//Ордерлог
private List <List <Trade> > OrdLogReader(string filePath)
{
var list = new List <List <Trade> > {
new List <Trade>()
};
using (var qr = QshReader.Open(filePath))
{
IOrdLogStream stream = null;
for (var i = 0; i < qr.StreamCount; i++)
{
var logStream = qr[i] as IOrdLogStream;
if (logStream != null)
{
stream = logStream;
break;
}
}
if (stream == null)
{
return(list);
}
var security = SecurityConverter(stream.Security);
using (var converter = new OrderLogToMarketDepth(security))
{
converter.NewTick += tick =>
{
var lastDate = DateTime.MaxValue;
var lastList = list[list.Count - 1];
if (lastList.Count > 0)
{
lastDate = lastList[lastList.Count - 1].Time.Date;
}
if (tick.Time.Date > lastDate)
{
list.Add(new List <Trade>());
}
list[list.Count - 1].Add(tick);
};
stream.Handler += ol => converter.Add(OrdLogConverter(ol));
while (qr.CurrentDateTime != DateTime.MaxValue)
{
qr.Read(true);
}
}
}
return(list);
}
//Сделки с направлением
private List <Trade> DealsReader(string filePath)
{
var list = new List <Trade>();
using (var qr = QshReader.Open(filePath))
{
try
{
for (var i = 0; i < qr.StreamCount; i++)
{
var stream = qr[i] as IDealsStream;
if (stream == null)
{
return(list);
}
var security = SecurityConverter(stream.Security);
var step = (decimal)stream.Security.Step;
stream.Handler += dael =>
{
list.Add(new Trade
{
ID = dael.Id,
Price = dael.Price * step,
Volume = dael.Volume,
Time = dael.DateTime,
Security = security,
Aggressor = DealTypeConverter(dael.Type)
});
};
}
while (qr.CurrentDateTime != DateTime.MaxValue)
{
qr.Read(true);
}
}
catch (Exception e)
{
Debug.WriteLine(e.ToString());
}
}
return(list);
}
private static void ConvertFile(string fileName, string format)
{
var Quotes = new List <string>();
var fileNameKey = $"{format}_{fileName}";
using (var qr = QshReader.Open(fileName))
{
var reader = qr;
var currentDate = qr.CurrentDateTime;
for (var i = 0; i < qr.StreamCount; i++)
{
var stream = (ISecurityStream)qr[i];
if (stream.Type != StreamType.Quotes)
{
continue;
}
((IQuotesStream)stream).Handler += quotes =>
{
string s = string.Empty;
foreach (var item in quotes)
{
s = s + "||" + item.Price.ToString() + ";" + item.Type.ToString() + ";" + item.Volume.ToString();
}
s = s.Remove(0, 2) + "||" + qr.CurrentDateTime.ToString();
Quotes.Add(s);
};
break;
}
while (qr.CurrentDateTime != DateTime.MaxValue)
{
qr.Read(true);
}
}
TryFlushData(Quotes);
}
private void ConvertFile(string fileName, IStorageRegistry registry, StorageFormats format, ExchangeBoard board, string securityLike, Dictionary <SecurityId, IOrderLogMarketDepthBuilder> orderLog2OrderBookBuilders, int orderBookMaxDepth, TimeZoneInfo tz, TimeZoneInfo mz)
{
if (!_isStarted)
{
return;
}
var fileNameKey = format + "_" + fileName;
if (_convertedFiles.Contains(fileNameKey))
{
return;
}
_logManager.Application.AddInfoLog("Начата конвертация файла {0}.", fileName);
var securitiesStrings = securityLike.Split(",");
var data = new Dictionary <SecurityId, Tuple <List <QuoteChangeMessage>, List <ExecutionMessage>, List <Level1ChangeMessage>, List <ExecutionMessage> > >();
DateTimeOffset ToLocalDto(DateTime dt) => dt.ApplyTimeZone(tz);
