vladzvx
/
klhztrader
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

Сократил объем информации по стаканам

main
vlad zverzhkhovskiy 2025-09-02 14:43:00 +03:00
parent 45b34b4509
commit 62de4169b8
8 changed files with 43 additions and 59 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

4
KLHZ.Trader.Core.Contracts/Declisions/Interfaces/IPriceHistoryCacheUnit.cs
View File

@ -9,7 +9,7 @@ namespace KLHZ.Trader.Core.Contracts.Declisions.Interfaces
public ValueTask AddData(INewPrice priceChange); public ValueTask AddData(INewPrice priceChange);
public ValueTask<(DateTime[] timestamps, float[] prices)> GetData(); public ValueTask<(DateTime[] timestamps, float[] prices)> GetData();
public ValueTask AddOrderbook(IOrderbook orderbook); public ValueTask AddOrderbook(IOrderbook orderbook);
public int AsksCount { get; } public long AsksCount { get; }
public int BidsCount { get; } public long BidsCount { get; }
} }
} }

4
KLHZ.Trader.Core.Contracts/Messaging/Dtos/Interfaces/IOrderbook.cs
View File

@ -4,8 +4,8 @@
{ {
public string Ticker { get; } public string Ticker { get; }
public string Figi { get; } public string Figi { get; }
public int AsksCount {get;} public long AsksCount { get; }
public int BidsCount {get;} public long BidsCount { get; }
public DateTime Time { get; } public DateTime Time { get; }
public IOrderbookItem[] Asks { get; } public IOrderbookItem[] Asks { get; }
public IOrderbookItem[] Bids { get; } public IOrderbookItem[] Bids { get; }

2
KLHZ.Trader.Core.Contracts/Messaging/Dtos/Interfaces/IOrderbookItem.cs
View File

@ -2,7 +2,7 @@
{ {
public interface IOrderbookItem public interface IOrderbookItem
{ {
public decimal Count { get; } public long Count { get; }
public decimal Price { get; } public decimal Price { get; }
} }
} }

4
KLHZ.Trader.Core.Contracts/Messaging/Dtos/NewOrderbookMessage.cs
View File

@ -9,7 +9,7 @@ namespace KLHZ.Trader.Core.Contracts.Messaging.Dtos
public DateTime Time { get; init; } public DateTime Time { get; init; }
public IOrderbookItem[] Asks { get; init; } = []; public IOrderbookItem[] Asks { get; init; } = [];
public IOrderbookItem[] Bids { get; init; } = []; public IOrderbookItem[] Bids { get; init; } = [];
public int AsksCount { get; init; } public long AsksCount { get; init; }
public int BidsCount { get; init; } public long BidsCount { get; init; }
} }
} }

4
KLHZ.Trader.Core.Math/Declisions/Services/Cache/PriceHistoryCacheUnit.cs
View File

@ -20,8 +20,8 @@ namespace KLHZ.Trader.Core.Math.Declisions.Services.Cache
} }
} }
public int AsksCount => 1; public long AsksCount => 1;
public int BidsCount => 1; public long BidsCount => 1;
private readonly object _locker = new(); private readonly object _locker = new();
private readonly float[] Prices = new float[CacheMaxLength]; private readonly float[] Prices = new float[CacheMaxLength];

20
KLHZ.Trader.Core.Math/Declisions/Services/Cache/PriceHistoryCacheUnit2.cs
View File

@ -21,18 +21,18 @@ namespace KLHZ.Trader.Core.Math.Declisions.Services.Cache
} }
} }
public int AsksCount public long AsksCount
{ {
get get
{
lock (_locker)
{ {
lock (_locker) return _asksCount;
{
return _asksCount;
}
} }
} }
}
public int BidsCount public long BidsCount
{ {
get get
{ {
@ -50,8 +50,8 @@ namespace KLHZ.Trader.Core.Math.Declisions.Services.Cache
private int _length = 0; private int _length = 0;
private int _pointer = -1; private int _pointer = -1;
private int _asksCount = 1; private long _asksCount = 1;
private int _bidsCount = 1; private long _bidsCount = 1;
public ValueTask AddData(INewPrice priceChange) public ValueTask AddData(INewPrice priceChange)
{ {

2
KLHZ.Trader.Core/DataLayer/Entities/Orders/OrderbookItem.cs
View File

@ -17,7 +17,7 @@ namespace KLHZ.Trader.Core.DataLayer.Entities.Orders
public decimal Price { get; set; } public decimal Price { get; set; }
[Column("count")] [Column("count")]
public decimal Count { get; set; } public long Count { get; set; }
[Column("figi")] [Column("figi")]
public required string Figi { get; set; } public required string Figi { get; set; }

