Binance trades load in OsData

AlexWan · May 8, 2019 · cfdd403 · cfdd403
1 parent c3f61db
commit cfdd403
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Showing 9 changed files with 137 additions and 4 deletions.
diff --git a/project/OsEngine/Language/DataLocal.cs b/project/OsEngine/Language/DataLocal.cs
@@ -132,5 +132,13 @@ public class DataLocal
         public string Label27 => OsLocalization.ConvertToLocString(
             "Eng:You want to close the program. Are you sure?_" +
             "Ru:Вы собираетесь закрыть программу. Вы уверены?_");
+
+        public string Label28 => OsLocalization.ConvertToLocString(
+            "Eng:We request trades on security _" +
+            "Ru:Запрашиваем трейды по бумаге _");
+
+        public string Label29 => OsLocalization.ConvertToLocString(
+            "Eng:Trades successfully loaded. Security _" +
+            "Ru:Трейды успешно закгужены. Бумага _");
     }
 }
diff --git a/project/OsEngine/Market/Servers/AServer.cs b/project/OsEngine/Market/Servers/AServer.cs
@@ -1290,7 +1290,18 @@ private void _candleManager_CandleUpdateEvent(CandleSeries series)
 
             if (security == null)
             {
-                return false;
+                for (int i = 0; _securities != null && i < _securities.Count; i++)
+                {
+                    if (_securities[i].NameId == namePaper)
+                    {
+                        security = _securities[i];
+                        break;
+                    }
+                }
+                if (security == null)
+                {
+                    return false;
+                }
             }
 
             List<Trade> trades = ServerRealization.GetTickDataToSecurity(security, startTime, endTime, actualTime);

diff --git a/project/OsEngine/Market/Servers/Binance/BinanceClient.cs b/project/OsEngine/Market/Servers/Binance/BinanceClient.cs
@@ -467,6 +467,63 @@ public List<Candle> GetCandlesForTimes(string nameSec, TimeSpan tf, DateTime tim
             return null;
         }
 
+        public List<Trade> GetTickHistoryToSecurity(Security security, string lastId)
+        {
+            try
+            {
+
+                List<Trade> newTrades = new List<Trade>();
+
+                Dictionary<string, string> param = new Dictionary<string, string>();
+
+                if (string.IsNullOrEmpty(lastId) == false)
+                {
+                    param.Add("symbol=" + security.Name, "&limit=1000" + "&fromId=" + lastId);
+                }
+                else
+                {
+                    param.Add("symbol=" + security.Name, "&limit=1000");
+                }
+
+
+                string endPoint = "api/v1/historicalTrades";
+
+                var res2 = CreateQuery(Method.GET, endPoint, param, false);
+
+                List<HistoryTrade> tradeHistory = JsonConvert.DeserializeAnonymousType(res2, new List<HistoryTrade>());
+
+                //tradeHistory.Reverse();
+
+                foreach (var trades in tradeHistory)
+                {
+                    Trade trade = new Trade();
+                    trade.SecurityNameCode = security.Name;
+                    trade.Price =
+                        Convert.ToDecimal(
+                            trades.price.Replace(".", CultureInfo.InvariantCulture.NumberFormat.NumberDecimalSeparator),
+                            CultureInfo.InvariantCulture);
+
+                    trade.Id = trades.id.ToString();
+                    trade.Time = new DateTime(1970, 1, 1).AddMilliseconds(Convert.ToDouble(trades.time));
+                    trade.Volume =
+                        Convert.ToDecimal(
+                            trades.qty.Replace(".", CultureInfo.InvariantCulture.NumberFormat.NumberDecimalSeparator),
+                            CultureInfo.InvariantCulture);
+                    trade.Side = Convert.ToBoolean(trades.isBuyerMaker) == true ? Side.Buy : Side.Sell;
+
+                    newTrades.Add(trade);
+                }
+
+                return newTrades;
+
+            }
+            catch (Exception error)
+            {
+                SendLogMessage(error.ToString(), LogMessageType.Error);
+                return null;
+            }
+        }
+
         /// <summary>
         /// take candles
         /// взять свечи

diff --git a/project/OsEngine/Market/Servers/Binance/BinanceEntity/HistoryTrade.cs b/project/OsEngine/Market/Servers/Binance/BinanceEntity/HistoryTrade.cs
@@ -0,0 +1,19 @@
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Text;
+using System.Threading.Tasks;
+
+namespace OsEngine.Market.Servers.Binance.BinanceEntity
+{
+    public class HistoryTrade
+    {
+        public string id;
+        public string price;
+        public string qty;
+        public string quoteQty;
+        public string time;
+        public string isBuyerMaker;
+        public string isBuyerMatch;
+    }
+}
diff --git a/project/OsEngine/Market/Servers/Binance/BinanceServer.cs b/project/OsEngine/Market/Servers/Binance/BinanceServer.cs
@@ -4,6 +4,7 @@
 using OsEngine.Entity;
 using OsEngine.Language;
 using OsEngine.Logging;
+using System.Threading;
 using OsEngine.Market.Servers.Entity;
 
