public void MarketOrder(SignalInfo signal, IExpert adv)
{
try
{
if (adv == null)
{
return;
}
// decimal priceInOrder = Math.Round(tool.LastPrice + tool.Step * 5, tool.PriceAccuracy);
// decimal priceInOrder = 0;// Math.Round(tool.LastPrice, tool.PriceAccuracy);
int qty = (int)adv.Volume();
var portfolio = Portfolios.Where(x => x.Name == adv.AccountName()).FirstOrDefault();
if (!Trader.RegisteredPortfolios.Contains(portfolio))
{
Trader.RegisterPortfolio(portfolio);
}
Order order = new Order();
order.Type = OrderTypes.Market;
var securities = Securities.Where(x => x.Code == adv.Symbol());
if (securities != null && securities.Count() > 0)
{
order.Security = securities.FirstOrDefault();
}
else
{
order.Security = new Security();
order.Security.Code = adv.Symbol();
order.Security.Id = adv.Symbol() + "@FORTS";
}
order.Comment = adv.Comment();
order.Portfolio = portfolio;
if (!Trader.RegisteredSecurities.Contains(order.Security))
{
Trader.RegisterSecurity(order.Security);
Trader.RegisterTrades(order.Security);
}
order.Volume = qty;
order.Direction = signal.Value == 0 ? Sides.Buy : Sides.Sell;
Log(
$"Expert <{adv.AccountName()}> On {adv.Symbol()} {order.Direction.ToString()} Register order: lots=" +
qty);
Trader.RegisterOrder(order);
}
catch (Exception e)
{
Log($"Expert <{adv.AccountName()}> Error registering order: " + e);
}
}
static void Main(string[] args)
{
var tradeBufferMax = 200;
var depthBufferMax = 1000;
var tradeBuffers = new Dictionary <string, List <Trade> >();
var depthBuffers = new Dictionary <string, List <MarketDepth> >();
var tradeStorages = new Dictionary <string, IMarketDataStorage <Trade> >();
var depthStorages = new Dictionary <string, IMarketDataStorage <MarketDepth> >();
List <string> securityIds = new List <string>();
StorageFormats storageFormat;
string storagePath;
var settings = XElement.Load("settings.xml");
storagePath = @settings.Element("storage-path").Value;
storageFormat = (StorageFormats)Enum.Parse(typeof(StorageFormats), settings.Element("storage-format").Value.ToUpper());
foreach (var item in settings.Element("securities").Elements())
{
var secId = item.Element("security").Value;
securityIds.Add(secId);
depthBuffers.Add(secId, new List <MarketDepth>());
tradeBuffers.Add(secId, new List <Trade>());
}
var storage = new StorageRegistry()
{
DefaultDrive = new LocalMarketDataDrive {
Path = storagePath
}
};
var connector = new QuikTrader();
// Ставим false, чтобы квик при старте не загрузил все 30 тыс инструментов
connector.RequestAllSecurities = false;
// Контролируем соединение в течение работы срочного рынка
connector.ReConnectionSettings.WorkingTime = ExchangeBoard.Forts.WorkingTime;
// Обработчик события успешного соединения
connector.Connected += () =>
{
Console.WriteLine("Соединение установлено!");
if (securityIds.Any())
{
// Запрашиваем инструменты
foreach (var id in securityIds)
{
connector.LookupSecurities(new Security()
{
Code = id.Split('@')[0], Board = ExchangeBoard.GetBoard(id.Split('@')[1])
});
}
}
else
{
Console.WriteLine("Нет инструментов для запроса!");
}
};
connector.LookupSecuritiesResult += (ex, securities) =>
{
foreach (var security in securities)
{
if (tradeStorages.ContainsKey(security.Id) || depthStorages.ContainsKey(security.Id))
{
continue;
}
// Инициализируем специализированные хранилища
tradeStorages.Add(security.Id, storage.GetTradeStorage(security, null, storageFormat));
depthStorages.Add(security.Id, storage.GetMarketDepthStorage(security, null, storageFormat));
// Региструем получение сделок
if (!connector.RegisteredTrades.Contains(security))
{
connector.RegisterTrades(security);
}
// Региструем получение стаканов
if (!connector.RegisteredMarketDepths.Contains(security))
{
connector.RegisterMarketDepth(security);
}
}
};
connector.NewTrades += trades =>
{
foreach (var trade in trades)
{
var secId = trade.Security.Id;
tradeBuffers[secId].Add(trade);
if (tradeBuffers[secId].Count >= tradeBufferMax)
{
var forsave = tradeBuffers[secId].TakeLast(tradeBufferMax);
tradeBuffers[secId] = tradeBuffers[secId].Except(forsave).ToList();
var task = Task.Factory.StartNew(() => tradeStorages[secId].Save(forsave));
}
}
};
connector.MarketDepthsChanged += depths =>
{
foreach (var depth in depths)
{
var secId = depth.Security.Id;
depthBuffers[secId].Add(depth);
if (depthBuffers[secId].Count >= depthBufferMax)
{
var forsave = depthBuffers[secId].TakeLast(depthBufferMax);
depthBuffers[secId] = depthBuffers[secId].Except(forsave).ToList();
var task = Task.Factory.StartNew(() => depthStorages[secId].Save(forsave));
}
}
};
// Обработчик события разрыва соединения
connector.Disconnected += () => Console.WriteLine("Соединение разорвано!");
// Команда соединения
connector.Connect();
Console.Read();
var ttasks = new List <Task>();
var dtasks = new List <Task>();
foreach (var security in connector.Securities)
{
// Отменяем регистрацию сделок
if (connector.RegisteredTrades.Contains(security))
{
connector.UnRegisterTrades(security);
}
// Отменяем получение стаканов
if (connector.RegisteredMarketDepths.Contains(security))
{
connector.UnRegisterMarketDepth(security);
}
// Записываем остатки данных
ttasks.Add(Task.Factory.StartNew(() => tradeStorages[security.Id].Save(tradeBuffers[security.Id])));
dtasks.Add(Task.Factory.StartNew(() => depthStorages[security.Id].Save(depthBuffers[security.Id])));
}
Console.WriteLine("Записываем остатки данных!");
// Чуток ждем
Task.WaitAll(ttasks.ToArray());
Task.WaitAll(dtasks.ToArray());
// Команда разрыва соединения
connector.Disconnect();
}