private void AddAsk(List <MarketDepthLevel> levels, MarketDepthLevel newLevel)
{// уровни продаж. с индексом ноль меньшее значение
for (int i = 0; i < levels.Count; i++)
{
if (levels[i].Price == newLevel.Price)
{
levels[i] = newLevel;
return;
}
if (levels[i].Price > newLevel.Price)
{
levels.Insert(i, newLevel);
return;
}
}
levels.Add(newLevel);
}
private void AddBid(List <MarketDepthLevel> levels, MarketDepthLevel newLevel)
{ // buy levels. with index zero greater value / уровни покупок. с индексом ноль бОльшее значение
for (int i = 0; i < levels.Count; i++)
{
if (levels[i].Price == newLevel.Price)
{
levels[i] = newLevel;
return;
}
if (levels[i].Price < newLevel.Price)
{
levels.Insert(i, newLevel);
return;
}
}
levels.Add(newLevel);
}
/// <summary>
/// incoming depth
/// входящий стакан
/// </summary>
/// <param name="namePaper">instrument name / название инструмента</param>
/// <param name="message">depth / стакан</param>
private void OrderBook_Income(string namePaper, string message)
{
if (_isDisposed)
{
return;
}
try
{
var resp = JsonConvert.DeserializeObject <OrderBookResponse>(message);
MarketDepth depth = new MarketDepth();
depth.SecurityNameCode = namePaper;
for (int i = 0; i < 10; i++)
{
MarketDepthLevel ask = new MarketDepthLevel();
ask.Price = resp.asks[i][0].ToDecimal();
ask.Ask = resp.asks[i][1].ToDecimal();
depth.Asks.Add(ask);
MarketDepthLevel bid = new MarketDepthLevel();
bid.Price = resp.bids[i][0].ToDecimal();
bid.Bid = resp.bids[i][1].ToDecimal();
depth.Bids.Add(bid);
}
if (UpdateMarketDepth != null)
{
UpdateMarketDepth(depth);
}
}
catch (Exception error)
{
if (LogMessageEvent != null)
{
// LogMessageEvent(error.ToString(), LogMessageType.Error);
}
}
}
/// <summary>
/// разбор входящих сообощений о стакане
/// </summary>
private void LoadMarketDepths(string message)
{
/* string marketDepthStr = marketDepthUpdate.Instrument.FullName + "#"; // бумага
*
* if (marketDepthUpdate.MarketDataType == MarketDataType.Ask)
* {
* marketDepthStr += "Ask" + "#";
* }
* else
* {
* marketDepthStr += "Bid" + "#";
* }
*
* //Operation.Add //Operation.Remove //Operation.Update
*
* marketDepthStr += marketDepthUpdate.Operation + "#"; // операция
*
* marketDepthStr += marketDepthUpdate.Price + "#"; // цена
* marketDepthStr += marketDepthUpdate.Volume + "#"; // объём на уровне
*
* marketDepthStr += marketDepthUpdate.Time + "$"; // время*/
string[] messageInArray = message.Split('$');
for (int i = 0; i < messageInArray.Length - 1; i++)
{
string[] str = messageInArray[i].Split('#');
MarketDepthLevel level = new MarketDepthLevel();
if (str[1] == "Ask")
{
level.Ask = Convert.ToDecimal(str[4]);
}
else
{
level.Bid = Convert.ToDecimal(str[4]);
}
level.Price = Convert.ToDecimal(str[3]);
MarketDepth myDepth = _marketDepths.Find(m => m.SecurityNameCode == str[0]);
if (myDepth == null)
{
myDepth = new MarketDepth();
myDepth.SecurityNameCode = str[0];
_marketDepths.Add(myDepth);
}
myDepth.Time = Convert.ToDateTime(str[5]);
if (myDepth.Bids == null)
{
myDepth.Bids = new List <MarketDepthLevel>();
}
if (myDepth.Asks == null)
{
myDepth.Asks = new List <MarketDepthLevel>();
}
//Operation.Add //Operation.Remove //Operation.Update
if (str[1] == "Ask" && (str[2] == "Add" || str[2] == "Update"))
