/// <summary>
/// Создать <see cref="RealTimeEmulationTrader{TUnderlyingTrader}"/>.
/// </summary>
/// <param name="underlyingConnector">Реальное подключение к торговой системе.</param>
/// <param name="portfolio">Портфель, который будет использоваться для выставления заявок. Если значение не задано, то будет создан портфель по умолчанию с названием Симулятор.</param>
/// <param name="ownTrader">Контролировать время жизни подключения <paramref name="underlyingConnector"/>.</param>
public RealTimeEmulationTrader(TUnderlyingConnector underlyingConnector, Portfolio portfolio, bool ownTrader = true)
{
if (underlyingConnector == null)
{
throw new ArgumentNullException("underlyingConnector");
}
if (portfolio == null)
{
throw new ArgumentNullException("portfolio");
}
UnderlyingConnector = underlyingConnector;
UpdateSecurityByLevel1 = false;
UpdateSecurityLastQuotes = false;
_portfolio = portfolio;
EntityFactory = new EmulationEntityFactory(_portfolio, underlyingConnector);
_ownTrader = ownTrader;
//MarketEmulator.Settings.UseMarketDepth = true;
Adapter.InnerAdapters.Add(UnderlyingConnector.MarketDataAdapter);
if (_ownTrader)
{
UnderlyingConnector.Log += RaiseLog;
}
}
/// <summary>
/// Initializes a new instance of the <see cref="RealTimeEmulationTrader{T}"/>.
/// </summary>
/// <param name="underlyngMarketDataAdapter"><see cref="IMessageAdapter"/>, through which market data will be got.</param>
/// <param name="portfolio">The portfolio to be used to register orders. If value is not given, the portfolio with default name Simulator will be created.</param>
/// <param name="ownAdapter">Track the connection <paramref name="underlyngMarketDataAdapter" /> lifetime.</param>
public RealTimeEmulationTrader(TUnderlyingMarketDataAdapter underlyngMarketDataAdapter, Portfolio portfolio, bool ownAdapter = true)
{
if (underlyngMarketDataAdapter == null)
{
throw new ArgumentNullException(nameof(underlyngMarketDataAdapter));
}
if (portfolio == null)
{
throw new ArgumentNullException(nameof(portfolio));
}
UnderlyngMarketDataAdapter = underlyngMarketDataAdapter;
UnderlyngMarketDataAdapter.RemoveTransactionalSupport();
UpdateSecurityByLevel1 = false;
UpdateSecurityLastQuotes = false;
_portfolio = portfolio;
EntityFactory = new EmulationEntityFactory(_portfolio);
_ownAdapter = ownAdapter;
//MarketEmulator.Settings.UseMarketDepth = true;
Adapter.InnerAdapters.Add(underlyngMarketDataAdapter);
if (_ownAdapter)
{
UnderlyngMarketDataAdapter.Log += RaiseLog;
}
Adapter.InnerAdapters.Add(EmulationAdapter);
}
/// <summary>
/// Initializes a new instance of the <see cref="HistoryEmulationConnector"/>.
/// </summary>
/// <param name="securityProvider">The provider of information about instruments.</param>
/// <param name="portfolios">Portfolios, the operation will be performed with.</param>
/// <param name="storageRegistry">Market data storage.</param>
public HistoryEmulationConnector(ISecurityProvider securityProvider, IEnumerable <Portfolio> portfolios, IStorageRegistry storageRegistry)
{
if (securityProvider == null)
{
throw new ArgumentNullException(nameof(securityProvider));
}
if (portfolios == null)
{
throw new ArgumentNullException(nameof(portfolios));
}
if (storageRegistry == null)
{
throw new ArgumentNullException(nameof(storageRegistry));
}
// чтобы каждый раз при повторной эмуляции получать одинаковые номера транзакций
TransactionIdGenerator = new IncrementalIdGenerator();
EntityFactory = new EmulationEntityFactory(securityProvider, portfolios);
RiskManager = null;
SupportBasketSecurities = true;
InMessageChannel = new HistoryEmulationMessageChannel(this);
OutMessageChannel = new PassThroughMessageChannel();
Adapter = new HistoryBasketMessageAdapter(this);
Adapter.InnerAdapters.Add(EmulationAdapter);
Adapter.InnerAdapters.Add(new HistoryMessageAdapter(TransactionIdGenerator, securityProvider)
{
StorageRegistry = storageRegistry
});
Adapter.LatencyManager = null;
Adapter.CommissionManager = null;
Adapter.PnLManager = null;
Adapter.SlippageManager = null;
// при тестировании по свечкам, время меняется быстрее и таймаут должен быть больше 30с.
