private async void StreamingEventReceivedHandler(object sender, StreamingEventReceivedEventArgs args)
{
if (args.Response is OrderbookResponse response)
{
var ticker = _tickersByFigi[response.Payload.Figi];
if (!Quotes.ContainsKey(ticker))
{
Debug.WriteLine($"Received unexpected Tinkoff orderbook for ticker \"{ticker}\"");
var request = StreamingRequest.UnsubscribeOrderbook(response.Payload.Figi, StockQuoteDepth);
await _context.SendStreamingRequestAsync(request).ConfigureAwait(false);
return;
}
var quote = Quotes[ticker];
if (response.Payload.Bids.Count > 0)
{
quote.TinkoffBidPrice = response.Payload.Bids[0][0];
quote.TinkoffBidSize = response.Payload.Bids[0][1];
}
if (response.Payload.Asks.Count > 0)
{
quote.TinkoffAskPrice = response.Payload.Asks[0][0];
quote.TinkoffAskSize = response.Payload.Asks[0][1];
}
quote.TinkoffMarketPrice =
(quote.TinkoffBidPrice * quote.TinkoffBidSize + quote.TinkoffAskPrice * quote.TinkoffAskSize) /
(quote.TinkoffBidSize + quote.TinkoffAskSize);
quote.TinkoffUpdatedAt = response.Time;
quote.LongDelta = quote.BidPrice - quote.TinkoffAskPrice;
quote.ShortDelta = quote.TinkoffBidPrice - quote.AskPrice;
quote.LongDeltaPercent = quote.LongDelta * 100 / quote.TinkoffMarketPrice;
quote.ShortDeltaPercent = quote.ShortDelta * 100 / quote.TinkoffMarketPrice;
}
}
private void StreamingEventReceivedHandler(object sender, StreamingEventReceivedEventArgs args)
{
switch (args.Response)
{
case CandleResponse response:
var ticker = _tickersByFigi[response.Payload.Figi];
var currentValue = (double)response.Payload.Close;
var previousValue = (double?)null;
if (!Candles.ContainsKey(ticker))
{
Candles[ticker] = response.Payload;
}
else
{
previousValue = (double?)Candles[ticker].Close;
}
if (!NextSignalTime.ContainsKey(ticker) || NextSignalTime[ticker] < DateTime.UtcNow)
{
var signalValue = GetSignalValue(currentValue, previousValue);
if (signalValue.HasValue)
{
RaiseSendingSignalEvent(ticker, signalValue.Value);
}
}
break;
case StreamingErrorResponse response:
_logger.LogError("Error response received: {StreamingErrorResponse}", response);
break;
default:
_logger.LogError("Received unrecognized type of streaming response. {StreamingResponse}", args.Response);
break;
}
}
private void _sandboxContext_StreamingEventReceived(object sender, StreamingEventReceivedEventArgs e)
{
StreamingEventReceived(sender, e);
}
private async void Broker_StreamingEventReceived(object sender, StreamingEventReceivedEventArgs e)
{
Debug.WriteLine(JsonConvert.SerializeObject(e.Response));
switch (e.Response)
{
case CandleResponse cr:
{
_lastEventReceived = DateTime.Now;
var candle = cr.Payload;
var stock = _tradingVM.Stocks.FirstOrDefault(s => s.Figi == candle.Figi);
if (stock != null)
{
stock.IsNotifying = false;
if (candle.Interval == CandleInterval.Day)
{
stock.TodayOpen = candle.Open;
stock.TodayDate = candle.Time;
stock.LastUpdate = DateTime.Now;
stock.Price = candle.Close;
if (stock.TodayOpen > 0)
{
stock.DayChange = (stock.Price - stock.TodayOpen) / stock.TodayOpen;
}
stock.DayVolume = candle.Volume;
Interlocked.Increment(ref _refreshPendingCount);
// отписываемся от дневного апдейта и подписываемся на 5минутную свечу
QueueBrokerAction(b => b.SendStreamingRequestAsync(
UnsubscribeCandle(stock.Figi, CandleInterval.Day)),
$"Отписка от часовой свечи {stock.Ticker} ({stock.Figi})");
QueueBrokerAction(b => b.SendStreamingRequestAsync(
SubscribeCandle(stock.Figi, CandleInterval.Minute)),
$"Подписка на минутную свечу {stock.Ticker} ({stock.Figi})");
}
#region 5min code
//else if (candle.Interval == CandleInterval.FiveMinutes)
//{
// if (candle.Time.Date > stock.TodayDate)
// {
// QueueBrokerAction(b => b.SendStreamingRequestAsync(
// UnsubscribeCandle(stock.Figi, CandleInterval.FiveMinutes)),
// $"Отписка от 5-ти минутной свечи {stock.Ticker} ({stock.Figi})");
// QueueBrokerAction(b => b.SendStreamingRequestAsync(
// SubscribeCandle(stock.Figi, CandleInterval.Day)),
// $"Подписка на дневную свечу {stock.Ticker} ({stock.Figi})");
// break;
// }