DateTimeOffset ToServerDto(DateTime dt) => dt.ApplyTimeZone(mz);
using (var qr = QshReader.Open(fileName))
{
var reader = qr;
for (var i = 0; i < qr.StreamCount; i++)
{
var stream = (ISecurityStream)qr[i];
var securityId = GetSecurityId(stream.Security, board.Code);
var priceStep = (decimal)stream.Security.Step;
var lastTransactionId = 0L;
var builder = orderLog2OrderBookBuilders?.SafeAdd(securityId, key => new PlazaOrderLogMarketDepthBuilder(key));
if (securitiesStrings.Length > 0)
{
var secCode = securityId.SecurityCode;
var streamContainsSecurityFromMask = securitiesStrings.Any(mask =>
{
var isEndMulti = mask.EndsWith("*");
var isStartMulti = mask.StartsWith("*");
if (isStartMulti)
{
mask = mask.Substring(1);
}
if (isEndMulti)
{
mask = mask.Substring(0, mask.Length - 1);
}
if (isEndMulti)
{
if (isStartMulti)
{
return(secCode.ContainsIgnoreCase(mask));
}
else
{
return(secCode.StartsWith(mask, StringComparison.InvariantCultureIgnoreCase));
}
}
else if (isStartMulti)
{
return(secCode.EndsWith(mask, StringComparison.InvariantCultureIgnoreCase));
}
else
{
return(secCode.CompareIgnoreCase(mask));
}
});
if (!streamContainsSecurityFromMask)
{
continue;
}
}
var secData = data.SafeAdd(securityId, key => Tuple.Create(new List <QuoteChangeMessage>(), new List <ExecutionMessage>(), new List <Level1ChangeMessage>(), new List <ExecutionMessage>()));
switch (stream.Type)
{
case StreamType.Quotes:
{
((IQuotesStream)stream).Handler += quotes =>
{
var bids = new List <QuoteChange>();
var asks = new List <QuoteChange>();
foreach (var q in quotes)
{
switch (q.Type)
{
//case QuoteType.Unknown:
//case QuoteType.Free:
//case QuoteType.Spread:
// throw new ArgumentException(q.Type.ToString());
case QuoteType.Ask:
case QuoteType.BestAsk:
asks.Add(new QuoteChange(priceStep * q.Price, q.Volume));
break;
case QuoteType.Bid:
case QuoteType.BestBid:
bids.Add(new QuoteChange(priceStep * q.Price, q.Volume));
break;
default:
{
continue;
//throw new ArgumentException(q.Type.ToString());
}
}
}
var md = new QuoteChangeMessage
{
LocalTime = ToLocalDto(reader.CurrentDateTime),
SecurityId = securityId,
ServerTime = ToLocalDto(reader.CurrentDateTime),
Bids = bids.ToArray(),
Asks = asks.ToArray(),
};
//if (md.Verify())
//{
secData.Item1.Add(md);
TryFlushData(registry, securityId, format, null, secData.Item1, reader);
//}
//else
// _logManager.Application.AddErrorLog("Стакан для {0} в момент {1} не прошел валидацию. Лучший бид {2}, Лучший офер {3}.", security, qr.CurrentDateTime, md.BestBid, md.BestAsk);
};
break;
}
case StreamType.Deals:
{
((IDealsStream)stream).Handler += deal =>
{
secData.Item2.Add(new ExecutionMessage
{
LocalTime = ToLocalDto(reader.CurrentDateTime),
HasTradeInfo = true,
ExecutionType = ExecutionTypes.Tick,
SecurityId = securityId,
OpenInterest = deal.OI == 0 ? (long?)null : deal.OI,
ServerTime = ToServerDto(deal.DateTime),
TradeVolume = deal.Volume,
TradeId = deal.Id == 0 ? (long?)null : deal.Id,
TradePrice = deal.Price * priceStep,
OriginSide =
deal.Type == DealType.Buy
? Sides.Buy
: (deal.Type == DealType.Sell ? Sides.Sell : (Sides?)null)
});
TryFlushData(registry, securityId, format, ExecutionTypes.Tick, secData.Item2, reader);
