public CsvMarketDataSerializer(SecurityId securityId, ExecutionTypes?executionType, Encoding encoding = null)
{
if (securityId.IsDefault() && typeof(TData) != typeof(NewsMessage))
{
throw new ArgumentNullException("securityId");
}
SecurityId = securityId;
_executionType = executionType;
_encoding = encoding ?? Encoding.UTF8;
if (typeof(TData) == typeof(QuoteChangeMessage))
{
return;
}
_format = GetFormat(executionType).Put(_timeFormat);
var timeFormat = ":" + _timeFormat;
if (_isLevel1)
{
return;
}
_members = _info.SafeAdd(Tuple.Create(typeof(TData), executionType), key =>
_format
.Split(';')
.Select(s =>
MemberProxy.Create(typeof(TData),
s.Substring(1, s.Length - 2).Replace(timeFormat, string.Empty)))
.ToArray());
}
ISecurityRemoteExtendedStorage IRemoteExtendedStorage.GetSecurityStorage(SecurityId securityId)
{
if (securityId.IsDefault())
{
throw new ArgumentNullException(nameof(securityId));
}
return(_securityStorages.SafeAdd(securityId, key => new SecurityRemoteExtendedStorage(this, key)));
}
/// <summary>
/// Create storage for <see cref="IMarketDataStorage"/>.
/// </summary>
/// <param name="securityId">Security ID.</param>
/// <param name="dataType">Market data type.</param>
/// <param name="arg">The parameter associated with the <paramref name="dataType" /> type. For example, <see cref="CandleMessage.Arg"/>.</param>
/// <param name="format">Format type.</param>
/// <returns>Storage for <see cref="IMarketDataStorage"/>.</returns>
public override IMarketDataStorageDrive GetStorageDrive(SecurityId securityId, Type dataType, object arg, StorageFormats format)
{
if (securityId.IsDefault())
{
throw new ArgumentNullException("securityId");
}
return(_drives.SafeAdd(Tuple.Create(securityId, dataType, arg, format),
key => new LocalMarketDataStorageDrive(GetFileName(dataType, arg), GetSecurityPath(securityId), format, this)));
}
/// <summary>
/// Read instrument by identifier.
/// </summary>
/// <param name="securities">Instrument storage collection.</param>
/// <param name="securityId">Identifier.</param>
/// <returns>Instrument.</returns>
public static Security ReadBySecurityId(this IStorageEntityList <Security> securities, SecurityId securityId)
{
if (securities == null)
{
throw new ArgumentNullException(nameof(securities));
}
if (securityId.IsDefault())
{
throw new ArgumentNullException(nameof(securityId));
}
return(securities.ReadById(securityId.ToStringId()));
}
public LocalSecurityMarketDataStorage(LocalMarketDataStorage parent, SecurityId securityId)
{
if (parent == null)
{
throw new ArgumentNullException("parent");
}
if (securityId.IsDefault())
{
throw new ArgumentNullException("securityId");
}
_parent = parent;
_securityId = securityId;
}
/// <summary>
/// To get the path to the folder with market data for the instrument.
/// </summary>
/// <param name="securityId">Security ID.</param>
/// <returns>The path to the folder with market data.</returns>
public string GetSecurityPath(SecurityId securityId)
{
if (securityId.IsDefault())
{
throw new ArgumentNullException("securityId");
}
var id = securityId.ToStringId();
var folderName = id.SecurityIdToFolderName();
return(UseAlphabeticPath
? IOPath.Combine(Path, id.Substring(0, 1), folderName)
: IOPath.Combine(Path, folderName));
}
private void ProcessMessage(SecurityId adapterId, Message message)
{
adapterId.SetNativeId(null);
if (!adapterId.IsDefault())
{
var stockSharpId = Storage.TryGetStockSharpId(StorageName, adapterId);
if (stockSharpId != null)
{
message.ReplaceSecurityId(stockSharpId.Value);
}
}
base.OnInnerAdapterNewOutMessage(message);
}
/// <summary>
/// Initializes a new instance of the <see cref="CsvMarketDataSerializer{T}"/>.
