public void getfromstore()
{
var storage = new StorageRegistry()
{
DefaultDrive = new LocalMarketDataDrive {
Path = @"C:\Personal Soft\StockSharp\Hydra\MyData\"
}
};
var security = new Security
{
Id = "SIH7@FORTS",
PriceStep = 1m,
Decimals = 1,
VolumeStep = 1
};
var candles = storage.GetCandleStorage(typeof(TimeFrameCandle), security, TimeSpan.FromMinutes(5), null, StorageFormats.Csv);
var loadedCandles = candles.Load(new DateTime(2017, 1, 18, 0, 0, 0), DateTime.Today + TimeSpan.FromMinutes(1000));
Console.WriteLine(loadedCandles.Count());
foreach (var c in loadedCandles)
{
Console.WriteLine("Сделка {0} : {1}", c.ClosePrice, c.OpenPrice);
}
Console.ReadLine();
}
/// <summary>
/// Сохранить свечи по инструменту в хранилище.
/// </summary>
/// <typeparam name="TCandle">Тип свечи.</typeparam>
/// <param name="security">Инструмент.</param>
/// <param name="candles">Свечи.</param>
protected void SaveCandles <TCandle>(Security security, IEnumerable <TCandle> candles)
where TCandle : Candle
{
candles
.GroupBy(c => Tuple.Create(c.GetType(), c.Arg))
.ForEach(g => SafeSave(security, g.Key.Item1.ToCandleMessageType(), g.Key.Item2, g, c => c.OpenTime, new[]
{
CreateErrorCheck <TCandle>(c => c.Security.PriceStep != null && c.Security.PriceStep != 0 && c.OpenPrice % c.Security.PriceStep != 0, LocalizedStrings.Str2203),
CreateErrorCheck <TCandle>(c => c.Security.PriceStep != null && c.Security.PriceStep != 0 && c.HighPrice % c.Security.PriceStep != 0, LocalizedStrings.Str2204),
CreateErrorCheck <TCandle>(c => c.Security.PriceStep != null && c.Security.PriceStep != 0 && c.LowPrice % c.Security.PriceStep != 0, LocalizedStrings.Str2205),
CreateErrorCheck <TCandle>(c => c.Security.PriceStep != null && c.Security.PriceStep != 0 && c.ClosePrice % c.Security.PriceStep != 0, LocalizedStrings.Str2206)
},
(s, d, c) => (IMarketDataStorage <TCandle>)StorageRegistry.GetCandleStorage(g.Key.Item1, security, g.Key.Item2, d, c)));
}
public void loadCandles()
{
//StorageFormats storageFormat = (StorageFormats)Enum.Parse(typeof(StorageFormats), settings.Element("storage-format").Value.ToUpper());
/* var security = new Security
* {
* Id = "SIH7@FORTS"
* PriceStep = 1m,
* Decimals = 1,
* VolumeStep = 1
* };*/
var dataStorage = storage.GetCandleStorage(typeof(TimeFrameCandle), security, timespan, null, StorageFormats.Csv);
candles = dataStorage.Load(new DateTime(2017, 1, 20, 0, 0, 0), DateTime.Today + TimeSpan.FromMinutes(1000));
}
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)
: Settings.Securities
).ToArray();
var source = new YahooHistorySource();
if (selectedSecurities.IsEmpty())
{
this.AddWarningLog(LocalizedStrings.Str2289);
source.Refresh(EntityRegistry.Securities, new Security(), SaveSecurity, () => !CanProcess(false));
selectedSecurities = this.ToHydraSecurities(EntityRegistry.Securities);
}
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;
}
foreach (var series in (allSecurity ?? security).CandleSeries)
{
if (!CanProcess())
{
break;
}
if (series.CandleType != typeof(TimeFrameCandle))
{
this.AddWarningLog(LocalizedStrings.Str2296Params, series);
continue;
}
var storage = StorageRegistry.GetCandleStorage(series.CandleType, security.Security, series.Arg, _settings.Drive, _settings.StorageFormat);
var emptyDates = allDates.Except(storage.Dates).ToArray();
if (emptyDates.IsEmpty())
{
this.AddInfoLog(LocalizedStrings.Str2297Params, series.Arg, security.Security.Id);
continue;
}
foreach (var emptyDate in emptyDates)
{
if (!CanProcess())
{
break;
}
if (_settings.IgnoreWeekends && !security.IsTradeDate(emptyDate))
{
this.AddDebugLog(LocalizedStrings.WeekEndDate, emptyDate);
continue;
}
try
{
this.AddInfoLog(LocalizedStrings.Str2298Params, series.Arg, emptyDate, security.Security.Id);
var candles = source.GetCandles(security.Security, (TimeSpan)series.Arg, emptyDate, emptyDate + TimeSpan.FromDays(1).Max((TimeSpan)series.Arg));
if (candles.Any())
{
SaveCandles(security, candles);
}
else
{
this.AddDebugLog(LocalizedStrings.NoData);
}
}
catch (Exception ex)
{
HandleError(new InvalidOperationException(LocalizedStrings.Str2299Params
.Put(series.Arg, emptyDate, security.Security.Id), ex));
}
}
}
}
if (CanProcess())
{
this.AddInfoLog(LocalizedStrings.Str2300);
}
return(base.OnProcess());
}
protected override TimeSpan OnProcess()
{
// если фильтр по инструментам выключен (выбран инструмент все инструменты)
if (this.GetAllSecurity() != null)
{
//throw new InvalidOperationException("Источник не поддерживает закачку данных по всем инструментам.");
this.AddWarningLog(LocalizedStrings.Str2292);
return(TimeSpan.MaxValue);
}
var source = new AlorHistorySource();
if (_settings.UseTemporaryFiles != TempFiles.NotUse)
{
source.DumpFolder = GetTempPath();
}
var startDate = _settings.StartFrom;
