
}
public void OnCandleUpdated(CandleData updatedCandle, List<CandleData> newCandles)
{
if (newCandles != null)
if (newCandles.Count > 0) BuildSeries(owner);
}
public Cortege2 <DateTime, DateTime>?LoadFromFile(string quoteDir, string symbol)
{
if (string.IsNullOrEmpty(quoteDir))
{
throw new ArgumentException("LoadFromFile - директория пуста", "quoteDir");
}
if (string.IsNullOrEmpty(symbol))
{
throw new ArgumentException("LoadFromFile - котировка не указана", "symbol");
}
var fileName = quoteDir + "\\" + symbol + ".quote";
if (!File.Exists(fileName))
{
return(null);
}
// прочитать файл
List <CandleData> fileCandles;
try
{
fileCandles = CandleData.LoadFromFile(fileName, symbol);
}
catch (Exception ex)
{
Logger.ErrorFormat("Ошибка в AtomCandleStorage.LoadFromFile({0}): {1}",
symbol, ex);
return(null);
}
if (fileCandles == null || fileCandles.Count == 0)
{
return(null);
}
if (!locker.TryEnterWriteLock(LockTimeout))
{
Logger.ErrorFormat("Ошибка в AtomCandleStorage.LoadFromFile({0}): невозможно получить доступ на запись",
symbol);
return(null);
}
// записать в словарь
var dates = new Cortege2 <DateTime, DateTime>(fileCandles[0].timeOpen, fileCandles[fileCandles.Count - 1].timeOpen);
try
{
if (candles.ContainsKey(symbol))
{
candles[symbol] = new ThreadSafeCandleList(fileCandles);
}
else
{
candles.Add(symbol, new ThreadSafeCandleList(fileCandles));
}
}
finally
{
locker.ExitWriteLock();
}
return(dates);
}
private void Reset()
{
fileDate = null;
currentCandle = null;
nextCandle = null;
currentCandle = ReadCandle(null);
if (currentCandle == null)
{
stream.Close();
stream = null;
currentCandle = null;
fileName = null;
return;
}
startTime = currentCandle.timeClose;
nextCandle = ReadCandle(currentCandle);
}
private CandleData ReadCandle(CandleData candle)
{
while (true)
{
if (stream.EndOfStream)
return null;
var fileLine = stream.ReadLine();
if (string.IsNullOrEmpty(fileLine))
continue;
candle = CandleData.ParseLine(fileLine, ref fileDate, precision, ref candle);
if (candle != null)
break;
}
return candle;
}
private CandleData CloseCandle(CandleData minuteCandle)
{
var completed = new CandleData
{
open = CurrentCandle.open,
close = CurrentCandle.close,
high = CurrentCandle.high,
low = CurrentCandle.low,
timeOpen = CurrentCandle.timeOpen,
timeClose = CandleCloseTime,
};
MakeNewCandle(minuteCandle);
return completed;
}
private int CheckEnterCondition(string symbol, CandleData candle)
{
if (Math.Abs(candle.open - candle.close) < 0.000001) return 0;
var candlesList = storedCandles[symbol];
candlesList.Add(candle);
if (candlesList.Length < candlesList.MaxQueueLength)
return 0; // [A] список для вычисления Б-линджера еще не заполнен
var bollingerList = bollingerSignalHistory[symbol];
if (bollingerList.Any(x => x != 0))
{
bollingerList.Add(0);
return 0;
}
// [A] по-хорошему надо завести RestrictedQueue из кортежей:
// 1) close 2) (close - open) * (close - open)
// ... и вычислять средние значения close и корень из среднего значения (close - open) * (close - open)
// Вычислений - возведений в квадрат - будет меньше
var average = candlesList.Average(x => x.close);
var v = Math.Sqrt(candlesList.Average(x => (x.close - x.open) * (x.close - x.open)));
var high = average + v * (float)BollingerCoeff;
var low = average - v * (float)BollingerCoeff;
var signal = candle.close < low ? 1 : candle.close > high ? -1 : 0;
