protected override void OnSave(BitArrayWriter writer, IEnumerable <TCandleMessage> candles, CandleMetaInfo metaInfo)
{
if (metaInfo.IsEmpty())
{
var firstCandle = candles.First();
metaInfo.FirstPrice = firstCandle.LowPrice;
metaInfo.LastPrice = firstCandle.LowPrice;
metaInfo.ServerOffset = firstCandle.OpenTime.Offset;
}
writer.WriteInt(candles.Count());
var allowNonOrdered = metaInfo.Version >= MarketDataVersions.Version49;
var isUtc = metaInfo.Version >= MarketDataVersions.Version50;
var allowDiffOffsets = metaInfo.Version >= MarketDataVersions.Version53;
foreach (var candle in candles)
{
writer.WriteVolume(candle.TotalVolume, metaInfo, SecurityId);
if (metaInfo.Version < MarketDataVersions.Version52)
{
writer.WriteVolume(candle.RelativeVolume ?? 0, metaInfo, SecurityId);
}
else
{
writer.Write(candle.RelativeVolume != null);
if (candle.RelativeVolume != null)
{
writer.WriteVolume(candle.RelativeVolume.Value, metaInfo, SecurityId);
}
}
if (metaInfo.Version < MarketDataVersions.Version56)
{
writer.WritePrice(candle.LowPrice, metaInfo.LastPrice, metaInfo, SecurityId);
metaInfo.LastPrice = candle.LowPrice;
writer.WritePrice(candle.OpenPrice, metaInfo.LastPrice, metaInfo, SecurityId);
writer.WritePrice(candle.ClosePrice, metaInfo.LastPrice, metaInfo, SecurityId);
writer.WritePrice(candle.HighPrice, metaInfo.LastPrice, metaInfo, SecurityId);
}
else
{
writer.WritePriceEx(candle.LowPrice, metaInfo, SecurityId);
if (candle.OpenPrice <= candle.ClosePrice)
{
writer.Write(true);
writer.WritePriceEx(candle.OpenPrice, metaInfo, SecurityId);
writer.WritePriceEx(candle.ClosePrice, metaInfo, SecurityId);
}
else
{
writer.Write(false);
writer.WritePriceEx(candle.ClosePrice, metaInfo, SecurityId);
writer.WritePriceEx(candle.OpenPrice, metaInfo, SecurityId);
}
writer.WritePriceEx(candle.HighPrice, metaInfo, SecurityId);
}
var lastOffset = metaInfo.LastServerOffset;
metaInfo.LastTime = writer.WriteTime(candle.OpenTime, metaInfo.LastTime, LocalizedStrings.Str998, allowNonOrdered, isUtc, metaInfo.ServerOffset, allowDiffOffsets, ref lastOffset);
metaInfo.LastServerOffset = lastOffset;
if (metaInfo.Version >= MarketDataVersions.Version46)
{
var isAll = !candle.HighTime.IsDefault() && !candle.LowTime.IsDefault();
DateTimeOffset first;
DateTimeOffset second;
writer.Write(isAll);
if (isAll)
{
var isOrdered = candle.HighTime <= candle.LowTime;
writer.Write(isOrdered);
first = isOrdered ? candle.HighTime : candle.LowTime;
second = isOrdered ? candle.LowTime : candle.HighTime;
}
else
{
writer.Write(!candle.HighTime.IsDefault());
writer.Write(!candle.LowTime.IsDefault());
if (candle.HighTime.IsDefault())
{
first = candle.LowTime;
second = default(DateTimeOffset);
}
else
{
first = candle.HighTime;
second = default(DateTimeOffset);
}
}
if (!first.IsDefault())
{
if (first.Offset != lastOffset)
{
throw new ArgumentException(LocalizedStrings.WrongTimeOffset.Put(first, lastOffset));
}
metaInfo.LastTime = writer.WriteTime(first, metaInfo.LastTime, LocalizedStrings.Str999, allowNonOrdered, isUtc, metaInfo.ServerOffset, allowDiffOffsets, ref lastOffset);
}
if (!second.IsDefault())
{
if (second.Offset != lastOffset)
{
throw new ArgumentException(LocalizedStrings.WrongTimeOffset.Put(second, lastOffset));
}
