private int GetLotSize(int insID)
{
if (_insID_lotSize == null)
{
_insID_lotSize = new Dictionary <int, int>();
}
if (_insID_lotSize.ContainsKey(insID))
{
return(_insID_lotSize[insID]);
}
else
{
Instrum ins = _instrumBL.GetInstrumByID(insID);
if (ins != null)
{
_insID_lotSize.Add(ins.InsID, ins.LotSize);
return(ins.LotSize);
}
else
{
_insID_lotSize.Add(insID, 1);
return(1);
}
}
}
/// <summary>
/// Get instrument by id or ticker
/// </summary>
/// <param name="insID">Instrument id or 0</param>
/// <param name="ticker">Ticker or null/empty string</param>
/// <returns></returns>
public CommonData.Instrum GetInstrum(int insID, string ticker = null)
{
Instrum ins = null;
if (insID > 0)
{
ins = _da.DbContext.Table <Instrum>().FirstOrDefault(s => s.InsID == insID);
}
else if (ticker != null && ticker.Length > 0)
{
ins = _da.DbContext.Table <Instrum>().FirstOrDefault(s => s.Ticker == ticker);
}
if (ins == null)
{
return(null);
}
return(new CommonData.Instrum()
{
InsID = ins.InsID,
Ticker = ins.Ticker,
ShortName = ins.ShortName,
Name = ins.Name,
LotSize = ins.LotSize,
Decimals = ins.Decimals,
PriceStep = ins.PriceStep
});
}
/// <summary>
/// Последние сделки за текущую торговую сессию
/// </summary>
/// <param name="today">Дата торговой сессии (без времени)</param>
/// <param name="instrum">Инструмент</param>
/// <param name="skip">Сколько сделок пропустить</param>
/// <returns>Массив сделок для указанного инструмента на текущий момент, если null - ошибка, пустой массив - нет новых сделок</returns>
public async Task <Tick[]> GetLastTicks(DateTime today, Instrum instrum, int skip)
{
var res = await _core.SendMessageAsync(_pipe, Encoding.UTF8.GetBytes("GetLastTicks " + instrum.Ticker + " " + skip.ToString()));
if (res == null)
{
return(null);
}
if (res.Length == 1 && res[0] != 0)
{
return(null);
}
if (res.Length == 1 && res[0] == 0)
{
return new Tick[] { }
}
;
AllTradesEncoding enc = new AllTradesEncoding(instrum.Decimals);
try
{
var list = enc.Decode(res, false);
return(list.Select(r => new Tick(0, today.Date.AddSeconds(r.Second), instrum.InsID, r.Lots, r.Price)).ToArray());
}
catch
{
return(null);
}
}
}
/// <summary>
/// Сохранение данных по всем сделкам для всех инструментов
/// </summary>
/// <param name="tickDispatcher">Диспетчер тиковых данных</param>
/// <param name="sessionDbPath">Каталог данных текущей сессии (определяется датой)</param>
public void SaveData(ITickDispatcher tickDispatcher, string sessionDbPath)
{
if (tickDispatcher == null)
{
throw new ArgumentNullException("tickDispatcher");
}
if (string.IsNullOrWhiteSpace(sessionDbPath))
{
throw new ArgumentException("SessionDbPath is empty, session not opened.");
}
_logger.AddInfo("AllTradesData", "Save data ...");
try
{
var allTradesDir = Path.Combine(sessionDbPath, "AllTrades");
if (!Directory.Exists(allTradesDir))
{
Directory.CreateDirectory(allTradesDir);