62
KLHZ.Trader.Core/Exchange/Services/ExchangeDataReader.cs
View File

@ -109,17 +109,17 @@ namespace KLHZ.Trader.Core.Exchange.Services
foreach (var f in _instrumentsFigis) foreach (var f in _instrumentsFigis)
{ {
//request.Instruments.Add( request.Instruments.Add(
// new LastPriceInstrument() new LastPriceInstrument()
// { {
// InstrumentId = f InstrumentId = f
// }); });
//tradesRequest.Instruments.Add( tradesRequest.Instruments.Add(
// new TradeInstrument() new TradeInstrument()
// { {
// InstrumentId = f InstrumentId = f
// }); });
bookRequest.Instruments.Add( bookRequest.Instruments.Add(
new OrderBookInstrument() new OrderBookInstrument()
@ -176,51 +176,35 @@ namespace KLHZ.Trader.Core.Exchange.Services
} }
if (response.Orderbook != null) if (response.Orderbook != null)
{ {
var asks = response.Orderbook.Asks.Select(a => new OrderbookItem() var asksSummary = new OrderbookItem()
{ {
Figi = response.Orderbook.Figi, Figi = response.Orderbook.Figi,
Ticker = GetTickerByFigi(response.Orderbook.Figi), Ticker = GetTickerByFigi(response.Orderbook.Figi),
ItemType = DataLayer.Entities.Orders.Enums.OrderbookItemType.Ask, Count = response.Orderbook.Asks.Sum(a => (int)a.Quantity),
ItemType = DataLayer.Entities.Orders.Enums.OrderbookItemType.AsksSummary,
Time = response.Orderbook.Time.ToDateTime().ToUniversalTime(), Time = response.Orderbook.Time.ToDateTime().ToUniversalTime(),
Price = a.Price, };
Count = a.Quantity,
}).ToArray(); var bidsSummary = new OrderbookItem()
orderbookItemsBuffer.AddRange(asks);
var bids = response.Orderbook.Bids.Select(a => new OrderbookItem()
{ {
Figi = response.Orderbook.Figi, Figi = response.Orderbook.Figi,
Ticker = GetTickerByFigi(response.Orderbook.Figi), Ticker = GetTickerByFigi(response.Orderbook.Figi),
ItemType = DataLayer.Entities.Orders.Enums.OrderbookItemType.Bid, Count = response.Orderbook.Bids.Sum(a => (int)a.Quantity),
Time = response.Orderbook.Time.ToDateTime().ToUniversalTime(),
Price = a.Price,
Count = a.Quantity,
}).ToArray();
orderbookItemsBuffer.AddRange(bids);
orderbookItemsBuffer.Add(new OrderbookItem()
{
Figi = response.Orderbook.Figi,
Ticker = GetTickerByFigi(response.Orderbook.Figi),
Count = bids.Sum(a => (int)a.Count),
ItemType = DataLayer.Entities.Orders.Enums.OrderbookItemType.BidsSummary, ItemType = DataLayer.Entities.Orders.Enums.OrderbookItemType.BidsSummary,
Time = response.Orderbook.Time.ToDateTime().ToUniversalTime(), Time = response.Orderbook.Time.ToDateTime().ToUniversalTime(),
}); };
orderbookItemsBuffer.Add(asksSummary);
orderbookItemsBuffer.Add(bidsSummary);
var message = new NewOrderbookMessage() var message = new NewOrderbookMessage()
{ {
Ticker = GetTickerByFigi(response.Orderbook.Figi), Ticker = GetTickerByFigi(response.Orderbook.Figi),
Figi = response.Orderbook.Figi, Figi = response.Orderbook.Figi,
Time = response.Orderbook.Time.ToDateTime().ToUniversalTime(), Time = response.Orderbook.Time.ToDateTime().ToUniversalTime(),
Asks = asks, AsksCount = asksSummary.Count,
Bids = bids, BidsCount = bidsSummary.Count,
}; };
orderbookItemsBuffer.Add(new OrderbookItem()
{
Figi = response.Orderbook.Figi,
Ticker = GetTickerByFigi(response.Orderbook.Figi),
Count = asks.Sum(a => (int)a.Count),
ItemType = DataLayer.Entities.Orders.Enums.OrderbookItemType.AsksSummary,
Time = response.Orderbook.Time.ToDateTime().ToUniversalTime(),
});
await _eventBus.Broadcast(message); await _eventBus.Broadcast(message);
} }