/// <summary>
/// входящий стакан
/// </summary>
/// <param name="namePaper">название инструмента</param>
/// <param name="message">трейд</param>
private void Trades_Income(string namePaper, string message)
{
try
{
var resp = JsonConvert.DeserializeObject <TradeResponse>(message);
Trade trade = new Trade();
trade.SecurityNameCode = namePaper;
trade.Price = Convert.ToDecimal(resp.price.Replace(",", CultureInfo.InvariantCulture.NumberFormat.NumberDecimalSeparator), CultureInfo.InvariantCulture);
trade.Volume = Convert.ToDecimal(resp.amount.Replace(",", CultureInfo.InvariantCulture.NumberFormat.NumberDecimalSeparator), CultureInfo.InvariantCulture);
trade.Id = resp.id;
trade.Time = (new DateTime(1970, 1, 1, 0, 0, 0, 0)).AddSeconds(Convert.ToInt32(resp.timestamp));
if (resp.type == "0")
{
trade.Side = Side.Buy;
}
else
{
trade.Side = Side.Sell;
}
if (NewTradesEvent != null)
{
NewTradesEvent(trade);
}
}
catch (Exception error)
{
if (LogMessageEvent != null)
{
// LogMessageEvent(error.ToString(),LogMessageType.Error);
}
}
}
private void Client_NewTradesEvent(TradeNotification newTrade)
{
foreach (var t in newTrade.Datas)
{
OsEngine.Entity.Trade trade = new OsEngine.Entity.Trade();
trade.SecurityNameCode = newTrade.CurrencyPair;
trade.Id = t.Id.ToString();
trade.Price =
Convert.ToDecimal(
t.Price.Replace(".", CultureInfo.InvariantCulture.NumberFormat.NumberDecimalSeparator),
CultureInfo.InvariantCulture);
trade.Time = new DateTime(1970, 1, 1).AddMilliseconds(Convert.ToDouble(t.Timestamp));
trade.Volume =
Convert.ToDecimal(
t.Quantity.Replace(".", CultureInfo.InvariantCulture.NumberFormat.NumberDecimalSeparator),
CultureInfo.InvariantCulture);
trade.Side = t.trade_type == TradeEvent.TradeType.Sell ? Side.Sell : Side.Buy;
if (NewTradesEvent != null)
{
NewTradesEvent(trade);
}
}
}
private void EventsOnOnAllTrade(AllTrade allTrade)
{
try
{
if (allTrade == null)
{
return;
}
lock (_newTradesLoker)
{
Trade trade = new Trade();
trade.SecurityNameCode = allTrade.SecCode;
trade.Id = allTrade.TradeNum.ToString();
trade.Price = Convert.ToDecimal(allTrade.Price);
trade.Volume = Convert.ToInt32(allTrade.Qty);
trade.Side = Convert.ToInt32(allTrade.Flags) == 1 ? Side.Sell : Side.Buy;
trade.Time = new DateTime(allTrade.Datetime.year, allTrade.Datetime.month, allTrade.Datetime.day,
allTrade.Datetime.hour, allTrade.Datetime.min, allTrade.Datetime.sec);
if (NewTradesEvent != null)
{
NewTradesEvent(trade);
}
// write last tick time in server time / перегружаем последним временем тика время сервера
ServerTime = trade.Time;
}
}
catch (Exception error)
{
SendLogMessage(error.ToString(), LogMessageType.Error);
}
}
private void KrakenApi_TradeUpdateEvent(OsEngine.Entity.Trade trade)
{
if (NewTradesEvent != null)
{
NewTradesEvent(trade);
}
}
private static void Client_TradeReceived(object sender, Events.KrakenDataEventArgs<TradeMessage> e)
{
string pair = e.Pair.ToString();
Sec security = Securities.Find(sec => sec.NameInSocket == pair);
for(int i = 0;i < e.DataMessage.Trades.Length;i++)
{
OsEngine.Entity.Trade trade = new OsEngine.Entity.Trade();
trade.SecurityNameCode = security.NameInRest;
trade.Price = e.DataMessage.Trades[i].Price;
trade.Volume = e.DataMessage.Trades[i].Volume;
trade.Time = new DateTime(1970, 1, 1).AddSeconds(Convert.ToDouble(e.DataMessage.Trades[i].Time));
if (e.DataMessage.Trades[i].Side.ToLower() == "s")
{
trade.Side = OsEngine.Entity.Side.Sell;
}
if(TradeUpdateEvent != null)
{
TradeUpdateEvent(trade);
}
}
//= (sender, e) => Console.WriteLine($"Trade received");
}
void _client_NewTradesEvent(OsEngine.Entity.Trade trade)