var endDate = DateTime.Today - TimeSpan.FromDays(_settings.Offset);
var allDates = startDate.Range(endDate, TimeSpan.FromDays(1)).ToArray();
foreach (var security in GetWorkingSecurities())
{
if (!CanProcess())
{
break;
}
#region LoadCandles
if (security.CandleSeries.Any())
{
foreach (var series in security.CandleSeries)
{
if (!CanProcess())
{
break;
}
if (series.CandleType != typeof(TimeFrameCandle))
{
this.AddWarningLog(LocalizedStrings.Str2296Params, series);
continue;
}
var storage = StorageRegistry.GetCandleStorage(series.CandleType, security.Security, series.Arg, _settings.Drive, _settings.StorageFormat);
var emptyDates = allDates.Except(storage.Dates).ToArray();
if (emptyDates.IsEmpty())
{
this.AddInfoLog(LocalizedStrings.Str2297Params, series.Arg, security.Security.Id);
continue;
}
foreach (var emptyDate in emptyDates)
{
if (!CanProcess())
{
break;
}
if (_settings.IgnoreWeekends && !security.IsTradeDate(emptyDate))
{
this.AddDebugLog(LocalizedStrings.WeekEndDate, emptyDate);
continue;
}
try
{
this.AddInfoLog(LocalizedStrings.Str2298Params, series.Arg, emptyDate, security.Security.Id);
var candles = source.GetCandles(security.Security, (TimeSpan)series.Arg, emptyDate, emptyDate);
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(TimeFrameCandle), series.Arg));
}
}
catch (Exception ex)
{
HandleError(new InvalidOperationException(LocalizedStrings.Str2299Params
.Put(series.Arg, emptyDate, security.Security.Id), ex));
}
}
}
}
#endregion
}
if (CanProcess())
{
this.AddInfoLog(LocalizedStrings.Str2300);
}
return(base.OnProcess());
}
private void LoadData(Security security)
{
_candle = null;
_lastPrice = 0m;
_allCandles.Clear();
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 ? 2 : 30 * (int)_timeframe.TotalMinutes;
Task.Factory.StartNew(() =>
{
var date = DateTime.MinValue;
if (isBuild)
{
foreach (var tick in storage.GetTickMessageStorage(security, new LocalMarketDataDrive(path), format).Load())
{
AppendTick(security, tick);
_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 candle in storage.GetCandleStorage(typeof(TimeFrameCandle), security, _timeframe, new LocalMarketDataDrive(path), format).Load())
{
lock (_updatedCandles.SyncRoot)
_updatedCandles[candle.OpenTime] = _candle = (TimeFrameCandle)candle;
_lastTime = candle.OpenTime + _timeframe;
_lastPrice = _candle.ClosePrice;
_tradeGenerator.Process(new ExecutionMessage
{
ExecutionType = ExecutionTypes.Tick,
SecurityId = security.ToSecurityId(),
ServerTime = _lastTime,
TradePrice = _lastPrice,
});
if (date != candle.OpenTime.Date)
{
date = candle.OpenTime.Date;
var str = date.To <string>();
this.GuiAsync(() => BusyIndicator.BusyContent = str);
maxDays--;
if (maxDays == 0)
{
break;
}
}
}
}
})
.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 Download_OnClick(object sender, RoutedEventArgs e)
{
var year = SelectedYear;
var from = From.Value ?? year.Days.First();
var to = (To.Value ?? year.Days.Last()).EndOfDay();
var trader = SelectedTrader;
var security = SelectedSecurity;
var tf = SelectedTimeFrame;
var series = new CandleSeries(typeof(TimeFrameCandle), security, tf);
BusyIndicator.BusyContent = "Подготовка данных...";
BusyIndicator.IsBusy = true;
Dictionary <DateTimeOffset, Tuple <MyTrade[], MyTrade> > trades = null;
var worker = new BackgroundWorker {
WorkerReportsProgress = true
};
worker.DoWork += (o, ea) =>
{
var candleStorage = _dataRegistry.GetCandleStorage(series, format: StorageFormats.Csv);
_candles = candleStorage.Load(from, to);
var candlesDatesCache = _candlesDates.SafeAdd(Tuple.Create(security, tf), k => new DatesCache(Path.Combine(((LocalMarketDataDrive)candleStorage.Drive.Drive).GetSecurityPath(security.ToSecurityId()), "{0}min_date.bin".Put((int)tf.TotalMinutes))));
var minCandleDate = candlesDatesCache.MinValue;
var maxCandleDate = candlesDatesCache.MaxValue;
if (from < minCandleDate || to > maxCandleDate)
{
var finamFrom = from;
var finamTo = to;
if (maxCandleDate != default(DateTime) && finamFrom >= minCandleDate && finamFrom <= maxCandleDate)
{
finamFrom = maxCandleDate + TimeSpan.FromDays(1);
}
if (minCandleDate != default(DateTime) && finamTo >= minCandleDate && finamTo <= maxCandleDate)
{
finamTo = minCandleDate - TimeSpan.FromDays(1);
}
if (finamTo > finamFrom)
{
worker.ReportProgress(1);
var newCandles = (tf.Ticks == 1
? finamFrom.Range(finamTo, TimeSpan.FromDays(1)).SelectMany(day => _finamHistorySource.GetTrades(security, day, day)).ToEx().ToCandles <TimeFrameCandle>(tf)
: _finamHistorySource.GetCandles(security, tf, finamFrom, finamTo)
).ToArray();
candleStorage.Save(newCandles);
foreach (var date in newCandles.Select(c => c.OpenTime.Date).Distinct())
{
candlesDatesCache.Add(date);
}
candlesDatesCache.Save();
_candles = _candles.Concat(newCandles);