{
AddAsk(myDepth.Asks, level);
}
if (str[1] == "Ask" && str[2] == "Remove")
{
Remove(myDepth.Asks, level);
}
if (str[1] == "Bid" && (str[2] == "Add" || str[2] == "Update"))
{
AddBid(myDepth.Bids, level);
}
if (str[1] == "Bid" && str[2] == "Remove")
{
Remove(myDepth.Bids, level);
}
while (myDepth.Asks != null &&
myDepth.Asks.Count > 10)
{
myDepth.Asks.RemoveAt(myDepth.Asks.Count - 1);
}
while (myDepth.Bids != null &&
myDepth.Bids.Count > 10)
{
myDepth.Bids.RemoveAt(myDepth.Bids.Count - 1);
}
if (myDepth.Bids != null &&
myDepth.Bids.Count > 0 &&
myDepth.Asks != null &&
myDepth.Asks.Count > 0)
{
if (str[1] == "Bid" &&
myDepth.Bids[0].Price >= myDepth.Asks[0].Price)
{
myDepth.Asks.RemoveAt(0);
}
if (str[1] == "Ask" &&
myDepth.Bids[0].Price >= myDepth.Asks[0].Price)
{
myDepth.Bids.RemoveAt(0);
}
}
if (UpdateMarketDepth != null)
{
UpdateMarketDepth(myDepth.GetCopy());
}
}
}
public void GetMarketDepth(Security security)
{
if (_securitiesSubscrible.Count == 0)
{
return;
}
//https://api-invest.tinkoff.ru/openapi/market/orderbook?figi=BBG001DJNR51&depth=10
string url = _url + "market/orderbook?";
url += "figi=" + security.NameId;
url += "&depth=7";
var jsonCurrency = ApiQuery(url, "GET", new Dictionary <string, string>());
if (jsonCurrency == null)
{
return;
}
MarketDepth depth = new MarketDepth();
depth.SecurityNameCode = security.Name;
depth.Time = DateTime.Now;
// var time = JToken.Parse(jsonCurrency).SelectToken("payload").SelectToken("time");
var jBid = JToken.Parse(jsonCurrency).SelectToken("payload").SelectToken("bids");
List <MarketDepthLevel> bids = new List <MarketDepthLevel>();
foreach (var bid in jBid)
{
MarketDepthLevel newBid = new MarketDepthLevel();
newBid.Bid = bid.SelectToken("quantity").ToString().ToDecimal();
newBid.Price = bid.SelectToken("price").ToString().ToDecimal();
bids.Add(newBid);
}
depth.Bids = bids;
var jAsk = JToken.Parse(jsonCurrency).SelectToken("payload").SelectToken("asks");
List <MarketDepthLevel> asks = new List <MarketDepthLevel>();
foreach (var ask in jAsk)
{
MarketDepthLevel newAsk = new MarketDepthLevel();
newAsk.Ask = ask.SelectToken("quantity").ToString().ToDecimal();
newAsk.Price = ask.SelectToken("price").ToString().ToDecimal();
asks.Add(newAsk);
}
depth.Asks = asks;
if (depth.Asks == null ||
depth.Asks.Count == 0 ||
depth.Bids == null ||
depth.Bids.Count == 0)
{
return;
}
if (UpdateMarketDepth != null)
{
UpdateMarketDepth(depth);
}
}
void _ibClient_NewMarketDepth(int id, int position, int operation, int side, decimal price, int size)
{
try
{
// take all the necessary data / берём все нужные данные
SecurityIb myContract = _secIB.Find(contract => contract.ConId == id);
if (myContract == null)
{
return;
}
if (position > 10)
{
return;
}
string name = myContract.Symbol + "_" + myContract.SecType + "_" + myContract.Exchange;
Security mySecurity = _securities.Find(security => security.Name == name);
if (mySecurity == null)
{
return;
}
if (_depths == null)
{
_depths = new List <MarketDepth>();
}
MarketDepth myDepth = _depths.Find(depth => depth.SecurityNameCode == name);
if (myDepth == null)
{
myDepth = new MarketDepth();
myDepth.SecurityNameCode = name;
_depths.Add(myDepth);
}
myDepth.Time = DateTime.Now;
Side sideLine;