}
var insIDs = tickDispatcher.GetInstrumIDs();
foreach (var insID in insIDs)
{
Instrum ins = _instrumTable.GetInstrum(insID);
if (ins == null)
{
continue;
}
var ticks = tickDispatcher.GetTicks(insID);
if (ticks == null || !ticks.Any())
{
continue;
}
var encoder = new AllTradesEncoder(ins.Decimals);
var persist = new AllTradesPersist();
persist.Initialize(allTradesDir, ins.Ticker);
_insStoreData.InitInsStores(insID);
foreach (Tick tick in ticks)
{
uint seconds = (uint)(tick.Time.Hour * 60 * 60 + tick.Time.Minute * 60 + tick.Time.Second);
byte[] buf = encoder.AddTick(seconds, tick.Price, tick.Lots);
persist.Write(buf);
_insStoreData.AddTick(insID, tick.Time, tick.Price, tick.Lots);
}
persist.Close();
}
_insStoreData.SaveData();
}
catch (Exception ex)
{
_logger.AddException("AllTradesData", ex);
}
_logger.AddInfo("AllTradesData", "Data saved");
}
/// <summary>
/// Инициализация графика
/// </summary>
/// <param name="xdChart">Данные для инициализации</param>
public void Initialize(XDocument xdChart = null)
{
if (xdChart == null)
{
xdChart = new XDocument(new XElement("Chart"));
}
var xnSources = xdChart.Root.Element("Sources");
if (xnSources != null)
{
foreach (var xnSrc in xnSources.Elements())
{
if (xnSrc.Name == "BarRow")
{
int insID = 0;
string guid = xnSrc.Attribute("Id").Value;
int.TryParse(xnSrc.Attribute("InsID").Value, out insID);
int tf = 0;
int.TryParse(xnSrc.Attribute("Tf").Value, out tf);
if (insID == 0)
{
continue;
}
Instrum ins = _instrumBL.GetInstrumByID(insID);
if (ins == null)
{
continue;
}
CreateBarRowSource(ins, (Timeframes)tf, guid);
}
}
}
_indicators.Clear();
var xnIndicators = xdChart.Root.Element("Indicators");
if (xnIndicators != null)
{
foreach (var xnIndic in xnIndicators.Elements())
{
var indic = _factory.CreateIndicator(xnIndic.Name.ToString());
if (indic == null)
{
continue;
}
indic.Initialize(new XDocument(xnIndic));
AddIndicator(indic);
}
}
}
private void UpdateInstrum(Instrum ins, string shortname, string name, int lotsize, int decimals, decimal pricestep)
{
if (ins.ShortName == shortname && ins.Name == name && ins.LotSize == lotsize && ins.Decimals == decimals && ins.PriceStep == pricestep)
{
return;
}
ins.ShortName = shortname;
ins.Name = name;
ins.LotSize = lotsize;
ins.Decimals = decimals;
ins.PriceStep = pricestep;
_da.UpdateInstrum(ins);
}
/// <summary>
/// Update instrum object
/// </summary>
/// <param name="ins">Instrum object with InsID > 0</param>
public void UpdateInstrum(CommonData.Instrum ins)
{
Instrum db_ins = new Instrum()
{
InsID = ins.InsID,
Ticker = ins.Ticker,
ShortName = ins.ShortName,
Name = ins.Name,
LotSize = ins.LotSize,
Decimals = ins.Decimals,
PriceStep = ins.PriceStep
};
_da.DbContext.Update(db_ins);
}
/// <summary>
/// Загрузка исторических данных в BarRow.
/// Наиболее подходящий InsStore определяется автоматически.