/// </summary>
/// <param name="securityId">Security ID.</param>
/// <param name="executionType">The type of execution.</param>
/// <param name="candleArg">Candle arg.</param>
/// <param name="encoding">Encoding.</param>
public CsvMarketDataSerializer(SecurityId securityId, ExecutionTypes?executionType = null, object candleArg = null, Encoding encoding = null)
{
if (securityId.IsDefault() && !_isNews)
{
throw new ArgumentNullException(nameof(securityId));
}
SecurityId = securityId;
_executionType = executionType;
_candleArg = candleArg;
_encoding = encoding ?? _utf;
if (_isQuotes)
{
return;
}
_format = GetFormat(executionType).Replace(":{0}", ".UtcDateTime:" + _timeFormat);
if (_isLevel1)
{
return;
}
const string timeFormat = ":" + _timeFormat;
_members = _info.SafeAdd(Tuple.Create(typeof(TData), executionType), key =>
_format
.Split(';')
.Skip(_skipColumns)
.Select(s =>
MemberProxy.Create(typeof(TData),
s.Substring(1, s.Length - 2).Replace(timeFormat, string.Empty)))
.Concat(_isNews ? new[] { MemberProxy.Create(typeof(TData), "SecurityId") } : Enumerable.Empty <MemberProxy>())
.ToArray());
if (typeof(TData) == typeof(ExecutionMessage))
{
switch (executionType)
{
case ExecutionTypes.Tick:
case ExecutionTypes.OrderLog:
_toId = lines => lines[_skipColumns].To <long>();
break;
}
}
}
private void OnStorageMappingChanged(string storageName, SecurityId securityId, SecurityId adapterId)
{
if (!InnerAdapter.StorageName.CompareIgnoreCase(storageName))
{
return;
}
// if adapter code is empty means mapping removed
// also mapping can be changed (new adapter code for old security code)
_securityIds.RemoveByValue(securityId);
if (!adapterId.IsDefault())
{
_securityIds.Add(securityId, adapterId);
}
}
protected MarketDataStorage(SecurityId securityId, object arg, Func <TData, DateTimeOffset> getTime, Func <TData, SecurityId> getSecurityId, Func <TData, TId> getId, IMarketDataSerializer <TData> serializer, IMarketDataStorageDrive drive)
{
if (securityId.IsDefault())
{
throw new ArgumentException(LocalizedStrings.Str1025, nameof(securityId));
}
SecurityId = securityId;
AppendOnlyNew = true;
_getTime = getTime ?? throw new ArgumentNullException(nameof(getTime));
_getSecurityId = getSecurityId ?? throw new ArgumentNullException(nameof(getSecurityId));
_getId = getId ?? throw new ArgumentNullException(nameof(getId));
Drive = drive ?? throw new ArgumentNullException(nameof(drive));
Serializer = serializer ?? throw new ArgumentNullException(nameof(serializer));
_arg = arg;
}
private void ProcessMessage <TMessage>(SecurityId adapterId, TMessage message)
where TMessage : Message
{
if (!adapterId.IsDefault())
{
SecurityId?stockSharpId;
lock (_syncRoot)
stockSharpId = _securityIds.TryGetKey2(adapterId);
if (stockSharpId != null)
{
message.ReplaceSecurityId(stockSharpId.Value);
}
}
base.OnInnerAdapterNewOutMessage(message);
}
protected MarketDataStorage(SecurityId securityId, object arg, Func <TData, DateTimeOffset> getTime, Func <TData, SecurityId> getSecurityId, Func <TData, TId> getId, IMarketDataSerializer <TData> serializer, IMarketDataStorageDrive drive)
{
if (securityId.IsDefault())
{
throw new ArgumentException(LocalizedStrings.Str1025, "securityId");
}
if (getTime == null)
{
throw new ArgumentNullException("getTime");
}
if (getSecurityId == null)
{
throw new ArgumentNullException("getSecurityId");
}
if (getId == null)
{
throw new ArgumentNullException("getId");
}
if (serializer == null)
{
throw new ArgumentNullException("serializer");
}
if (drive == null)
{
throw new ArgumentNullException("drive");
