/// <summary>
/// Получить тиковые исторические данные
/// </summary>
/// <param name="insID">Инструмент</param>
/// <param name="date">Дата</param>
/// <returns>Список тиков или пустой список</returns>
public Task <IEnumerable <Tick> > GetTicksAsync(int insID, DateTime date)
{
return(Task.Factory.StartNew <IEnumerable <Tick> >(() =>
{
var data = _tickHistoryDA.GetData(insID, date);
if (data == null || data.Length == 0)
{
return new List <Tick>();
}
var instrum = _instrumBL.GetInstrumByID(insID);
if (instrum == null)
{
return new List <Tick>();
}
AllTradesEncoding encoding = new AllTradesEncoding(instrum.Decimals);
var allTradesTicks = encoding.Decode(data);
if (allTradesTicks == null)
{
return new List <Tick>();
}
return allTradesTicks.Select(t => new Tick(0, date.AddSeconds(t.Second), insID, t.Lots, t.Price)).ToList();
}));
}
/// <summary>
/// Инициализация графика
/// </summary>
/// <param name="xdChart">Данные для инициализации</param>
public void Initialize(XDocument xdChart = null)
{
if (xdChart == null)
{
xdChart = new XDocument(new XElement("Chart"));
}
var xnSources = xdChart.Root.Element("Sources");
if (xnSources != null)
{
foreach (var xnSrc in xnSources.Elements())
{
if (xnSrc.Name == "BarRow")
{
int insID = 0;
string guid = xnSrc.Attribute("Id").Value;
int.TryParse(xnSrc.Attribute("InsID").Value, out insID);
int tf = 0;
int.TryParse(xnSrc.Attribute("Tf").Value, out tf);
if (insID == 0)
{
continue;
}
Instrum ins = _instrumBL.GetInstrumByID(insID);
if (ins == null)
{
continue;
}
CreateBarRowSource(ins, (Timeframes)tf, guid);
}
}
}
_indicators.Clear();
var xnIndicators = xdChart.Root.Element("Indicators");
if (xnIndicators != null)
{
foreach (var xnIndic in xnIndicators.Elements())
{
var indic = _factory.CreateIndicator(xnIndic.Name.ToString());
if (indic == null)
{
continue;
}
indic.Initialize(new XDocument(xnIndic));
AddIndicator(indic);
}
}
}
private int GetLotSize(int insID)
{
if (_insID_lotSize == null)
{
_insID_lotSize = new Dictionary <int, int>();
}
if (_insID_lotSize.ContainsKey(insID))
{
return(_insID_lotSize[insID]);
}
else
{
Instrum ins = _instrumBL.GetInstrumByID(insID);
if (ins != null)
{
_insID_lotSize.Add(ins.InsID, ins.LotSize);
return(ins.LotSize);
}
else
{
_insID_lotSize.Add(insID, 1);
return(1);
}
}
}
/// <summary>
/// Создание сделок при импорте
/// </summary>
/// <param name="accountID">Торговый счет</param>
/// <param name="trades">Список сделок, которые нужно создать</param>
/// <returns>Список созданных сделок (может отличаться от исходного списка)</returns>
private IEnumerable <Trade> CreateTrades(int accountID, IEnumerable <Trade> trades)
{
sb.AppendLine("Create trades ...");
var db_trades = _accountDA.GetTrades(accountID);
List <Trade> createTrades = new List <Trade>();
foreach (var trade in trades)
{
var found = db_trades.FirstOrDefault(r => r.BuySell == trade.BuySell && r.InsID == trade.InsID &&
r.LotCount == trade.LotCount && r.Price == trade.Price && r.Time == trade.Time);
if (found != null)
{
var instrum = _instrumBL.GetInstrumByID(trade.InsID);
if (instrum == null)
{
continue;
}
sb.AppendLine(string.Format("Trade already exists: {0} {1} {2} {3} {4}",
instrum.Ticker,
trade.Time.ToString("dd.MM.yyyy HH:mm:ss"),
trade.BuySell,
trade.Price.ToString(),
trade.LotCount.ToString()));
continue;
}
var order = _accountDA.CreateOrder(accountID, trade.Time, trade.InsID, trade.BuySell, trade.LotCount, trade.Price, OrderStatus.Trade, null, 0);
var newTrade = _accountDA.CreateTrade(accountID, order.OrderID, trade.Time, trade.InsID, trade.BuySell, trade.LotCount, trade.Price, 0, 0);
createTrades.Add(newTrade);
}
sb.AppendLine("Create trades complete: " + createTrades.Count.ToString());
return(createTrades);
}
/// <summary>
/// Загрузка исторических данных в BarRow.
