S#.Algo.Export

S#.Algo.Export is a module of the StockSharp trading platform responsible for exporting market data and trading information to a variety of external formats. The library converts incoming Message based data structures into files or databases so it can be consumed by third‑party tools.

Features

• Multiple output formats: export can be performed to Excel spreadsheets, text files, JSON or XML documents, databases via LinqToDB, and to StockSharp's own storage format.
• Data type agnostic: any message type from StockSharp.Messages can be exported (ticks, order books, level1, candles, transactions, etc.). The target data type is described by DataType and handled in the base exporter logic.
• Extensible Excel engine: the IExcelWorkerProvider interface abstracts work with Excel files. DevExpExcelWorkerProvider implements this interface via DevExpress components and allows both creation of new documents and update of existing ones.
• Template based text export: the TemplateTxtRegistry class stores default line templates for various message types which are used by TextExporter when writing text or CSV files.
• Database integration: DatabaseExporter uses LinqToDB to create tables on the fly and write messages in batches. The exporter can automatically map message fields and manage data uniqueness checking.
• StockSharp storage: StockSharpExporter writes messages to the native persistent storage using IStorageRegistry and IMarketDataDrive.
• Progress control: every exporter accepts a Func<int,bool> delegate used to report element count and abort processing if required.

Usage

Below is a simplified example of exporting trades to JSON:

var exporter = new JsonExporter(DataType.Ticks, i => false, "trades.json")
{
    Indent = true
};

var result = exporter.Export(tradeMessages);
Console.WriteLine($"Saved {result.Item1} trades up to {result.Item2}");

Other exporters (ExcelExporter, XmlExporter, TextExporter, DatabaseExporter, StockSharpExporter) expose the same Export method but write to their respective targets. Creation parameters vary according to the destination (file name, Excel provider, database connection, etc.).

Text Templates

TemplateTxtRegistry defines a set of default string templates which can be customized. They describe how message fields are converted to text. For instance, TemplateTxtTick controls how each trade is written to a text file. See the source for the full list of templates and examples.