private void ProcessMarketDataMessage(MarketDataMessage message)
{
var securityId = message.SecurityId;
var security = SecurityProvider.LookupById(securityId);
if (security == null)
{
RaiseMarketDataMessage(message, new InvalidOperationException(LocalizedStrings.Str704Params.Put(securityId)));
return;
}
if (StorageRegistry == null)
{
RaiseMarketDataMessage(message, new InvalidOperationException(LocalizedStrings.Str1117Params.Put(message.DataType, securityId)));
return;
}
var history = message as HistorySourceMessage;
Exception error = null;
switch (message.DataType)
{
case MarketDataTypes.Level1:
{
if (message.IsSubscribe)
{
if (history == null)
{
BasketStorage.AddStorage(StorageRegistry.GetLevel1MessageStorage(security, Drive, StorageFormat));
BasketStorage.AddStorage(new InMemoryMarketDataStorage <ClearingMessage>(security, null, date => new[]
{
new ClearingMessage
{
LocalTime = date.Date + security.Board.ExpiryTime,
SecurityId = securityId,
ClearMarketDepth = true
}
}));
}
else
{
BasketStorage.AddStorage(new InMemoryMarketDataStorage <Level1ChangeMessage>(security, null, history.GetMessages));
}
}
else
{
BasketStorage.RemoveStorage <IMarketDataStorage <Level1ChangeMessage> >(security, MessageTypes.Level1Change, null);
BasketStorage.RemoveStorage <InMemoryMarketDataStorage <ClearingMessage> >(security, ExtendedMessageTypes.Clearing, null);
}
break;
}
case MarketDataTypes.MarketDepth:
{
if (message.IsSubscribe)
{
BasketStorage.AddStorage(history == null
? StorageRegistry.GetQuoteMessageStorage(security, Drive, StorageFormat)
: new InMemoryMarketDataStorage <QuoteChangeMessage>(security, null, history.GetMessages));
}
else
{
BasketStorage.RemoveStorage <IMarketDataStorage <QuoteChangeMessage> >(security, MessageTypes.QuoteChange, null);
}
break;
}
case MarketDataTypes.Trades:
{
if (message.IsSubscribe)
{
BasketStorage.AddStorage(history == null
? StorageRegistry.GetTickMessageStorage(security, Drive, StorageFormat)
: new InMemoryMarketDataStorage <ExecutionMessage>(security, null, history.GetMessages));
}
else
{
BasketStorage.RemoveStorage <IMarketDataStorage <ExecutionMessage> >(security, MessageTypes.Execution, ExecutionTypes.Tick);
}
break;
}
case MarketDataTypes.OrderLog:
{
if (message.IsSubscribe)
{
BasketStorage.AddStorage(history == null
? StorageRegistry.GetOrderLogMessageStorage(security, Drive, StorageFormat)
: new InMemoryMarketDataStorage <ExecutionMessage>(security, null, history.GetMessages));
}
else
{
BasketStorage.RemoveStorage <IMarketDataStorage <ExecutionMessage> >(security, MessageTypes.Execution, ExecutionTypes.OrderLog);
}
break;
}
case MarketDataTypes.CandleTimeFrame:
case MarketDataTypes.CandleTick:
case MarketDataTypes.CandleVolume:
case MarketDataTypes.CandleRange:
case MarketDataTypes.CandlePnF:
case MarketDataTypes.CandleRenko:
{
var msgType = message.DataType.ToCandleMessageType();
if (message.IsSubscribe)
{
var candleType = message.DataType.ToCandleMessage();
BasketStorage.AddStorage(history == null
? StorageRegistry.GetCandleMessageStorage(candleType, security, message.Arg, Drive, StorageFormat)
: new InMemoryMarketDataStorage <CandleMessage>(security, message.Arg, history.GetMessages, candleType));
}
else
{
BasketStorage.RemoveStorage <IMarketDataStorage <CandleMessage> >(security, msgType, message.Arg);
}
break;
}
default:
error = new InvalidOperationException(LocalizedStrings.Str1118Params.Put(message.DataType));
break;
}
RaiseMarketDataMessage(message, error);
}
protected override TimeSpan OnProcess()
{
var allSecurity = this.GetAllSecurity();
// если фильтр по инструментам выключен (выбран инструмент все инструменты)
IEnumerable <HydraTaskSecurity> selectedSecurities = (allSecurity != null
? this.ToHydraSecurities(EntityRegistry.Securities.Filter(ExchangeBoard.DukasCopy))
: Settings.Securities