{
lock (_newTradesLoker)
{
if (NewTradesEvent != null)
{
NewTradesEvent(trade);
}
}
}
/// <summary>
/// входящие тики из системы
/// </summary>
private void AddTick(OsEngine.Entity.Trade trade)
{
try
{
BathTradeMarketDepthData(trade);
// сохраняем
if (_allTrades == null)
{
_allTrades = new List <OsEngine.Entity.Trade> [1];
_allTrades[0] = new List <OsEngine.Entity.Trade> {
trade
};
}
else
{
// сортируем сделки по хранилищам
List <OsEngine.Entity.Trade> myList = null;
bool isSave = false;
for (int i = 0; i < _allTrades.Length; i++)
{
if (_allTrades[i] != null && _allTrades[i].Count != 0 &&
_allTrades[i][0].SecurityNameCode == trade.SecurityNameCode)
{
// если для этого инструметна уже есть хранилище, сохраняем и всё
_allTrades[i].Add(trade);
myList = _allTrades[i];
isSave = true;
break;
}
}
if (isSave == false)
{
// хранилища для инструмента нет
List <OsEngine.Entity.Trade>[] allTradesNew = new List <OsEngine.Entity.Trade> [_allTrades.Length + 1];
for (int i = 0; i < _allTrades.Length; i++)
{
allTradesNew[i] = _allTrades[i];
}
allTradesNew[allTradesNew.Length - 1] = new List <OsEngine.Entity.Trade>();
allTradesNew[allTradesNew.Length - 1].Add(trade);
myList = allTradesNew[allTradesNew.Length - 1];
_allTrades = allTradesNew;
}
_tradesToSend.Enqueue(myList);
}
}
catch (Exception error)
{
SendLogMessage(error.ToString(), LogMessageType.Error);
}
}
private void CheckTrade()
{
while (true)
{
if (_trades.IsEmpty)
{
Thread.Sleep(1000);
continue;
}
Trade trade = null;
_trades.TryDequeue(out trade);
if (trade == null)
{
Thread.Sleep(1000);
continue;
}
if (string.IsNullOrEmpty(trade.SecurityNameCode))
{
SendLogMessage("Trade Error. No security Name. ", LogMessageType.Error);
continue;
}
if (trade.Price == 0)
{
SendLogMessage("Trade Error. No price. " + trade.SecurityNameCode, LogMessageType.Error);
continue;
}
if (trade.Volume == 0)
{
SendLogMessage("Trade Error. No volume. " + trade.SecurityNameCode, LogMessageType.Error);
continue;
}
if (trade.Time == DateTime.MinValue)
{
SendLogMessage("Trade Error. No time. " + trade.SecurityNameCode, LogMessageType.Error);
continue;
}
if (trade.Side == Side.None)
{
SendLogMessage("Trade Error. No Side. " + trade.SecurityNameCode, LogMessageType.Error);
continue;
}
/*
* if (trade.Ask == 0 || trade.Bid == 0)
* {
* SendLogMessage("Trade Error. No Level 1 data " + trade.SecurityNameCode, LogMessageType.Error);
* continue;
* }
*/
}
}
// сохранение расширенных данных по трейду
/// <summary>
/// прогрузить трейды данными стакана
/// </summary>
private void BathTradeMarketDepthData(OsEngine.Entity.Trade trade)
{
MarketDepth depth = _marketDepths.Find(d => d.SecurityNameCode == trade.SecurityNameCode);
if (depth == null ||
depth.Asks == null || depth.Asks.Count == 0 ||
depth.Bids == null || depth.Bids.Count == 0)
{
return;
}
trade.Ask = depth.Asks[0].Price;
trade.Bid = depth.Bids[0].Price;
trade.BidsVolume = depth.BidSummVolume;
trade.AsksVolume = depth.AskSummVolume;
}
/// <summary>
/// download all ticks by instrument
/// скачать все тиковые данные по инструменту
/// </summary>
/// <param name="security"> short security name/короткое название бумаги</param>
/// <returns>failure will return null/в случае неудачи вернётся null</returns>
public List <Trade> GetQuikLuaTickHistory(Security security)
{
try
{
var needSec = _securities.Find(sec =>
sec.Name == security.Name && sec.NameClass == security.NameClass);
_trades = new List <Trade>();
if (needSec != null)
{
string classCode = needSec.NameClass;
