private void AppendTick(Security security, ExecutionMessage tick)
{
var time = tick.ServerTime;
var price = tick.TradePrice.Value;
if (_candle == null || time >= _candle.CloseTime)
{
if (_candle != null)
{
_candle.State = CandleStates.Finished;
lock (_updatedCandles.SyncRoot)
_updatedCandles[_candle.OpenTime] = _candle;
_lastPrice = _candle.ClosePrice;
_tradeGenerator.Process(tick);
}
//var t = TimeframeSegmentDataSeries.GetTimeframePeriod(time.DateTime, _timeframe);
var bounds = _timeframe.GetCandleBounds(time, security.Board);
_candle = new TimeFrameCandle
{
TimeFrame = _timeframe,
OpenTime = bounds.Min,
CloseTime = bounds.Max,
Security = security,
};
_volumeProfile = new CandleMessageVolumeProfile();
_candle.PriceLevels = _volumeProfile.PriceLevels;
_candle.OpenPrice = _candle.HighPrice = _candle.LowPrice = _candle.ClosePrice = price;
}
if (time < _candle.OpenTime)
{
throw new InvalidOperationException("invalid time");
}
if (price > _candle.HighPrice)
{
_candle.HighPrice = price;
}
if (price < _candle.LowPrice)
{
_candle.LowPrice = price;
}
_candle.ClosePrice = price;
_candle.TotalVolume += tick.TradeVolume.Value;
_volumeProfile.Update(new TickCandleBuilderSourceValue(tick));
lock (_updatedCandles.SyncRoot)
_updatedCandles[_candle.OpenTime] = _candle;
}
public void UpdateCandle(TimeFrameCandle candle)
{
candle.OpenPrice = Open;
candle.HighPrice = High;
candle.LowPrice = Low;
candle.ClosePrice = Close;
candle.TotalVolume = Volume;
}
private void LoadData(string path)
{
_candle = null;
_allCandles.Clear();
Chart.Reset(new IChartElement[] { _candleElement, _activeOrdersElement });
var storage = new StorageRegistry();
var maxDays = 2;
BusyIndicator.IsBusy = true;
Task.Factory.StartNew(() =>
{
var date = DateTime.MinValue;
foreach (var tick in storage.GetTickMessageStorage(_security, new LocalMarketDataDrive(path)).Load())
{
AppendTick(_security, tick);
if (date != tick.ServerTime.Date)
{
date = tick.ServerTime.Date;
this.GuiAsync(() =>
{
BusyIndicator.BusyContent = date.ToString();
});
maxDays--;
if (maxDays == 0)
{
break;
}
}
}
})
.ContinueWith(t =>
{
if (t.Exception != null)
{
Error(t.Exception.Message);
}
this.GuiAsync(() =>
{
BusyIndicator.IsBusy = false;
Chart.IsAutoRange = false;
_area.YAxises.First().AutoRange = false;
Chart.Draw(DateTimeOffset.MinValue, _activeOrdersElement, _chartOrders);
Log($"Loaded {_allCandles.Count} candles");
});
}, TaskScheduler.FromCurrentSynchronizationContext());
}
private void AppendTick(Security security, ExecutionMessage tick)
{
var time = tick.ServerTime;
var price = tick.TradePrice.Value;
if (_candle == null || time >= _candle.CloseTime)
{
if (_candle != null)
{
lock (_updatedCandles.SyncRoot)
_updatedCandles[_candle.OpenTime] = Tuple.Create(_candle, true);
_lastPrice = _candle.ClosePrice;
_tradeGenerator.Process(tick);
}
var bounds = _timeframe.GetCandleBounds(time, security.Board);
_candle = new TimeFrameCandle
{
TimeFrame = _timeframe,
OpenTime = bounds.Min,
CloseTime = bounds.Max,
Security = security,
};
_volumeProfile = new CandleMessageVolumeProfile();
_candle.PriceLevels = _volumeProfile.PriceLevels;
_candle.OpenPrice = _candle.HighPrice = _candle.LowPrice = _candle.ClosePrice = price;
}
if (time < _candle.OpenTime)
{
throw new InvalidOperationException("invalid time");
}
if (price > _candle.HighPrice)
{
_candle.HighPrice = price;
}
if (price < _candle.LowPrice)
{
_candle.LowPrice = price;
}
_candle.ClosePrice = price;
_candle.TotalVolume += tick.TradeVolume.Value;
lock (_volumeProfile.PriceLevels)
_volumeProfile.Update(tick.TradePrice.Value, tick.TradeVolume, tick.OriginSide);
lock (_updatedCandles.SyncRoot)
_updatedCandles[_candle.OpenTime] = Tuple.Create(_candle, false);
}
private void AppendTick(Security security, ExecutionMessage tick)
{
var time = tick.ServerTime;
var price = tick.TradePrice.Value;