bollingerList.Add(signal);
return signal;
}
/// <summary>
/// Распаковка и обработка архива Forexite
/// </summary>
private static Dictionary<int, List<CandleData>> ParseForexiteFile(string zipFilePath,
int shiftHours,
List<string> symbolsToStore)
{
var candles = new Dictionary<int, List<CandleData>>();
string unpackedFileName;
// таки распаковать файл котировок
try
{
var fileNames = CompressionHelper.UnzipFile(zipFilePath, Path.GetDirectoryName(zipFilePath));
if (fileNames.Count == 0) return candles;
unpackedFileName = fileNames[0];
}
catch (Exception ex)
{
Logger.Error("Error while decompressing file from Forexite", ex);
return candles;
}
// распаковка закончена, теперь заполняем коллекции QRHistory
try
{
using (var sr = File.OpenText(unpackedFileName))
{
// пропускаем заголовок
var input = sr.ReadLine();
if (string.IsNullOrEmpty(input)) return candles;
while ((input = sr.ReadLine()) != null)
{
// разбираем строку
var index = input.IndexOf(",");
var index1 = index;
var symbol = input.Substring(0, index);
//symbol = FullTradeCurrencyNameFromForexiteFormat(symbol);
if (!symbolsToStore.Contains(symbol)) continue;
var code = DalSpot.Instance.GetFXICodeBySymbol(symbol);
if (code == 0) continue;
// куда сохранять
List<CandleData> currentList;
if (!candles.TryGetValue(code, out currentList))
{
currentList = new List<CandleData>();
candles.Add(code, currentList);
}
index1 = input.IndexOf(",", index + 1);
var strDate = input.Substring(index + 1, index1 - index - 1);
index = index1;
index1 = input.IndexOf(",", index + 1);
var strTime = input.Substring(index + 1, index1 - index - 1);
index = index1;
index1 = input.IndexOf(",", index + 1);
var strOpen = input.Substring(index + 1, index1 - index - 1);
index = index1;
index1 = input.IndexOf(",", index + 1);
var strHigh = input.Substring(index + 1, index1 - index - 1);
index = index1;
index1 = input.IndexOf(",", index + 1);
var strLow = input.Substring(index + 1, index1 - index - 1);
var strClose = input.Substring(index1 + 1, input.Length - index1 - 1);
var quote = new CandleData();
var date = string.Format("{0}/{1}/{2}", strDate.Substring(0, 4), strDate.Substring(4, 2),
strDate.Substring(6, 2));
var provider = new NumberFormatInfo {NumberDecimalSeparator = "."};
quote.timeOpen = Convert.ToDateTime(date);
quote.timeOpen = quote.timeOpen.AddHours(Convert.ToDouble(strTime.Substring(0, 2)));
quote.timeOpen = quote.timeOpen.AddMinutes(Convert.ToDouble(strTime.Substring(2, 2)));
quote.timeOpen = quote.timeOpen.AddSeconds(Convert.ToDouble(strTime.Substring(4, 2)));
// QuoteRoom поставляет в GMT+1
quote.timeOpen = quote.timeOpen.AddHours(shiftHours);
// преобразуем в локальный формат
quote.timeOpen = quote.timeOpen.ToLocalTime();
quote.open = Convert.ToSingle(strOpen, provider);
quote.high = Convert.ToSingle(strHigh, provider);
quote.low = Convert.ToSingle(strLow, provider);
quote.close = Convert.ToSingle(strClose, provider);
currentList.Add(quote);
}
}
}
catch (Exception ex)
{
Logger.Error("Error while parsing Forexite file", ex);
}
// удалить оба файла
try
{
File.Delete(zipFilePath);
File.Delete(unpackedFileName);
}
catch (Exception ex)
{
Logger.Error("Error while finally deleting Forexite files", ex);
}
return candles;
}
/// <summary>
/// проверить условия защиты либо по диверам, либо - по Фибоначчи