).ToArray();
var source = new DukasCopySource();
if (_settings.UseTemporaryFiles != TempFiles.NotUse)
{
source.DumpFolder = GetTempPath();
}
if (selectedSecurities.IsEmpty())
{
this.AddWarningLog(LocalizedStrings.Str2289);
source.Refresh(EntityRegistry.Securities, new Security(), SaveSecurity, () => !CanProcess(false));
selectedSecurities = this.ToHydraSecurities(EntityRegistry.Securities.Filter(ExchangeBoard.DukasCopy));
}
if (selectedSecurities.IsEmpty())
{
this.AddWarningLog(LocalizedStrings.Str2292);
return(TimeSpan.MaxValue);
}
var startDate = _settings.StartFrom;
var endDate = DateTime.Today - TimeSpan.FromDays(_settings.DayOffset);
var allDates = startDate.Range(endDate, TimeSpan.FromDays(1)).ToArray();
foreach (var security in selectedSecurities)
{
if (!CanProcess())
{
break;
}
#region LoadTicks
if ((allSecurity ?? security).IsLevel1Enabled())
{
var storage = StorageRegistry.GetLevel1MessageStorage(security.Security, _settings.Drive, _settings.StorageFormat);
var emptyDates = allDates.Except(storage.Dates).ToArray();
if (emptyDates.IsEmpty())
{
this.AddInfoLog(LocalizedStrings.Str2293Params, security.Security.Id);
}
else
{
foreach (var emptyDate in emptyDates)
{
if (!CanProcess())
{
break;
}
try
{
this.AddInfoLog(LocalizedStrings.Str2294Params, emptyDate, security.Security.Id);
var ticks = source.LoadTickMessages(security.Security, emptyDate);
if (ticks.Any())
{
SaveLevel1Changes(security, ticks);
}
else
{
this.AddDebugLog(LocalizedStrings.NoData);
}
if (_settings.UseTemporaryFiles == TempFiles.UseAndDelete)
{
File.Delete(source.GetDumpFile(security.Security, emptyDate, emptyDate, typeof(Level1ChangeMessage), null));
}
}
catch (Exception ex)
{
HandleError(new InvalidOperationException(LocalizedStrings.Str2295Params
.Put(emptyDate, security.Security.Id), ex));
}
}
}
}
else
{
this.AddDebugLog(LocalizedStrings.MarketDataNotEnabled, security.Security.Id, typeof(Level1ChangeMessage).Name);
}
#endregion
if (!CanProcess())
{
break;
}
#region LoadCandles
foreach (var pair in (allSecurity ?? security).GetCandleSeries())
{
if (!CanProcess())
{
break;
}
if (pair.MessageType != typeof(TimeFrameCandleMessage))
{
this.AddWarningLog(LocalizedStrings.Str2296Params, pair);
continue;
}
var tf = (TimeSpan)pair.Arg;
var storage = StorageRegistry.GetCandleMessageStorage(pair.MessageType, security.Security, tf, _settings.Drive, _settings.StorageFormat);
var emptyDates = allDates.Except(storage.Dates).ToArray();
if (emptyDates.IsEmpty())
{
this.AddInfoLog(LocalizedStrings.Str2297Params, tf, security.Security.Id);
continue;
}
foreach (var emptyDate in emptyDates)
{
if (!CanProcess())
{
break;
}
try
{
this.AddInfoLog(LocalizedStrings.Str2298Params, tf, emptyDate, emptyDate, security.Security.Id);
var candles = source.LoadCandles(security.Security, tf, emptyDate, _settings.Side);
if (candles.Any())
{
SaveCandles(security, candles);
}
else
{
this.AddDebugLog(LocalizedStrings.NoData);
}
if (_settings.UseTemporaryFiles == TempFiles.UseAndDelete)
{
File.Delete(source.GetDumpFile(security.Security, emptyDate, emptyDate, typeof(TimeFrameCandleMessage), tf));
}
}
catch (Exception ex)
{
HandleError(new InvalidOperationException(LocalizedStrings.Str2299Params
.Put(tf, emptyDate, security.Security.Id), ex));
}
}
}
#endregion
}
if (CanProcess())
{
this.AddInfoLog(LocalizedStrings.Str2300);
}
return(base.OnProcess());
}
protected override TimeSpan OnProcess()
{
var hasSecurities = false;
this.AddInfoLog(LocalizedStrings.Str2306Params.Put(_settings.StartFrom));
foreach (var security in GetWorkingSecurities())
{
hasSecurities = true;
if (!CanProcess())
{
break;
}
//this.AddInfoLog("Обработка инструмента {0}. Конвертация {1}.".Put(security.Security.Id, mode));
IMarketDataStorage fromStorage;
IMarketDataStorage toStorage;
switch (_settings.ConvertMode)
{