/// </summary>
/// <param name="bars">BarRow</param>
/// <param name="insID">Инструмент</param>
/// <param name="date1">Нач дата</param>
/// <param name="date2">Кон дата</param>
/// <param name="insStoreID">Поток данных для загрузки (если null, то поток будет определен автоматически)</param>
/// <returns>Асинхронная задача загрузки. Общее число баров после загрузки.</returns>
public async Task <int> LoadHistoryAsync(BarRow bars, int insID, DateTime date1, DateTime date2, int?insStoreID = null)
{
Instrum instrum = _instrumBL.GetInstrumByID(insID);
if (instrum == null)
{
return(0);
}
if (insStoreID == null)
{
var insStore = GetLoadHistoryInsStore(insID, bars.Timeframe);
if (insStore != null)
{
insStoreID = insStore.InsStoreID;
}
}
if (insStoreID == null)
{
return(0);
}
int k = (int)Math.Pow(10, instrum.Decimals);
var list = await _insStoreDA.GetHistoryAsync(insStoreID.Value, date1, date2);
return(await Task.Run(() =>
{
bars.SuspendEvents();
foreach (var bar in list)
{
DateTime time = StorageLib.ToDateTime(bar.Time);
decimal openPrice = (decimal)bar.OpenPrice / k;
decimal lowPrice = (decimal)(bar.OpenPrice + bar.LowDelta) / k;
decimal highPrice = (decimal)(bar.OpenPrice + bar.HighDelta) / k;
decimal closePrice = (decimal)(bar.OpenPrice + bar.CloseDelta) / k;
bars.AddTick(time, openPrice, 0);
bars.AddTick(time, lowPrice, 0);
bars.AddTick(time, highPrice, 0);
bars.AddTick(time, closePrice, bar.Volume);
}
bars.CloseLastBar();
bars.ResumeEvents();
return bars.Count;
}));
}
public int InsertInstrum(string ticker, string shortName, string name, int lotSize, int decimals, decimal priceStep)
{
Instrum instrum = new Instrum()
{
InsID = nextID++,
Ticker = ticker,
ShortName = shortName,
Name = name,
LotSize = lotSize,
Decimals = decimals,
PriceStep = priceStep
};
_id_instrum.Add(instrum.InsID, instrum);
return(instrum.InsID);
}
public Instrum AddInstrum(string ticker, string shortName)
{
var ins = new Instrum()
{
InsID = _instrums.Count + 1,
Ticker = ticker,
ShortName = shortName,
Name = shortName,
Decimals = 1,
PriceStep = 0.01m,
LotSize = 1
};
_instrums.Add(ins);
return(ins);
}
/// <summary>
/// Get instrument by id or ticker
/// </summary>
/// <param name="insID">Instrument id or 0</param>
/// <param name="ticker">Ticker or null/empty string</param>
/// <returns></returns>
public Instrum GetInstrum(int insID, string ticker = null)
{
Instrum ins = null;
using (var db = new DaContext(_options))
{
if (insID > 0)
{
ins = db.Instrum.Find(insID);
}
else if (ticker != null && ticker.Length > 0)
{
ins = db.Instrum.FirstOrDefault(s => s.Ticker == ticker);
}
}
return(ins);
}
/// <summary>
/// Insert Instrum object into db
/// </summary>
/// <param name="ins">Instrum object with id = 0</param>
/// <returns>New Id and set this value to InsID</returns>
public int InsertInstrum(CommonData.Instrum ins)
{
Instrum db_ins = new Instrum()
{
InsID = ins.InsID,
Ticker = ins.Ticker,
ShortName = ins.ShortName,
Name = ins.Name,
LotSize = ins.LotSize,
Decimals = ins.Decimals,
PriceStep = ins.PriceStep
};
_da.DbContext.Insert(db_ins);
ins.InsID = db_ins.InsID;
return(ins.InsID);
}
public PosManager(int insID, IInstrumTable instrums, IHoldingTable holdings, IOrderTable orders, IAccountTable accounts, AlorTradeWrapper alorTrade)
{
_holdings = holdings;
_orders = orders;
_instrum = instrums.GetInstrum(insID);
if (_instrum == null)
{
throw new Exception("Инструмент не найден");
}
_account = accounts.GetDefaultAccount();
if (_account == null)
{