//ReConnectionSettings.TimeOutInterval = TimeSpan.MaxValue;
//MaxMessageCount = 1000;
TradesKeepCount = 0;
Adapter.SupportCandlesCompression = false;
Adapter.SupportBuildingFromOrderLog = false;
Adapter.SupportPartialDownload = false;
Adapter.SupportLookupTracking = false;
Adapter.SupportOrderBookTruncate = false;
Adapter.ConnectDisconnectEventOnFirstAdapter = false;
}
/// <summary>
/// Initializes a new instance of the <see cref="HistoryEmulationConnector"/>.
/// </summary>
/// <param name="securityProvider">The provider of information about instruments.</param>
/// <param name="portfolios">Portfolios, the operation will be performed with.</param>
/// <param name="storageRegistry">Market data storage.</param>
public HistoryEmulationConnector(ISecurityProvider securityProvider, IEnumerable <Portfolio> portfolios, IStorageRegistry storageRegistry)
{
if (securityProvider == null)
{
throw new ArgumentNullException(nameof(securityProvider));
}
if (portfolios == null)
{
throw new ArgumentNullException(nameof(portfolios));
}
if (storageRegistry == null)
{
throw new ArgumentNullException(nameof(storageRegistry));
}
// чтобы каждый раз при повторной эмуляции получать одинаковые номера транзакций
TransactionIdGenerator = new IncrementalIdGenerator();
_initialMoney = portfolios.ToDictionary(pf => pf, pf => pf.BeginValue);
EntityFactory = new EmulationEntityFactory(securityProvider, _initialMoney.Keys);
RiskManager = null;
SupportSubscriptionTracking = true;
SupportBasketSecurities = true;
HistoryMessageAdapter = new HistoryMessageAdapter(TransactionIdGenerator, securityProvider)
{
StorageRegistry = storageRegistry
};
InMessageChannel = new HistoryEmulationMessageChannel(HistoryMessageAdapter, SendOutError);
OutMessageChannel = new PassThroughMessageChannel();
Adapter = new HistoryBasketMessageAdapter(this);
Adapter.InnerAdapters.Add(EmulationAdapter);
Adapter.InnerAdapters.Add(HistoryMessageAdapter);
Adapter.LatencyManager = null;
Adapter.CommissionManager = null;
Adapter.PnLManager = null;
Adapter.SlippageManager = null;
// при тестировании по свечкам, время меняется быстрее и таймаут должен быть больше 30с.
ReConnectionSettings.TimeOutInterval = TimeSpan.MaxValue;
//MaxMessageCount = 1000;
TradesKeepCount = 0;
RaiseConnectedOnFirstAdapter = false;
}
/// <summary>
/// Initializes a new instance of the <see cref="HistoryEmulationConnector"/>.
/// </summary>
/// <param name="securityProvider">The provider of information about instruments.</param>
/// <param name="portfolios">Portfolios, the operation will be performed with.</param>
/// <param name="storageRegistry">Market data storage.</param>
public HistoryEmulationConnector(ISecurityProvider securityProvider, IEnumerable <Portfolio> portfolios, IStorageRegistry storageRegistry)
{
if (securityProvider == null)
{
throw new ArgumentNullException("securityProvider");
}
if (portfolios == null)
{
throw new ArgumentNullException("portfolios");
}
if (storageRegistry == null)
{
throw new ArgumentNullException("storageRegistry");
}
// чтобы каждый раз при повторной эмуляции получать одинаковые номера транзакций
TransactionIdGenerator = new IncrementalIdGenerator();
_initialMoney = portfolios.ToDictionary(pf => pf, pf => pf.BeginValue);
EntityFactory = new EmulationEntityFactory(securityProvider, _initialMoney.Keys);
InMessageChannel = new PassThroughMessageChannel();
OutMessageChannel = new PassThroughMessageChannel();
LatencyManager = null;
RiskManager = null;
CommissionManager = null;
PnLManager = null;
SlippageManager = null;
_historyAdapter = new HistoryMessageAdapter(TransactionIdGenerator, securityProvider)
{
StorageRegistry = storageRegistry
};
_historyChannel = new InMemoryMessageChannel("History Out", SendOutError);
Adapter = new HistoryBasketMessageAdapter(this);
Adapter.InnerAdapters.Add(EmulationAdapter);
Adapter.InnerAdapters.Add(new ChannelMessageAdapter(_historyAdapter, new InMemoryMessageChannel("History In", SendOutError), _historyChannel));
// при тестировании по свечкам, время меняется быстрее и таймаут должен быть больше 30с.