}
}
var traderDrive = new LocalMarketDataDrive(trader);
var traderStorage = _traderStorages.SafeAdd(trader, key => new StorageRegistry {
DefaultDrive = traderDrive
});
var olStorage = traderStorage.GetOrderLogStorage(security, format: StorageFormats.Csv);
var tradeDatesCache = _tradesDates.SafeAdd(trader, k => new DatesCache(Path.Combine(traderDrive.Path, "dates.bin")));
trades = from
.Range(to, TimeSpan.FromDays(1))
.Intersect(year.Days)
.SelectMany(date =>
{
if (olStorage.Dates.Contains(date))
{
return(olStorage.Load(date));
}
if (tradeDatesCache.Contains(date))
{
return(Enumerable.Empty <OrderLogItem>());
}
worker.ReportProgress(2, date);
var loadedTrades = year.GetTrades(_securityStorage, trader, date);
var secTrades = Enumerable.Empty <OrderLogItem>();
foreach (var group in loadedTrades.GroupBy(t => t.Order.Security))
{
var sec = group.Key;
traderStorage
.GetOrderLogStorage(sec, format: StorageFormats.Csv)
.Save(group.OrderBy(i => i.Order.Time));
if (group.Key == security)
{
secTrades = group;
}
}
tradeDatesCache.Add(date);
tradeDatesCache.Save();
return(secTrades);
})
.GroupBy(ol =>
{
var time = ol.Order.Time;
var period = security.Board.WorkingTime.GetPeriod(time.DateTime);
if (period != null && period.Times.Length > 0)
{
var last = period.Times.Last().Max;
if (time.TimeOfDay >= last)
{
time = time.AddTicks(-1);
}
}
return(time.Truncate(tf));
})
.ToDictionary(g => g.Key, g =>
{
var candleTrades = g
.Select(order => new MyTrade
{
Order = order.Order,
Trade = order.Trade
})
.ToArray();
if (candleTrades.Length > 0)
{
var order = candleTrades[0].Order;
var volume = candleTrades.Sum(t1 => t1.Trade.Volume * (t1.Order.Direction == Sides.Buy ? 1 : -1));
if (volume == 0)
{
return(Tuple.Create(candleTrades, (MyTrade)null));
}
var side = volume > 0 ? Sides.Buy : Sides.Sell;
volume = volume.Abs();
var availableVolume = volume;
var avgPrice = 0m;
foreach (var trade in candleTrades.Where(t1 => t1.Order.Direction == side))
{
var tradeVol = trade.Trade.Volume.Min(availableVolume);
avgPrice += trade.Trade.Price * tradeVol;
availableVolume -= tradeVol;
if (availableVolume <= 0)
{
break;
}
}
avgPrice = avgPrice / volume;
return(Tuple.Create(candleTrades, new MyTrade
{
Order = new Order
{
Security = order.Security,
Direction = side,
Time = g.Key,
Portfolio = order.Portfolio,
Price = avgPrice,
Volume = volume,
},
Trade = new Trade
{
Security = order.Security,
Time = g.Key,
Volume = volume,
Price = avgPrice
}
}));
}
return(null);
});
};
worker.ProgressChanged += (o, ea) =>
{
switch (ea.ProgressPercentage)
{
case 1:
BusyIndicator.BusyContent = "Скачивание свечей...";
break;
default:
BusyIndicator.BusyContent = "Скачивание сделок за {0:yyyy-MM-dd}...".Put(ea.UserState);
break;
}
};
worker.RunWorkerCompleted += (o, ea) =>
{
BusyIndicator.IsBusy = false;
if (ea.Error == null)
{
Chart.ClearAreas();
_statisticManager.Reset();
var area = new ChartArea();
area.YAxises.Add(new ChartAxis
{
Id = "equity",
AutoRange = true,
AxisType = ChartAxisType.Numeric,
AxisAlignment = ChartAxisAlignment.Left,
});
Chart.AddArea(area);
var candlesElem = new ChartCandleElement {
ShowAxisMarker = false
};
Chart.AddElement(area, candlesElem, series);
var tradesElem = new ChartTradeElement
{
BuyStrokeColor = Colors.Black,
SellStrokeColor = Colors.Black,
FullTitle = "trades",
};
Chart.AddElement(area, tradesElem);
var equityElem = new ChartIndicatorElement {
YAxisId = "equity", FullTitle = "equity", IndicatorPainter = new PnlPainter()
};
var equityInd = new SimpleMovingAverage {
Length = 1
};
Chart.AddElement(area, equityElem);
var positionArea = new ChartArea {
Height = 200
};
Chart.AddArea(positionArea);
var positionElem = new ChartIndicatorElement {
FullTitle = "position"
};
var positionInd = new SimpleMovingAverage {
Length = 1
};
Chart.AddElement(positionArea, positionElem);
Chart.IsAutoRange = true;
var pnlQueue = new PnLQueue(security.ToSecurityId());
//var level1Info = new Level1ChangeMessage
//{
// SecurityId = pnlQueue.SecurityId,
//}
//.TryAdd(Level1Fields.PriceStep, security.PriceStep)
//.TryAdd(Level1Fields.StepPrice, security.StepPrice);
//pnlQueue.ProcessLevel1(level1Info);
var pos = 0m;
var chartValues = _candles
.Select(c =>
{
c.State = CandleStates.Finished;
pnlQueue.ProcessLevel1(new Level1ChangeMessage
{
SecurityId = security.ToSecurityId(),
}.TryAdd(Level1Fields.LastTradePrice, c.ClosePrice));
var values = new Dictionary <IChartElement, object>
{
{ candlesElem, c },
};
var candleTrade = trades.TryGetValue(c.OpenTime);
if (candleTrade != null)
{
if (candleTrade.Item2 != null)
{
values.Add(tradesElem, candleTrade.Item2);
}
foreach (var myTrade in candleTrade.Item1)
{
pos += myTrade.Order.Direction == Sides.Buy ? myTrade.Trade.Volume : -myTrade.Trade.Volume;