case ConvertModes.OrderLogToTicks:
fromStorage = StorageRegistry.GetOrderLogMessageStorage(security.Security, _settings.Drive, _settings.StorageFormat);
toStorage = StorageRegistry.GetTickMessageStorage(security.Security, _settings.DestinationDrive, _settings.DestinationStorageFormat);
break;
case ConvertModes.OrderLogToDepths:
fromStorage = StorageRegistry.GetOrderLogMessageStorage(security.Security, _settings.Drive, _settings.StorageFormat);
toStorage = StorageRegistry.GetQuoteMessageStorage(security.Security, _settings.DestinationDrive, _settings.DestinationStorageFormat);
break;
case ConvertModes.OrderLogToCandles:
fromStorage = StorageRegistry.GetOrderLogMessageStorage(security.Security, _settings.Drive, _settings.StorageFormat);
toStorage = StorageRegistry.GetCandleMessageStorage(_settings.CandleSettings.CandleType.ToCandleMessageType(), security.Security, _settings.CandleSettings.Arg, _settings.DestinationDrive, _settings.DestinationStorageFormat);
break;
case ConvertModes.TicksToCandles:
fromStorage = StorageRegistry.GetTickMessageStorage(security.Security, _settings.Drive, _settings.StorageFormat);
toStorage = StorageRegistry.GetCandleMessageStorage(_settings.CandleSettings.CandleType.ToCandleMessageType(), security.Security, _settings.CandleSettings.Arg, _settings.DestinationDrive, _settings.DestinationStorageFormat);
break;
case ConvertModes.DepthsToCandles:
fromStorage = StorageRegistry.GetQuoteMessageStorage(security.Security, _settings.Drive, _settings.StorageFormat);
toStorage = StorageRegistry.GetCandleMessageStorage(_settings.CandleSettings.CandleType.ToCandleMessageType(), security.Security, _settings.CandleSettings.Arg, _settings.DestinationDrive, _settings.DestinationStorageFormat);
break;
default:
throw new ArgumentOutOfRangeException();
}
var from = fromStorage.GetFromDate();
var to = fromStorage.GetToDate();
if (from == null || to == null)
{
//this.AddInfoLog("Нет данных для конвертации.");
continue;
}
from = _settings.StartFrom.Max(from.Value);
to = (DateTime.Today - TimeSpan.FromDays(_settings.Offset)).Min(to.Value);
foreach (var date in from.Value.Range(to.Value, TimeSpan.FromDays(1)).Except(toStorage.Dates))
{
if (!CanProcess())
{
break;
}
this.AddInfoLog(LocalizedStrings.Str3786Params.Put(security.Security.Id, _settings.ConvertMode, date));
try
{
switch (_settings.ConvertMode)
{
case ConvertModes.OrderLogToTicks:
{
var ticks = ((IMarketDataStorage <ExecutionMessage>)fromStorage)
.Load(date)
.ToTicks();
toStorage.Save(ticks);
RaiseDataLoaded(security.Security, typeof(ExecutionMessage), ExecutionTypes.Tick, date, ticks.Count);
break;
}
case ConvertModes.OrderLogToDepths:
{
var depths = ((IMarketDataStorage <ExecutionMessage>)fromStorage)
.Load(date)
.ToMarketDepths(_settings.MarketDepthInterval, _settings.MarketDepthMaxDepth);
toStorage.Save(depths);
RaiseDataLoaded(security.Security, typeof(QuoteChangeMessage), null, date, depths.Count);
break;
}
case ConvertModes.OrderLogToCandles:
{
var candles = ((IMarketDataStorage <ExecutionMessage>)fromStorage)
.Load(date)
.ToTicks()
.ToCandles(new CandleSeries(_settings.CandleSettings.CandleType, security.Security, _settings.CandleSettings.Arg));
toStorage.Save(candles);
RaiseDataLoaded(security.Security, _settings.CandleSettings.CandleType, _settings.CandleSettings.Arg, date, candles.Count);
break;
}
case ConvertModes.TicksToCandles:
{
var candles = ((IMarketDataStorage <ExecutionMessage>)fromStorage)
.Load(date)
.ToCandles(new CandleSeries(_settings.CandleSettings.CandleType, security.Security, _settings.CandleSettings.Arg));
toStorage.Save(candles);
RaiseDataLoaded(security.Security, _settings.CandleSettings.CandleType, _settings.CandleSettings.Arg, date, candles.Count);
break;
}
case ConvertModes.DepthsToCandles:
{
var candles = ((IMarketDataStorage <QuoteChangeMessage>)fromStorage)