}
SecurityId = securityId;
AppendOnlyNew = true;
_getTime = getTime;
_getSecurityId = getSecurityId;
_getId = getId;
Drive = drive;
Serializer = serializer;
_arg = arg;
}
public void CancelOrders(bool?isStopOrder, string portfolioName, Sides?side, SecurityId securityId, SecurityTypes?securityType)
{
_adapter.AddDebugLog("CancelOrders: stop={0}, portf={1}, side={2}, id={3}", isStopOrder, portfolioName, side, securityId);
var isBuySell = (side == null) ? null : side.Value.ToAlfaDirect();
var account = portfolioName.IsEmpty() ? null : portfolioName.AccountFromPortfolioName();
var pCode = securityId.SecurityCode.IsEmpty() ? null : securityId.SecurityCode;
var treaties = new List <string>();
var treaty = account.IsEmpty() ? null : account.TreatyFromAccount();
if (!treaty.IsEmpty())
{
treaties.Add(treaty);
}
else
{
var data = _tableAccounts.GetLocalDbData();
treaties.AddRange(data.Select(row => FieldsAccounts.Treaty.GetStrValue(row.ToColumns())));
}
if (!treaties.Any())
{
throw new InvalidOperationException(LocalizedStrings.Str2277Params.Put(portfolioName));
}
string placeCode = null;
if (!securityId.IsDefault())
{
placeCode = _adapter.SecurityClassInfo.GetSecurityClass(securityType, securityId.BoardCode);
if (placeCode == null)
{
throw new InvalidOperationException(LocalizedStrings.Str2278);
}
}
foreach (var t in treaties)
{
_ad.DropOrder(null, isBuySell, t, account, placeCode, pCode, -1);
}
}
protected MarketDataStorage(SecurityId securityId, object arg, Func <TMessage, DateTimeOffset> getTime, Func <TMessage, SecurityId> getSecurityId, Func <TMessage, TId> getId, IMarketDataSerializer <TMessage> serializer, IMarketDataStorageDrive drive, Func <TMessage, bool> isValid)
{
if (securityId.IsDefault())
{
throw new ArgumentException(LocalizedStrings.Str1025, nameof(securityId));
}
SecurityId = securityId;
AppendOnlyNew = true;
_dataType = DataType.Create(typeof(TMessage), arg);
_getTime = getTime ?? throw new ArgumentNullException(nameof(getTime));
_getSecurityId = getSecurityId ?? throw new ArgumentNullException(nameof(getSecurityId));
_getId = getId ?? throw new ArgumentNullException(nameof(getId));
Drive = drive ?? throw new ArgumentNullException(nameof(drive));
Serializer = serializer ?? throw new ArgumentNullException(nameof(serializer));
_isValid = isValid ?? throw new ArgumentNullException(nameof(isValid));
}
public RemoteStorageDrive(RemoteMarketDataDrive parent, SecurityId securityId, DataType dataType, StorageFormats format)
{
if (securityId.IsDefault())
{
throw new ArgumentNullException(nameof(securityId));
}
if (dataType == null)
{
throw new ArgumentNullException(nameof(dataType));
}
// TODO
//if (drive == null)
// throw new ArgumentNullException(nameof(drive));
_parent = parent ?? throw new ArgumentNullException(nameof(parent));
_securityId = securityId;
_dataType = dataType ?? throw new ArgumentNullException(nameof(dataType));
_format = format;
}
//#pragma warning disable 612
///// <summary>
///// Load settings.
///// </summary>
///// <param name="storage">Settings storage.</param>
//public override void Load(SettingsStorage storage)
//{
// base.Load(storage);
// UseAlphabeticPath = storage.GetValue<bool>(nameof(UseAlphabeticPath));
//}
///// <summary>
///// Save settings.
///// </summary>
///// <param name="storage">Settings storage.</param>
//public override void Save(SettingsStorage storage)
//{
// base.Save(storage);
// storage.SetValue(nameof(UseAlphabeticPath), UseAlphabeticPath);
//}
/// <summary>
/// To get the path to the folder with market data for the instrument.