var pnl = pnlQueue.Process(myTrade.ToMessage());
_statisticManager.AddMyTrade(pnl);
}
_statisticManager.AddPosition(c.OpenTime, pos);
_statisticManager.AddPnL(c.OpenTime, pnlQueue.RealizedPnL + pnlQueue.UnrealizedPnL);
}
values.Add(equityElem, equityInd.Process(pnlQueue.RealizedPnL + pnlQueue.UnrealizedPnL));
values.Add(positionElem, positionInd.Process(pos));
return(new RefPair <DateTimeOffset, IDictionary <IChartElement, object> >
{
First = c.OpenTime,
Second = values
});
})
.ToArray();
Chart.Draw(chartValues);
Chart.IsAutoRange = false;
}
else
{
new MessageBoxBuilder()
.Error()
.Owner(this)
.Text(ea.Error.ToString())
.Show();
}
};
worker.RunWorkerAsync();
}
protected override TimeSpan OnProcess()
{
var source = CreateSource();
var allSecurity = this.GetAllSecurity();
// если фильтр по инструментам выключен (выбран инструмент все инструменты)
var selectedSecurities = (allSecurity != null ? this.ToHydraSecurities(_quandlSecurityStorage.Securities) : Settings.Securities).ToArray();
var hasNonQuandl = selectedSecurities.Any(s => !IsQuandl(s));
if (selectedSecurities.IsEmpty() || hasNonQuandl)
{
this.AddWarningLog(selectedSecurities.IsEmpty()
? LocalizedStrings.Str2289
: LocalizedStrings.Str2290.Put("Quandl"));
source.Refresh(_quandlSecurityStorage, new Security(), SaveSecurity, () => !CanProcess(false));
selectedSecurities = (allSecurity != null ? this.ToHydraSecurities(_quandlSecurityStorage.Securities) : Settings.Securities)
.Where(s =>
{
var retVal = IsQuandl(s);
if (!retVal)
{
this.AddWarningLog(LocalizedStrings.Str2291Params, s.Security.Id, "Quandl");
}
return(retVal);
}).ToArray();
}
if (!CanProcess())
{
return(base.OnProcess());
}
if (selectedSecurities.IsEmpty())
{
this.AddWarningLog(LocalizedStrings.Str2292);
return(TimeSpan.MaxValue);
}
if (_settings.UseTemporaryFiles != TempFiles.NotUse)
{
source.DumpFolder = GetTempPath();
}
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;
}
foreach (var series in (allSecurity ?? security).CandleSeries)
{
if (!CanProcess())
{
break;
}
if (series.CandleType != typeof(TimeFrameCandle))
{
this.AddWarningLog(LocalizedStrings.Str2296Params, series);
continue;
}
var tf = (TimeSpan)series.Arg;
var storage = StorageRegistry.GetCandleStorage(series.CandleType, 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;
}
if (_settings.IgnoreWeekends && !security.IsTradeDate(emptyDate))
{
this.AddDebugLog(LocalizedStrings.WeekEndDate, emptyDate);
continue;
}
try
{
this.AddInfoLog(LocalizedStrings.Str2298Params, tf, emptyDate, security.Security.Id);
var candles = source.GetCandles(security.Security, tf, emptyDate, emptyDate + tf);
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(TimeFrameCandle), series.Arg));
}
}
catch (Exception ex)
{
HandleError(new InvalidOperationException(LocalizedStrings.Str2299Params
.Put(series.Arg, emptyDate, security.Security.Id), ex));
}
}
}
}
if (CanProcess())
{
this.AddInfoLog(LocalizedStrings.Str2300);
}
return(base.OnProcess());
}
private IMarketDataStorage <Candle> GetStorage(CandleSeries series)
{
return(StorageRegistry.GetCandleStorage(series, Drive ?? StorageRegistry.DefaultDrive));
}
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 series in (allSecurity ?? security).CandleSeries)
{
if (!CanProcess())
{
break;
}
if (series.CandleType != typeof(TimeFrameCandle))
{
this.AddWarningLog(LocalizedStrings.Str2296Params, series);
continue;
}
var storage = StorageRegistry.GetCandleStorage(series.CandleType, security.Security, series.Arg, _settings.Drive, _settings.StorageFormat);
var emptyDates = allDates.Except(storage.Dates).ToArray();
if (emptyDates.IsEmpty())
{
this.AddInfoLog(LocalizedStrings.Str2297Params, series.Arg, security.Security.Id);
continue;
}
foreach (var emptyDate in emptyDates)
{
if (!CanProcess())
{
break;
}
if (_settings.IgnoreWeekends && !security.IsTradeDate(emptyDate))
{
this.AddDebugLog(LocalizedStrings.WeekEndDate, emptyDate);
continue;
}
try
{
this.AddInfoLog(LocalizedStrings.Str2298Params, series.Arg, emptyDate, security.Security.Id);
var candles = source.GetCandles(security.Security, (TimeSpan)series.Arg, emptyDate, emptyDate + TimeSpan.FromDays(1).Max((TimeSpan)series.Arg));
if (candles.Any())
{
SaveCandles(security, candles);
}
else
{
this.AddDebugLog(LocalizedStrings.NoData);
}
}
catch (Exception ex)
{
HandleError(new InvalidOperationException(LocalizedStrings.Str2299Params
.Put(series.Arg, emptyDate, security.Security.Id), ex));
}
}
}
}
if (!hasSecurities)
{
this.AddWarningLog(LocalizedStrings.Str2292);
return(TimeSpan.MaxValue);
}
if (CanProcess())
{
this.AddInfoLog(LocalizedStrings.Str2300);
}
return(base.OnProcess());
}
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).MarketDataTypesSet.Contains(typeof(Level1ChangeMessage)))
