//private static Timer _timer2 = new Timer(CheckSubs, null, 1000, 1000);
//private static void CheckSubs(object state)
//{
// var brokenSubs = TickList.Where(x => x.Ticks.Count == 0).ToList();
// foreach (var sub in brokenSubs)
// {
// sub.Tradeno = 1;
// }
// TXmlConnector.ConnectorSendCommand(ReturnTickSubsXml());
// foreach (var sub in brokenSubs)
// {
// sub.Tradeno = 0;
// }
//}
private static void ClearSubs(object state)
{
var windows = _dispatcher.Invoke(() => Application.Current.Windows);
List <IAnchor> list = new List <IAnchor>();
foreach (Window window in windows)
{
var context = _dispatcher.Invoke(() => window.DataContext);
if (context is IAnchor)
{
list.Add((IAnchor)context);
}
}
TickSubscription[] arr = new TickSubscription[TickList.Count];
TickList.CopyTo(arr, 0);
foreach (var tickSubscription in arr)
{
var sub = list.Count(c => c.Board == tickSubscription.Board &&
c.Seccode == tickSubscription.Seccode);
if (sub == 0)
{
var subscription = tickSubscription;
TickList.TryTake(out subscription);
TXmlConnector.ConnectorSendCommand(ReturnTickSubsXml());
}
}
}
private static void AddTick(string board, string seccode)
{
var sub = TickList.FirstOrDefault(x => x.Board == board && x.Seccode == seccode);
if (sub == null)
{
sub = new TickSubscription
{
Board = board,
Seccode = seccode,
Tradeno = 1
};
TickList.Add(sub);
TXmlConnector.ConnectorSendCommand(ReturnTickSubsXml());
sub.Tradeno = 0;
}
}
private static void HandleTicks(TickSubscription tickSub, List <Tick> currentTicks)
{
//add ticks to ticks collection for this instument
tickSub.Ticks.AddRange(currentTicks);
////populate simple ticks observable collection
//currentTicks.ForEach(ct => _dispatcher.BeginInvoke(new Action(() => tickSub.SimpleTicks.Insert(0, ct)), DispatcherPriority.Background));
//send data to all windows with corresponding instrument opened
var invocationList = SendTickDataEvent?.GetInvocationList()
.Where(x => ((dynamic)x.Target).Seccode == tickSub.Seccode)
.ToList();
invocationList.ForEachDo(x => x.DynamicInvoke(currentTicks));
//add data to volumes collections (chart)
if (tickSub.Board != "MCT" && tickSub.Board != "INDEXR" && tickSub.Board != "INDEXM")
{
Task.Run(() => {
var points = currentTicks.Select(t => t.Price).Distinct();
foreach (var point in points)
{
if (!tickSub.HorizontalVolumesBuy.XValues.Contains(point))
{
tickSub.HorizontalVolumesBuy.Append(point, 0);
}
if (!tickSub.HorizontalVolumesSell.XValues.Contains(point))
{
tickSub.HorizontalVolumesSell.Append(point, 0);
}
}
foreach (var tick in currentTicks)
{
if (tick.Buysell == "B")
{
var index = tickSub.HorizontalVolumesBuy.FindIndex(tick.Price);
if (index != -1)
{
tickSub.HorizontalVolumesBuy.Update(index,
tickSub.HorizontalVolumesBuy.YValues[index] + tick.Price);
}
}
else
{
var index = tickSub.HorizontalVolumesSell.FindIndex(tick.Price);
if (index != -1)
{
tickSub.HorizontalVolumesSell.Update(index,
tickSub.HorizontalVolumesSell.YValues[index] + tick.Price);
}
}
}
});
}
//process alltrades
var currentTradeItems = (from x in currentTicks
select
new TradeItem(x.Seccode, x.Price, x.Quantity, DateTime.Parse(x.Tradetime).ToString("HH:mm:ss.fff"),