/// прошерстить все таймфреймы, на каждом ТФ - все диверы
/// проверить, выполняется ли условие на защиту покупок или продаж
/// </summary>
private void CheckProtectTrigger(
List<MarketOrder> orders,
QuoteData curQuote,
List<RobotHint> hints,
bool isHistoryStartOff,
CandleData newCandle)
{
if (diversToProtect.Count == 0 && fibonacciProtect.Count == 0) return;
var protectConditions = new StringBuilder();
int diverSign = CheckProtectByDivers(curQuote, isHistoryStartOff, protectConditions);
if (diverSign == 0)
diverSign = CheckProtectByFibos(protectConditions, orders, newCandle);
if (diverSign == 0) return;
// защищаем сделки с указанным знаком
var protectSide = (DealType) diverSign;
// создать новый список защиты
// старый либо актуализируется, либо игнорируется
orders = orders.Where(o => o.Side == (int)protectSide).ToList();
if (orders.Count == 0) return;
var newProtectList = new ProtectList
{
orderIds = orders.Select(o => o.ID).ToList(),
side = protectSide
};
if (protectList != null)
if (newProtectList.AreEqual(protectList)) return;
protectList = newProtectList;
// добавить маркер на график
if (ShowProtectEventMarker)
{
var eventTitle = protectSide == DealType.Buy
? string.Format("Защита {0} покупок", orders.Count)
: string.Format("Защита {0} продаж", orders.Count);
var eventText = "Условия: " + protectConditions;
hints.Add(new RobotHint(Graphics[0].a, Graphics[0].b.ToString(), eventText, eventTitle, "p", curQuote.bid)
{
Time = curQuote.time,
ColorFill = Color.Yellow,
ColorLine = Color.Black,
RobotHintType = RobotHint.HintType.Коментарий
//diverSign > 0
// ? RobotHint.HintType.Покупка
// : RobotHint.HintType.Продажа
});
}
//Logger.InfoFormat("CheckProtectTrigger: защита сделок [{0}] типа {1}",
// string.Join(", ", protectList.orderIds), protectList.side);
}
public bool ReadCandlesFromFile(CandleByTicker candles, string path, out int timeframe)
{
timeframe = 0;
using (var sr = new FileStream(path, FileMode.Open, FileAccess.Read))
{
var header = sr.ReadStruct<HstFileHeader>();
if (!header.HasValue)
return false;
var mt4StartDate = new DateTime(1970, 1, 1);
timeframe = header.Value.period;
while (true)
{
var record = sr.ReadStruct<HstFileRecord>();
if (!record.HasValue) break;
var candle = new CandleData
{
timeOpen = mt4StartDate.AddSeconds(record.Value.ctm),
open = (float)record.Value.open,
high = (float)record.Value.high,
low = (float)record.Value.low,
close = (float)record.Value.close
};
candle.timeClose = candle.timeOpen.AddMinutes(candles.Timeframe);
candles.candles.Add(candle);
}
}
if (candles.candles.Count > 0)
candles.StartTime = candles.candles.Min(c => c.timeOpen);
return true;
}
private void MakeNewCandle(CandleData candle)
{
var time = candle.timeClose;
DateTime startTime;
CandleCloseTime = GetLastCandleClose(time, out startTime);
currentCandle = new CandleData(candle.open, candle.high, candle.low, candle.close, startTime, time);
}
private int CheckProtectByFibos(StringBuilder conditions, List<MarketOrder> orders,
CandleData newCandle)
{
if (newCandle == null) return 0;
if (fibonacciProtect.Count == 0 || orders.Count == 0) return 0;
var dealSign = orders[0].Side;
foreach (var fibo in fibonacciProtect)
{
// получить точки ЗЗ, проверить условие (уровень Фибо или коррекции)
if (FiboLevelReached(-dealSign, fibo.ZigZagThreshold,
fibo.FiboLevel, fibo.ZigZagSource,