.Load(date)
.ToCandles(new CandleSeries(_settings.CandleSettings.CandleType, security.Security, _settings.CandleSettings.Arg));
toStorage.Save(candles);
RaiseDataLoaded(security.Security, _settings.CandleSettings.CandleType, _settings.CandleSettings.Arg, date, candles.Count);
break;
}
default:
throw new ArgumentOutOfRangeException();
}
}
catch (Exception ex)
{
HandleError(ex);
}
}
}
if (!hasSecurities)
{
this.AddWarningLog(LocalizedStrings.Str2292);
return(TimeSpan.MaxValue);
}
if (CanProcess())
{
this.AddInfoLog(LocalizedStrings.Str2300);
}
return(base.OnProcess());
}
private void LoadData(CandleSeries series)
{
_currCandle = null;
_historyLoaded = false;
_allCandles.Clear();
_candleTransform.Process(new ResetMessage());
_candleBuilder = series.CandleType.ToCandleMessageType().ToCandleMarketDataType().CreateCandleBuilder();
Chart.Reset(new IChartElement[] { _candleElement });
var storage = new StorageRegistry();
BusyIndicator.IsBusy = true;
var path = HistoryPath.Folder;
var isBuild = BuildFromTicks.IsChecked == true;
var format = Format.SelectedFormat;
var maxDays = (isBuild || series.CandleType != typeof(TimeFrameCandle))
? 5
: 30 * (int)((TimeSpan)series.Arg).TotalMinutes;
_mdMsg = series.ToMarketDataMessage(true);
Task.Factory.StartNew(() =>
{
var date = DateTime.MinValue;
if (isBuild)
{
foreach (var tick in storage.GetTickMessageStorage(series.Security, new LocalMarketDataDrive(path), format).Load())
{
_tradeGenerator.Process(tick);
if (_candleTransform.Process(tick))
{
var candles = _candleBuilder.Process(_mdMsg, _currCandle, _candleTransform);
lock (_lock)
{
foreach (var candle in candles)
{
_currCandle = candle;
_updatedCandles[candle.OpenTime] = Tuple.Create(candle, candle.State == CandleStates.Finished);
}
}
}
_lastTime = tick.ServerTime;
if (date != tick.ServerTime.Date)
{
date = tick.ServerTime.Date;
var str = date.To <string>();
this.GuiAsync(() => BusyIndicator.BusyContent = str);
maxDays--;
if (maxDays == 0)
{
break;
}
}
}
}
else
{
foreach (var candleMsg in storage.GetCandleMessageStorage(series.CandleType.ToCandleMessageType(), series.Security, series.Arg, new LocalMarketDataDrive(path), format).Load())
{
lock (_updatedCandles.SyncRoot)
{
_currCandle = candleMsg;
_updatedCandles[candleMsg.OpenTime] = Tuple.Create(candleMsg, true);
}
_lastTime = candleMsg.OpenTime;
if (candleMsg is TimeFrameCandleMessage)
{
_lastTime += (TimeSpan)series.Arg;
}
_tradeGenerator.Process(new ExecutionMessage
{
ExecutionType = ExecutionTypes.Tick,
SecurityId = series.Security.ToSecurityId(),
ServerTime = _lastTime,
TradePrice = candleMsg.ClosePrice,
});
if (date != candleMsg.OpenTime.Date)
{
date = candleMsg.OpenTime.Date;
var str = date.To <string>();
this.GuiAsync(() => BusyIndicator.BusyContent = str);
maxDays--;
if (maxDays == 0)
{
break;
}
}
}
}
_historyLoaded = true;
})
.ContinueWith(t =>
{
if (t.Exception != null)
{
Error(t.Exception.Message);
}
this.GuiAsync(() =>
{
BusyIndicator.IsBusy = false;
Chart.IsAutoRange = false;
//_areaComb.YAxises.First().AutoRange = false;
});
}, TaskScheduler.FromCurrentSynchronizationContext());
}
private void LoadData(CandleSeries series)
{
var msgType = series.CandleType.ToCandleMessageType();
_transactionId = _transactionIdGenerator.GetNextId();
_holder.Clear();
_holder.CreateCandleSeries(_transactionId, series);
_candleTransform.Process(new ResetMessage());
_candleBuilder = _builderProvider.Get(msgType);
var storage = new StorageRegistry();
//BusyIndicator.IsBusy = true;
var path = HistoryPath.Folder;
var isBuild = BuildFromTicks.IsChecked == true;
var format = Format.SelectedFormat;
var maxDays = (isBuild || series.CandleType != typeof(TimeFrameCandle))
? 2
: 30 * (int)((TimeSpan)series.Arg).TotalMinutes;
_mdMsg = series.ToMarketDataMessage(true);
Task.Factory.StartNew(() =>