throw new Exception("Не найден торговый счет");
}
_alorTrade = alorTrade;
}
public InstrumBLMock()
{
_instrums = new List <Instrum>();
Instrum instrum1 = new Instrum()
{
InsID = 1,
Ticker = "ticker1",
Name = "name1",
ShortName = "shortname1",
Decimals = 0,
LotSize = 1,
PriceStep = 0.01m
};
_instrums.Add(instrum1);
Instrum instrum2 = new Instrum()
{
InsID = 2,
Ticker = "ticker2",
Name = "name2",
ShortName = "shortname2",
Decimals = 0,
LotSize = 1,
PriceStep = 0.01m
};
_instrums.Add(instrum2);
Instrum instrum3 = new Instrum()
{
InsID = 3,
Ticker = "ticker3",
Name = "name3",
ShortName = "shortname3",
Decimals = 0,
LotSize = 1,
PriceStep = 0.01m
};
_instrums.Add(instrum3);
}
/// <summary>
/// Insert new instrum to db
/// </summary>
/// <param name="ticker">Ticker</param>
/// <param name="shortName">Short name</param>
/// <param name="name">Full name</param>
/// <param name="lotSize">Lot size</param>
/// <param name="decimals">Decimals</param>
/// <param name="priceStep">Price step</param>
/// <returns>New instrum identity</returns>
public int InsertInstrum(string ticker, string shortName, string name, int lotSize, int decimals, decimal priceStep)
{
Instrum ins = new Instrum()
{
Ticker = ticker,
ShortName = shortName,
Name = name,
LotSize = lotSize,
Decimals = decimals,
PriceStep = priceStep
};
using (var db = new DaContext(_options))
{
db.Instrum.Add(ins);
db.SaveChanges();
}
return(ins.InsID);
}
private void CreateBarRowSource(Instrum ins, Timeframes tf, string guid)
{
BarRow bars = new BarRow(tf, ins.InsID);
_chartData = new ChartData(bars.Dates, ins.Decimals, _isDynamic);
_chartData.AddPrices(bars, new ChartBrush(0, 0, 0));
_guid_source.Add(guid, new PriceSource()
{
Bars = bars, Instrum = ins
});
_srcProv.Initialize(new List <ValueRowSource>()
{
new ValueRowSource(guid + ":O", "Open", bars.Open, bars),
new ValueRowSource(guid + ":H", "High", bars.High, bars),
new ValueRowSource(guid + ":L", "Low", bars.Low, bars),
new ValueRowSource(guid + ":C", "Close", bars.Close, bars),
new ValueRowSource(guid + ":T", "Typical", bars.Typical, bars),
new ValueRowSource(guid + ":M", "Median", bars.Median, bars)
});
}
/// <summary>
/// Список инструментов на дату, для которых имеются исторические тиковые данные
/// </summary>
/// <param name="date">Дата</param>
/// <returns>Список инструментов или пустой список</returns>
public IEnumerable <Instrum> GetInstrumsByDate(DateTime date)
{
var insIDs = _tickHistoryDA.GetInstrums(date);
if (insIDs == null)
{
return(new List <Instrum>());
}
List <Instrum> instrums = new List <Instrum>();
foreach (var insID in insIDs)
{
Instrum instrum = _instrumBL.GetInstrumByID(insID);
if (instrum != null)
{
instrums.Add(instrum);
}
}
return(instrums);
}
/// <summary>
/// Синхронизировать фин. инструмент (изменить или создать новый)
/// </summary>
/// <param name="ticker">Тикер</param>
/// <param name="shortname">Краткое наименование</param>
/// <param name="name">Полное наименование</param>
/// <param name="lotsize">Размер лота</param>
/// <param name="decimals">Кол-во десятичных знаков после запятой в цене</param>
/// <param name="pricestep">Шаг цены</param>
/// <returns>Фин. инструмент после синхронизации</returns>
public Instrum SyncInstrum(string ticker, string shortname, string name, int lotsize, int decimals, decimal pricestep)
{
if (!_ticker_instrum.ContainsKey(ticker))
{
Instrum db_ins = _da.GetInstrum(0, ticker);
if (db_ins == null)
{
var ins = new Instrum
{
InsID = 0,
Ticker = ticker,
ShortName = shortname,
Name = name,