if (_candle == null || time >= _candle.CloseTime)
{
if (_candle != null)
{
var candle = (TimeFrameCandle)_candle.Clone();
_updatedCandles[candle.OpenTime] = candle;
_lastPrice = candle.ClosePrice;
}
//var t = TimeframeSegmentDataSeries.GetTimeframePeriod(time.DateTime, _timeframe);
var tf = TimeSpan.FromMinutes(_timeframe);
var bounds = tf.GetCandleBounds(time, _security.Board);
_candle = new TimeFrameCandle
{
TimeFrame = tf,
OpenTime = bounds.Min,
CloseTime = bounds.Max,
};
_volumeProfile = new VolumeProfile();
_candle.PriceLevels = _volumeProfile.PriceLevels;
_candle.OpenPrice = _candle.HighPrice = _candle.LowPrice = _candle.ClosePrice = price;
_volumeProfile.Update(new TickCandleBuilderSourceValue(security, tick));
}
if (time < _candle.OpenTime)
{
throw new InvalidOperationException("invalid time");
}
if (price > _candle.HighPrice)
{
_candle.HighPrice = price;
}
if (price < _candle.LowPrice)
{
_candle.LowPrice = price;
}
_candle.ClosePrice = price;
_candle.TotalVolume += tick.Volume.Value;
_volumeProfile.Update(new TickCandleBuilderSourceValue(security, tick));
}
private void DrawCandle(TimeFrameCandle candle)
{
var data = new ChartDrawData();
var group = data.Group(candle.OpenTime);
group.Add(_candleElement, candle);
if (_indicatorElement != null)
{
group.Add(_indicatorElement, _indicator.Process((double)candle.ClosePrice));
}
Chart.Draw(data);
}
private void AppendTick(Security security, ExecutionMessage tick)
{
var time = tick.ServerTime;
var price = tick.TradePrice.Value;
if (_candle == null || time >= _candle.CloseTime)
{
if (_candle != null)
{
_candle.State = CandleStates.Finished;
lock (_updatedCandles.SyncRoot)
_updatedCandles[_candle.OpenTime] = _candle;
}
var tf = TimeSpan.FromMinutes(_timeframe);
var bounds = tf.GetCandleBounds(time, _security.Board);
_candle = new TimeFrameCandle
{
TimeFrame = tf,
OpenTime = bounds.Min,
CloseTime = bounds.Max,
Security = security,
};
_candle.OpenPrice = _candle.HighPrice = _candle.LowPrice = _candle.ClosePrice = price;
}
if (time < _candle.OpenTime)
{
throw new InvalidOperationException("invalid time");
}
if (price > _candle.HighPrice)
{
_candle.HighPrice = price;
}
if (price < _candle.LowPrice)
{
_candle.LowPrice = price;
}
_candle.ClosePrice = price;
_candle.TotalVolume += tick.TradeVolume.Value;
lock (_updatedCandles.SyncRoot)
_updatedCandles[_candle.OpenTime] = _candle;
}
private TimeFrameCandle GetCandle(ExecutionMessage tick)
{
var time = tick.ServerTime;
var price = tick.TradePrice.Value;
if (_candle == null || time >= _candle.CloseTime)
{
//var t = TimeframeSegmentDataSeries.GetTimeframePeriod(time.DateTime, _timeframe);
var tf = TimeSpan.FromMinutes(_timeframe);
var bounds = tf.GetCandleBounds(time, _security.Board);
_candle = new TimeFrameCandle
{
TimeFrame = tf,
OpenTime = bounds.Min,
CloseTime = bounds.Max,
};
_volumeProfile = new VolumeProfile();
_candle.OpenPrice = _candle.HighPrice = _candle.LowPrice = _candle.ClosePrice = price;
_volumeProfile.Update(new TickCandleBuilderSourceValue(_security, tick));
_allCandles.Add(_candle);
return(_candle);
}
if (time < _candle.OpenTime)
{
throw new InvalidOperationException("invalid time");
}
if (price > _candle.HighPrice)
{
_candle.HighPrice = price;
}
if (price < _candle.LowPrice)
{
_candle.LowPrice = price;
}
_candle.ClosePrice = price;
_candle.TotalVolume += tick.Volume.Value;
_volumeProfile.Update(new TickCandleBuilderSourceValue(_security, tick));
return(_candle);
}
private void DrawCandle(TimeFrameCandle candle)
{
var dict = new Dictionary <IChartElement, object>
{
{ _candleElement, candle },
};
if (_indicatorElement != null)
{
dict.Add(_indicatorElement, _indicator.Process((double)candle.ClosePrice));
}
Chart.Draw(candle.OpenTime, dict);
}
private void ChartUpdateTimerOnTick(object sender, EventArgs eventArgs)
{