};
break;
}
case StreamType.OrdLog:
{
((IOrdLogStream)stream).Handler += ol =>
{
var currTransactionId = ol.DateTime.Ticks;
if (lastTransactionId < currTransactionId)
{
lastTransactionId = currTransactionId;
}
else if (lastTransactionId >= currTransactionId)
{
lastTransactionId++;
}
var msg = new ExecutionMessage
{
LocalTime = ToLocalDto(reader.CurrentDateTime),
ExecutionType = ExecutionTypes.OrderLog,
SecurityId = securityId,
OpenInterest = ol.OI == 0 ? (long?)null : ol.OI,
OrderId = ol.OrderId,
OrderPrice = priceStep * ol.Price,
ServerTime = ToServerDto(ol.DateTime),
OrderVolume = ol.Amount,
Balance = ol.AmountRest,
TradeId = ol.DealId == 0 ? (long?)null : ol.DealId,
TradePrice = ol.DealPrice == 0 ? (decimal?)null : priceStep * ol.DealPrice,
TransactionId = lastTransactionId
};
var status = 0;
if (ol.Flags.Contains(OrdLogFlags.Add))
{
msg.OrderState = OrderStates.Active;
}
else if (ol.Flags.Contains(OrdLogFlags.Fill))
{
msg.OrderState = OrderStates.Done;
}
else if (ol.Flags.Contains(OrdLogFlags.Canceled))
{
msg.OrderState = OrderStates.Done;
status |= 0x200000;
}
else if (ol.Flags.Contains(OrdLogFlags.CanceledGroup))
{
msg.OrderState = OrderStates.Done;
status |= 0x400000;
}
else if (ol.Flags.Contains(OrdLogFlags.Moved))
{
status |= 0x100000;
}
if (ol.Flags.Contains(OrdLogFlags.Buy))
{
msg.Side = Sides.Buy;
}
else if (ol.Flags.Contains(OrdLogFlags.Sell))
{
msg.Side = Sides.Sell;
}
if (ol.Flags.Contains(OrdLogFlags.FillOrKill))
{
msg.TimeInForce = TimeInForce.MatchOrCancel;
status |= 0x00080000;
}
if (ol.Flags.Contains(OrdLogFlags.Quote))
{
msg.TimeInForce = TimeInForce.PutInQueue;
status |= 0x01;
}
if (ol.Flags.Contains(OrdLogFlags.Counter))
{
status |= 0x02;
}
if (ol.Flags.Contains(OrdLogFlags.CrossTrade))
{
status |= 0x20000000;
}
if (ol.Flags.Contains(OrdLogFlags.NonSystem))
{
msg.IsSystem = false;
status |= 0x04;
}
if (ol.Flags.Contains(OrdLogFlags.EndOfTransaction))
{
status |= 0x1000;
}
msg.OrderStatus = status;
if (builder == null)
{
secData.Item4.Add(msg);
TryFlushData(registry, securityId, format, ExecutionTypes.OrderLog, secData.Item4, reader);
}
else
{
//if (builder.Depth.Bids.Any() || builder.Depth.Asks.Any() || msg.ServerTime.TimeOfDay >= new TimeSpan(0, 18, 45, 00, 1))
{
bool updated;
try
{
updated = builder.Update(msg);
}
catch
{
updated = false;
}
if (updated)
{
secData.Item1.Add(new QuoteChangeMessage
{
SecurityId = securityId,
ServerTime = builder.Depth.ServerTime,
Bids = builder.Depth.Bids.Take(orderBookMaxDepth).ToArray(),
Asks = builder.Depth.Asks.Take(orderBookMaxDepth).ToArray(),
IsSorted = builder.Depth.IsSorted,
LocalTime = builder.Depth.LocalTime,
});
TryFlushData(registry, securityId, format, null, secData.Item1, reader);
}
}
}
};
break;
}
case StreamType.AuxInfo:
{
((IAuxInfoStream)stream).Handler += info =>
{
var l1Msg = new Level1ChangeMessage
{
LocalTime = ToLocalDto(reader.CurrentDateTime),
SecurityId = securityId,
ServerTime = ToLocalDto(reader.CurrentDateTime),
}
.TryAdd(Level1Fields.LastTradePrice, priceStep * info.Price)
.TryAdd(Level1Fields.BidsVolume, (decimal)info.BidTotal)
.TryAdd(Level1Fields.AsksVolume, (decimal)info.AskTotal)