metaInfo.LastTime = writer.WriteTime(second, metaInfo.LastTime, LocalizedStrings.Str1000, allowNonOrdered, isUtc, metaInfo.ServerOffset, allowDiffOffsets, ref lastOffset);
}
}
if (metaInfo.Version >= MarketDataVersions.Version47)
{
writer.Write(!candle.CloseTime.IsDefault());
if (!candle.CloseTime.IsDefault())
{
if (candle.CloseTime.Offset != lastOffset)
{
throw new ArgumentException(LocalizedStrings.WrongTimeOffset.Put(candle.CloseTime, lastOffset));
}
metaInfo.LastTime = writer.WriteTime(candle.CloseTime, metaInfo.LastTime, LocalizedStrings.Str1001, allowNonOrdered, isUtc, metaInfo.ServerOffset, allowDiffOffsets, ref lastOffset);
}
}
else
{
var time = writer.WriteTime(candle.CloseTime, metaInfo.LastTime, LocalizedStrings.Str1001, allowNonOrdered, isUtc, metaInfo.ServerOffset, allowDiffOffsets, ref lastOffset);
if (metaInfo.Version >= MarketDataVersions.Version41)
{
metaInfo.LastTime = time;
}
}
if (metaInfo.Version >= MarketDataVersions.Version46)
{
if (metaInfo.Version < MarketDataVersions.Version51)
{
writer.WriteVolume(candle.OpenVolume ?? 0m, metaInfo, SecurityId);
writer.WriteVolume(candle.HighVolume ?? 0m, metaInfo, SecurityId);
writer.WriteVolume(candle.LowVolume ?? 0m, metaInfo, SecurityId);
writer.WriteVolume(candle.CloseVolume ?? 0m, metaInfo, SecurityId);
}
else
{
if (candle.OpenVolume == null)
{
writer.Write(false);
}
else
{
writer.Write(true);
writer.WriteVolume(candle.OpenVolume.Value, metaInfo, SecurityId);
}
if (candle.HighVolume == null)
{
writer.Write(false);
}
else
{
writer.Write(true);
writer.WriteVolume(candle.HighVolume.Value, metaInfo, SecurityId);
}
if (candle.LowVolume == null)
{
writer.Write(false);
}
else
{
writer.Write(true);
writer.WriteVolume(candle.LowVolume.Value, metaInfo, SecurityId);
}
if (candle.CloseVolume == null)
{
writer.Write(false);
}
else
{
writer.Write(true);
writer.WriteVolume(candle.CloseVolume.Value, metaInfo, SecurityId);
}
}
}
writer.WriteInt((int)candle.State);
if (metaInfo.Version < MarketDataVersions.Version45)
{
continue;
}
var oi = candle.OpenInterest;
if (metaInfo.Version < MarketDataVersions.Version48)
{
writer.WriteVolume(oi ?? 0m, metaInfo, SecurityId);
}
else
{
writer.Write(oi != null);
if (oi != null)
{
writer.WriteVolume(oi.Value, metaInfo, SecurityId);
}
}
if (metaInfo.Version < MarketDataVersions.Version52)
{
continue;
}
writer.Write(candle.DownTicks != null);
if (candle.DownTicks != null)
{
writer.WriteInt(candle.DownTicks.Value);
}
writer.Write(candle.UpTicks != null);
if (candle.UpTicks != null)
{
writer.WriteInt(candle.UpTicks.Value);
}
writer.Write(candle.TotalTicks != null);
if (candle.TotalTicks != null)
{
writer.WriteInt(candle.TotalTicks.Value);
}
if (metaInfo.Version < MarketDataVersions.Version54)
{
continue;
}
var priceLevels = candle.PriceLevels;
writer.Write(priceLevels != null);
if (priceLevels == null)
{
continue;
}
priceLevels = priceLevels.ToArray();
writer.WriteInt(priceLevels.Count());
foreach (var level in priceLevels)
{
if (metaInfo.Version < MarketDataVersions.Version56)
{
writer.WritePrice(level.Price, metaInfo.LastPrice, metaInfo, SecurityId);
}
else
{
writer.WritePriceEx(level.Price, metaInfo, SecurityId);
}
writer.WriteInt(level.BuyCount);
writer.WriteInt(level.SellCount);
writer.WriteVolume(level.BuyVolume, metaInfo, SecurityId);
writer.WriteVolume(level.SellVolume, metaInfo, SecurityId);
if (metaInfo.Version >= MarketDataVersions.Version55)