if (side == 1)
{ // ask/аск
sideLine = Side.Buy;
}
else
{ // bid/бид
sideLine = Side.Sell;
}
List <MarketDepthLevel> bids = myDepth.Bids;
List <MarketDepthLevel> asks = myDepth.Asks;
if (asks == null || asks.Count < 10)
{
asks = new List <MarketDepthLevel>();
bids = new List <MarketDepthLevel>();
for (int i = 0; i < 10; i++)
{
asks.Add(new MarketDepthLevel());
bids.Add(new MarketDepthLevel());
}
myDepth.Bids = bids;
myDepth.Asks = asks;
}
if (operation == 2)
{// if need to remove / если нужно удалить
if (sideLine == Side.Buy)
{
// asks.RemoveAt(position);
MarketDepthLevel level = bids[position];
level.Ask = 0;
level.Bid = 0;
level.Price = 0;
}
else if (sideLine == Side.Sell)
{
//bids.RemoveAt(position);
MarketDepthLevel level = asks[position];
level.Ask = 0;
level.Bid = 0;
level.Price = 0;
}
}
else if (operation == 0 || operation == 1)
{ // need to update / нужно обновить
if (sideLine == Side.Buy)
{
MarketDepthLevel level = bids[position];
level.Bid = Convert.ToDecimal(size);
level.Ask = 0;
level.Price = price;
}
else if (sideLine == Side.Sell)
{
MarketDepthLevel level = asks[position];
level.Bid = 0;
level.Ask = Convert.ToDecimal(size);
level.Price = price;
}
}
if (myDepth.Bids[0].Price != 0 &&
myDepth.Asks[0].Price != 0)
{
MarketDepth copy = myDepth.GetCopy();
if (MarketDepthEvent != null)
{
MarketDepthEvent(copy);
}
}
}
catch (Exception error)
{
SendLogMessage(error.ToString(), LogMessageType.Error);
}
}
public void GetMarketDepth(string securities)
{
if (securities == "")
{
return;
}
// var jsonCurrency = ApiQuery("order_book", null, securities);
// ask_quantity - объем всех ордеров на продажу
// ask_amount - сумма всех ордеров на продажу
// ask_top - минимальная цена продажи
// bid_quantity - объем всех ордеров на покупку
// bid_amount - сумма всех ордеров на покупку
// bid_top - максимальная цена покупки
// bid - список ордеров на покупку, где каждая строка это цена, количество и сумма
// ask - список ордеров на продажу, где каждая строка это цена, количество и сумма
var jsonCurrency = ApiQuery("order_book", new Dictionary <string, string>(), securities, 20);
string[] secs = securities.Split(',');
for (int i = 0; i < secs.Length; i++)
{
var jProperties = JToken.Parse(jsonCurrency)[secs[i]]; //.Children<JProperty>();
MarketDepth depth = new MarketDepth();
depth.SecurityNameCode = secs[i];
var jBid =
JToken.Parse(jProperties.SelectToken("bid").ToString());
List <MarketDepthLevel> Bids = new List <MarketDepthLevel>();
foreach (var bid in jBid)
{
MarketDepthLevel newBid = new MarketDepthLevel();
var str = bid.ToArray();
newBid.Price = str[0].ToString()
.Replace("{", "")
.Replace("}", "")
.ToDecimal();
newBid.Bid = str[1].ToString()
.Replace("{", "")
.Replace("}", "")
.ToDecimal();
//newBid.Bid = bid..SelectToken("price").ToString().ToDecimal();
Bids.Add(newBid);
}
depth.Bids = Bids;
var jAsk =
JToken.Parse(jProperties.SelectToken("ask").ToString());
List <MarketDepthLevel> Ask = new List <MarketDepthLevel>();
foreach (var ask in jAsk)
{
MarketDepthLevel newAsk = new MarketDepthLevel();
var str = ask.ToArray();
newAsk.Price = str[0].ToString()
.Replace("{", "")
.Replace("}", "")
.ToDecimal();
newAsk.Ask = str[1].ToString()
.Replace("{", "")
.Replace("}", "")