/// Наиболее подходящий InsStore определяется автоматически.
/// </summary>
/// <param name="bars">BarRow</param>
/// <param name="insID">Инструмент</param>
/// <param name="date1">Нач дата</param>
/// <param name="date2">Кон дата</param>
/// <param name="insStoreID">Поток данных для загрузки (если null, то поток будет определен автоматически)</param>
/// <returns>Асинхронная задача загрузки. Общее число баров после загрузки.</returns>
public async Task <int> LoadHistoryAsync(BarRow bars, int insID, DateTime date1, DateTime date2, int?insStoreID = null)
{
Instrum instrum = _instrumBL.GetInstrumByID(insID);
if (instrum == null)
{
return(0);
}
if (insStoreID == null)
{
var insStore = GetLoadHistoryInsStore(insID, bars.Timeframe);
if (insStore != null)
{
insStoreID = insStore.InsStoreID;
}
}
if (insStoreID == null)
{
return(0);
}
int k = (int)Math.Pow(10, instrum.Decimals);
var list = await _insStoreDA.GetHistoryAsync(insStoreID.Value, date1, date2);
return(await Task.Run(() =>
{
bars.SuspendEvents();
foreach (var bar in list)
{
DateTime time = StorageLib.ToDateTime(bar.Time);
decimal openPrice = (decimal)bar.OpenPrice / k;
decimal lowPrice = (decimal)(bar.OpenPrice + bar.LowDelta) / k;
decimal highPrice = (decimal)(bar.OpenPrice + bar.HighDelta) / k;
decimal closePrice = (decimal)(bar.OpenPrice + bar.CloseDelta) / k;
bars.AddTick(time, openPrice, 0);
bars.AddTick(time, lowPrice, 0);
bars.AddTick(time, highPrice, 0);
bars.AddTick(time, closePrice, bar.Volume);
}
bars.CloseLastBar();
bars.ResumeEvents();
return bars.Count;
}));
}
public void AddTrade(Trade trade)
{
var instrum = _instrumBL.GetInstrumByID(trade.InsID);
if (instrum == null)
{
return;
}
PosTypes pt = trade.BuySell == BuySell.Buy ? PosTypes.Short : PosTypes.Long;
int count = trade.LotCount * instrum.LotSize;
var openPos = from p in _positions
let srt = p.Count == count ? 0 : (p.Count > count ? 1 : 2)
where p.InsID == trade.InsID && p.CloseTime == null && p.PosType == pt
orderby srt ascending, p.OpenTime descending
select p;
foreach (var p in openPos)
{
if (count <= 0)
{
break;
}
if (count < p.Count)
{
SplitPosition(p, count);
p.ClosePosition(trade.Time, trade.Price);
AddPosTrade(p.PosID, trade.TradeID);
count = 0;
break;
}
else if (count == p.Count)
{
p.ClosePosition(trade.Time, trade.Price);
AddPosTrade(p.PosID, trade.TradeID);
count = 0;
break;
}
else
{
p.ClosePosition(trade.Time, trade.Price);
AddPosTrade(p.PosID, trade.TradeID);
count -= p.Count;
}
}
if (count > 0)
{
PosTypes pt1 = trade.BuySell == BuySell.Buy ? PosTypes.Long : PosTypes.Short;
Position pos1 = AddPosition(trade.InsID, count, trade.Time, trade.Price, pt1);
AddPosTrade(pos1.PosID, trade.TradeID);
}
}
public RemotePriceChart GetRemotePriceChart(int accountID, int instrumId, int timeframe, int key, int from = 0)
{
var instrum = _instrumBL.GetInstrumByID(instrumId);
if (instrum == null)
{
return(null);
}
var cm = _chartSystem.GetChartManager(accountID, instrumId, (Timeframes)timeframe);
if (cm == null)
{
return(null);