/// </summary>
/// <param name="securityId">Security ID.</param>
/// <returns>The path to the folder with market data.</returns>
public string GetSecurityPath(SecurityId securityId)
{
if (securityId.IsDefault())
throw new ArgumentNullException(nameof(securityId));
var id = securityId.ToStringId();
var folderName = id.SecurityIdToFolderName();
return //UseAlphabeticPath
IOPath.Combine(Path, id.Substring(0, 1), folderName);
//: IOPath.Combine(Path, folderName);
}
/// <summary>
/// Process <see cref="MessageAdapterWrapper.InnerAdapter"/> output message.
/// </summary>
/// <param name="message">The message.</param>
protected override void OnInnerAdapterNewOutMessage(Message message)
{
switch (message.Type)
{
case MessageTypes.Connect:
{
var pairs = Storage.Get(InnerAdapter.StorageName);
lock (_syncRoot)
{
foreach (var tuple in pairs)
{
var securityCode = tuple.Item1;
var adapterCode = tuple.Item2;
_securityIds.Add(adapterCode, securityCode);
}
}
base.OnInnerAdapterNewOutMessage(message);
break;
}
case MessageTypes.Reset:
{
lock (_syncRoot)
{
_securityIds.Clear();
}
base.OnInnerAdapterNewOutMessage(message);
break;
}
case MessageTypes.Security:
{
var secMsg = (SecurityMessage)message;
var securityCode = secMsg.SecurityId.SecurityCode;
var boardCode = secMsg.SecurityId.BoardCode;
if (securityCode.IsEmpty() || boardCode.IsEmpty())
{
throw new InvalidOperationException();
}
var adapterId = new SecurityId
{
SecurityCode = securityCode,
BoardCode = boardCode
};
SecurityId securityId;
lock (_syncRoot)
securityId = _securityIds.TryGetValue(adapterId);
if (!adapterId.IsDefault())
{
secMsg.SecurityId = securityId;
}
base.OnInnerAdapterNewOutMessage(message);
break;
}
case MessageTypes.PositionChange:
{
var positionMsg = (PositionChangeMessage)message;
ProcessMessage(positionMsg.SecurityId, positionMsg);
break;
}
case MessageTypes.Execution:
{
var execMsg = (ExecutionMessage)message;
ProcessMessage(execMsg.SecurityId, execMsg);
break;
}
case MessageTypes.Level1Change:
{
var level1Msg = (Level1ChangeMessage)message;
ProcessMessage(level1Msg.SecurityId, level1Msg);
break;
}
case MessageTypes.QuoteChange:
{
var quoteChangeMsg = (QuoteChangeMessage)message;
ProcessMessage(quoteChangeMsg.SecurityId, quoteChangeMsg);
break;
}
case MessageTypes.CandleTimeFrame:
case MessageTypes.CandleRange:
case MessageTypes.CandlePnF:
case MessageTypes.CandleRenko:
case MessageTypes.CandleTick:
case MessageTypes.CandleVolume:
{
var candleMsg = (CandleMessage)message;
ProcessMessage(candleMsg.SecurityId, candleMsg);
break;
}
case MessageTypes.News:
{
var newsMsg = (NewsMessage)message;
if (newsMsg.SecurityId != null)
{
ProcessMessage(newsMsg.SecurityId.Value, newsMsg);
}
else
{
base.OnInnerAdapterNewOutMessage(message);
}
break;
}
default:
base.OnInnerAdapterNewOutMessage(message);
break;
}
}
public LocalMarketDataStorageDrive(LocalMarketDataDrive parent, SecurityId securityId, string fileName, StorageFormats format, IMarketDataDrive drive)
{
if (parent == null)
{
throw new ArgumentNullException("parent");
}
if (securityId.IsDefault())
{
throw new ArgumentNullException("securityId");
}
if (drive == null)
{
throw new ArgumentNullException("drive");
}
if (fileName.IsEmpty())
{
throw new ArgumentNullException("fileName");
}
_parent = parent;
_securityId = securityId;
_fileName = fileName;
_format = format;
_drive = drive;
_fileNameWithExtension = _fileName + GetExtension(_format);
_datesDict = new Lazy <CachedSynchronizedOrderedDictionary <DateTime, DateTime> >(() =>
{
var retVal = new CachedSynchronizedOrderedDictionary <DateTime, DateTime>();
var datesPath = GetDatesCachePath();
if (File.Exists(datesPath))
{
foreach (var date in LoadDates())
{
retVal.Add(date, date);
}
}
else
{
var rootDir = Path;
var dates = InteropHelper
.GetDirectories(rootDir)
.Where(dir => File.Exists(IOPath.Combine(dir, _fileNameWithExtension)))
.Select(dir => IOPath.GetFileName(dir).ToDateTime(_dateFormat));
foreach (var date in dates)
{
retVal.Add(date, date);
}
SaveDates(retVal.CachedValues);
}
return(retVal);
}).Track();
}
/// <summary>
/// Получить путь к папке с маркет-данными для инструмента.