// var change = (candle.Close - candle.Open) / candle.Open;
// stock.Price = candle.Close;
// stock.LastUpdate = DateTime.Now;
// if (stock.TodayOpen > 0)
// stock.DayChange = (stock.Price - stock.TodayOpen) / stock.TodayOpen;
// if (stock.DayChange > (decimal)0.05
// && (stock.LastAboveThreshholdDate == null
// || stock.LastAboveThreshholdDate.Value.Date < stock.LastUpdate.Date))
// {
// stock.LastAboveThreshholdDate = stock.LastUpdate;
// var infoReq = StreamingRequest.SubscribeInstrumentInfo(stock.Figi);
// QueueBrokerAction(b => b.SendStreamingRequestAsync(infoReq),
// $"Подписка на статус инструмента {stock.Ticker} ({stock.Figi})");
// //if (stock.MonthVolume == 0)
// //await GetMonthStats(stock);
// //_telegram.PostMessage(stock.GetChangeInfoText());
// //_telegram.PostMessage($"Цена {stock.Ticker} изменилась на {stock.DayChange:P2} с начала дня. Объем (5 минут): {candle.Volume}" +
// // $"\r\nЦена на начало дня: {stock.TodayOpenF}, Текущая: {stock.PriceF}");
// _uiContext.Post(obj => {
// _tradingVM.Messages.Add(new MessageViewModel
// {
// Ticker = stock.Ticker,
// Date = DateTime.Now,
// Change = stock.DayChange,
// Volume = candle.Volume,
// Text = $"Цена {stock.Ticker} изменилась на {stock.DayChange:P2} с начала дня."
// });
// }, null);
// Interlocked.Increment(ref _refreshPendingCount);
// }
// if ((change > (decimal)0.05 || change < (decimal)-0.05) && (stock.LastAboveThreshholdCandleTime == null
// || stock.LastAboveThreshholdCandleTime < candle.Time))
// {
// stock.LastAboveThreshholdCandleTime = candle.Time;
// if (stock.MonthVolume == 0)
// await GetMonthStats(stock);
// _telegram.PostMessage(stock.GetFiveMinChangeInfoText());
// //_telegram.PostMessage($"Цена {stock.Ticker} изменилась на {change:P2} за 5 минут. Объем за 5 минут: {candle.Volume}" +
// // $"\r\nКурс на начало дня: {stock.TodayOpenF}, Текущий: {stock.PriceF}, Изменение за день: {stock.DayChangeF}");
// _uiContext.Post(obj => {
// _tradingVM.Messages.Add(new MessageViewModel
// {
// Ticker = stock.Ticker,
// Date = DateTime.Now,
// Change = change,
// Volume = candle.Volume,
// Text = $"Цена {stock.Ticker} изменилась на {change:P2} за 5 минут."
// });
// }, null);
// Interlocked.Increment(ref _refreshPendingCount);
// }
// QueueBrokerAction(b => b.SendStreamingRequestAsync(
// UnsubscribeCandle(stock.Figi, CandleInterval.FiveMinutes)),
// $"Отписка от 5-ти минутной свечи {stock.Ticker} ({stock.Figi})");
// QueueBrokerAction(b => b.SendStreamingRequestAsync(
// SubscribeCandle(stock.Figi, CandleInterval.Minute)),
// $"Подписка на минутную свечу {stock.Ticker} ({stock.Figi})");
//}
#endregion
else if (candle.Interval == CandleInterval.Minute)
{
if (candle.Time.Date > stock.TodayDate)
{
QueueBrokerAction(b => b.SendStreamingRequestAsync(
UnsubscribeCandle(stock.Figi, CandleInterval.Minute)),
$"Отписка от минутной свечи {stock.Ticker} ({stock.Figi})");
QueueBrokerAction(b => b.SendStreamingRequestAsync(
SubscribeCandle(stock.Figi, CandleInterval.Day)),
$"Подписка на дневную свечу {stock.Ticker} ({stock.Figi})");
break;
}
stock.Price = candle.Close;
if (stock.TodayOpen > 0)
{
stock.DayChange = (stock.Price - stock.TodayOpen) / stock.TodayOpen;
}
stock.LastUpdate = DateTime.Now;
stock.LogCandle(candle);
if (TradeBot != null)
{
await TradeBot.Check(stock);
}
if (stock.DayChange > DayChangeTrigger &&
(stock.LastAboveThreshholdDate == null ||
stock.LastAboveThreshholdDate.Value.Date < stock.LastUpdate.Date))
{
stock.LastAboveThreshholdDate = stock.LastUpdate;
var infoReq = StreamingRequest.SubscribeInstrumentInfo(stock.Figi);
QueueBrokerAction(b => b.SendStreamingRequestAsync(infoReq),
$"Подписка на статус инструмента {stock.Ticker} ({stock.Figi})");
if (IsTelegramEnabled)
{
_telegram.PostMessage(stock.GetDayChangeInfoText(), stock.Ticker);
}
BackgroundInvoke(() =>
{
_tradingVM.Messages.Add(new MessageViewModel
{
Ticker = stock.Ticker,
Date = DateTime.Now,
Change = stock.DayChange,
Volume = candle.Volume,
Text = $"Цена {stock.Ticker} изменилась на {stock.DayChange:P2} с начала дня."
