private IEnumerableEx <ExecutionMessage> GetTrades()
{
if (IsBuildFromOrderLog.IsChecked == true)
{
var orderLog = StorageRegistry
.GetExecutionStorage(SelectedSecurity, ExecutionTypes.OrderLog, Drive, StorageFormat)
.Load(From, To + TimeHelper.LessOneDay);
if (IsNonSystem.IsChecked == false)
{
orderLog = orderLog.Where(i => i.IsSystem != false).ToEx(orderLog.Count);
}
return(orderLog.ToTicks());
}
else
{
var trades = StorageRegistry
.GetExecutionStorage(SelectedSecurity, ExecutionTypes.Tick, Drive, StorageFormat)
.Load(From, To + TimeHelper.LessOneDay);
if (IsNonSystem.IsChecked == false)
{
trades = trades.Where(t => t.IsSystem != false).ToEx(trades.Count);
}
return(trades);
}
}
private IEnumerableEx <ExecutionMessage> GetExecutions()
{
var executions = StorageRegistry
.GetExecutionStorage(SelectedSecurity, ExecutionTypes.Order, Drive, StorageFormat)
.Load(From, To + TimeHelper.LessOneDay);
return(executions);
}
private IEnumerableEx <QuoteChangeMessage> GetDepths()
{
int maxDepth;
if (!int.TryParse(Depth.Text, out maxDepth))
{
maxDepth = int.MaxValue;
}
if (maxDepth <= 0)
{
maxDepth = 1;
}
var interval = TimeSpan.FromMilliseconds(DepthGenerationInterval.Value ?? 0);
switch (BuildFrom.SelectedIndex)
{
case 0:
{
var retVal = StorageRegistry
.GetQuoteMessageStorage(SelectedSecurity, Drive, StorageFormat)
.Load(From, To + TimeHelper.LessOneDay);
return(retVal
.Select(md =>
{
md.Bids = md.Bids.Take(maxDepth).ToArray();
md.Asks = md.Asks.Take(maxDepth).ToArray();
return md;
})
.WhereWithPrevious((prev, curr) => (curr.ServerTime - prev.ServerTime) >= interval)
.ToEx(retVal.Count));
}
case 1:
{
return(StorageRegistry
.GetExecutionStorage(SelectedSecurity, ExecutionTypes.OrderLog, Drive, StorageFormat)
.Load(From + new TimeSpan(18, 45, 0), To + TimeHelper.LessOneDay + new TimeSpan(18, 45, 0))
// TODO
.ToMarketDepths(OrderLogBuilders.Plaza2.CreateBuilder(SelectedSecurity.ToSecurityId()), interval, maxDepth));
}
case 2:
{
var level1 = StorageRegistry
.GetLevel1MessageStorage(SelectedSecurity, Drive, StorageFormat)
.Load(From, To + TimeHelper.LessOneDay);
return(level1.ToOrderBooks());
}
default:
throw new InvalidOperationException();
}
}
private IEnumerableEx <CandleMessage> GetCandles()
{
var from = From.Value;
var to = To.Value.EndOfDay();
switch (BuildFrom.SelectedIndex)
{
case 0:
return(StorageRegistry
.GetCandleMessageStorage(CandleSeries.CandleType.ToCandleMessageType(), CandleSeries.Security, CandleSeries.Arg, Drive, StorageFormat)
.Load(from, to));
case 1:
return(StorageRegistry
.GetExecutionStorage(SelectedSecurity, ExecutionTypes.Tick, Drive, StorageFormat)
.Load(from, to)
.ToCandles(CandleSeries));
case 2:
return(StorageRegistry
.GetExecutionStorage(SelectedSecurity, ExecutionTypes.OrderLog, Drive, StorageFormat)
.Load(from, to)
.ToTicks()
.ToCandles(CandleSeries));
case 3:
return(StorageRegistry
.GetQuoteMessageStorage(SelectedSecurity, Drive, StorageFormat)
.Load(from, to)