.TryAdd(Level1Fields.HighPrice, priceStep * info.HiLimit)
.TryAdd(Level1Fields.LowPrice, priceStep * info.LoLimit)
.TryAdd(Level1Fields.StepPrice, (decimal)info.Rate)
.TryAdd(Level1Fields.OperatingMargin, (decimal)info.Deposit)
.TryAdd(Level1Fields.OpenInterest, (decimal)info.OI);
if (l1Msg.Changes.Count == 0)
{
return;
}
secData.Item3.Add(l1Msg);
TryFlushData(registry, securityId, format, null, secData.Item3, reader);
};
break;
}
case StreamType.OwnOrders:
case StreamType.OwnTrades:
case StreamType.Messages:
case StreamType.None:
{
continue;
}
default:
throw new ArgumentOutOfRangeException("Неподдерживаемый тип потока {0}.".Put(stream.Type));
}
}
if (data.Count > 0)
{
while (qr.CurrentDateTime != DateTime.MaxValue && _isStarted)
{
qr.Read(true);
}
}
}
if (!_isStarted)
{
return;
}
foreach (var pair in data)
{
if (pair.Value.Item1.Any())
{
registry.GetQuoteMessageStorage(pair.Key, registry.DefaultDrive, format).Save(pair.Value.Item1);
}
if (pair.Value.Item2.Any())
{
registry.GetTickMessageStorage(pair.Key, registry.DefaultDrive, format).Save(pair.Value.Item2);
}
if (pair.Value.Item3.Any())
{
registry.GetLevel1MessageStorage(pair.Key, registry.DefaultDrive, format).Save(pair.Value.Item3);
}
if (pair.Value.Item4.Any())
{
registry.GetOrderLogMessageStorage(pair.Key, registry.DefaultDrive, format).Save(pair.Value.Item4);
}
}
if (data.Count > 0)
{
//File.AppendAllLines(_convertedFilesFile, new[] { fileNameKey });
_convertedFiles.Add(fileNameKey);
_convertedPerTaskPoolFiles.Add(fileNameKey);
}
_logManager.Application.AddInfoLog("Завершена конвертация файла {0}.", fileName);
}
private void TryFlushData <TMessage>(IStorageRegistry registry, SecurityId securityId, StorageFormats format, object arg, List <TMessage> messages, QshReader reader)
where TMessage : Messages.Message
{
const int maxBufCount = 1000;
if (messages.Count <= maxBufCount)
{
return;
}
_logManager.Application.AddDebugLog("Файл прочитан на {1}%.", messages.Count, (reader.FilePosition * 100) / reader.FileSize);
registry.GetStorage(securityId, typeof(TMessage), arg, null, format).Save(messages);
messages.Clear();
}
private void ConvertFile(string fileName, IStorageRegistry registry, StorageFormats format, ExchangeBoard board, string securityLike)
{
if (!_isStarted)
{
return;
}
var fileNameKey = format + "_" + fileName;
if (_convertedFiles.Contains(fileNameKey))
{
return;
}
_logManager.Application.AddInfoLog("Конвертация файла {0}.", fileName);
var isExact = !securityLike.EndsWith("*");
const int maxBufCount = 1000;
var data = new Dictionary <Security, Tuple <List <QuoteChangeMessage>, List <ExecutionMessage>, List <Level1ChangeMessage>, List <ExecutionMessage> > >();
using (var qr = QshReader.Open(fileName))
{
var currentDate = qr.CurrentDateTime;
for (var i = 0; i < qr.StreamCount; i++)
{
var stream = (ISecurityStream)qr[i];
var security = GetSecurity(stream.Security, board);
var priceStep = security.PriceStep ?? 1;
var securityId = security.ToSecurityId();
var lastTransactionId = 0L;
if (!securityLike.IsEmpty() &&
(isExact
? !securityId.SecurityCode.CompareIgnoreCase(securityLike)
: !securityId.SecurityCode.ContainsIgnoreCase(securityLike)))