{
var date = DateTime.MinValue;
if (isBuild)
{
foreach (var tick in storage.GetTickMessageStorage(series.Security.ToSecurityId(), new LocalMarketDataDrive(path), format).Load())
{
_tradeGenerator.Process(tick);
if (_candleTransform.Process(tick))
{
var candles = _candleBuilder.Process(_mdMsg, _currCandle, _candleTransform);
foreach (var candle in candles)
{
_currCandle = candle;
_updatedCandles.Add((CandleMessage)candle.Clone());
}
}
_lastTime = tick.ServerTime;
if (date != tick.ServerTime.Date)
{
date = tick.ServerTime.Date;
//var str = date.To<string>();
//this.GuiAsync(() => BusyIndicator.BusyContent = str);
maxDays--;
if (maxDays == 0)
{
break;
}
}
}
}
else
{
foreach (var candleMsg in storage.GetCandleMessageStorage(msgType, series.Security.ToSecurityId(), series.Arg, new LocalMarketDataDrive(path), format).Load())
{
if (candleMsg.State != CandleStates.Finished)
{
candleMsg.State = CandleStates.Finished;
}
_currCandle = candleMsg;
_updatedCandles.Add(candleMsg);
_lastTime = candleMsg.OpenTime;
if (candleMsg is TimeFrameCandleMessage)
{
_lastTime += (TimeSpan)series.Arg;
}
_tradeGenerator.Process(new ExecutionMessage
{
ExecutionType = ExecutionTypes.Tick,
SecurityId = series.Security.ToSecurityId(),
ServerTime = _lastTime,
TradePrice = candleMsg.ClosePrice,
});
if (date != candleMsg.OpenTime.Date)
{
date = candleMsg.OpenTime.Date;
//var str = date.To<string>();
//this.GuiAsync(() => BusyIndicator.BusyContent = str);
maxDays--;
if (maxDays == 0)
{
break;
}
}
}
}
_historyLoaded = true;
})
.ContinueWith(t =>
{
if (t.Exception != null)
{
Error(t.Exception.Message);
}
//BusyIndicator.IsBusy = false;
Chart.IsAutoRange = false;
ModifyAnnotationBtn.IsEnabled = true;
NewAnnotationBtn.IsEnabled = true;
}, TaskScheduler.FromCurrentSynchronizationContext());
}
protected override TimeSpan OnProcess()
{
var source = new FinamHistorySource();
if (_settings.UseTemporaryFiles != TempFiles.NotUse)
{
source.DumpFolder = GetTempPath();
}
var allSecurity = this.GetAllSecurity();
// если фильтр по инструментам выключен (выбран инструмент все инструменты)
var selectedSecurities = (allSecurity != null ? this.ToHydraSecurities(_finamSecurityStorage.Securities) : Settings.Securities).ToArray();
var hasNonFinam = selectedSecurities.Any(s => !IsFinam(s));
if (selectedSecurities.IsEmpty() || hasNonFinam)
{
this.AddWarningLog(selectedSecurities.IsEmpty()
? LocalizedStrings.Str2289
: LocalizedStrings.Str2290.Put("Finam"));
source.Refresh(_finamSecurityStorage, new Security(), SaveSecurity, () => !CanProcess(false));
selectedSecurities = (allSecurity != null ? this.ToHydraSecurities(_finamSecurityStorage.Securities) : Settings.Securities)
.Where(s =>
{
var retVal = IsFinam(s);
if (!retVal)
{
this.AddWarningLog(LocalizedStrings.Str2291Params, s.Security.Id, "Finam");
}
return(retVal);
}).ToArray();
}
if (!CanProcess())
{
return(base.OnProcess());
}
if (selectedSecurities.IsEmpty())
{
this.AddWarningLog(LocalizedStrings.Str2292);
return(TimeSpan.MaxValue);
}
var startDate = _settings.StartFrom;
var endDate = DateTime.Today - TimeSpan.FromDays(_settings.DayOffset);
var allDates = startDate.Range(endDate, TimeSpan.FromDays(1)).ToArray();
foreach (var security in selectedSecurities)
{
if (!CanProcess())
{
break;
}
#region LoadTrades
if ((allSecurity ?? security).IsTicksEnabled())
{
var storage = StorageRegistry.GetTradeStorage(security.Security, _settings.Drive, _settings.StorageFormat);
var emptyDates = allDates.Except(storage.Dates).ToArray();
if (emptyDates.IsEmpty())
{
this.AddInfoLog(LocalizedStrings.Str2293Params, security.Security.Id);
}
else
{
foreach (var emptyDate in emptyDates)
{
if (!CanProcess())
{
break;
}
if (_settings.IgnoreWeekends && !security.IsTradeDate(emptyDate))
{
this.AddDebugLog(LocalizedStrings.WeekEndDate, emptyDate);
continue;
}
try