/// </summary>
/// <param name="securityId">Идентификатор инструмента.</param>
/// <returns>Путь к папке с маркет-данными.</returns>
public string GetSecurityPath(SecurityId securityId)
{
if (securityId.IsDefault())
throw new ArgumentNullException("securityId");
var id = securityId.SecurityCode + "@" + securityId.BoardCode;
var folderName = id.SecurityIdToFolderName();
return UseAlphabeticPath
? IOPath.Combine(Path, id.Substring(0, 1), folderName)
: IOPath.Combine(Path, folderName);
}
/// <summary>
/// Создать хранилище для <see cref="IMarketDataStorage"/>.
/// </summary>
/// <param name="securityId">Идентификатор инструмента.</param>
/// <param name="dataType">Тип маркет-данных.</param>
/// <param name="arg">Параметр, ассоциированный с типом <paramref name="dataType"/>. Например, <see cref="CandleMessage.Arg"/>.</param>
/// <param name="format">Тип формата.</param>
/// <returns>Хранилище для <see cref="IMarketDataStorage"/>.</returns>
public override IMarketDataStorageDrive GetStorageDrive(SecurityId securityId, Type dataType, object arg, StorageFormats format)
{
if (securityId.IsDefault())
throw new ArgumentNullException("securityId");
return _drives.SafeAdd(Tuple.Create(securityId, dataType, arg, format),
key => new LocalMarketDataStorageDrive(CreateFileName(dataType, arg), GetSecurityPath(securityId), format, this));
}
public void CancelOrders(bool? isStopOrder, string portfolioName, Sides? side, SecurityId securityId, SecurityTypes? securityType)
{
_adapter.AddDebugLog("CancelOrders: stop={0}, portf={1}, side={2}, id={3}", isStopOrder, portfolioName, side, securityId);
var isBuySell = (side == null) ? null : side.Value.ToAlfaDirect();
var account = portfolioName.IsEmpty() ? null : portfolioName.AccountFromPortfolioName();
var pCode = securityId.SecurityCode.IsEmpty() ? null : securityId.SecurityCode;
var treaties = new List<string>();
var treaty = account.IsEmpty() ? null : account.TreatyFromAccount();
if (!treaty.IsEmpty())
treaties.Add(treaty);
else
{
var data = _tableAccounts.GetLocalDbData();
treaties.AddRange(data.Select(row => FieldsAccounts.Treaty.GetStrValue(row.ToColumns())));
}
if (!treaties.Any())
throw new InvalidOperationException(LocalizedStrings.Str2277Params.Put(portfolioName));
string placeCode = null;
if (!securityId.IsDefault())
{
placeCode = _adapter.SecurityClassInfo.GetSecurityClass(securityType, securityId.BoardCode);
if (placeCode == null)
throw new InvalidOperationException(LocalizedStrings.Str2278);
}
foreach (var t in treaties)
_ad.DropOrder(null, isBuySell, t, account, placeCode, pCode, -1);
}