.ToCandles(CandleSeries));
case 4:
return(StorageRegistry
.GetExecutionStorage(SelectedSecurity, ExecutionTypes.OrderLog, Drive, StorageFormat)
.Load(from, to)
.ToMarketDepths(OrderLogBuilders.Plaza2.CreateBuilder(SelectedSecurity.ToSecurityId()))
.ToCandles(CandleSeries));
case 5:
return(StorageRegistry
.GetCandleMessageStorage(typeof(TimeFrameCandleMessage), SelectedSecurity, TimeSpan.FromMinutes(1), Drive, StorageFormat)
.Load(from, to)
.ToTrades(SelectedSecurity.VolumeStep ?? 1m)
.ToCandles(CandleSeries));
case 6:
return(StorageRegistry
.GetLevel1MessageStorage(SelectedSecurity, Drive, StorageFormat)
.Load(from, to)
.ToTicks()
.ToCandles(CandleSeries));
default:
throw new InvalidOperationException(LocalizedStrings.Str2874Params.Put(BuildFrom.SelectedIndex));
}
}
private IEnumerableEx<ExecutionMessage> GetOrderLog()
{
var orderLog = StorageRegistry
.GetExecutionStorage(SelectedSecurity, ExecutionTypes.OrderLog, Drive, StorageFormat)
.Load(From, To + TimeHelper.LessOneDay);
if (IsNonSystem.IsChecked == false)
orderLog = orderLog.Where(o => o.IsSystem != false).ToEx(orderLog.Count);
return orderLog;
}
private IEnumerableEx <ExecutionMessage> GetTrades()
{
switch (BuildFrom.SelectedIndex)
{
case 0:
{
var trades = StorageRegistry
.GetExecutionStorage(SelectedSecurity, ExecutionTypes.Tick, Drive, StorageFormat)
.Load(From, To + TimeHelper.LessOneDay);
if (IsNonSystem.IsChecked == false)
{
trades = trades.Where(t => t.IsSystem != false).ToEx(trades.Count);
}
return(trades);
}
case 1:
{
var orderLog = StorageRegistry
.GetExecutionStorage(SelectedSecurity, ExecutionTypes.OrderLog, Drive, StorageFormat)
.Load(From, To + TimeHelper.LessOneDay);
if (IsNonSystem.IsChecked == false)
{
orderLog = orderLog.Where(i => i.IsSystem != false).ToEx(orderLog.Count);
}
return(orderLog.ToTicks());
}
case 2:
{
var level1 = StorageRegistry
.GetLevel1MessageStorage(SelectedSecurity, Drive, StorageFormat)
.Load(From, To + TimeHelper.LessOneDay);
return(level1.ToTicks());
}
default:
throw new InvalidOperationException();
}
}
private IEnumerableEx <QuoteChangeMessage> GetDepths()
{
int maxDepth;
if (!int.TryParse(Depth.Text, out maxDepth))
{
maxDepth = int.MaxValue;
}
if (maxDepth <= 0)
{
maxDepth = 1;
}
var interval = TimeSpan.FromMilliseconds(DepthGenerationInterval.Value ?? 0);
if (IsBuildFromOrderLog.IsChecked == true)
{
return(StorageRegistry
.GetExecutionStorage(SelectedSecurity, ExecutionTypes.OrderLog, Drive, StorageFormat)
.Load(From + new TimeSpan(18, 45, 0), To + TimeHelper.LessOneDay + new TimeSpan(18, 45, 0))
.ToMarketDepths(interval, maxDepth));
}
var retVal = StorageRegistry
.GetQuoteMessageStorage(SelectedSecurity, Drive, StorageFormat)
.Load(From, To + TimeHelper.LessOneDay);
return(retVal
.Select(md =>
{
md.Bids = md.Bids.Take(maxDepth).ToArray();
md.Asks = md.Asks.Take(maxDepth).ToArray();
return md;
})
.WhereWithPrevious((prev, curr) => (curr.ServerTime - prev.ServerTime) >= interval)
.ToEx(retVal.Count));
}
