private PricePoints GetPricePoints(OrderBookDao.Entity orderBook)
{
if (pricePointsCache == null)
{
pricePointsCache = new Dictionary <string, Dictionary <OrderBookDao.Entity, PricePoints> >();
}
if (pricePointsCache.ContainsKey(selectedInstrument.Name) == false)
{
pricePointsCache.Add(selectedInstrument.Name, new Dictionary <OrderBookDao.Entity, PricePoints>());
}
var orderBookPricePoints = pricePointsCache[selectedInstrument.Name];
if (orderBookPricePoints.ContainsKey(orderBook))
{
return(orderBookPricePoints[orderBook]);
}
PricePoints pricePoints = new PricePoints();
pricePoints.rate = orderBook.Rate;
pricePoints.price_points = new Dictionary <float, PricePoint>();
foreach (var pp in orderBook.GetPricePointsOrderByPrice())
{
pricePoints.price_points[pp.Price] = new PricePoint()
{
os = pp.Os,
ol = pp.Ol,
ps = pp.Ps,
pl = pp.Pl
};
}
orderBookPricePoints[orderBook] = pricePoints;
return(pricePoints);
}
private void LoadChart(Chart chart, OrderBookDao.Entity orderBook)
{
PricePoints pricePoints = new PricePoints();
pricePoints.rate = orderBook.Rate;
pricePoints.price_points = new Dictionary <float, PricePoint>();
foreach (var pp in orderBook.GetPricePointsOrderByPrice())
{
pricePoints.price_points[pp.Price] = new PricePoint()
{
os = pp.Os,
ol = pp.Ol,
ps = pp.Ps,
pl = pp.Pl
};
}
LoadChart(chart, orderBook.DateTime, pricePoints);
}
private void SavePricePoints(string instrument, DateTime time, PricePoints pricePoints)
{
using (var transaction = connection.BeginTransaction()) {
Int64 id = 0;
using (var cmd = new NpgsqlCommand()) {
cmd.Connection = connection;
cmd.CommandText = "insert into order_book(instrument,date_time,rate) values(:instrument,:date_time,:rate) returning id";
cmd.Parameters.Add(new NpgsqlParameter("instrument", DbType.String));
cmd.Parameters.Add(new NpgsqlParameter("date_time", DbType.DateTime));
cmd.Parameters.Add(new NpgsqlParameter("rate", DbType.Single));
cmd.Parameters["instrument"].Value = instrument;
cmd.Parameters["date_time"].Value = time;
cmd.Parameters["rate"].Value = pricePoints.rate;
id = (Int64)cmd.ExecuteScalar();
}
using (var cmd = new NpgsqlCommand()) {
cmd.Connection = connection;
cmd.CommandText = "insert into order_book_price_point(order_book_id,price,os,ps,ol,pl) values(:order_book_id,:price,:os,:ps,:ol,:pl)";
cmd.Parameters.Add(new NpgsqlParameter("order_book_id", DbType.Int64));
cmd.Parameters.Add(new NpgsqlParameter("price", DbType.Single));
cmd.Parameters.Add(new NpgsqlParameter("os", DbType.Single));
cmd.Parameters.Add(new NpgsqlParameter("ps", DbType.Single));
cmd.Parameters.Add(new NpgsqlParameter("ol", DbType.Single));
cmd.Parameters.Add(new NpgsqlParameter("pl", DbType.Single));
foreach (var price in pricePoints.price_points.Keys.OrderBy(k => k))
{
var price_point = pricePoints.price_points[price];
cmd.Parameters["order_book_id"].Value = id;
cmd.Parameters["price"].Value = price;
cmd.Parameters["os"].Value = price_point.os;
cmd.Parameters["ps"].Value = price_point.ps;
cmd.Parameters["ol"].Value = price_point.ol;
cmd.Parameters["pl"].Value = price_point.pl;
cmd.ExecuteNonQuery();
}
}
transaction.Commit();
}
}
private void LoadChart(Chart chart, DateTime dateTime, PricePoints pricePoints)
{
chart.Series.Clear();
chart.ChartAreas.Clear();
chart.Titles.Clear();