.ToDecimal();
//newBid.Bid = bid..SelectToken("price").ToString().ToDecimal();
Ask.Add(newAsk);
}
depth.Asks = Ask;
if (UpdateMarketDepth != null)
{
UpdateMarketDepth(depth);
}
}
}
public List <MarketDepth> Update(JToken data)
{
if (all_depths.Count() == 0)
{
return(all_depths);
}
lock (locker)
{
JToken[] jt_delete = data.SelectToken("delete").ToArray();
JToken[] jt_update = data.SelectToken("update").ToArray();
JToken[] jt_insert = data.SelectToken("insert").ToArray();
if (jt_delete != null && jt_delete.Count() > 0)
{
foreach (var jt_item in jt_delete)
{
if (jt_item.SelectToken("side").Value <string>() == "Sell")
{
try
{
string security_name = jt_item.SelectToken("symbol").Value <string>();
var price_to_del = jt_item.SelectToken("price").Value <decimal>();
all_depths.Find(x => x.SecurityNameCode == security_name).Asks.Remove(all_depths.Find(x => x.SecurityNameCode == security_name).Asks.Find(x => x.Price == price_to_del));
}
catch (Exception ex)
{
MessageBox.Show(ex.ToString());
}
}
if (jt_item.SelectToken("side").Value <string>() == "Buy")
{
try
{
string security_name = jt_item.SelectToken("symbol").Value <string>();
var price_to_del = jt_item.SelectToken("price").Value <decimal>();
all_depths.Find(x => x.SecurityNameCode == security_name).Bids.Remove(all_depths.Find(x => x.SecurityNameCode == security_name).Bids.Find(x => x.Price == price_to_del));
}
catch (Exception ex)
{
MessageBox.Show(ex.ToString());
}
}
}
}
if (jt_update != null && jt_update.Count() > 0)
{
foreach (var jt_item in jt_update)
{
if (jt_item.SelectToken("side").Value <string>() == "Sell")
{
try
{
string security_name = jt_item.SelectToken("symbol").Value <string>();
var new_ask_level = new MarketDepthLevel()
{
Ask = jt_item.SelectToken("size").Value <decimal>(),
Bid = 0,
Price = jt_item.SelectToken("price").Value <decimal>(),
};
all_depths.Find(x => x.SecurityNameCode == security_name).Asks.Find(x => x.Price == new_ask_level.Price).Ask = new_ask_level.Ask;
}
catch (Exception ex)
{
MessageBox.Show(ex.ToString());
}
}
if (jt_item.SelectToken("side").Value <string>() == "Buy")
{
try
{
string security_name = jt_item.SelectToken("symbol").Value <string>();
var new_bid_level = new MarketDepthLevel()
{
Ask = 0,
Bid = jt_item.SelectToken("size").Value <decimal>(),
Price = jt_item.SelectToken("price").Value <decimal>(),
};
all_depths.Find(x => x.SecurityNameCode == security_name).Bids.Find(x => x.Price == new_bid_level.Price).Bid = new_bid_level.Bid;
}
catch (Exception ex)
{
MessageBox.Show(ex.ToString());
}
}
}
}
if (jt_insert != null && jt_insert.Count() > 0)
{
foreach (var jt_item in jt_insert)
{
if (jt_item.SelectToken("side").Value <string>() == "Sell")
{
try
{
string security_name = jt_item.SelectToken("symbol").Value <string>();
var new_ask_level = new MarketDepthLevel()
{
Ask = jt_item.SelectToken("size").Value <decimal>(),
Bid = 0,
Price = jt_item.SelectToken("price").Value <decimal>(),
};
InsertLevel(new_ask_level.Price, new_ask_level.Ask, Side.Sell, all_depths.Find(x => x.SecurityNameCode == security_name));
}
catch (Exception ex)
{
MessageBox.Show(ex.ToString());
}
}
if (jt_item.SelectToken("side").Value <string>() == "Buy")
{
try
{
string security_name = jt_item.SelectToken("symbol").Value <string>();