{
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 series in (allSecurity ?? security).CandleSeries)
{
if (!CanProcess())
{
break;
}
if (series.CandleType != typeof(TimeFrameCandle))
{
this.AddWarningLog(LocalizedStrings.Str2296Params, series);
continue;
}
var storage = StorageRegistry.GetCandleStorage(series.CandleType, security.Security, series.Arg, _settings.Drive, _settings.StorageFormat);
var emptyDates = allDates.Except(storage.Dates).ToArray();
if (emptyDates.IsEmpty())
{
this.AddInfoLog(LocalizedStrings.Str2297Params, series.Arg, security.Security.Id);
continue;
}
foreach (var emptyDate in emptyDates)
{
if (!CanProcess())
{
break;
}
try
{
this.AddInfoLog(LocalizedStrings.Str2298Params, series.Arg, emptyDate, emptyDate, security.Security.Id);
var candles = source.LoadCandles(security.Security, (TimeSpan)series.Arg, 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), series.Arg));
}
}
catch (Exception ex)
{
HandleError(new InvalidOperationException(LocalizedStrings.Str2299Params
.Put(series.Arg, emptyDate, security.Security.Id), ex));
}
}
}
#endregion
}
if (CanProcess())
{
this.AddInfoLog(LocalizedStrings.Str2300);
}
return(base.OnProcess());
}
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).MarketDataTypesSet.Contains(typeof(Trade)))
{
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 series in (allSecurity ?? security).CandleSeries)
{
if (!CanProcess())
{
break;
}
if (series.CandleType != typeof(TimeFrameCandle))
{
this.AddWarningLog(LocalizedStrings.Str2296Params, series);
continue;
}
var storage = StorageRegistry.GetCandleStorage(series.CandleType, security.Security, series.Arg, _settings.Drive, _settings.StorageFormat);
var emptyDates = allDates.Except(storage.Dates).ToArray();
if (emptyDates.IsEmpty())
{
this.AddInfoLog(LocalizedStrings.Str2297Params, series.Arg, 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, series.Arg, currDate, till, security.Security.Id);
var candles = source.GetCandles(security.Security, (TimeSpan)series.Arg, 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), series.Arg));
}
currDate = currDate.AddDays(_settings.CandleDayStep);
}
catch (Exception ex)
{
HandleError(new InvalidOperationException(LocalizedStrings.Str2299Params
.Put(series.Arg, currDate, security.Security.Id), ex));
}
}
}
#endregion
}
if (CanProcess())
{
this.AddInfoLog(LocalizedStrings.Str2300);
_settings.StartFrom = endDate;
SaveSettings();
}
return(base.OnProcess());
}
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.Ux).Concat(EntityRegistry.Securities.Filter(ExchangeBoard.UxStock)))
: Settings.Securities
).ToArray();
var source = new UxHistorySource();
if (selectedSecurities.IsEmpty())
{
this.AddWarningLog(LocalizedStrings.Str2289);
source.Refresh(EntityRegistry.Securities, new Security(), SaveSecurity, () => !CanProcess(false));
selectedSecurities = this.ToHydraSecurities(EntityRegistry.Securities.Filter(ExchangeBoard.Ux).Concat(EntityRegistry.Securities.Filter(ExchangeBoard.UxStock)));
}
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).MarketDataTypesSet.Contains(typeof(Trade)))
{
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);
}
}
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 series in (allSecurity ?? security).CandleSeries)
{
if (!CanProcess())
{
break;
}
if (series.CandleType != typeof(TimeFrameCandle))
{
this.AddWarningLog(LocalizedStrings.Str2296Params, series);
continue;
}
var storage = StorageRegistry.GetCandleStorage(series.CandleType, security.Security, series.Arg, _settings.Drive, _settings.StorageFormat);
var emptyDates = allDates.Except(storage.Dates).ToArray();
if (emptyDates.IsEmpty())
{
this.AddInfoLog(LocalizedStrings.Str2297Params, series.Arg, 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, series.Arg, currDate, till, security.Security.Id);
var candles = source.GetCandles(security.Security, (TimeSpan)series.Arg, currDate, till);
if (candles.Any())
{
SaveCandles(security, candles);
}
else
{
this.AddDebugLog(LocalizedStrings.NoData);
}
}
catch (Exception ex)
{
HandleError(new InvalidOperationException(LocalizedStrings.Str2299Params
.Put(series.Arg, currDate, security.Security.Id), ex));
}
currDate = currDate.AddDays(_settings.CandleDayStep);
}
}
#endregion
}
if (CanProcess())
{
this.AddInfoLog(LocalizedStrings.Str2300);
}
return(base.OnProcess());
}
private void Download_OnClick(object sender, RoutedEventArgs e)
{
var settings = new Settings
{
Year = SelectedYear.Year,
Trader = Trader.Text,
From = From.Value,
To = To.Value,
Security1 = Security1.Text,
Security2 = Security2.Text,
Security3 = Security3.Text,
Security4 = Security4.Text,
TimeFrame = SelectedTimeFrame,
Apart = Apart.IsChecked == true,
};