chart.Size = new Size(10000, 400);
chart.Titles.Add(new Title(dateTime.ToString()));
ChartArea chartArea = new ChartArea();
chartArea.AxisX.Interval = 0.05d;
chartArea.AxisX.Minimum = 100f;
chartArea.AxisX.Maximum = 125f;
chartArea.AxisX.LabelStyle.Format = "f2";
chartArea.AxisX.MajorGrid.Enabled = true;
chartArea.AxisX.MajorGrid.Interval = 0.1d;
chartArea.AxisX.MinorGrid.Enabled = true;
chartArea.AxisX.MinorGrid.LineColor = Color.LightGray;
chartArea.AxisX.MinorGrid.Interval = 0.05d;
chartArea.AxisY.Maximum = 5.0f;
chartArea.AxisY.Minimum = -1.0f;
chartArea.AxisY.Interval = 1.0f;
chartArea.AxisY.MajorGrid.LineColor = Color.LightGray;
chart.ChartAreas.Add(chartArea);
Series seriesRate = new Series();
seriesRate.ChartType = SeriesChartType.Column;
var dataPoint = new DataPoint(pricePoints.rate, 5.0f);
seriesRate.SetCustomProperty("PointWidth", "0.01");
// dataPoint["PointWidth"] = "1.0";
seriesRate.Points.Add(dataPoint);
seriesRate.Color = Color.Orange;
chart.Series.Add(seriesRate);
Series seriesDeltaPos = new Series();
seriesDeltaPos.ChartType = SeriesChartType.Column;
seriesDeltaPos.LegendText = "buy - sell position";
seriesDeltaPos.Color = Color.LightGreen;
foreach (var price in pricePoints.price_points.Keys.OrderBy(k => k))
{
var dprice = decimal.ToDouble((decimal)price);
var p = pricePoints.price_points[price];
seriesDeltaPos.Points.Add(new DataPoint(dprice, p.pl - p.ps));
}
chart.Series.Add(seriesDeltaPos);
Series[] lines = new Series[4];
string[] titles = new string[] { "order_long", "order_short", "pos_long", "pos_short" };
Color[] colors = new Color[] { Color.Pink, Color.LightBlue, Color.Red, Color.Blue };
for (int i = 0; i < 4; i++)
{
Series seriesLine = new Series();
chart.Series.Add(seriesLine);
seriesLine.ChartType = SeriesChartType.Line;
seriesLine.LegendText = titles[i];
seriesLine.BorderWidth = 1;
seriesLine.Color = colors[i];
seriesLine.MarkerStyle = MarkerStyle.Circle;
seriesLine.MarkerSize = 2;
lines[i] = seriesLine;
}
foreach (var price in pricePoints.price_points.Keys.OrderBy(k => k))
{
var dprice = decimal.ToDouble((decimal)price);
var p = pricePoints.price_points[price];
lines[0].Points.Add(new DataPoint(dprice, p.ol));
lines[1].Points.Add(new DataPoint(dprice, p.os));
lines[2].Points.Add(new DataPoint(dprice, p.pl));
lines[3].Points.Add(new DataPoint(dprice, p.ps));
}
}
private void LoadChart(Chart chart, DateTime dateTime, OrderBookDao.Entity orderBook, OrderBookDao.Entity previousOrderBook, bool isLatestChart)
{
PricePoints pricePoints = GetPricePoints(orderBook);
PricePoints previousPricePoints = previousOrderBook != null?GetPricePoints(previousOrderBook) : null;
chart.Series.Clear();
chart.ChartAreas.Clear();
chart.Titles.Clear();
chart.Size = new Size(6000, 400);
ChartArea chartArea = new ChartArea();
chartArea.AxisX.Interval = selectedInstrument.GraphInterval;
chartArea.AxisX.Minimum = selectedInstrument.GraphMinPrice;
chartArea.AxisX.Maximum = selectedInstrument.GraphMaxPrice;
chartArea.AxisX.LabelStyle.Format = selectedInstrument.AxisLabelFormat;
chartArea.AxisX.MajorGrid.Enabled = true;
chartArea.AxisX.MajorGrid.Interval = selectedInstrument.GraphInterval * 2;
chartArea.AxisX.MinorGrid.Enabled = true;
chartArea.AxisX.MinorGrid.LineColor = Color.LightGray;