{
this.AddInfoLog(LocalizedStrings.Str2294Params, emptyDate, security.Security.Id);
var trades = source.GetTicks(security.Security, emptyDate, emptyDate);
if (trades.Any())
{
SaveTicks(security, trades);
}
else
{
this.AddDebugLog(LocalizedStrings.NoData);
}
if (_settings.UseTemporaryFiles == TempFiles.UseAndDelete)
{
File.Delete(source.GetDumpFile(security.Security, emptyDate, emptyDate, typeof(ExecutionMessage), ExecutionTypes.Tick));
}
}
catch (Exception ex)
{
HandleError(new InvalidOperationException(LocalizedStrings.Str2295Params
.Put(emptyDate, security.Security.Id), ex));
}
}
}
}
else
{
this.AddDebugLog(LocalizedStrings.MarketDataNotEnabled, security.Security.Id, typeof(Trade).Name);
}
#endregion
if (!CanProcess())
{
break;
}
#region LoadCandles
foreach (var pair in (allSecurity ?? security).GetCandleSeries())
{
if (!CanProcess())
{
break;
}
if (pair.MessageType != typeof(TimeFrameCandleMessage))
{
this.AddWarningLog(LocalizedStrings.Str2296Params, pair);
continue;
}
var tf = (TimeSpan)pair.Arg;
var storage = StorageRegistry.GetCandleMessageStorage(pair.MessageType, security.Security, tf, _settings.Drive, _settings.StorageFormat);
var emptyDates = allDates.Except(storage.Dates).ToArray();
if (emptyDates.IsEmpty())
{
this.AddInfoLog(LocalizedStrings.Str2297Params, tf, security.Security.Id);
continue;
}
var currDate = emptyDates.First();
var lastDate = emptyDates.Last();
while (currDate <= lastDate)
{
if (!CanProcess())
{
break;
}
if (_settings.IgnoreWeekends && !security.IsTradeDate(currDate))
{
this.AddDebugLog(LocalizedStrings.WeekEndDate, currDate);
currDate = currDate.AddDays(1);
continue;
}
try
{
var till = currDate.AddDays(_settings.CandleDayStep - 1);
this.AddInfoLog(LocalizedStrings.Str2298Params, tf, currDate, till, security.Security.Id);
var candles = source.GetCandles(security.Security, tf, currDate, till);
if (candles.Any())
{
SaveCandles(security, candles);
}
else
{
this.AddDebugLog(LocalizedStrings.NoData);
}
if (_settings.UseTemporaryFiles == TempFiles.UseAndDelete)
{
File.Delete(source.GetDumpFile(security.Security, currDate, till, typeof(TimeFrameCandleMessage), tf));
}
currDate = currDate.AddDays(_settings.CandleDayStep);
}
catch (Exception ex)
{
HandleError(new InvalidOperationException(LocalizedStrings.Str2299Params
.Put(tf, currDate, security.Security.Id), ex));
}
}
}
#endregion
}
if (CanProcess())
{
this.AddInfoLog(LocalizedStrings.Str2300);
_settings.StartFrom = endDate;
SaveSettings();
}
return(base.OnProcess());
}
protected override TimeSpan OnProcess()
{
// если фильтр по инструментам выключен (выбран инструмент все инструменты)
if (this.GetAllSecurity() != null)
{
this.AddWarningLog(LocalizedStrings.Str2549);
return(TimeSpan.MaxValue);
}
if (_settings.IsRealTime)
{
return(base.OnProcess());
}
var startDate = _settings.StartFrom;
var endDate = DateTime.Today - TimeSpan.FromDays(_settings.Offset);
var allDates = startDate.Range(endDate, TimeSpan.FromDays(1)).ToArray();
var hasSecurities = false;
foreach (var security in GetWorkingSecurities())
{
hasSecurities = true;
if (!CanProcess())
{
break;
}
if (security.IsLevel1Enabled())
{
var tradeStorage = StorageRegistry.GetTickMessageStorage(security.Security, _settings.Drive, _settings.StorageFormat);
foreach (var date in allDates.Except(tradeStorage.Dates))
{
if (!CanProcess())
{
break;
}
if (_settings.IgnoreWeekends && !security.IsTradeDate(date))
{
this.AddDebugLog(LocalizedStrings.WeekEndDate, date);
continue;
}
this.AddInfoLog(LocalizedStrings.Str2294Params, date, security.Security.Id);
bool isSuccess;
var trades = ((IQFeedTrader)Connector).GetHistoricalLevel1(security.Security.ToSecurityId(), date, date.EndOfDay(), out isSuccess);
if (isSuccess)
{
if (trades.Any())
{
SaveLevel1Changes(security, trades);
}
else
{
this.AddDebugLog(LocalizedStrings.NoData);