{
continue;
}
var secData = data.SafeAdd(security, key => Tuple.Create(new List <QuoteChangeMessage>(), new List <ExecutionMessage>(), new List <Level1ChangeMessage>(), new List <ExecutionMessage>()));
switch (stream.Type)
{
case StreamType.Stock:
{
((IStockStream)stream).Handler += (key, quotes, spread) =>
{
var quotes2 = quotes.Select(q =>
{
Sides side;
switch (q.Type)
{
case QuoteType.Unknown:
case QuoteType.Free:
case QuoteType.Spread:
throw new ArgumentException(q.Type.ToString());
case QuoteType.Ask:
case QuoteType.BestAsk:
side = Sides.Sell;
break;
case QuoteType.Bid:
case QuoteType.BestBid:
side = Sides.Buy;
break;
default:
throw new ArgumentOutOfRangeException();
}
return(new QuoteChange(side, priceStep * q.Price, q.Volume));
}).ToArray();
var md = new QuoteChangeMessage
{
SecurityId = securityId,
ServerTime = currentDate.ApplyTimeZone(TimeHelper.Moscow),
Bids = quotes2.Where(q => q.Side == Sides.Buy),
Asks = quotes2.Where(q => q.Side == Sides.Sell),
};
//if (md.Verify())
//{
secData.Item1.Add(md);
if (secData.Item1.Count > maxBufCount)
{
registry.GetQuoteMessageStorage(security, format: format).Save(secData.Item1);
secData.Item1.Clear();
}
//}
//else
// _logManager.Application.AddErrorLog("Стакан для {0} в момент {1} не прошел валидацию. Лучший бид {2}, Лучший офер {3}.", security, qr.CurrentDateTime, md.BestBid, md.BestAsk);
};
break;
}
case StreamType.Deals:
{
((IDealsStream)stream).Handler += deal =>
{
secData.Item2.Add(new ExecutionMessage
{
ExecutionType = ExecutionTypes.Tick,
SecurityId = securityId,
OpenInterest = deal.OI == 0 ? (long?)null : deal.OI,
ServerTime = deal.DateTime.ApplyTimeZone(TimeHelper.Moscow),
Volume = deal.Volume,
TradeId = deal.Id == 0 ? (long?)null : deal.Id,
TradePrice = (decimal)deal.Price,
OriginSide =
deal.Type == DealType.Buy
? Sides.Buy
: (deal.Type == DealType.Sell ? Sides.Sell : (Sides?)null)
});
if (secData.Item2.Count > maxBufCount)
{
registry.GetTickMessageStorage(security, format: format).Save(secData.Item2);
secData.Item2.Clear();
}
};
break;
}
case StreamType.OrdLog:
{
((IOrdLogStream)stream).Handler += (key, ol) =>
{
var currTransactionId = ol.DateTime.Ticks;
if (lastTransactionId < currTransactionId)
{
lastTransactionId = currTransactionId;
}
else if (lastTransactionId >= currTransactionId)
{
lastTransactionId++;
}
var msg = new ExecutionMessage
{
ExecutionType = ExecutionTypes.OrderLog,
SecurityId = securityId,
OpenInterest = ol.OI == 0 ? (long?)null : ol.OI,
OrderId = ol.OrderId,
OrderPrice = priceStep * ol.Price,
ServerTime = ol.DateTime.ApplyTimeZone(TimeHelper.Moscow),
Volume = ol.Amount,
Balance = ol.AmountRest,
TradeId = ol.DealId == 0 ? (long?)null : ol.DealId,
TradePrice = ol.DealPrice == 0 ? (decimal?)null : priceStep * ol.DealPrice,
TransactionId = lastTransactionId
};
var status = 0;
if (ol.Flags.Contains(OrdLogFlags.Add))
{
msg.OrderState = OrderStates.Active;
}
else if (ol.Flags.Contains(OrdLogFlags.Fill))
{
msg.OrderState = OrderStates.Done;
}
else if (ol.Flags.Contains(OrdLogFlags.Canceled))
{
msg.OrderState = OrderStates.Done;
status |= 0x200000;
}
else if (ol.Flags.Contains(OrdLogFlags.CanceledGroup))