chartArea.AxisX.MinorGrid.Interval = selectedInstrument.GraphInterval;
/* chartArea.AxisX2.Enabled = AxisEnabled.True;
* chartArea.AxisX2.Minimum = chartArea.AxisX.Minimum;
* chartArea.AxisX2.Maximum = chartArea.AxisX.Maximum;*/
// chartArea.AxisX2.Interval = VOLUME_PRICE_GRANURALITY;
chartArea.AxisY.Maximum = 5.0f;
chartArea.AxisY.Minimum = 0f;
chartArea.AxisY.Interval = 1.0f;
chartArea.AxisY.MajorGrid.LineColor = Color.LightGray;
chartArea.AxisY2.Enabled = AxisEnabled.True;
chartArea.AxisY2.Maximum = 2.5f;
chartArea.AxisY2.Minimum = -2.5f;
chartArea.AxisY2.Interval = 1.0f;
chart.ChartAreas.Add(chartArea);
Series volumeSeries = new Series();
volumeSeries.ChartType = SeriesChartType.Column;
// volumeSeries.XAxisType = AxisType.Secondary;
volumeSeries.Color = Color.LightGray;
volumeSeries.SetCustomProperty("PixelPointWidth", "2");
// volumeSeries.SetCustomProperty("PointWidth", "0.5");
chart.Series.Add(volumeSeries);
var UISyncContext = TaskScheduler.FromCurrentSynchronizationContext();
if (isLatestChart)
{
if (latestS5Candles == null)
{
latestVolumeSeries = volumeSeries;
retriveVolumeQueue.Add(() => {
var candlesticks = RetrieveS5Candles(orderBook);
Invoke(new Action(() => {
latestS5Candles = candlesticks.ToList();
LoadVolumeSeries(volumeSeries, latestS5Candles);
}));
});
}
// , UISyncContext);
/*
* lock (volumeCandlesLock) {
* if (latestS5Candles != null) {
* LoadVolumeSeries(latestVolumeSeries,latestS5Candles);
* }
* }*/
}
else
{
retriveVolumeQueue.Add(() => {
var candlesticks = RetrieveS5Candles(orderBook);
Invoke(new Action(() => {
LoadVolumeSeries(volumeSeries, candlesticks);
}));
});
/*
* new TaskFactory().StartNew(() => RetrieveS5Candles(orderBook)).ContinueWith(candlesticks => {
* latestS5Candles = candlesticks.Result.ToList();
* LoadVolumeSeries(volumeSeries, latestS5Candles);
* }, UISyncContext);*/
/*
* if (gettingVolumes == false) {
* gettingVolumes = true;
* RetrieveS5CandlesAsync(orderBook).ContinueWith(candlesticks => {
* LoadVolumeSeries(volumeSeries, candlesticks.Result);
* gettingVolumes = false;
* }, UISyncContext);
* }*/
}
Series seriesDeltaPos = new Series();
chart.Series.Add(seriesDeltaPos);
seriesDeltaPos.YAxisType = AxisType.Secondary;
seriesDeltaPos.ChartType = SeriesChartType.StackedColumn;
seriesDeltaPos.LegendText = "buy - sell position";
seriesDeltaPos.SetCustomProperty("PixelPointWidth", "14");
seriesDeltaPos.Color = Color.FromArgb(100, 0, 255, 0);
Series seriesPreviousDeltaPos = new Series();
chart.Series.Add(seriesPreviousDeltaPos);
seriesPreviousDeltaPos.YAxisType = AxisType.Secondary;
seriesPreviousDeltaPos.ChartType = SeriesChartType.StackedColumn;
seriesPreviousDeltaPos.SetCustomProperty("PixelPointWidth", "14");
seriesPreviousDeltaPos.Color = Color.FromArgb(100, 0, 255, 0);
float totalPl = 0;
float totalPs = 0;
foreach (var price in pricePoints.price_points.Keys.OrderBy(k => k))
{
var dprice = (double)price;
var p = pricePoints.price_points[price];
var curD = p.pl - p.ps;
totalPl += p.pl;
totalPs += p.ps;
if (previousPricePoints != null)
{
if (previousPricePoints.price_points.ContainsKey(price))
{
var pre = previousPricePoints.price_points[price];
var preD = pre.pl - pre.ps;
if (preD < 0 && curD > 0)
{
seriesDeltaPos.Points.Add(new DataPoint(dprice, curD)
{
Color = Color.FromArgb(100, 255, 0, 0)
});