var allCandlesForSec = QuikLua.Candles.GetAllCandles(classCode, needSec.Name.Split('_')[0], CandleInterval.TICK).Result;
for (int i = 0; i < allCandlesForSec.Count; i++)
{
if (allCandlesForSec[i] != null)
{
Trade newTrade = new Trade();
newTrade.Price = allCandlesForSec[i].Close;
newTrade.Volume = allCandlesForSec[i].Volume;
newTrade.Time = (DateTime)allCandlesForSec[i].Datetime;
newTrade.MicroSeconds = allCandlesForSec[i].Datetime.mcs;
newTrade.SecurityNameCode = security.Name;
_trades.Add(newTrade);
}
}
}
return(_trades);
}
catch (Exception error)
{
SendLogMessage(error.ToString(), LogMessageType.Error);
return(null);
}
}
/// <summary>
/// got new ticks from server
/// с сервера пришли новые тики
/// </summary>
private void ClientOnNewTradesEvent(List <TransaqEntity.Trade> trades)
{
foreach (var t in trades)
{
try
{
Trade trade = new Trade()
{
SecurityNameCode = t.Seccode,
Id = t.Secid,
Price = Convert.ToDecimal(t.Price.Replace(".", ",")),
Side = t.Buysell == "B" ? Side.Buy : Side.Sell,
Volume = Convert.ToDecimal(t.Quantity.Replace(".", ",")),
Time = DateTime.Parse(t.Time),
};
NewTradesEvent?.Invoke(trade);
}
catch (Exception e)
{
SendLogMessage("" + e, LogMessageType.Error);
}
}
}
/// <summary>
/// take trades from API
/// взять трейды из АПИ
/// </summary>
private void GetTrades()
{
for (int i = 0; i < _namesListenSecurities.Count; i++)
{
DataSinece myTimeTrades = _timeTrades.Find(t => t.NameSecurity == _namesListenSecurities[i]);
if (myTimeTrades == null)
{
myTimeTrades = new DataSinece();
myTimeTrades.NameSecurity = _namesListenSecurities[i];
_timeTrades.Add(myTimeTrades);
}
JsonObject message = null;
if (myTimeTrades.Time == 0)
{
message = _kraken.GetRecentTrades(_namesListenSecurities[i]);
}
else
{
message = _kraken.GetRecentTrades(_namesListenSecurities[i], myTimeTrades.Time);
}
JObject obj = (JObject)JsonConvert.DeserializeObject(message.ToString());
JArray err = (JArray)obj["error"];
if (err.Count != 0)
{
SendLogMessage(err[0].ToString(), LogMessageType.Error);
}
var ret = new GetRecentTradesResult();
ret.Trades = new Dictionary <string, List <Trade> >();
JObject result = obj["result"].Value <JObject>();
foreach (var o in result)
{
if (o.Key == "last")
{
ret.Last = o.Value.Value <long>();
}
else
{
var trade = new List <Trade>();
foreach (var v in (JArray)o.Value)
{
var a = (JArray)v;
trade.Add(new Trade()
{
Price = a[0].Value <decimal>(),
Volume = a[1].Value <decimal>(),
Time = a[2].Value <int>(),
Side = a[3].Value <string>(),
Type = a[4].Value <string>(),
Misc = a[5].Value <string>()
});
}
ret.Trades.Add(o.Key, trade);
}
}
var trades = ret;
for (int i2 = 0; i2 < trades.Trades.Count; i2++)
{
List <Trade> info = trades.Trades[trades.Trades.Keys.ElementAt(i2)];
for (int i3 = 0; i3 < info.Count; i3++)
{
OsEngine.Entity.Trade newTrade = new OsEngine.Entity.Trade();
newTrade.SecurityNameCode = _namesListenSecurities[i];
newTrade.Price = info[i3].Price;
newTrade.Volume = info[i3].Volume;
newTrade.Time = (new DateTime(1970, 1, 1, 0, 0, 0, 0)).AddSeconds(info[i3].Time);
if (info[i3].Side == "s")
{
newTrade.Side = Side.Sell;
}
else
{
newTrade.Side = Side.Buy;
}
if (NewTradeEvent != null)
{
NewTradeEvent(newTrade);
}
myTimeTrades.Time = trades.Last;
if (i3 + 1 == info.Count)
{
MarketDepth newDepth = new MarketDepth();
newDepth.SecurityNameCode = _namesListenSecurities[i];
newDepth.Bids.Add(new MarketDepthLevel()
{
Bid = 1, Price = newTrade.Price
});
newDepth.Asks.Add(new MarketDepthLevel()
{
Ask = 1, Price = newTrade.Price
});
newDepth.Time = newTrade.Time;
if (NewMarketDepthEvent != null)
{
NewMarketDepthEvent(newDepth);
}
}
}
}
}
}