var new_bid_level = new MarketDepthLevel()
{
Ask = 0,
Bid = jt_item.SelectToken("size").Value <decimal>(),
Price = jt_item.SelectToken("price").Value <decimal>(),
};
InsertLevel(new_bid_level.Price, new_bid_level.Bid, Side.Buy, all_depths.Find(x => x.SecurityNameCode == security_name));
}
catch (Exception ex)
{
MessageBox.Show(ex.ToString());
}
}
}
}
return(all_depths);
}
}
public MarketDepth Insert(StreamDataMessage replmsg, Security security)
{
// обрабатываем ревизию
// создаём новую
RevisionInfo revision = new RevisionInfo();
revision.Price = Convert.ToDecimal(replmsg["price"].asDecimal());
revision.TableRevision = replmsg["replRev"].asLong();
revision.ReplId = replmsg["replID"].asLong();
revision.Security = security.Name;
if (_marketDepthsRevisions == null)
{
_marketDepthsRevisions = new List <RevisionInfo>();
}
// удаляем по этой же цене, если такая есть
RevisionInfo revisionInArray =
_marketDepthsRevisions.Find(info => info.Security == revision.Security && info.ReplId == revision.ReplId);
if (revisionInArray != null)
{
_marketDepthsRevisions.Remove(revisionInArray);
}
// добавляем новую
_marketDepthsRevisions.Add(revision);
// создаём строку для стакана
MarketDepthLevel depthLevel = new MarketDepthLevel();
int direction = replmsg["dir"].asInt(); // 1 покупка 2 продажа
if (direction == 1)
{
depthLevel.Ask = replmsg["volume"].asInt();
}
else
{
depthLevel.Bid = replmsg["volume"].asInt();
}
depthLevel.Price = Convert.ToDecimal(replmsg["price"].asDecimal());
// берём наш стакан
if (_marketDepths == null)
{
_marketDepths = new List <MarketDepth>();
}
MarketDepth myDepth = _marketDepths.Find(depth => depth.SecurityNameCode == security.Name);
if (myDepth == null)
{
myDepth = new MarketDepth();
myDepth.SecurityNameCode = security.Name;
_marketDepths.Add(myDepth);
}
// добавляем строку в наш стакан
List <MarketDepthLevel> asks = null;
if (myDepth.Asks != null)
{
asks = myDepth.Asks.ToList();
}
List <MarketDepthLevel> bids = null;
if (myDepth.Bids != null)
{
bids = myDepth.Bids.ToList();
}
if (direction == 1)
{
// уровни покупок
if (asks == null || asks.Count == 0)
{
asks = new List <MarketDepthLevel>();
asks.Add(depthLevel);
}
else
{
bool isInArray = false;
for (int i = 0; i < asks.Count; i++)
{
// обрабатываем ситуацию когда такой уровень уже есть
if (asks[i].Price == depthLevel.Price)
{
asks[i] = depthLevel;
isInArray = true;
break;
}
}
if (isInArray == false)
{
// обрабатываем ситуацию когда такого уровня нет
List <MarketDepthLevel> asksNew = new List <MarketDepthLevel>();
bool isIn = false;
for (int i = 0, i2 = 0; i2 < asks.Count + 1; i2++)
{
if (i == asks.Count && isIn == false ||
(isIn == false &&
depthLevel.Price > asks[i].Price))
{
isIn = true;
asksNew.Add(depthLevel);
}
else
{
asksNew.Add(asks[i]);
i++;
}
}
while (asksNew.Count > 20)
{
asksNew.Remove(asksNew[asksNew.Count - 1]);
}
asks = asksNew;
}
if (bids != null && bids.Count != 0 &&
bids[0].Price <= asks[0].Price)
{
while (bids.Count != 0 &&
bids[0].Price <= asks[0].Price)
{
bids.Remove(bids[0]);
}
myDepth.Bids = bids;
}
}
myDepth.Asks = asks;
}
if (direction == 2)
{
// уровни продажи
if (bids == null || bids.Count == 0)
{
bids = new List <MarketDepthLevel>();
bids.Add(depthLevel);
}