x.Buysell, x.Quantity.ToString())
{
OpenInterest = x.OpenInterest, Board = x.Board
}).ToList();
//calculate interest only for FUT
if (tickSub.Board == "FUT")
{
var i = 0;
//if no trades, set first interest delta to 0 and skip first trade when counting further
if (tickSub.TradeItems.Count == 0)
{
currentTradeItems.First().InterestDelta = "0";
i++;
}
for (; i < currentTradeItems.Count; i++)
{
var tradeItem = currentTradeItems[i];
//for first new trade, calculate delta using newest trade in alltrades
if (i == 0)
{
var lastTrade = tickSub.TradeItems.First().OpenInterest;
tradeItem.InterestDelta = (int.Parse(tradeItem.OpenInterest) -
int.Parse(lastTrade.Split(',').Last())).ToString();
}
else
{
tradeItem.InterestDelta = (int.Parse(tradeItem.OpenInterest) -
int.Parse(currentTradeItems[i - 1].OpenInterest)).ToString();
}
}
}
var tradeItems = currentTradeItems.GroupBy(item => new { item.Seccode, item.Time, item.Buysell })
.Select(
g =>
new TradeItem(g.Key.Seccode,
g.Key.Buysell == "B" ? g.Select(t => t.Price).Min() : g.Select(t => t.Price).Max(),
g.Sum(t => t.Quantity), g.Key.Time, g.Key.Buysell,
string.Join(",", g.Select(t => t.Quantity)))
{
PriceList = string.Join(";", g.Select(t => t.Price).Distinct()),
MiSide =
g.Key.Buysell == "B"
? "" +
(g.Select(t => t.Price).Max() - g.Select(t => t.Price).Min()).ToString("F2")
: "-" +
(g.Select(t => t.Price).Max() - g.Select(t => t.Price).Min()).ToString("F2"),
OpenInterest = string.Join(",", g.Select(t => t.OpenInterest)),
InterestDelta = string.Join(",", g.Select(t => t.InterestDelta)),
}).ToList();
foreach (var t in tradeItems)
{
if (t.Quantity.ToString() != t.Sum)
{
t.IsMul = true;
}
foreach (var size in t.Sum.Split(','))
{
if (int.Parse(size) > t.Quantity * 0.8)
{
t.IsEaten = true;
}
}
if (tickSub.Board == "MCT")
{
var level2 = Application.Current.Dispatcher.Invoke(() => Level2DataHandler.Level2List
.FirstOrDefault(x => x.Board == tickSub.Board && x.Seccode == tickSub.Seccode)
?.Level2Data
.FirstOrDefault(item => item.Price == t.Price));
if (level2 != null)
{
t.Buysell = level2.BuySell == "buy" ? "S" : "B";
var str = t.MiSide;
str = str.TrimStart('-');
var sign = level2.BuySell == "buy" ? "-" : "";
str = str.Insert(0, sign);
t.MiSide = str;
}
}
}
tradeItems.Sort((a, b) => a.Time.CompareTo(b.Time));
//tickSub.TradeItems.DoOperation(col => col.InsertRange(0, tradeItems));
//if (tradeItems.Count < 5 && !tickSub.Sorted)
//{
// tickSub.TradeItems.DoOperation(col => col.Sort((a, b) => b.Time.CompareTo(a.Time)));
// tickSub.Sorted = true;
//}
//if (tradeItems.Count > 500)
// //_dispatcher.BeginInvoke(new Action(() => tickSub.TradeItems.InsertRange(tradeItems)), DispatcherPriority.Background);
// _dispatcher.Invoke(() => tickSub.TradeItems.InsertRange(tradeItems));
//else
foreach (var item in tradeItems)
{
//_dispatcher.BeginInvoke(new Action(() => tickSub.TradeItems.Insert(0, item)), DispatcherPriority.Background);
_dispatcher.Invoke(() => tickSub.TradeItems.Insert(0, item));
}
//if (tradeItems.Count < 5 && !tickSub.Sorted)
//{
// tickSub.TradeItems = new ObservableCollection<TradeItem>(tickSub.TradeItems.OrderByDescending(x => x.Time));
// tickSub.Sorted = true;
//}
}
