public AllSecurityMarketDataStorage(Security security, object arg, Func <T, DateTimeOffset> getTime, Func <T, Security> getSecurity, Func <Security, IMarketDataDrive, IMarketDataStorage <T> > getStorage, IMarketDataStorageDrive drive)
{
if (security == null)
{
throw new ArgumentNullException("security");
}
if (getTime == null)
{
throw new ArgumentNullException("getTime");
}
if (getSecurity == null)
{
throw new ArgumentNullException("getSecurity");
}
if (getStorage == null)
{
throw new ArgumentNullException("getStorage");
}
if (drive == null)
{
throw new ArgumentNullException("drive");
}
_security = security;
_getTime = getTime;
_arg = arg;
Drive = drive;
_basket = new BasketMarketDataStorage <T>();
var idGenerator = new SecurityIdGenerator();
var parts = idGenerator.Split(security.Id);
var code = parts.Item1;
var securities = InteropHelper
.GetDirectories(Path.Combine(Drive.Drive.Path, code.Substring(0, 1)), code + "*")
.Select(p => Path.GetFileName(p).FolderNameToSecurityId())
.Select(s =>
{
var id = idGenerator.Split(s);
var clone = security.Clone();
clone.Id = s;
clone.Board = ExchangeBoard.GetOrCreateBoard(id.Item2);
return(clone);
});
foreach (var sec in securities)
{
_basket.InnerStorages.Add(getStorage(sec, Drive.Drive));
}
}
/// <summary>
/// Initializes a new instance of the <see cref="CachedBasketMarketDataStorage{T}"/>.
/// </summary>
public CachedBasketMarketDataStorage(BasketMarketDataStorage <T> basketStorage)
{
if (basketStorage == null)
{
throw new ArgumentNullException(nameof(basketStorage));
}
_basketStorage = basketStorage;
_cancellationToken = new CancellationTokenSource();
ThreadingHelper
.Thread(() => CultureInfo.InvariantCulture.DoInCulture(OnLoad))
.Name("Cached marketdata storage thread.")
.Launch();
}
public BasketMarketDataStorageEnumerator(BasketMarketDataStorage <TMessage> storage, DateTime date)
{
_storage = storage ?? throw new ArgumentNullException(nameof(storage));
_date = date;
foreach (var s in storage._innerStorages.Cache)
{
if (s.GetType().GetGenericType(typeof(InMemoryMarketDataStorage <>)) == null && !s.Dates.Contains(date))
{
continue;
}
_actions.Add(Tuple.Create(ActionTypes.Add, s, storage._innerStorages.TryGetTransactionId(s)));
}
_storage._enumerators.Add(this);
}
public BasketEnumerable(BasketMarketDataStorage <TMessage> storage, DateTime date)
: base(() => new BasketMarketDataStorageEnumerator(storage, date))
{
if (storage == null)
{
throw new ArgumentNullException(nameof(storage));
}
var dataTypes = new List <MessageTypes>();
foreach (var s in storage._innerStorages.Cache)
{
if (s.GetType().GetGenericType(typeof(InMemoryMarketDataStorage <>)) == null && !s.Dates.Contains(date))
{
continue;
}
if (s.DataType == typeof(ExecutionMessage))
{
dataTypes.Add(MessageTypes.Execution);
}
if (s.DataType == typeof(QuoteChangeMessage))
{
dataTypes.Add(MessageTypes.QuoteChange);
}
if (s.DataType == typeof(Level1ChangeMessage))
{
dataTypes.Add(MessageTypes.Level1Change);
}
if (s.DataType == typeof(TimeMessage))
{
dataTypes.Add(MessageTypes.Time);
}
if (s.DataType.IsCandleMessage())
{
dataTypes.Add(s.DataType.ToMessageType());
}
}
DataTypes = dataTypes.ToArray();
}
/// <summary>
/// Initializes a new instance of the <see cref="CachedBasketMarketDataStorage{T}"/>.