}
}
else
{
this.AddErrorLog(LocalizedStrings.Str2550);
}
}
}
else
{
this.AddDebugLog(LocalizedStrings.MarketDataNotEnabled, security.Security.Id, typeof(Level1ChangeMessage).Name);
}
foreach (var series in security.GetCandleSeries())
{
if (!CanProcess())
{
break;
}
if (series.MessageType != typeof(TimeFrameCandleMessage))
{
this.AddWarningLog(LocalizedStrings.Str2296Params, series);
continue;
}
var tf = (TimeSpan)series.Arg;
var candleStorage = StorageRegistry.GetCandleMessageStorage(series.MessageType, security.Security, tf, _settings.Drive, _settings.StorageFormat);
var emptyDates = allDates.Except(candleStorage.Dates).ToArray();
if (emptyDates.IsEmpty())
{
this.AddInfoLog(LocalizedStrings.Str2297Params, tf, security.Security.Id);
continue;
}
var currDate = emptyDates.First();
var lastDate = emptyDates.Last();
while (currDate <= lastDate)
{
if (!CanProcess())
{
break;
}
if (_settings.IgnoreWeekends && !security.IsTradeDate(currDate))
{
this.AddDebugLog(LocalizedStrings.WeekEndDate, currDate);
currDate = currDate.AddDays(1);
continue;
}
var till = currDate.AddDays(_settings.CandleDayStep - 1).EndOfDay();
this.AddInfoLog(LocalizedStrings.Str2298Params, series, currDate, till, security.Security.Id);
bool isSuccess;
var candles = ((IQFeedTrader)Connector).GetHistoricalCandles(security.Security, series.MessageType, tf, currDate, till, out isSuccess);
if (isSuccess)
{
if (candles.Any())
{
SaveCandles(security, candles);
}
else
{
this.AddDebugLog(LocalizedStrings.NoData);
}
}
else
{
this.AddErrorLog(LocalizedStrings.Str2550);
}
currDate = currDate.AddDays(_settings.CandleDayStep);
}
}
}
if (!hasSecurities)
{
this.AddWarningLog(LocalizedStrings.Str2292);
return(TimeSpan.MaxValue);
}
if (CanProcess())
{
this.AddInfoLog(LocalizedStrings.Str2300);
_settings.StartFrom = endDate;
SaveSettings();
}
return(_settings.Interval);
}
private void ProcessMarketDataMessage(MarketDataMessage message)
{
var security = SecurityProvider.LookupById(message.SecurityId.SecurityCode + "@" + message.SecurityId.BoardCode);
if (security == null)
{
RaiseMarketDataMessage(message, new InvalidOperationException(LocalizedStrings.Str704Params.Put(message.SecurityId)));
return;
}
if (StorageRegistry == null)
{
RaiseMarketDataMessage(message, new InvalidOperationException(LocalizedStrings.Str1117Params.Put(message.DataType, message.SecurityId)));
return;
}
Exception error = null;
switch (message.DataType)
{
case MarketDataTypes.Level1:
{
if (message.IsSubscribe)
{
BasketStorage.InnerStorages.Add(StorageRegistry.GetLevel1MessageStorage(security, Drive, StorageFormat));
BasketStorage.InnerStorages.Add(new InMemoryMarketDataStorage <ClearingMessage>(date => new[]
{
new ClearingMessage
{
LocalTime = date.Date + security.Board.ExpiryTime,
SecurityId = message.SecurityId,
ClearMarketDepth = true
}
}));
}
else
{
RemoveStorage <IMarketDataStorage <Level1ChangeMessage> >(security, MessageTypes.Level1Change, message.Arg);
RemoveStorage <InMemoryMarketDataStorage <ClearingMessage> >(security, ExtendedMessageTypes.Clearing, message.Arg);
}
break;
}
case MarketDataTypes.MarketDepth:
{
if (message.IsSubscribe)
{
BasketStorage.InnerStorages.Add((IMarketDataStorage <QuoteChangeMessage>)StorageRegistry.GetMarketDepthStorage(security, Drive, StorageFormat));
}
else
{
RemoveStorage <IMarketDataStorage <QuoteChangeMessage> >(security, MessageTypes.QuoteChange, message.Arg);
}
break;
}
case MarketDataTypes.Trades:
{
if (message.IsSubscribe)
{
BasketStorage.InnerStorages.Add((IMarketDataStorage <ExecutionMessage>)StorageRegistry.GetTradeStorage(security, Drive, StorageFormat));
}
else
{
RemoveStorage <IMarketDataStorage <ExecutionMessage> >(security, MessageTypes.Execution, message.Arg);
}
break;
}
case MarketDataTypes.OrderLog:
{
if (message.IsSubscribe)
{