}
var chartData = cm.GetChartData();
if (chartData == null)
{
return(null);
}
if (chartData.IsDynamic)
{
var ls = _lsm.GetServer();
if (ls == null)
{
return(null);
}
var tps = ls.GetTickPipe().Result;
if (tps == null)
{
return(null);
}
int count = _tickDisp.GetTicksCount(instrum.InsID);
var ticks = tps.GetLastTicks(_tickDisp.CurrentDate, instrum, count).Result;
if (ticks != null && ticks.Any())
{
_tickDisp.AddTicks(ticks);
}
ls.DeleteTickPipe().Wait();
}
return(RemotePriceChart.Generate(key, instrum.Decimals, chartData, from));
}
public bool AddInstrum(int instrumID)
{
var instrum = _instrumBL.GetInstrumByID(instrumID);
if (instrum == null)
{
return(false);
}
if (_instrums.Any(r => r.InsID == instrumID))
{
return(false);
}
_instrums.Add(instrum);
return(true);
}
public void ListInsStore()
{
var list = _insStoreBL.GetAllInsStores();
_console.WriteLine("InsStoreID\tInsID\tTicker\tTf\tIsEnable");
_console.WriteSeparator();
foreach (var insStore in list)
{
var instrum = _instrumBL.GetInstrumByID(insStore.InsID);
if (instrum == null)
{
continue;
}
_console.WriteLine(string.Format("{0}\t\t{1}\t{2}\t{3}\t{4}",
insStore.InsStoreID.ToString(),
insStore.InsID.ToString(),
instrum.Ticker,
insStore.Tf.ToString(),
insStore.IsEnable ? "*" : "-"));
}
}
public Task Generate(int accountID, Timeline timeline)
{
return(Task.Run(() =>
{
_cashRow.Clear();
_portfolioRow.Clear();
_equityRow.Clear();
_prices.Clear();
var trades = _accountDA.GetTrades(accountID).OrderBy(r => r.Time).ToList();
var account = _accountDA.GetAccountByID(accountID);
var cash = _accountDA.GetCash(accountID);
List <EqHold> eqHoldList = new List <EqHold>();
decimal cashSumma = cash.Initial;
decimal pfSumma = 0;
var bd1 = timeline.GetBarDate(0);
var bd2 = timeline.GetBarDate(timeline.Count - 1);
if (bd1 == null || bd2 == null)
{
return;
}
DateTime date1 = bd1.Value.Start.Date;
DateTime date2 = bd2.Value.NextStart.Date; // для таймфреймов day и week загрузим историю на один лишний день
int tradeIdx = 0;
for (int i = 0; i < timeline.Count; i++)
{
var barDates = timeline.GetBarDate(i);
if (barDates == null)
{
continue;
}
while (tradeIdx < trades.Count && trades[tradeIdx].Time < barDates.Value.NextStart)
{
var trade = trades[tradeIdx];
var instrum = _instrumBL.GetInstrumByID(trade.InsID); // из кеша
var tradeSumma = trade.Price * trade.LotCount * instrum.LotSize;
var hold = eqHoldList.FirstOrDefault(r => r.InsID == instrum.InsID);
if (trade.BuySell == BuySell.Buy)
{
cashSumma -= tradeSumma;
if (hold != null)
{
hold.LotCount += trade.LotCount;
}
else
{
eqHoldList.Add(new EqHold()
{
InsID = instrum.InsID, LotSize = instrum.LotSize, LotCount = trade.LotCount
});
}
}
else
{
cashSumma += tradeSumma;
if (hold != null)
{
hold.LotCount -= trade.LotCount;
if (hold.LotCount == 0)
{
eqHoldList.Remove(hold);
}
}
else
{
eqHoldList.Add(new EqHold()
{
InsID = instrum.InsID, LotSize = instrum.LotSize, LotCount = -trade.LotCount
});
}
}
tradeIdx++;
}
// вычисляем сумму портфеля на конец бара
pfSumma = 0;