fibo.MaxPointsToFibo, fibo.MaxCandlesFromLevel))
{
if (ShowProtectEventMarker)
conditions.AppendFormat("Защита по ЗЗ ({0:f1}%, {1:f3})",
fibo.ZigZagThreshold, fibo.FiboLevel);
return dealSign;
}
}
return 0;
}
public static void LoadCandlesSilent(
Dictionary <string, Cortege2 <DateTime, DateTime> > tickersToUpload,
QuoteStorageProxy quoteStorage,
string quoteFolder,
int minMinutesOfGap)
{
const int daysInRequest = 5, minDaysInRequest = 2;
foreach (var ticker in tickersToUpload)
{
var pointCost = DalSpot.Instance.GetPrecision10(ticker.Key);
var filePath = string.Format("{0}\\{1}.quote",
ExecutablePath.ExecPath + quoteFolder,
ticker.Key);
DateTime?lastDateStore = null;
DateTime?oldStart = null, oldEnd = null;
bool endsUpNewLine;
if (File.Exists(filePath))
{
GetFirstAndLastFileDates(filePath, out oldStart, out oldEnd, out endsUpNewLine);
}
else
{
var dirName = Path.GetDirectoryName(filePath);
if (!Directory.Exists(dirName))
{
try
{
Directory.CreateDirectory(dirName);
}
catch (Exception ex)
{
Logger.Error(String.Format("Невозможно создать каталог котировок \"{0}\": {1}", dirName, ex));
throw;
}
}
}
if (oldStart.HasValue && oldEnd.HasValue)
{
var deltaStart = (oldStart.Value - ticker.Value.a).TotalMinutes;
var deltaEnd = (ticker.Value.b - oldEnd.Value).TotalMinutes;
if (deltaStart <= minMinutesOfGap &&
deltaEnd <= minMinutesOfGap)
{
continue;
}
if (deltaStart <= minMinutesOfGap)
{
lastDateStore = oldEnd.Value;
}
}
var dateLast = DateTime.Now;
for (var dateStart = lastDateStore.HasValue ? lastDateStore.Value.AddMinutes(1) : ticker.Value.a;
dateStart < ticker.Value.b;)
{
var dateEnd = dateStart.AddDays(daysInRequest);
if ((dateLast - dateEnd).TotalDays < minDaysInRequest)
{
dateEnd = dateLast;
}
// запрос
List <CandleData> curCandles = null;
var numFaultsLeft = 2;
while (numFaultsLeft > 0)
{
// попытка подгрузить котировки
try
{
var packedQuotes = quoteStorage.GetMinuteCandlesPacked(ticker.Key, dateStart, dateEnd);
if (packedQuotes != null && packedQuotes.count > 0)
{
var denseCandles = packedQuotes.GetCandles();
if (denseCandles != null && denseCandles.Count > 0)
{
curCandles = denseCandles.Select(c => new CandleData(c, pointCost)).ToList();
}
}
}
catch (Exception ex)
{
Logger.ErrorFormat("Ошибка закачки котировок {0} c {1:dd.MM.yyyy}: {2}",
ticker.Key, dateStart, ex.Message);
curCandles = null;
}
if (curCandles == null)
{
// попытка неуспешна - еще одна?
numFaultsLeft--;
if (numFaultsLeft > 0)
{
continue;
}
break;
}
break;
}
if (curCandles != null && curCandles.Count > 0)
{
// записать в файл прочитанные из БД котировки
try
{
var existData = CandleData.LoadFromFile(filePath, ticker.Key);
if (existData != null && existData.Count > 0)
{
CandleData.MergeCandles(ref curCandles, existData, true);
}
}
catch (Exception ex)
{
Logger.ErrorFormat("QuoteCacheManager.LoadQuotesSilent() - ошибка чтения / склейки котировок \"{0}\": {1}",
filePath, ex);
}
try
{
CandleData.SaveInFile(filePath, ticker.Key, curCandles);
}
catch (Exception ex)
{
Logger.ErrorFormat("QuoteCacheManager.LoadQuotesSilent() - ошибка сохранения котировок \"{0}\": {1}",
filePath, ex);
}
}
dateStart = dateEnd;
}
}
}
public void OnCandleUpdated(CandleData updatedCandle, List<CandleData> newCandles)
{
BuildSeries(owner);
}
/// <summary>
/// на асинхронное обновление котировки
/// </summary>