ReConnectionSettings.TimeOutInterval = TimeSpan.MaxValue;
MaxMessageCount = 1000;
TradesKeepCount = 0;
}
/// <summary>
/// Создать <see cref="HistoryEmulationConnector"/>.
/// </summary>
/// <param name="securityProvider">Поставщик информации об инструментах.</param>
/// <param name="portfolios">Портфели, с которыми будет вестись работа.</param>
/// <param name="storageRegistry">Хранилище данных.</param>
public HistoryEmulationConnector(ISecurityProvider securityProvider, IEnumerable <Portfolio> portfolios, IStorageRegistry storageRegistry)
{
if (securityProvider == null)
{
throw new ArgumentNullException("securityProvider");
}
if (portfolios == null)
{
throw new ArgumentNullException("portfolios");
}
if (storageRegistry == null)
{
throw new ArgumentNullException("storageRegistry");
}
// чтобы каждый раз при повторной эмуляции получать одинаковые номера транзакций
TransactionIdGenerator = new IncrementalIdGenerator();
_initialMoney = portfolios.ToDictionary(pf => pf, pf => pf.BeginValue);
EntityFactory = new EmulationEntityFactory(securityProvider, _initialMoney.Keys);
_sessionHolder = new HistorySessionHolder(TransactionIdGenerator, securityProvider);
MarketDataAdapter = _marketDataAdapter = new HistoryMessageAdapter(_sessionHolder)
{
StorageRegistry = storageRegistry
};
_sessionHolder.MarketTimeChangedInterval = TimeSpan.FromSeconds(1);
// при тестировании по свечкам, время меняется быстрее и таймаут должен быть больше 30с.
_sessionHolder.ReConnectionSettings.TimeOutInterval = TimeSpan.MaxValue;
ApplyMessageProcessor(MessageDirections.In, true, true);
ApplyMessageProcessor(MessageDirections.Out, true, true, new NonThreadMessageProcessor(TransactionAdapter.InMessageProcessor));
((MessageAdapter <IMessageSessionHolder>)TransactionAdapter).SessionHolder = _sessionHolder;
}
/// <summary>
/// Initializes a new instance of the <see cref="HistoryEmulationConnector"/>.
/// </summary>
/// <param name="securityProvider">The provider of information about instruments.</param>
/// <param name="portfolios">Portfolios, the operation will be performed with.</param>
/// <param name="storageRegistry">Market data storage.</param>
public HistoryEmulationConnector(ISecurityProvider securityProvider, IEnumerable<Portfolio> portfolios, IStorageRegistry storageRegistry)
{
if (securityProvider == null)
throw new ArgumentNullException(nameof(securityProvider));
if (portfolios == null)
throw new ArgumentNullException(nameof(portfolios));
if (storageRegistry == null)
throw new ArgumentNullException(nameof(storageRegistry));
// чтобы каждый раз при повторной эмуляции получать одинаковые номера транзакций
TransactionIdGenerator = new IncrementalIdGenerator();
_initialMoney = portfolios.ToDictionary(pf => pf, pf => pf.BeginValue);
EntityFactory = new EmulationEntityFactory(securityProvider, _initialMoney.Keys);
InMessageChannel = new PassThroughMessageChannel();
OutMessageChannel = new PassThroughMessageChannel();
LatencyManager = null;
RiskManager = null;
CommissionManager = null;
PnLManager = null;
SlippageManager = null;
HistoryMessageAdapter = new HistoryMessageAdapter(TransactionIdGenerator, securityProvider) { StorageRegistry = storageRegistry };
_historyChannel = new InMemoryMessageChannel("History Out", SendOutError);
Adapter = new HistoryBasketMessageAdapter(this);
Adapter.InnerAdapters.Add(EmulationAdapter);
Adapter.InnerAdapters.Add(new ChannelMessageAdapter(HistoryMessageAdapter, new InMemoryMessageChannel("History In", SendOutError), _historyChannel));
// при тестировании по свечкам, время меняется быстрее и таймаут должен быть больше 30с.
ReConnectionSettings.TimeOutInterval = TimeSpan.MaxValue;
MaxMessageCount = 1000;
TradesKeepCount = 0;
}