else
{
bool isInArray = false;
for (int i = 0; i < bids.Count; i++)
{
// обрабатываем ситуацию когда такой уровень уже есть
if (bids[i].Price == depthLevel.Price)
{
bids[i] = depthLevel;
isInArray = true;
break;
}
}
if (isInArray == false)
{
// обрабатываем ситуацию когда такого уровня нет
List <MarketDepthLevel> bidsNew = new List <MarketDepthLevel>();
bool isIn = false;
for (int i = 0, i2 = 0; i2 < bids.Count + 1; i2++)
{
if (i == bids.Count && isIn == false ||
(isIn == false &&
depthLevel.Price < bids[i].Price))
{
isIn = true;
bidsNew.Add(depthLevel);
}
else
{
bidsNew.Add(bids[i]);
i++;
}
}
while (bidsNew.Count > 20)
{
bidsNew.Remove(bidsNew[bidsNew.Count - 1]);
}
bids = bidsNew;
}
if (asks != null && asks.Count != 0 &&
bids[0].Price <= asks[0].Price)
{
while (asks.Count != 0 && bids[0].Price <= asks[0].Price)
{
asks.Remove(asks[0]);
}
myDepth.Asks = asks;
}
}
myDepth.Bids = bids;
}
return(myDepth);
}
private static void Client_BookSnapshotReceived(object sender, Events.KrakenDataEventArgs<BookSnapshotMessage> e)
{
string pair = e.Pair.ToString();
Sec security = Securities.Find(sec => sec.NameInSocket == pair);
MarketDepth depth = _marketDepths.Find(d => d.SecurityNameCode == security.NameInRest);
if (depth == null)
{
depth = new MarketDepth();
depth.SecurityNameCode = security.NameInRest;
_marketDepths.Add(depth);
}
for (int i = 0; e.DataMessage.Asks != null && i < e.DataMessage.Asks.Length; i++)
{
OsEngine.Entity.MarketDepthLevel ask = new OsEngine.Entity.MarketDepthLevel();
ask.Price = e.DataMessage.Asks[i].Price;
ask.Ask = e.DataMessage.Asks[i].Volume;
for (int i2 = 0; i2 < depth.Asks.Count; i2++)
{
if (depth.Asks[i2].Price == ask.Price)
{
depth.Asks.RemoveAt(i2);
break;
}
}
if (ask.Ask != 0)
{
depth.Asks.Add(ask);
}
depth.Time = new DateTime(1970, 1, 1).AddSeconds(Convert.ToDouble(e.DataMessage.Asks[i].Timestamp));
}
for (int i = 0; e.DataMessage.Bids != null && i < e.DataMessage.Bids.Length; i++)
{
OsEngine.Entity.MarketDepthLevel bid = new OsEngine.Entity.MarketDepthLevel();
bid.Price = e.DataMessage.Bids[i].Price;
bid.Bid = e.DataMessage.Bids[i].Volume;
for (int i2 = 0; i2 < depth.Bids.Count; i2++)
{
if (depth.Bids[i2].Price == bid.Price)
{
depth.Bids.RemoveAt(i2);
break;
}
}
if (bid.Bid != 0)
{
depth.Bids.Add(bid);
}
depth.Time = new DateTime(1970, 1, 1).AddSeconds(Convert.ToDouble(e.DataMessage.Bids[i].Timestamp));
}
// 1 Теперь сортируем биды и аски
for (int i = 0; i < depth.Asks.Count; i++)
{
for (int i2 = 0; i2 < depth.Asks.Count - 1; i2++)
{
if (depth.Asks[i2].Price > depth.Asks[i2 + 1].Price)
{
MarketDepthLevel level = depth.Asks[i2];
depth.Asks[i2] = depth.Asks[i2 + 1];
depth.Asks[i2 + 1] = level;
}
}
}
for (int i = 0; i < depth.Bids.Count; i++)
{
for (int i2 = 0; i2 < depth.Bids.Count - 1; i2++)
{
if (depth.Bids[i2].Price < depth.Bids[i2 + 1].Price)
{
MarketDepthLevel level = depth.Bids[i2];
depth.Bids[i2] = depth.Bids[i2 + 1];
depth.Bids[i2 + 1] = level;
}
}
}
// 2 Теперь удаляем перехлёсты
while (depth.Bids.Count > 0 &&
depth.Asks.Count > 0 &&
depth.Bids[0].Price > depth.Asks[0].Price)
{
depth.Asks.RemoveAt(0);
}
// !!!!!!!!!!!!!!!!!!!!!!
// высылаем копию
if (MarketDepthUpdateEvent != null)
{
MarketDepthUpdateEvent(depth.GetCopy());
}
}