public void ProcessQuotesByIndicators(CandleData updatedCandle, List<CandleData> newCandles)
{
foreach (var indi in indicators)
{
indi.OnCandleUpdated(updatedCandle, newCandles);
}
}
/// <summary>
/// пересчитать индикатор для последней добавленной свечки
/// </summary>
public void OnCandleUpdated(CandleData updatedCandle, List<CandleData> newCandles)
{
if (newCandles.Count == 0) return;
BuildSeries(owner);
}
private string MakeInsertCommand(CandleData candle, int ticker)
{
int pointCost;
if (!pointCostByTicker.TryGetValue(ticker, out pointCost))
return string.Empty;
return string.Format("exec {0} @ticker={1}, @date='{2:yyyyMMdd HH:mm}', " +
"@open={3}, @HLC={4}",
ProcUpsertQuoteRecord,
ticker, candle.timeOpen, candle.open.ToStringUniform(), candle.GetHlcOffset16(pointCost));
//return string.Format("if exists (select * from QUOTE where ticker={0} and date='{1:yyyyMMdd HH:mm}') begin " +
// " update QUOTE set [open]={2}, HLC={3} end else begin " +
// "insert into QUOTE (ticker, date, [open], HLC) values (" +
// "{0}, '{1:yyyyMMdd HH:mm}', {2}, {3}) end",
// ticker,
// candle.timeOpen, candle.open.ToStringUniform(), candle.GetHlcOffset(pointCost));
}
public CandleData UpdateCandle(CandleData minuteCandle)
{
var time = minuteCandle.timeClose;
if (CurrentCandle == null)
MakeNewCandle(minuteCandle);
else
{
if (time > CandleCloseTime)
{
var candle = CloseCandle(minuteCandle);
return candle;
}
// обновить уровни свечи
CurrentCandle.timeClose = time;
CurrentCandle.close = minuteCandle.close;
if (minuteCandle.high > CurrentCandle.high) CurrentCandle.high = minuteCandle.high;
if (minuteCandle.low < CurrentCandle.low) CurrentCandle.low = minuteCandle.low;
}
// коррекция свечи?
return null;
}
public static List<CandleData> ReadTopNumCandles(string symbol,
int count, DateTime dateStart, DateTime dateEnd)
{
var candles = new List<CandleData>();
var ticker = DalSpot.Instance.GetFXICodeBySymbol(symbol);
if (ticker == 0) return candles;
var pointValue = DalSpot.Instance.GetPrecision10(symbol);
var cmdText = string.Format("select top({0}) date, [open], HLC from QUOTE where ticker={1} and " +
"date between '{2:yyyyMMdd HH:mm}' and '{3:yyyyMMdd HH:mm}'",
count, ticker, dateStart, dateEnd);
var cmd = new SqlCommand(cmdText);
var values = new object[3];
try
{
using (var connection = new SqlConnection(connectionString))
{
cmd.Connection = connection;
connection.Open();
using (var reader = cmd.ExecuteReader())
{
CandleData previousCandle = null;
while (reader.Read())
{
if (reader.GetValues(values) != values.Length) continue;
var candle = new CandleData
{
timeOpen = (DateTime) values[0],
open = (float) (double) values[1],
};
var hlc = (int) values[2];
candle.MakeHlcFromOffset16(hlc, pointValue);
if (previousCandle != null)
{
previousCandle.close = candle.open;
previousCandle.high = Math.Max(candle.open, previousCandle.high);
previousCandle.low = Math.Min(candle.open, previousCandle.low);
}
previousCandle = candle;
candles.Add(candle);
}
}
}
}
catch (Exception ex)
{
Logger.Error("ReadTopNumCandles() error", ex);
}
return candles;
}
private void MakeNewCandle(float price, DateTime time)
{
DateTime startTime;
CandleCloseTime = GetLastCandleClose(time, out startTime);
currentCandle = new CandleData(price, price, price, price, startTime, time);
}
public void OnCandleUpdated(CandleData updatedCandle, List<CandleData> newCandles)
{