foreach (var hold in eqHoldList)
{
if (!_prices.ContainsKey(hold.InsID))
{
BarRow barRow = new BarRow(timeline.Timeframe, hold.InsID);
_insStoreBL.LoadHistoryAsync(barRow, hold.InsID, date1, date2).Wait();
_prices.Add(hold.InsID, barRow);
}
var bars = _prices[hold.InsID];
var bar = bars.Bars.FirstOrDefault(r => r.Time == barDates.Value.Start);
if (bar != null)
{
pfSumma += bar.Close * hold.LotCount * hold.LotSize;
}
}
_cashRow.Add(cashSumma);
_portfolioRow.Add(pfSumma);
_equityRow.Add(cashSumma + pfSumma);
}
}));
}
/// <summary>
/// Загрузка одного потока
/// </summary>
/// <param name="args">Date1, Date2, [Dirty], Tf, Ticker, Ticker, ...</param>
public async void HistoryDownloadAsync(List <string> args)
{
DateTime date1 = DateTime.Today;
DateTime date2 = DateTime.Today;
bool isLastDirty = false;
Timeframes tf = Timeframes.Min;
if (args.Count == 1)
{
if (args[0].Trim().ToLower() == "progress")
{
if (_progress != null)
{
ShowProgress(_progress);
}
else
{
_console.WriteLine("Нет операции");
}
return;
}
else if (args[0].Trim().ToLower() == "cancel")
{
if (_cancel != null)
{
_cancel.Cancel();
_console.WriteLine("Операция прервана");
}
else
{
_console.WriteLine("Нет операции");
}
return;
}
}
if (args.Count < 2)
{
_console.WriteError("Не указаны даты");
return;
}
DateTime d;
if (DateTime.TryParse(args[0].Trim(), out d))
{
date1 = d;
}
else
{
_console.WriteError("Неверно указана дата начала");
return;
}
if (DateTime.TryParse(args[1].Trim(), out d))
{
date2 = d;
}
else
{
_console.WriteError("Неверно указана дата окончания");
return;
}
args.RemoveRange(0, 2);
if (args.Count < 1)
{
_console.WriteError("Неверное число аргументов");
return;
}
if (args[0].Trim().ToLower() == "dirty")
{
isLastDirty = true;
args.RemoveAt(0);
}
if (args.Count < 1)
{
_console.WriteError("Неверное число аргументов");
return;
}
Timeframes tf_;
if (!Timeframes.TryParse <Timeframes>(args[0].Trim(), out tf_))
{
_console.WriteError("Неверный агрумент: Timeframe");
return;
}
tf = tf_;
args.RemoveAt(0);
if (args.Count < 1)
{
_console.WriteError("Неверное число аргументов");
return;
}
List <CommonData.InsStore> insStores = new List <CommonData.InsStore>();
foreach (string ticker in args)
{
CommonData.InsStore insStore = _insStoreBL.GetInsStore(ticker, tf);
if (insStore == null)
{
_console.WriteError("Не найден тикер: " + ticker);
continue;
}
insStores.Add(insStore);
}
if (insStores.Count == 0)
{
_console.WriteError("Пустой список тикеров");
return;
}
if (_progress != null && _progress.IsWorking)
{
ShowProgress(_progress);
return;
}
_console.WriteLine("Загрузка данных ... ");
_progress = new BgTaskProgress(_syncContext, "Загрузка данных ...");
_cancel = new CancellationTokenSource();
_progress.OnStart();
int idx = 0;
foreach (var insStore in insStores)
{
var instrum = _instrumBL.GetInstrumByID(insStore.InsID);
if (instrum == null)
{
continue;
}
var p = _progress.AddChildProgress(instrum.ShortName);
await _historyDownloader.DownloadAsync(insStore, date1, date2, isLastDirty, true, p, _cancel.Token);