CultureInfo.InvariantCulture.DoInCulture(() => new XmlSerializer <SettingsStorage>().Serialize(settings.Save(), _settingsFile));
var year = SelectedYear;
var from = From.Value ?? year.Days.First();
var to = (To.Value ?? year.Days.Last()).EndOfDay();
var trader = SelectedTrader;
var tf = SelectedTimeFrame;
var apart = Apart.IsChecked == true;
var seriesSet = _securityCtrls
.Where(pair => pair.Key.SelectedSecurity != null)
.Select(pair => Tuple.Create(new CandleSeries(typeof(TimeFrameCandle), pair.Key.SelectedSecurity, tf), pair.Value))
.ToArray();
BusyIndicator.BusyContent = "Подготовка данных...";
BusyIndicator.IsBusy = true;
_candles.Clear();
var trades = new Dictionary <Security, Dictionary <DateTimeOffset, Tuple <MyTrade[], MyTrade> > >();
var worker = new BackgroundWorker {
WorkerReportsProgress = true
};
worker.DoWork += (o, ea) =>
{
foreach (var series in seriesSet)
{
var security = series.Item1.Security;
var candleStorage = _dataRegistry.GetCandleStorage(series.Item1, format: StorageFormats.Csv);
var secCandles = _candles.SafeAdd(security);
secCandles.Clear();
secCandles.AddRange(candleStorage.Load(from, to));
var candlesDatesCache = _candlesDates.SafeAdd(Tuple.Create(security, tf), k => new DatesCache(Path.Combine(((LocalMarketDataDrive)candleStorage.Drive.Drive).GetSecurityPath(security.ToSecurityId()), "{0}min_date.bin".Put((int)tf.TotalMinutes))));
var minCandleDate = candlesDatesCache.MinValue;
var maxCandleDate = candlesDatesCache.MaxValue;
if (from >= minCandleDate && to <= maxCandleDate)
{
continue;
}
var finamFrom = from;
var finamTo = to;
if (maxCandleDate != null && finamFrom >= minCandleDate && finamFrom <= maxCandleDate)
{
finamFrom = maxCandleDate.Value + TimeSpan.FromDays(1);
}
if (minCandleDate != null && finamTo >= minCandleDate && finamTo <= maxCandleDate)
{
finamTo = minCandleDate.Value - TimeSpan.FromDays(1);
}
if (finamTo <= finamFrom)
{
continue;
}
TimeFrameCandle[] newCandles;
if (tf.Ticks == 1)
{
newCandles = finamFrom.Range(finamTo, TimeSpan.FromDays(1)).SelectMany(day =>
{
worker.ReportProgress(1, Tuple.Create(security, day));
var candles = _finamHistorySource.GetTrades(security, day, day).ToEx().ToCandles <TimeFrameCandle>(tf).ToArray();
candleStorage.Save(candles);
candlesDatesCache.Add(day);
return(candles);
}).ToArray();
}
else
{
worker.ReportProgress(1, Tuple.Create(security, finamFrom, finamTo));
newCandles = _finamHistorySource.GetCandles(security, tf, finamFrom, finamTo).ToArray();
candleStorage.Save(newCandles);
candlesDatesCache.Add(newCandles.Select(c => c.OpenTime.Date).Distinct().ToArray());
}
// TODO
secCandles.AddRange(newCandles);
}
var traderDrive = new LocalMarketDataDrive(Path.Combine(_settingsDir, trader));
var traderStorage = _traderStorages.SafeAdd(trader, key => new StorageRegistry {
DefaultDrive = traderDrive
});
foreach (var series in seriesSet)
{
var security = series.Item1.Security;
var olStorage = traderStorage.GetOrderLogStorage(security, format: StorageFormats.Csv);
var tradeDatesCache = _tradesDates.SafeAdd(trader, k => new DatesCache(Path.Combine(traderDrive.Path, "dates.xml")));
var secTrades = from
.Range(to, TimeSpan.FromDays(1))
.Intersect(year.Days)
.SelectMany(date =>
{
if (olStorage.Dates.Contains(date))
{
return(olStorage.Load(date));
}
if (tradeDatesCache.Contains(date))
{
return(Enumerable.Empty <OrderLogItem>());
}
worker.ReportProgress(2, date);
var loadedTrades = year.GetTrades(_securityStorage, trader, date);
var dateTrades = Enumerable.Empty <OrderLogItem>();
foreach (var group in loadedTrades.GroupBy(t => t.Order.Security))
{
var sec = group.Key;
traderStorage
.GetOrderLogStorage(sec, format: StorageFormats.Csv)
.Save(group.OrderBy(i => i.Order.Time));
if (group.Key == security)
{
dateTrades = group;
}
}
tradeDatesCache.Add(date);
return(dateTrades);
})
.GroupBy(ol =>
{
var time = ol.Order.Time;
var period = security.Board.WorkingTime.GetPeriod(time.ToLocalTime(security.Board.Exchange.TimeZoneInfo));
if (period != null && period.Times.Length > 0)
{
var last = period.Times.Last().Max;
if (time.TimeOfDay >= last)
{
time = time.AddTicks(-1);
}
}
if (tf == TimeSpan.FromDays(1) && period != null && period.Times.Length > 0)
{
return(new DateTimeOffset(time.Date + period.Times[0].Min, time.Offset));
}
return(time.Truncate(tf));
})
.ToDictionary(g => g.Key, g =>
{
var candleTrades = g.Select(ol => new MyTrade
{
Order = ol.Order,
Trade = ol.Trade
})
.ToArray();
if (candleTrades.Length == 0)
{
return(null);
}
var order = candleTrades[0].Order;
var volume = candleTrades.Sum(t1 => t1.Trade.Volume * (t1.Order.Direction == Sides.Buy ? 1 : -1));
if (volume == 0)
{
return(Tuple.Create(candleTrades, (MyTrade)null));
}
var side = volume > 0 ? Sides.Buy : Sides.Sell;
volume = volume.Abs();
var availableVolume = volume;
var avgPrice = 0m;