seriesPreviousDeltaPos.Points.Add(new DataPoint(dprice, preD)
{
Color = Color.FromArgb(100, 255, 0, 0)
});
}
else if (preD > 0 && curD < 0)
{
seriesDeltaPos.Points.Add(new DataPoint(dprice, curD)
{
Color = Color.FromArgb(100, 0, 0, 255)
});
seriesPreviousDeltaPos.Points.Add(new DataPoint(dprice, preD)
{
Color = Color.FromArgb(100, 0, 0, 255)
});
}
else if (preD > 0 && curD > 0)
{
seriesDeltaPos.Points.Add(new DataPoint(dprice, Math.Min(curD, preD))
{
Color = Color.FromArgb(100, 0, 255, 0)
});
seriesPreviousDeltaPos.Points.Add(new DataPoint(dprice, Math.Abs(curD - preD))
{
Color = curD > preD ? Color.FromArgb(100, 255, 0, 0) : Color.FromArgb(25, 0, 0, 255)
});
}
else
{
seriesDeltaPos.Points.Add(new DataPoint(dprice, Math.Max(curD, preD))
{
Color = Color.FromArgb(100, 0, 255, 0)
});
seriesPreviousDeltaPos.Points.Add(new DataPoint(dprice, -Math.Abs(curD - preD))
{
Color = curD > preD ? Color.FromArgb(25, 255, 0, 0) : Color.FromArgb(100, 0, 0, 255)
});
}
}
else
{
seriesDeltaPos.Points.Add(new DataPoint(dprice, curD));
seriesPreviousDeltaPos.Points.Add(new DataPoint(dprice, 0));
}
}
else
{
seriesDeltaPos.Points.Add(new DataPoint(dprice, curD));
}
}
Series[] lines = new Series[4];
string[] titles = new string[] { "order_long", "order_short", "pos_long", "pos_short" };
Color[] colors = new Color[] { Color.Pink, Color.LightBlue, Color.Red, Color.Blue };
for (int i = 0; i < 4; i++)
{
Series seriesLine = new Series();
chart.Series.Add(seriesLine);
seriesLine.ChartType = SeriesChartType.Line;
seriesLine.LegendText = titles[i];
seriesLine.BorderWidth = 1;
seriesLine.Color = colors[i];
seriesLine.MarkerStyle = MarkerStyle.Circle;
seriesLine.MarkerSize = 2;
lines[i] = seriesLine;
}
foreach (var price in pricePoints.price_points.Keys.OrderBy(k => k))
{
var dprice = decimal.ToDouble((decimal)price);
var p = pricePoints.price_points[price];
lines[0].Points.Add(new DataPoint(dprice, p.ol));
lines[1].Points.Add(new DataPoint(dprice, p.os));
lines[2].Points.Add(new DataPoint(dprice, p.pl));
lines[3].Points.Add(new DataPoint(dprice, p.ps));
}
Series seriesRate = new Series();
chart.Series.Add(seriesRate);
seriesRate.ChartType = SeriesChartType.Line;
// seriesRate.SetCustomProperty("PointWidth", "0.01");
seriesRate.Points.Add(new DataPoint(pricePoints.rate, 5.0f));
seriesRate.Points.Add(new DataPoint(pricePoints.rate, -1.0f));
seriesRate.Color = Color.Pink;
seriesRate.BorderWidth = 3;
if (isLatestChart)
{
streamPriceSeries = new Series();
chart.Series.Add(streamPriceSeries);
streamPriceSeries.ChartType = SeriesChartType.Line;
// streamPriceSeries.SetCustomProperty("PointWidth", "0.01");
streamPriceSeries.Points.Add(new DataPoint(latestPrice, 5.0f));
streamPriceSeries.Points.Add(new DataPoint(latestPrice, -1.0f));
streamPriceSeries.Color = Color.Red;
streamPriceSeries.BorderWidth = 3;
}
float pld = 0;
float psd = 0;
if (previousPricePoints != null)
{
float prevTotalPl = 0;
float prevTotalPs = 0;
foreach (var pp in previousPricePoints.price_points)
{
prevTotalPl += pp.Value.pl;
prevTotalPs += pp.Value.ps;
}
pld = totalPl - prevTotalPl;
psd = totalPs - prevTotalPs;
}
chart.Titles.Add(String.Format("{0} short position:{1:0.###}({2:+0.###;-0.###;0.###}) long position:{3:0.###}({4:+0.###;-0.###;0.###}) ", dateTime, totalPs, psd, totalPl, pld));
}