if (newCandles == null) return;
if (newCandles.Count == 0) return;
}
private static void ProcessUnzippedFile(string path)
{
//L,EUR,GBP,CHF,JPY,EURGBP,EURCHF,EURJPY,GBPCHF,GBPJPY,CHFJPY,CAD,EURCAD,AUD,AUDJPY,NZD,NZDJPY,XAU,XAG
//S,EUR
//D,41275
//1,1.3184,1.3184,1.3184,1.3184
using (var sr = new StreamReader(path, Encoding.ASCII))
{
var firstLine = sr.ReadLine();
var tickers = firstLine.Split(new[] { ',' }, StringSplitOptions.RemoveEmptyEntries).Skip(1).Select(
GetTickerFullName).ToList();
var streams = tickers.ToDictionary(t => t, t => new StreamWriter(
path + "." + t, false, Encoding.ASCII));
try
{
StreamWriter currentStream = null;
var curDay = new DateTime();
DateTime? lastSavedDate = null;
while (!sr.EndOfStream)
{
var line = sr.ReadLine();
if (string.IsNullOrEmpty(line)) continue;
if (line.StartsWith("S,"))
{
var currentTicker = GetTickerFullName(line.Substring("S,".Length));
currentStream = streams[currentTicker];
continue;
}
if (line.StartsWith("D,"))
{
var dayPart = line.Substring("D,".Length).ToInt();
curDay = new DateTime(1900, 1, 1).AddDays(dayPart);
lastSavedDate = null;
continue;
}
if (currentStream == null) continue;
var lineParts = line.Split(new[] {','}, StringSplitOptions.RemoveEmptyEntries);
var time = curDay.AddMinutes(lineParts[0].ToInt());
var open = lineParts[1].ToFloatUniform();
var high = lineParts[2].ToFloatUniform();
var low = lineParts[3].ToFloatUniform();
var close = lineParts[4].ToFloatUniform();
var candle = new CandleData(open, high, low, close, time, time.AddMinutes(1));
var pointCost = open < 20 ? 10000 : open < 70 ? 1000 : 100;
if (lastSavedDate == null || lastSavedDate.Value != curDay)
{
lastSavedDate = curDay;
currentStream.WriteLine(lastSavedDate.Value.ToString("ddMMyyyy"), curDay);
}
currentStream.WriteLine("{0} {1} {2}",
candle.timeOpen.ToString("HHmm"),
candle.open.ToStringUniformPriceFormat(true),
candle.GetHlcOffsetHEX16(pointCost));
}
}
finally
{
foreach (var stream in streams)
stream.Value.Close();
}
}
}
public static CandleData ParseLine(string line, ref DateTime?date, int precision, ref CandleData previousCandle)
{
if (string.IsNullOrEmpty(line))
{
return(null);
}
if (line.Length == 8)
{
try
{
date = DateTime.ParseExact(line, "ddMMyyyy", CultureInfo.InvariantCulture);
}
catch
{
}
return(null);
}
if (!date.HasValue)
{
return(null);
}
var parts = line.Split(fileLineSeparators, StringSplitOptions.RemoveEmptyEntries);
/*if (parts.Length != 3)
* return null;*/
try
{
var hour = parts[0].Substring(0, 2).ToInt();
var minute = parts[0].Substring(2, 2).ToInt();
var time = date.Value.AddMinutes(minute + hour * 60);
var open = parts[1].ToFloatUniform();
var hlc = parts[2];
var candle = new CandleData {
open = open, timeOpen = time, timeClose = time.AddMinutes(1)
};
if (hlc.Length == 6)
{
candle.MakeHlcFromOffsetHEX(hlc, precision);
previousCandle = null;
}
else if (hlc.Length == 8)
{
candle.MakeHlcFromOffsetHEX16(hlc, precision);
candle.close = candle.open; // default value
if (previousCandle != null)
{
previousCandle.close = candle.open;
previousCandle.high = Math.Max(previousCandle.high, candle.open);
previousCandle.low = Math.Min(previousCandle.low, candle.open);
}
previousCandle = candle;
}
else // format error
{
candle.high = candle.open;
candle.low = candle.open;
candle.close = candle.open;
}
return(candle);
}
catch
{
return(null);
}
}