});
});
Interlocked.Increment(ref _refreshPendingCount);
}
var change = stock.GetLast10MinChange(TenMinChangeTrigger);
if (Math.Abs(change.change) > TenMinChangeTrigger && stock.DayChange > TenMinChangeTrigger && (stock.LastAboveThreshholdCandleTime == null ||
stock.LastAboveThreshholdCandleTime < candle.Time.AddMinutes(-change.minutes)))
{
stock.LastAboveThreshholdCandleTime = candle.Time;
try
{
await GetMonthStats(stock);
}
catch (Exception ex)
{
await ResetConnection("Ошибка при получении статистики за месяц: " + ex.Message);
}
if (IsTelegramEnabled)
{
_telegram.PostMessage(stock.GetMinutesChangeInfoText(change.change, change.minutes, change.candles), stock.Ticker);
}
_uiContext.Post(obj => {
_tradingVM.Messages.Add(new MessageViewModel
{
Ticker = stock.Ticker,
Date = DateTime.Now,
Change = change.change,
Volume = candle.Volume,
Text = $"Цена {stock.Ticker} изменилась на {change.change:P2} за {change.minutes} мин."
});
}, null);
if (TradeBot != null && change.change > TenMinChangeTrigger && stock.DayChange < 0.2m && change.candles.Sum(c => c.Volume) > 100)
{
await TradeBot.Buy(stock);
}
Interlocked.Increment(ref _refreshPendingCount);
}
}
stock.IsNotifying = true;
}
break;
}
case OrderbookResponse or:
{
var stock = _tradingVM.Stocks.FirstOrDefault(s => s.Figi == or.Payload.Figi);
if (stock != null && or.Payload.Asks.Count > 0 && or.Payload.Bids.Count > 0)
{
stock.Price = (or.Payload.Asks[0][0] + or.Payload.Bids[0][0]) / 2;
if (stock.TodayOpen > 0)
{
stock.DayChange = (stock.Price - stock.TodayOpen) / stock.TodayOpen;
stock.LastUpdate = or.Time.ToLocalTime();
}
}
break;
}
case InstrumentInfoResponse ir:
{
var info = ir.Payload;
var stock = _tradingVM.Stocks.FirstOrDefault(s => s.Figi == info.Figi);
if (stock != null)
{
stock.Status = info.TradeStatus;
}
break;
}
}
}
private async void Broker_StreamingEventReceived(object sender, StreamingEventReceivedEventArgs e)
{
//Debug.WriteLine(JsonConvert.SerializeObject(e.Response));
_lastEventReceived = DateTime.Now;
switch (e.Response)
{
case CandleResponse cr:
{
_stockProcessingQueue.Enqueue(cr);
break;
}
case OrderbookResponse or:
{
var stock = _mainModel.Stocks.Values.FirstOrDefault(s => s.Figi == or.Payload.Figi);
if (stock != null && or.Payload.Asks.Count > 0 && or.Payload.Bids.Count > 0)
{
var bids = or.Payload.Bids.Where(b => b[1] >= 1).ToList();
var asks = or.Payload.Asks.Where(a => a[1] >= 1).ToList();
OrderbookInfoSpb[stock.Ticker] = new OrderbookModel(or.Payload.Depth, bids, asks,
or.Payload.Figi, stock.Ticker, stock.Isin);
stock.BestBidSpb = bids[0][0];
stock.BestAskSpb = asks[0][0];
_stockProcessingQueue.Enqueue(stock); // raise stock update (but only in sync with other updates)
}
break;
}
case InstrumentInfoResponse ir:
{
var info = ir.Payload;
var stock = _mainModel.Stocks.Values.FirstOrDefault(s => s.Figi == info.Figi);
if (stock != null)
{
if (String.IsNullOrWhiteSpace(stock.Status))
{
string status = info.TradeStatus;
if (status == "normal_trading")
{
status = "Торгуется";
}
stock.Status = status;
if (String.IsNullOrEmpty(stock.Status))
{
stock.Status = Instruments[stock.Ticker].InstrumentStatusShortDesc;
}
}
if (stock.LimitDown != ir.Payload.LimitDown)
{
stock.LimitDown = ir.Payload.LimitDown;
}
if (stock.LimitUp != ir.Payload.LimitUp)
{
stock.LimitUp = ir.Payload.LimitUp;
}
if (stock.MinPriceIncrement != ir.Payload.MinPriceIncrement)
{
stock.MinPriceIncrement = ir.Payload.MinPriceIncrement;
}
}
break;
}
}
}