foreach (var trade in candleTrades.Where(t1 => t1.Order.Direction == side))
{
var tradeVol = trade.Trade.Volume.Min(availableVolume);
avgPrice += trade.Trade.Price * tradeVol;
availableVolume -= tradeVol;
if (availableVolume <= 0)
{
break;
}
}
avgPrice = avgPrice / volume;
return(Tuple.Create(candleTrades, new MyTrade
{
Order = new Order
{
Security = order.Security,
Direction = side,
Time = g.Key,
Portfolio = order.Portfolio,
Price = avgPrice,
Volume = volume,
},
Trade = new Trade
{
Security = order.Security,
Time = g.Key,
Volume = volume,
Price = avgPrice
}
}));
});
trades.Add(security, secTrades);
}
};
worker.ProgressChanged += (o, ea) =>
{
switch (ea.ProgressPercentage)
{
case 1:
{
if (ea.UserState is Tuple <Security, DateTime> )
{
BusyIndicator.BusyContent = "Скачивание {Item1.Id} тиков за {Item2:yyyy-MM-dd}...".PutEx(ea.UserState);
}
else
{
BusyIndicator.BusyContent = "Скачивание {Item1.Id} свечей с {Item2:yyyy-MM-dd} по {Item3:yyyy-MM-dd}...".PutEx(ea.UserState);
}
break;
}
default:
BusyIndicator.BusyContent = "Скачивание сделок за {0:yyyy-MM-dd}...".Put(ea.UserState);
break;
}
};
worker.RunWorkerCompleted += (o, ea) =>
{
BusyIndicator.IsBusy = false;
if (ea.Error == null)
{
Chart.ClearAreas();
_statisticManager.Reset();
var equityInd = new SimpleMovingAverage {
Length = 1
};
ChartIndicatorElement equityElem;
var candlesAreas = new Dictionary <CandleSeries, ChartArea>();
if (apart)
{
foreach (var series in seriesSet)
{
var area = new ChartArea {
Title = series.Item1.Security.Id
};
Chart.AddArea(area);
area.YAxises.Clear();
candlesAreas.Add(series.Item1, area);
}
var equityArea = new ChartArea {
Title = LocalizedStrings.PnL
};
Chart.AddArea(equityArea);
equityElem = new ChartIndicatorElement
{
FullTitle = LocalizedStrings.PnL,
IndicatorPainter = new PnlPainter()
};
Chart.AddElement(equityArea, equityElem);
}
else
{
var candlesArea = new ChartArea();
Chart.AddArea(candlesArea);
foreach (var tuple in seriesSet)
{
candlesAreas.Add(tuple.Item1, candlesArea);
}
const string equityYAxis = "Equity";
candlesArea.YAxises.Clear();
candlesArea.YAxises.Add(new ChartAxis
{
Id = equityYAxis,
AutoRange = true,
AxisType = ChartAxisType.Numeric,
AxisAlignment = ChartAxisAlignment.Left,
});
equityElem = new ChartIndicatorElement
{
YAxisId = equityYAxis,
FullTitle = LocalizedStrings.PnL,
IndicatorPainter = new PnlPainter()
};
Chart.AddElement(candlesArea, equityElem);
}
var positionArea = new ChartArea {
Height = 100
};
Chart.AddArea(positionArea);
positionArea.YAxises.Clear();
var chartValues = new SortedDictionary <DateTimeOffset, IDictionary <IChartElement, object> >();
var pnlValues = new Dictionary <DateTimeOffset, decimal>();
foreach (var series in seriesSet)
{
var security = series.Item1.Security;
var candleYAxis = "Candles_Y_" + security.Id;
var candlesArea = candlesAreas[series.Item1];
candlesArea.YAxises.Add(new ChartAxis
{
Id = candleYAxis,
AutoRange = true,
AxisType = ChartAxisType.Numeric,
AxisAlignment = ChartAxisAlignment.Right,
});
var candlesElem = new ChartCandleElement
{
ShowAxisMarker = false,
YAxisId = candleYAxis,
};
Chart.AddElement(candlesArea, candlesElem, series.Item1);
var tradesElem = new ChartTradeElement
{
BuyStrokeColor = Colors.Black,
SellStrokeColor = Colors.Black,
BuyColor = series.Item2.Buy,
SellColor = series.Item2.Sell,
FullTitle = LocalizedStrings.Str985 + " " + security.Id,
YAxisId = candleYAxis,
};
Chart.AddElement(candlesArea, tradesElem);
var posYAxis = "Pos_Y_" + security.Id;
positionArea.YAxises.Add(new ChartAxis
{
Id = posYAxis,
AutoRange = true,
AxisType = ChartAxisType.Numeric,
AxisAlignment = ChartAxisAlignment.Right,
});
var positionElem = new ChartIndicatorElement
{
FullTitle = LocalizedStrings.Str862 + " " + security.Id,
YAxisId = posYAxis,
Color = series.Item2.Position
};
var positionInd = new SimpleMovingAverage {
Length = 1
};
Chart.AddElement(positionArea, positionElem);
var pnlQueue = new PnLQueue(security.ToSecurityId());
//var level1Info = new Level1ChangeMessage
//{
// SecurityId = pnlQueue.SecurityId,
//}
//.TryAdd(Level1Fields.PriceStep, security.PriceStep)
//.TryAdd(Level1Fields.StepPrice, security.StepPrice);
//pnlQueue.ProcessLevel1(level1Info);
var pos = 0m;
var secTrades = trades[security];
var secValues = _candles[security]
.Select(c =>
{
if (c.State != CandleStates.Finished)
{
c.State = CandleStates.Finished;
}
pnlQueue.ProcessLevel1(new Level1ChangeMessage
{
SecurityId = security.ToSecurityId(),
}.TryAdd(Level1Fields.LastTradePrice, c.ClosePrice));
var values = new Dictionary <IChartElement, object>
{
{ candlesElem, c },
};
var candleTrade = secTrades.TryGetValue(c.OpenTime);
if (candleTrade != null)
{
if (candleTrade.Item2 != null)
{
values.Add(tradesElem, candleTrade.Item2);
}