{
msg.OrderState = OrderStates.Done;
status |= 0x400000;
}
else if (ol.Flags.Contains(OrdLogFlags.Moved))
{
status |= 0x100000;
}
if (ol.Flags.Contains(OrdLogFlags.Buy))
{
msg.Side = Sides.Buy;
}
else if (ol.Flags.Contains(OrdLogFlags.Sell))
{
msg.Side = Sides.Sell;
}
if (ol.Flags.Contains(OrdLogFlags.FillOrKill))
{
msg.TimeInForce = TimeInForce.MatchOrCancel;
status |= 0x00080000;
}
if (ol.Flags.Contains(OrdLogFlags.Quote))
{
msg.TimeInForce = TimeInForce.PutInQueue;
status |= 0x01;
}
if (ol.Flags.Contains(OrdLogFlags.Counter))
{
status |= 0x02;
}
if (ol.Flags.Contains(OrdLogFlags.CrossTrade))
{
status |= 0x20000000;
}
if (ol.Flags.Contains(OrdLogFlags.NonSystem))
{
msg.IsSystem = false;
status |= 0x04;
}
if (ol.Flags.Contains(OrdLogFlags.EndOfTransaction))
{
status |= 0x1000;
}
msg.OrderStatus = (OrderStatus)status;
secData.Item4.Add(msg);
if (secData.Item4.Count > maxBufCount)
{
registry.GetOrderLogMessageStorage(security, format: format).Save(secData.Item4);
secData.Item4.Clear();
}
};
break;
}
case StreamType.AuxInfo:
{
((IAuxInfoStream)stream).Handler += (key, info) =>
{
secData.Item3.Add(new Level1ChangeMessage
{
SecurityId = securityId,
ServerTime = info.DateTime.ApplyTimeZone(TimeHelper.Moscow),
}
.TryAdd(Level1Fields.LastTradePrice, priceStep * info.Price)
.TryAdd(Level1Fields.BidsVolume, (decimal)info.BidTotal)
.TryAdd(Level1Fields.AsksVolume, (decimal)info.AskTotal)
.TryAdd(Level1Fields.HighPrice, priceStep * info.HiLimit)
.TryAdd(Level1Fields.LowPrice, priceStep * info.LoLimit)
.TryAdd(Level1Fields.OpenInterest, (decimal)info.OI));
if (secData.Item3.Count > maxBufCount)
{
registry.GetLevel1MessageStorage(security, format: format).Save(secData.Item3);
secData.Item3.Clear();
}
};
break;
}
case StreamType.Orders:
case StreamType.Trades:
case StreamType.Messages:
case StreamType.None:
{
continue;
}
default:
throw new ArgumentOutOfRangeException("Неподдерживаемый тип потока {0}.".Put(stream.Type));
}
}
if (data.Count > 0)
{
while (qr.CurrentDateTime != DateTime.MaxValue && _isStarted)
{
qr.Read(true);
}
}
}
if (!_isStarted)
{
return;
}
foreach (var pair in data)
{
if (pair.Value.Item1.Any())
{
registry.GetQuoteMessageStorage(pair.Key, format: format).Save(pair.Value.Item1);
}
if (pair.Value.Item2.Any())
{
registry.GetTickMessageStorage(pair.Key, format: format).Save(pair.Value.Item2);
}
if (pair.Value.Item3.Any())
{
registry.GetLevel1MessageStorage(pair.Key, format: format).Save(pair.Value.Item3);
}
if (pair.Value.Item4.Any())
{
registry.GetOrderLogMessageStorage(pair.Key, format: format).Save(pair.Value.Item4);
}
}
if (data.Count > 0)
{
File.AppendAllLines(_convertedFilesFile, new[] { fileNameKey });
_convertedFiles.Add(fileNameKey);
}
}
private void ConvertFile(string file, string name)
{
//Все файлы всех бумаг для одного дня должны попасть в один общий commonDict
var qr = QshReader.Open(file);
var Quotes = new List <string>();
try
{
using (qr)
{
//waitHandler.WaitOne();
var reader = qr;
for (int i = 0; i < qr.StreamCount; i++)
{
var stream = (ISecurityStream)qr[i];
decimal priceStep = (decimal)stream.Security.Step; //Step – минимальный шаг цены инструмента.