if (!_dataIsLoaded || IsRealtime.IsChecked != true || _lastPrice == 0m)
{
return;
}
_lastTime += TimeSpan.FromSeconds(10);
var numCandles = _candles.Count;
AppendTick(new ExecutionMessage
{
ServerTime = _lastTime,
TradePrice = Round(_lastPrice + (decimal)((RandomGen.GetDouble() - 0.5) * 5 * _priceStep), _priceStep),
TradeVolume = RandomGen.GetInt(50) + 1
});
TimeFrameCandle candle;
var lastLightCandle = _candles[_candles.Count - 1];
if (_candles.Count != numCandles && _lastCandle != null)
{
_lastCandle.State = CandleStates.Finished;
DrawCandle(_lastCandle);
}
if (_candles.Count != numCandles || _lastCandle == null)
{
_lastCandle = candle = lastLightCandle.ToCandle(_tfSpan, _security);
}
else
{
candle = _lastCandle;
lastLightCandle.UpdateCandle(candle);
}
DrawCandle(candle);
}
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 LoadData()
{
_candle = null;
_lastPrice = 0m;
_allCandles.Clear();
var id = new SecurityIdGenerator().Split(SecurityId.Text);
_security = new Security
{
Id = SecurityId.Text,
PriceStep = _priceStep,
Board = _exchangeInfoProvider.GetExchangeBoard(id.BoardCode)
};
Chart.Reset(new IChartElement[] { _candleElement1 });
var storage = new StorageRegistry();
var maxDays = 2;
BusyIndicator.IsBusy = true;
var path = HistoryPath.Folder;
Task.Factory.StartNew(() =>
{
var date = DateTime.MinValue;
foreach (var tick in storage.GetTickMessageStorage(_security, new LocalMarketDataDrive(path)).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;
}
}
}
})
.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 InitCharts()
{
_candle = null;
_lastPrice = 0m;
_allCandles.Clear();
_chartCombined.ClearAreas();
_chartBindVisibleRange.ClearAreas();
_areaComb = new ChartArea();
_areaBVR1 = new ChartArea();
_areaBVR2 = new ChartArea();
_areaComb.YAxises.Add(new ChartAxis
{
Id = _chartMainYAxis,
AutoRange = false,
AxisType = ChartAxisType.Numeric,
AxisAlignment = ChartAxisAlignment.Right,
});
_areaBVR2.YAxises.Add(new ChartAxis
{
Id = _chartMainYAxis,
AutoRange = false,
AxisType = ChartAxisType.Numeric,
AxisAlignment = ChartAxisAlignment.Right,
});
_chartCombined.AddArea(_areaComb);
_chartBindVisibleRange.AddArea(_areaBVR1);
_chartBindVisibleRange.AddArea(_areaBVR2);
_timeframe = int.Parse((string)((ComboBoxItem)_comboMainTimeframe.SelectedItem).Tag);
var step = (decimal)_updownPriceStep.Value.Value;
var series = new CandleSeries(
typeof(TimeFrameCandle),
_security,
TimeSpan.FromMinutes(_timeframe));
_candleElement1 = new ChartCandleElement {
FullTitle = "Candles", YAxisId = _chartMainYAxis
};
_chartCombined.AddElement(_areaComb, _candleElement1, series);
_bvElement = new ChartBoxVolumeElement(_timeframe, step)
{
FullTitle = "BoxVolume", YAxisId = _chartMainYAxis
};
_chartCombined.AddElement(_areaComb, _bvElement);
_cpElement = new ChartClusterProfileElement(_timeframe, step)
{
FullTitle = "Cluster profile"
};
_chartBindVisibleRange.AddElement(_areaBVR1, _cpElement);
_candleElement2 = new ChartCandleElement {
FullTitle = "Candles", YAxisId = _chartMainYAxis
};
_chartBindVisibleRange.AddElement(_areaBVR2, _candleElement2, series);
var ns = typeof(IIndicator).Namespace;
var rendererTypes = typeof(Chart).Assembly
.GetTypes()
.Where(t => !t.IsAbstract && typeof(BaseChartIndicatorPainter).IsAssignableFrom(t))
.ToDictionary(t => t.Name);
var indicators = typeof(IIndicator).Assembly
.GetTypes()
.Where(t => t.Namespace == ns && !t.IsAbstract && typeof(IIndicator).IsAssignableFrom(t))
.Select(t =>
{
var name = t.Name;
var p = rendererTypes.TryGetValue(name + "Painter");
if (p == null)
{
if (t.Name.EndsWith("Indicator"))
{
name = name.Substring(0, name.Length - "Indicator".Length);
}
p = rendererTypes.TryGetValue(name + "Painter");
}
return(new IndicatorType(t, p));
})
.ToArray();
_chartCombined.IndicatorTypes.AddRange(indicators);
_chartBindVisibleRange.IndicatorTypes.AddRange(indicators);
}