foreach (var myTrade in candleTrade.Item1)
{
pos += myTrade.Order.Direction == Sides.Buy ? myTrade.Trade.Volume : -myTrade.Trade.Volume;
var pnl = pnlQueue.Process(myTrade.ToMessage());
_statisticManager.AddMyTrade(pnl);
}
_statisticManager.AddPosition(c.OpenTime, pos);
_statisticManager.AddPnL(c.OpenTime, pnlQueue.RealizedPnL + pnlQueue.UnrealizedPnL);
}
pnlValues[c.OpenTime] = pnlValues.TryGetValue(c.OpenTime) + (pnlQueue.RealizedPnL + pnlQueue.UnrealizedPnL);
values.Add(positionElem, positionInd.Process(pos));
return(new RefPair <DateTimeOffset, IDictionary <IChartElement, object> >
{
First = c.OpenTime,
Second = values
});
})
.ToArray();
foreach (var pair in secValues)
{
var dict = chartValues.SafeAdd(pair.First, key => new Dictionary <IChartElement, object>());
foreach (var pair2 in pair.Second)
{
dict[pair2.Key] = pair2.Value;
}
}
}
foreach (var pair in pnlValues)
{
chartValues[pair.Key].Add(equityElem, equityInd.Process(pair.Value));
}
Chart.IsAutoRange = true;
try
{
Chart.Draw(chartValues.Select(p => RefTuple.Create(p.Key, p.Value)));
}
finally
{
Chart.IsAutoRange = false;
}
}
else
{
new MessageBoxBuilder()
.Error()
.Owner(this)
.Text(ea.Error.ToString())
.Show();
}
};
worker.RunWorkerAsync();
}
protected override TimeSpan OnProcess()
{
if (_settings.ExportType == ExportTypes.Sql && _settings.Connection == null)
{
this.AddErrorLog(LocalizedStrings.Str3768);
return(TimeSpan.MaxValue);
}
var allSecurity = this.GetAllSecurity();
var supportedDataTypes = (allSecurity == null
? Enumerable.Empty <Type>()
: SupportedMarketDataTypes.Intersect(allSecurity.MarketDataTypes)
).ToArray();
this.AddInfoLog(LocalizedStrings.Str2306Params.Put(_settings.StartFrom));
Func <int, bool> isCancelled = count => !CanProcess();
var hasSecurities = false;
foreach (var security in GetWorkingSecurities())
{
hasSecurities = true;
if (!CanProcess())
{
break;
}
var path = _settings.ExportFolder;
if (path.IsEmpty())
{
path = DriveCache.Instance.DefaultDrive.Path;
}
foreach (var dataType in (allSecurity == null ? security.MarketDataTypes : supportedDataTypes))
{
if (!CanProcess())
{
break;
}
this.AddInfoLog(LocalizedStrings.Str3769Params.Put(security.Security.Id, dataType.Name, _settings.ExportType));
var fromStorage = dataType == typeof(Candle)
? StorageRegistry.GetCandleStorage(_settings.CandleSettings.CandleType, security.Security, _settings.CandleSettings.Arg, _settings.Drive, _settings.StorageFormat)
: StorageRegistry.GetStorage(security.Security, dataType, null, _settings.Drive, _settings.StorageFormat);
var arg = dataType == typeof(Candle) ? _settings.CandleSettings.Arg
: (dataType == typeof(OrderLogItem) ? ExecutionTypes.OrderLog :
(dataType == typeof(Trade) ? (object)ExecutionTypes.Tick : null));
var from = fromStorage.GetFromDate();
var to = fromStorage.GetToDate();
if (from == null || to == null)
{
this.AddWarningLog(LocalizedStrings.Str3770);
continue;
}
from = _settings.StartFrom.Max(from.Value);
to = (DateTime.Today - TimeSpan.FromDays(_settings.Offset)).Min(to.Value);
if (from > to)
{
continue;
}
BaseExporter exporter;
if (_settings.ExportType == ExportTypes.Sql)
{
exporter = new DatabaseExporter(security.Security, arg, isCancelled, _settings.Connection)
{
BatchSize = _settings.BatchSize,
CheckUnique = _settings.CheckUnique,
};
}
else
{
var fileName = Path.Combine(path, security.Security.GetFileName(
dataType == typeof(Candle) ? _settings.CandleSettings.CandleType : dataType,
dataType == typeof(Candle) ? _settings.CandleSettings.Arg : null,
from.Value, to.Value, _settings.ExportType));
switch (_settings.ExportType)
{
case ExportTypes.Excel:
exporter = new ExcelExporter(security.Security, arg, isCancelled, fileName, () => this.AddErrorLog(LocalizedStrings.Str3771));
break;
case ExportTypes.Xml:
exporter = new XmlExporter(security.Security, arg, isCancelled, fileName);
break;
case ExportTypes.Txt:
exporter = new TextExporter(security.Security, arg, isCancelled, fileName);
break;
case ExportTypes.Bin:
exporter = new BinExporter(security.Security, arg, isCancelled, DriveCache.Instance.GetDrive(path));
break;
default:
throw new ArgumentOutOfRangeException();
}
}
foreach (var date in from.Value.Range(to.Value, TimeSpan.FromDays(1)))
{
if (!CanProcess())
{
break;
}
try
{
this.AddInfoLog(LocalizedStrings.Str3772Params.Put(security.Security.Id, dataType.Name, _settings.ExportType, date));
exporter.Export(dataType, fromStorage.Load(date));
}
catch (Exception ex)
{
HandleError(ex);
}
}
}
}
if (!hasSecurities)
{
this.AddWarningLog(LocalizedStrings.Str2292);
return(TimeSpan.MaxValue);
}
if (CanProcess())
{
this.AddInfoLog(LocalizedStrings.Str2300);
_settings.StartFrom = DateTime.Today - TimeSpan.FromDays(_settings.Offset);
SaveSettings();
}
return(base.OnProcess());
}