BasketStorage.InnerStorages.Add((IMarketDataStorage <ExecutionMessage>)StorageRegistry.GetOrderLogStorage(security, Drive, StorageFormat));
}
else
{
RemoveStorage <IMarketDataStorage <ExecutionMessage> >(security, MessageTypes.Execution, message.Arg);
}
break;
}
case MarketDataTypes.CandleTimeFrame:
case MarketDataTypes.CandleTick:
case MarketDataTypes.CandleVolume:
case MarketDataTypes.CandleRange:
case MarketDataTypes.CandlePnF:
case MarketDataTypes.CandleRenko:
{
Type candleMessageType;
MessageTypes msgType;
switch (message.DataType)
{
case MarketDataTypes.CandleTimeFrame:
msgType = MessageTypes.CandleTimeFrame;
candleMessageType = typeof(TimeFrameCandleMessage);
break;
case MarketDataTypes.CandleTick:
msgType = MessageTypes.CandleTick;
candleMessageType = typeof(TickCandleMessage);
break;
case MarketDataTypes.CandleVolume:
msgType = MessageTypes.CandleVolume;
candleMessageType = typeof(VolumeCandleMessage);
break;
case MarketDataTypes.CandleRange:
msgType = MessageTypes.CandleRange;
candleMessageType = typeof(RangeCandleMessage);
break;
case MarketDataTypes.CandlePnF:
msgType = MessageTypes.CandlePnF;
candleMessageType = typeof(PnFCandleMessage);
break;
case MarketDataTypes.CandleRenko:
msgType = MessageTypes.CandleRenko;
candleMessageType = typeof(RenkoCandleMessage);
break;
default:
throw new InvalidOperationException();
}
if (message.IsSubscribe)
{
BasketStorage.InnerStorages.Add(StorageRegistry.GetCandleMessageStorage(candleMessageType, security, message.Arg, Drive, StorageFormat));
}
else
{
RemoveStorage <IMarketDataStorage <CandleMessage> >(security, msgType, message.Arg);
}
break;
}
default:
error = new InvalidOperationException(LocalizedStrings.Str1118Params.Put(message.DataType));
break;
}
RaiseMarketDataMessage(message, error);
}
protected override TimeSpan OnProcess()
{
var allSecurity = this.GetAllSecurity();
var source = new GoogleHistorySource();
var startDate = _settings.StartFrom;
var endDate = DateTime.Today - TimeSpan.FromDays(_settings.DayOffset);
var allDates = startDate.Range(endDate, TimeSpan.FromDays(1)).ToArray();
var hasSecurities = false;
foreach (var security in GetWorkingSecurities())
{
hasSecurities = true;
if (!CanProcess())
{
break;
}
foreach (var pair in (allSecurity ?? security).GetCandleSeries())
{
if (!CanProcess())
{
break;
}
if (pair.MessageType != typeof(TimeFrameCandleMessage))
{
this.AddWarningLog(LocalizedStrings.Str2296Params, pair);
continue;
}
var tf = (TimeSpan)pair.Arg;
var storage = StorageRegistry.GetCandleMessageStorage(pair.MessageType, security.Security, tf, _settings.Drive, _settings.StorageFormat);
var emptyDates = allDates.Except(storage.Dates).ToArray();
if (emptyDates.IsEmpty())
{
this.AddInfoLog(LocalizedStrings.Str2297Params, tf, security.Security.Id);
continue;
}
var currDate = emptyDates.First();
var lastDate = emptyDates.Last();
while (currDate <= lastDate)
{
if (!CanProcess())
{
break;
}
if (_settings.IgnoreWeekends && !security.IsTradeDate(currDate))
{
this.AddDebugLog(LocalizedStrings.WeekEndDate, currDate);
currDate = currDate.AddDays(1);
continue;
}
try
{
var till = currDate + TimeSpan.FromDays(_settings.CandleDayStep).Max(tf);
this.AddInfoLog(LocalizedStrings.Str2298Params, tf, currDate, till, security.Security.Id);
var candles = source.GetCandles(security.Security, tf, currDate, till);
if (candles.Any())
{
SaveCandles(security, candles);
}
else
{
this.AddDebugLog(LocalizedStrings.NoData);
}
}
catch (Exception ex)
{
HandleError(new InvalidOperationException(LocalizedStrings.Str2299Params
.Put(tf, currDate, security.Security.Id), ex));
}
currDate = currDate.AddDays(_settings.CandleDayStep);
}
}
}
if (!hasSecurities)
{
this.AddWarningLog(LocalizedStrings.Str2292);
return(TimeSpan.MaxValue);
}
if (CanProcess())
{
this.AddInfoLog(LocalizedStrings.Str2300);
}
return(base.OnProcess());
}