switch (stream.Type)
{
case StreamType.OrdLog:
{
//IOrdLogStream s = (IOrdLogStream)qr[i];
//s.Handler += OrdLogHandler => {};
break;
}
case StreamType.Deals:
{
IDealsStream s = (IDealsStream)qr[i];
s.Handler += DealsHandler =>
{
Trade trade = new Trade()
{
Price = DealsHandler.Price * priceStep,
Id = DealsHandler.Id.ToString(),
Volume = DealsHandler.Volume,
Side = DealsHandler.Type.HasFlag(DealType.Buy) ? Side.Buy :
DealsHandler.Type.HasFlag(DealType.Sell) ? Side.Sell : Side.None,
Time = qr.CurrentDateTime.AddHours(3), //DealsHandler.DateTime, -- время записи стакана, а не биржевое время сделки
SecurityNameCode = name
};
if (!_commonDict.ContainsKey(qr.CurrentDateTime.Ticks))
{
_commonDict.Add(qr.CurrentDateTime.Ticks, new rowQshData(trade));
}
else
{
_commonDict[qr.CurrentDateTime.Ticks].trade.Add(trade);
}
};
break;
}
case StreamType.Quotes:
{
IQuotesStream quo = (IQuotesStream)qr[i];
quo.Handler += quotes =>
{
MarketDepth dept = new MarketDepth();
var asks = new List <MarketDepthLevel>();
asks = quotes.Where(x => x.Type == QuoteType.Ask | x.Type == QuoteType.BestAsk)
.Select(y => new MarketDepthLevel()
{
Price = y.Price * priceStep, Ask = y.Volume
})
.OrderBy(k => k.Price).ToList();
var bids = new List <MarketDepthLevel>();
bids = quotes.Where(x => x.Type == QuoteType.Bid | x.Type == QuoteType.BestBid)
.Select(y => new MarketDepthLevel()
{
Price = y.Price * priceStep, Bid = y.Volume
})
.OrderByDescending(k => k.Price).ToList();
dept.Asks = asks;
dept.Bids = bids;
dept.SecurityNameCode = name;
dept.Time = qr.CurrentDateTime.AddHours(3);
if (!_commonDict.ContainsKey(qr.CurrentDateTime.Ticks))
{
_commonDict.Add(qr.CurrentDateTime.Ticks, new rowQshData(dept));
}
else
{
_commonDict[qr.CurrentDateTime.Ticks].depth.Add(dept);
}
};
break;
}
case StreamType.AuxInfo:
{
IAuxInfoStream s = (IAuxInfoStream)qr[i];
s.Handler += S_Handler =>
{
var foo = S_Handler;
};
break;
}
case StreamType.OwnOrders:
case StreamType.OwnTrades:
case StreamType.Messages:
case StreamType.None:
{
continue;
}
default:
throw new ArgumentOutOfRangeException("Неподдерживаемый тип потока");
} // end switch
} // end for qr.StreamCount
Console.WriteLine();
Console.WriteLine("Processing...");
int lastPercent = -1;
while (qr.CurrentDateTime != DateTime.MaxValue) //тут срабатывает exception
{
// Выведем, какой процент исходного файла уже обработали. Если
// исходные файл сжат, то это значение может быть немного
// некорректно (особенно для небольших файлов), т.к. сжатый файл
// читается большими блоками.
int percent = (int)(100 * qr.FilePosition / qr.FileSize);
if (lastPercent != percent)
{
lastPercent = percent;
}
// Прочтем кадр исходного файла. Параметр push задает вызывать ли
// при этом обработчик или нет. После возврата из метода свойства
// qr.CurrentDateTime и qr.CurrentStreamIndex будут содержать
// значения для следующего кадра.
qr.Read(true);
}
Console.WriteLine("\rDone.");
//File.WriteAllLines(pathFolder + "OrdLog" + outputName, outputLines);
//outputLines.Clear();
}
}
catch (Exception u)
{
string exception = u.ToString();
}
finally
{
//// На этом все.
if (qr != null)
{
qr.Dispose();
}
//waitHandler.Set();
}
}