Как настроить HistoryEmulationConnector, чтобы изменить частоту появления QuoteChangeMessage сообщений (connector.NewMessage)

2020-07-17T19:44:53Z

Добрый день

Имею исторические данные (сделки - trades.bin). Для тестирования стратегии нужен стакан, поэтому для его генерации использую connector.RegisterMarketDepth(new TrendMarketDepthGenerator(connector.GetSecurityId(security)).

У HistoryEmulationConnector QuoteChangeMessage (так же правило this.Security.WhenMarketDepthChanged в стратегии) приходит раз минуту. Пробовал менять: 1) connector = new HistoryEmulationConnector(secProvider, new[] ) , MarketTimeChangedInterval = TimeSpan.FromSeconds(1), } 2) connector.RegisterMarketDepth(new TrendMarketDepthGenerator(connector.GetSecurityId(security)) Изменение стакана всё равно происходит раз в минуту.

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)?

Код создан на основе проекта SampleHistoryTesting. [url=115117]HistoryTest.zip[/url] [spoiler] static void Main(string[] args) { Console.ForegroundColor = ConsoleColor.Black;

        var exchangeInfoProvider = new InMemoryExchangeInfoProvider();

        var idStr = "SBER@TQBR";
        var id = idStr.ToSecurityId();
        var secCode = id.SecurityCode;
        var board = exchangeInfoProvider.GetOrCreateBoard(id.BoardCode);

        var security = new Security
        {
            Id = "SBER@TQBR",
            Code = secCode,
            Board = board,
        };

        var storageRegistry = new StorageRegistry
        {
            DefaultDrive = new LocalMarketDataDrive(@"H:\rep\History\MarketData")
        };

        var startTime = (new DateTime(2020, 2, 1)).UtcKind();
        var stopTime = (new DateTime(2020, 2, 5)).UtcKind();

        var portfolio = Portfolio.CreateSimulator();
        var secProvider = (ISecurityProvider)new CollectionSecurityProvider(new[] { security });

        var connector = new HistoryEmulationConnector(secProvider, new[] { portfolio })
        {
            EmulationAdapter =
            {
                Settings =
                {
                    MatchOnTouch = false,
                },
            },
            HistoryMessageAdapter =
            {
                StorageRegistry = storageRegistry,
                MarketTimeChangedInterval = TimeSpan.FromSeconds(1)
            },
            MarketTimeChangedInterval = TimeSpan.FromSeconds(1),
        };

        var series = new CandleSeries(typeof(TimeFrameCandle), security, TimeSpan.FromHours(1))
        {
            BuildCandlesMode = MarketDataBuildModes.Build,
            BuildCandlesFrom2 = null,
        };

        var strategy = new SmaStrategy(series)
        {
            Volume = 1,
            Portfolio = portfolio,
            Security = security,
            Connector = connector,
            LogLevel = LogLevels.Info,
        };

        connector.HistoryMessageAdapter.StartDate = startTime;
        connector.HistoryMessageAdapter.StopDate = stopTime;

        connector.SecurityReceived += (subscr, s) =>
        {
            connector.SubscribeMarketDepth(security);
            connector.RegisterMarketDepth(new TrendMarketDepthGenerator(connector.GetSecurityId(security))
            {
                Interval = TimeSpan.FromSeconds(1),
                MaxAsksDepth = 10,
                MaxBidsDepth = 10,
                UseTradeVolume = true,
                MaxVolume = 1000,
                MinSpreadStepCount = 2, 
                MaxSpreadStepCount = 5, 
                MaxPriceStepCount = 3,
                GenerateDepthOnEachTrade = true
            });
            strategy.Start();
            connector.Start();
        };

        connector.NewMessage += message =>
        {
            if (message is QuoteChangeMessage quoteMsg)
            {
                Console.BackgroundColor = ConsoleColor.Cyan;
                Console.WriteLine(quoteMsg);
            }
        };

        connector.Connect();

        Console.ReadLine();
    }[/spoiler]

quotechangemessage. StockSharp

Как настроить HistoryEmulationConnector, чтобы изменить частоту появления QuoteChangeMessage сообщений (connector.NewMessage)