https://stocksharp.ru/handlers/atom.ashx?category=tag&id=whenmarketdepthchanged&type=community Copyright @ StockSharp Platform LLC 2010 - 2025 2026-04-14T14:36:46Z https://stocksharp.ru/images/logo.png https://stocksharp.ru/topic/11949/ 2020-06-17T16:49:06Z 2020-12-09T12:48:46Z Алексей https://stocksharp.ru/users/99809/ info@stocksharp.ru Если в момент подписки SubscribeMarketDepth или WhenMarketDepthChanged в Квике открыт стакан по инструменту и он выделен в таблице &quot;Текущие торги&quot;, то событие MarketDepthChanged не приходит вообще, а событие MarketDepthReceived приходит только один раз.<br />ТехПоддержка есть что сказать? <br /><br />S#5, Quik8<br /> https://stocksharp.ru/topic/11993/ 2020-07-17T19:44:53Z 2020-07-17T20:46:36Z Дмитрий_ https://stocksharp.ru/users/62269/ info@stocksharp.ru Добрый день<br /><br />Имею исторические данные (сделки - trades.bin). Для тестирования стратегии нужен стакан, поэтому для его генерации использую connector.RegisterMarketDepth(new TrendMarketDepthGenerator(connector.GetSecurityId(security)).<br /><br />У HistoryEmulationConnector QuoteChangeMessage (так же правило this.Security.WhenMarketDepthChanged в стратегии) приходит раз минуту.<br />Пробовал менять:<br />1) <br />connector = new HistoryEmulationConnector(secProvider, new[] { portfolio })<br />{<br />...<br />HistoryMessageAdapter =<br />{<br />...<br />MarketTimeChangedInterval = TimeSpan.FromSeconds(1)<br />},<br />MarketTimeChangedInterval = TimeSpan.FromSeconds(1),<br />}<br />2) <br />connector.RegisterMarketDepth(new TrendMarketDepthGenerator(connector.GetSecurityId(security))<br />{<br />Interval = TimeSpan.FromSeconds(1),<br />GenerateDepthOnEachTrade = true<br />}<br />Изменение стакана всё равно происходит раз в минуту.<br /><br />Как настроить HistoryEmulationConnector, чтобы изменить частоту появления QuoteChangeMessage сообщений (connector.NewMessage и this.Security.WhenMarketDepthChanged в стратегии) и изменять стакан с приходом сделки (GenerateDepthOnEachTrade = true)?<br /><br />Код создан на основе проекта SampleHistoryTesting. <a target="_blank" href="https://stocksharp.ru/file/115117/HistoryTest.zip" title="https://stocksharp.ru/file/115117/HistoryTest.zip">HistoryTest.zip</a><br /><div class='spoilertitle'><input type='button' value='Показать спойлер' class='btn btn-primary' onclick="toggleSpoiler(this, 'spolier_cdb1503fb66b42048caa097c5cc056e1');" title='Показать спойлер' /></div><div class='spoilerbox' id='spolier_cdb1503fb66b42048caa097c5cc056e1' style='display:none'> static void Main(string[] args)<br /> {<br /> Console.ForegroundColor = ConsoleColor.Black;<br /><br /> var exchangeInfoProvider = new InMemoryExchangeInfoProvider();<br /><br /> var idStr = &quot;SBER@TQBR&quot;;<br /> var id = idStr.ToSecurityId();<br /> var secCode = id.SecurityCode;<br /> var board = exchangeInfoProvider.GetOrCreateBoard(id.BoardCode);<br /><br /> var security = new Security<br /> {<br /> Id = &quot;SBER@TQBR&quot;,<br /> Code = secCode,<br /> Board = board,<br /> };<br /><br /> var storageRegistry = new StorageRegistry<br /> {<br /> DefaultDrive = new LocalMarketDataDrive(@&quot;H:\rep\History\MarketData&quot;)<br /> };<br /><br /> var startTime = (new DateTime(2020, 2, 1)).UtcKind();<br /> var stopTime = (new DateTime(2020, 2, 5)).UtcKind();<br /><br /> var portfolio = Portfolio.CreateSimulator();<br /> var secProvider = (ISecurityProvider)new CollectionSecurityProvider(new[] { security });<br /><br /> var connector = new HistoryEmulationConnector(secProvider, new[] { portfolio })<br /> {<br /> EmulationAdapter =<br /> {<br /> Settings =<br /> {<br /> MatchOnTouch = false,<br /> },<br /> },<br /> HistoryMessageAdapter =<br /> {<br /> StorageRegistry = storageRegistry,<br /> MarketTimeChangedInterval = TimeSpan.FromSeconds(1)<br /> },<br /> MarketTimeChangedInterval = TimeSpan.FromSeconds(1),<br /> };<br /><br /> var series = new CandleSeries(typeof(TimeFrameCandle), security, TimeSpan.FromHours(1))<br /> {<br /> BuildCandlesMode = MarketDataBuildModes.Build,<br /> BuildCandlesFrom2 = null,<br /> };<br /><br /> var strategy = new SmaStrategy(series)<br /> {<br /> Volume = 1,<br /> Portfolio = portfolio,<br /> Security = security,<br /> Connector = connector,<br /> LogLevel = LogLevels.Info,<br /> };<br /><br /> connector.HistoryMessageAdapter.StartDate = startTime;<br /> connector.HistoryMessageAdapter.StopDate = stopTime;<br /><br /> connector.SecurityReceived += (subscr, s) =&gt;<br /> {<br /> connector.SubscribeMarketDepth(security);<br /> connector.RegisterMarketDepth(new TrendMarketDepthGenerator(connector.GetSecurityId(security))<br /> {<br /> Interval = TimeSpan.FromSeconds(1),<br /> MaxAsksDepth = 10,<br /> MaxBidsDepth = 10,<br /> UseTradeVolume = true,<br /> MaxVolume = 1000,<br /> MinSpreadStepCount = 2, <br /> MaxSpreadStepCount = 5, <br /> MaxPriceStepCount = 3,<br /> GenerateDepthOnEachTrade = true<br /> });<br /> strategy.Start();<br /> connector.Start();<br /> };<br /><br /> connector.NewMessage += message =&gt;<br /> {<br /> if (message is QuoteChangeMessage quoteMsg)<br /> {<br /> Console.BackgroundColor = ConsoleColor.Cyan;<br /> Console.WriteLine(quoteMsg);<br /> }<br /> };<br /><br /> connector.Connect();<br /><br /> Console.ReadLine();<br /> }</div>