LotSize = lotsize,
Decimals = decimals,
PriceStep = pricestep
};
_da.InsertInstrum(ins);
_ticker_instrum.Add(ticker, ins);
_insID_instrum.Add(ins.InsID, ins);
return(ins);
}
else
{
UpdateInstrum(db_ins, shortname, name, lotsize, decimals, pricestep);
_ticker_instrum.Add(ticker, db_ins);
_insID_instrum.Add(db_ins.InsID, db_ins);
return(db_ins);
}
}
else
{
var ins = _ticker_instrum[ticker];
UpdateInstrum(ins, shortname, name, lotsize, decimals, pricestep);
return(ins);
}
}
public void SaveInstrum(Instrum ins)
{
throw new NotImplementedException();
}
private IEnumerable <Tick> SynTicks(Bar bar, Instrum instrum)
{
decimal p1 = 0, p2 = 0, p3 = 0, q = 0;
int n1 = 0; int n2 = 0; int n3 = 0;
List <Tick> ticks = new List <Tick>();
DateTime time = bar.Time;
DateTime lastTime = bar.NextBarTime.AddSeconds(-1);
decimal price = bar.Open;
long ls = (long)(bar.Volume / instrum.LotSize);
int lots = (ls > int.MaxValue) ? int.MaxValue : (ls < int.MinValue) ? int.MinValue : (int)ls;
int lot_step = lots / 60;
if (bar.Open <= bar.Close) // while bar
{
p1 = bar.Open - bar.Low;
p2 = bar.High - bar.Low;
p3 = bar.High - bar.Close;
q = (p1 + p2 + p3) / 60m;
if (q != 0)
{
n1 = (int)(p1 / q);
n3 = (int)(p3 / q);
}
if (n1 <= 0)
{
n1 = 1;
}
if (n3 <= 0)
{
n3 = 1;
}
for (int i = 0; i < n1; i++)
{
decimal pr = Math.Round(price, instrum.Decimals);
if (pr > bar.High)
{
pr = bar.High;
}
if (pr < bar.Low)
{
pr = bar.Low;
}
ticks.Add(new Tick(0, time, instrum.InsID, lot_step, pr));
price -= q;
lots -= lot_step;
if (time < lastTime)
{
time = time.AddSeconds(1);
}
}
n2 = 60 - n1 - n3 - 1;
price = bar.Low;
for (int i = 0; i < n2; i++)
{
decimal pr = Math.Round(price, instrum.Decimals);
if (pr > bar.High)
{
pr = bar.High;
}
if (pr < bar.Low)
{
pr = bar.Low;
}
ticks.Add(new Tick(0, time, instrum.InsID, lot_step, pr));
price += q;
lots -= lot_step;
if (time < lastTime)
{
time = time.AddSeconds(1);
}
}
price = bar.High;
for (int i = 0; i < n3; i++)
{
decimal pr = Math.Round(price, instrum.Decimals);
if (pr > bar.High)
{
pr = bar.High;
}
if (pr < bar.Low)
{
pr = bar.Low;
}
ticks.Add(new Tick(0, time, instrum.InsID, lot_step, pr));
price -= q;
lots -= lot_step;
if (time < lastTime)
{
time = time.AddSeconds(1);
}
}
}
else // black bar
{
p1 = bar.High - bar.Open;
p2 = bar.High - bar.Low;
p3 = bar.Close - bar.Low;
q = (p1 + p2 + p3) / 60m;
if (q != 0)
{
n1 = (int)(p1 / q);
n3 = (int)(p3 / q);
}
if (n1 <= 0)
{
n1 = 1;
}
if (n3 <= 0)
{
n3 = 1;
}
for (int i = 0; i < n1; i++)
{
decimal pr = Math.Round(price, instrum.Decimals);
if (pr > bar.High)
{
pr = bar.High;
}
if (pr < bar.Low)
{
pr = bar.Low;
}
ticks.Add(new Tick(0, time, instrum.InsID, lot_step, pr));
price += q;
lots -= lot_step;
if (time < lastTime)
{
time = time.AddSeconds(1);
}
}
n2 = 60 - n1 - n3 - 1;
price = bar.High;
for (int i = 0; i < n2; i++)
{
decimal pr = Math.Round(price, instrum.Decimals);
if (pr > bar.High)
{
pr = bar.High;
}
if (pr < bar.Low)
{
pr = bar.Low;
}
ticks.Add(new Tick(0, time, instrum.InsID, lot_step, pr));
price -= q;
lots -= lot_step;
if (time < lastTime)
{
time = time.AddSeconds(1);
}
}
price = bar.Low;
for (int i = 0; i < n3; i++)
{
decimal pr = Math.Round(price, instrum.Decimals);
if (pr > bar.High)
{
pr = bar.High;
}
if (pr < bar.Low)
{
pr = bar.Low;
}
ticks.Add(new Tick(0, time, instrum.InsID, lot_step, pr));
price += q;
lots -= lot_step;
if (time < lastTime)
{
time = time.AddSeconds(1);
}
}
}
ticks.Add(new Tick(0, time, instrum.InsID, lots > 0 ? lots : 0, bar.Close));
return(ticks);
}