idx++;
_progress.OnProgress((double)idx * 100 / insStores.Count);
}
_progress.OnComplete();
}
public void AddTrade_buyTrade_singleOpenLongPosition()
{
var ins = instrumBL.GetInstrumByID(1);
PosTable table = new PosTable(instrumBL);
Trade t = new Trade()
{
InsID = ins.InsID, OrderID = 1, Time = new DateTime(2010, 1, 1, 10, 30, 30), Price = 100m, LotCount = 5, BuySell = BuySell.Buy
};
table.AddTrade(t);
var positions = table.GetPositions();
Assert.Single(positions);
var pos = positions.ElementAt(0);
Assert.Equal(t.InsID, pos.InsID);
Assert.True(pos.PosID < 0);
Assert.Equal(t.Time, pos.OpenTime);
Assert.Equal(t.Price, pos.OpenPrice);
Assert.Equal(t.LotCount * ins.LotSize, pos.Count);
Assert.Equal(PosTypes.Long, pos.PosType);
Assert.Null(pos.ClosePrice);
Assert.Null(pos.CloseTime);
}
/// <summary>
/// Асинхронная загрузка исторических данных
/// </summary>
/// <param name="toDate">Загрузка по эту дату включительно</param>
/// <param name="isLastDirty">Данные за последний день неполные</param>
/// <param name="progress">Объект управления фоновой задачей</param>
/// <param name="cancel">Отмена длительной операции</param>
/// <returns>Асинхронная задача загрузки</returns>
public Task DownloadAllAsync(DateTime toDate, bool isLastDirty, BgTaskProgress progress, CancellationToken cancel)
{
return(Task.Run(() =>
{
try
{
_logger.LogInformation("DownloadAll to {date}", toDate.ToString("yyyy-MM-dd"));
var insStores = _insStoreBL.GetActiveInsStores();
int count = insStores.Count(); int idx = 1;
if (progress != null)
{
progress.OnStart(count > 1);
}
Dictionary <CommonData.InsStore, BgTaskProgress> progresses = new Dictionary <CommonData.InsStore, BgTaskProgress>();
if (progress != null)
{
foreach (var ss in insStores)
{
string name = "";
var instrum = _instrumBL.GetInstrumByID(ss.InsID);
if (instrum != null)
{
name = instrum.ShortName;
}
var child = progress.AddChildProgress(name);
progresses.Add(ss, child);
}
}
foreach (var insStore in insStores)
{
if (cancel.IsCancellationRequested)
{
if (progress != null)
{
progress.OnAbort();
}
break;
}
var ssCal = _insStoreBL.GetInsStoreCalendar(insStore.InsStoreID);
if (ssCal == null || ssCal.Periods == null)
{
continue;
}
DateTime fromDate;
if (ssCal.Periods.Count() > 0)
{
var lastPeriod = ssCal.Periods.Last();
fromDate = lastPeriod.IsLastDirty ? lastPeriod.EndDate : lastPeriod.EndDate.AddDays(1);
}
else
{
fromDate = _insStoreBL.GetDefaultStartHistoryDate(toDate, insStore.Tf);
}
var p = progresses.ContainsKey(insStore) ? progresses[insStore] : null;
DownloadAsync(insStore, fromDate, toDate, isLastDirty, true, p, cancel).Wait();
if (progress != null)
{
progress.OnProgress((double)idx++ / count * 100);
}
}
if (progress != null)
{
if (cancel.IsCancellationRequested)
{
progress.OnAbort();
}
else
{
progress.OnComplete();
}
}
_logger.LogInformation("DownloadAll complete.");
}
catch (Exception ex)
{
_logger.LogError(ex, "DownloadAll error.");
if (progress != null)
{
progress.OnFault(ex);
}
}
}));
}