 namespace OsEngine.Market.Servers.Binance
@@ -216,9 +217,43 @@ public void Subscrible(Security security)
         /// take ticks data on instrument for period
         /// взять тиковые данные по инструменту за период
         /// </summary>
-        public List<Trade> GetTickDataToSecurity(Security security, DateTime startTime, DateTime endTime, DateTime actualTime)
+        public List<Trade> GetTickDataToSecurity(Security security, DateTime startTime, DateTime endTime, DateTime lastDate)
         {
-            return null;
+            List<Trade> lastTrades = new List<Trade>();
+
+            string tradeId = "";
+
+            DateTime lastTradeTime = DateTime.MaxValue;
+
+            while (lastTradeTime > startTime)
+            {
+                lastDate = TimeZoneInfo.ConvertTimeToUtc(lastDate);
+
+                List<Trade> trades = _client.GetTickHistoryToSecurity(security, tradeId);
+
+                if (trades == null ||
+                    trades.Count == 0)
+                {
+                    lastTradeTime = lastDate.AddSeconds(-1);
+                    Thread.Sleep(2000);
+                    continue;
+                }
+
+                DateTime uniTime = trades[trades.Count - 1].Time.ToUniversalTime();
+
+                lastTradeTime = trades[0].Time;
+
+                for (int i2 = 0; i2 < trades.Count; i2++)
+                {
+                    lastTrades.Insert(i2, trades[i2]);
+                }
+
+                tradeId = (Convert.ToInt32(trades[0].Id) - 1000).ToString();
+
+                Thread.Sleep(100);
+            }
+
+            return lastTrades;
         }
 
         /// <summary>

diff --git a/project/OsEngine/OsData/OsDataSet.cs b/project/OsEngine/OsData/OsDataSet.cs
@@ -823,12 +823,14 @@ private void StartSets()
             {
                 for (int i = 0; i < SecuritiesNames.Count; i++)
                 {
+                    SendNewLogMessage(OsLocalization.Data.Label28 + SecuritiesNames[i].Id, LogMessageType.System);
                     while (
                         (_myServer).GetTickDataToSecurity(SecuritiesNames[i].Id, TimeStart, TimeEnd,
                             GetActualTimeToTrade("Data\\" + SetName + "\\" + SecuritiesNames[i].Name.Replace("/", "") + "\\Tick"), NeadToUpdate) == false)
                     {
                         Thread.Sleep(5000);
                     }
+                    SendNewLogMessage(OsLocalization.Data.Label29 + SecuritiesNames[i].Id, LogMessageType.System);
                 }
             }
 
@@ -962,7 +964,7 @@ private void SaveData()
                         {
 
                             SaveThisTick(trades[i2],
-                                path, SecuritiesNames[i].Name.Replace("*", ""), null, path + "\\" + "Tick");
+                                path + "\\" + "Tick", SecuritiesNames[i].Name.Replace("*", ""), null, path + "\\" + "Tick");
                         }
                     }
                     else

diff --git a/project/OsEngine/OsEngine.csproj b/project/OsEngine/OsEngine.csproj
@@ -362,6 +362,7 @@
     <Compile Include="Market\Servers\Binance\BinanceEntity\ErrorMessage.cs" />
     <Compile Include="Market\Servers\Binance\BinanceEntity\ExecutionReport.cs" />
     <Compile Include="Market\Servers\Binance\BinanceEntity\HistoryOrderReport.cs" />
+    <Compile Include="Market\Servers\Binance\BinanceEntity\HistoryTrade.cs" />
     <Compile Include="Market\Servers\Binance\BinanceEntity\ListenKey.cs" />
     <Compile Include="Market\Servers\Binance\BinanceEntity\OutboundAccountInfo.cs" />
     <Compile Include="Market\Servers\Binance\BinanceEntity\SecurityResponce.cs" />

diff --git a/project/OsEngine/bin/Debug/Interop.SmartCOM4Lib.dll b/project/OsEngine/bin/Debug/Interop.SmartCOM4Lib.dll
diff --git a/project/OsEngine/bin/Debug/OsEngine.exe b/project/OsEngine/bin/Debug/OsEngine.exe