/// </summary>
public CachedBasketMarketDataStorage(BasketMarketDataStorage <T> basketStorage)
{
if (basketStorage == null)
{
throw new ArgumentNullException(nameof(basketStorage));
}
_basketStorage = basketStorage;
_basketStorage.InnerStorages.Add(new InMemoryMarketDataStorage <TimeMessage>(null, null, GetTimeLine));
_cancellationToken = new CancellationTokenSource();
MaxMessageCount = 1000000;
ThreadingHelper
.Thread(() => CultureInfo.InvariantCulture.DoInCulture(OnLoad))
.Name("Cached marketdata storage thread.")
.Launch();
}
internal BasketMarketDataStorageEnumerator(BasketMarketDataStorage <T> storage, DateTime date)
{
if (storage == null)
{
throw new ArgumentNullException("storage");
}
_storage = storage;
_date = date;
var dataTypes = new List <MessageTypes>();
foreach (var s in storage._innerStorages.Cache)
{
if (!s.Dates.Contains(date))
{
continue;
}
_actions.Add(Tuple.Create(ActionType.Add, s));
if (s.DataType == typeof(ExecutionMessage))
{
dataTypes.Add(MessageTypes.Execution);
}
if (s.DataType == typeof(QuoteChangeMessage))
{
dataTypes.Add(MessageTypes.QuoteChange);
}
if (s.DataType == typeof(Level1ChangeMessage))
{
dataTypes.Add(MessageTypes.Level1Change);
}
if (s.DataType == typeof(TimeMessage))
{
dataTypes.Add(MessageTypes.Time);
}
if (s.DataType == typeof(TimeFrameCandleMessage))
{
dataTypes.Add(MessageTypes.CandleTimeFrame);
}
if (s.DataType == typeof(PnFCandleMessage))
{
dataTypes.Add(MessageTypes.CandlePnF);
}
if (s.DataType == typeof(RangeCandleMessage))
{
dataTypes.Add(MessageTypes.CandleRange);
}
if (s.DataType == typeof(RenkoCandleMessage))
{
dataTypes.Add(MessageTypes.CandleRenko);
}
if (s.DataType == typeof(TickCandleMessage))
{
dataTypes.Add(MessageTypes.CandleTick);
}
if (s.DataType == typeof(VolumeCandleMessage))
{
dataTypes.Add(MessageTypes.CandleVolume);
}
}
DataTypes = dataTypes.ToArray();
_storage._enumerators.Add(this);
}
public AllSecurityMarketDataStorage(Security security,
object arg,
Func <T, DateTimeOffset> getTime,
Func <T, Security> getSecurity,
Func <Security, IMarketDataDrive, IMarketDataStorage <T> > getStorage,
IMarketDataStorageDrive drive,
IExchangeInfoProvider exchangeInfoProvider)
{
if (security == null)
{
throw new ArgumentNullException(nameof(security));
}
if (getTime == null)
{
throw new ArgumentNullException(nameof(getTime));
}
if (getSecurity == null)
{
throw new ArgumentNullException(nameof(getSecurity));
}
if (getStorage == null)
{
throw new ArgumentNullException(nameof(getStorage));
}
if (drive == null)
{
throw new ArgumentNullException(nameof(drive));
}
if (exchangeInfoProvider == null)
{
throw new ArgumentNullException(nameof(exchangeInfoProvider));
}
_security = security;
_exchangeInfoProvider = exchangeInfoProvider;
_getTime = getTime;
_arg = arg;
Drive = drive;
_basket = new BasketMarketDataStorage <T>();
var id = security.Id.ToSecurityId();
var code = id.SecurityCode;
var securities = InteropHelper
.GetDirectories(Path.Combine(Drive.Drive.Path, code.Substring(0, 1)), code + "*")
.Select(p => Path.GetFileName(p).FolderNameToSecurityId())
.Select(s =>
{
var idInfo = s.ToSecurityId();
var clone = security.Clone();
clone.Id = s;
clone.Board = _exchangeInfoProvider.GetOrCreateBoard(idInfo.BoardCode);
return(clone);
});
foreach (var sec in securities)
{
_basket.InnerStorages.Add(getStorage(sec, Drive.Drive));
}
}
private static DateTimeOffset GetServerTime(IEnumerator enumerator)
{
return(BasketMarketDataStorage <T> .GetServerTime((Message)enumerator.Current));
}
public BasketMarketDataSerializer(BasketMarketDataStorage <TMessage> parent)
{
_parent = parent ?? throw new ArgumentNullException(nameof(parent));
}