{
writer.WriteVolume(level.TotalVolume, metaInfo, SecurityId);
}
var volumes = level.BuyVolumes;
if (volumes == null)
{
writer.Write(false);
}
else
{
writer.Write(true);
volumes = volumes.ToArray();
writer.WriteInt(volumes.Count());
foreach (var volume in volumes)
{
writer.WriteVolume(volume, metaInfo, SecurityId);
}
}
volumes = level.SellVolumes;
if (volumes == null)
{
writer.Write(false);
}
else
{
writer.Write(true);
volumes = volumes.ToArray();
writer.WriteInt(volumes.Count());
foreach (var volume in volumes)
{
writer.WriteVolume(volume, metaInfo, SecurityId);
}
}
}
}
}
protected override void OnSave(BitArrayWriter writer, IEnumerable <QuoteChangeMessage> messages, QuoteMetaInfo metaInfo)
{
if (metaInfo.IsEmpty())
{
var firstDepth = messages.FirstOrDefault(d => !d.Bids.IsEmpty() || !d.Asks.IsEmpty());
//var price = firstDepth != null ? GetDepthPrice(firstDepth) : 0;
//if (price != 0)
//{
// if ((price % metaInfo.PriceStep) == 0)
// metaInfo.LastPrice = metaInfo.FirstPrice = price;
// else
// metaInfo.LastFractionalPrice = metaInfo.FirstFractionalPrice = price;
//}
metaInfo.ServerOffset = (firstDepth ?? messages.First()).ServerTime.Offset;
}
writer.WriteInt(messages.Count());
QuoteChangeMessage prevQuoteMsg = null;
var allowNonOrdered = metaInfo.Version >= MarketDataVersions.Version47;
var isUtc = metaInfo.Version >= MarketDataVersions.Version50;
var allowDiffOffsets = metaInfo.Version >= MarketDataVersions.Version52;
var isTickPrecision = metaInfo.Version >= MarketDataVersions.Version53;
var nonAdjustPrice = metaInfo.Version >= MarketDataVersions.Version54;
var useLong = metaInfo.Version >= MarketDataVersions.Version55;
foreach (var m in messages)
{
var quoteMsg = m;
//if (m.IsFullEmpty())
// throw new ArgumentException(LocalizedStrings.Str1309, nameof(messages));
if (!quoteMsg.IsSorted)
{
quoteMsg = (QuoteChangeMessage)quoteMsg.Clone();
quoteMsg.Bids = quoteMsg.Bids.OrderByDescending(q => q.Price).ToArray();
quoteMsg.Asks = quoteMsg.Asks.OrderBy(q => q.Price).ToArray();
}
//var bid = quoteMsg.GetBestBid();
//var ask = quoteMsg.GetBestAsk();
// LMAX has equals best bid and ask
//if (bid != null && ask != null && bid.Price > ask.Price)
// throw new ArgumentException(LocalizedStrings.Str932Params.Put(bid.Price, ask.Price, quoteMsg.ServerTime), nameof(messages));
var lastOffset = metaInfo.LastServerOffset;
metaInfo.LastTime = writer.WriteTime(quoteMsg.ServerTime, metaInfo.LastTime, LocalizedStrings.MarketDepth, allowNonOrdered, isUtc, metaInfo.ServerOffset, allowDiffOffsets, isTickPrecision, ref lastOffset);
metaInfo.LastServerOffset = lastOffset;
var isFull = prevQuoteMsg == null;
writer.Write(isFull);
var delta = isFull ? quoteMsg : prevQuoteMsg.GetDelta(quoteMsg);
prevQuoteMsg = quoteMsg;
SerializeQuotes(writer, delta.Bids, metaInfo /*, isFull*/, useLong, nonAdjustPrice);
SerializeQuotes(writer, delta.Asks, metaInfo /*, isFull*/, useLong, nonAdjustPrice);
//metaInfo.LastPrice = GetDepthPrice(quoteMsg);
if (metaInfo.Version < MarketDataVersions.Version40)
{
continue;
}
if (metaInfo.Version < MarketDataVersions.Version46)
{
writer.WriteLong((quoteMsg.LocalTime - quoteMsg.ServerTime).Ticks);
}
else
{
var hasLocalTime = true;
if (metaInfo.Version >= MarketDataVersions.Version49)
{
hasLocalTime = quoteMsg.HasLocalTime(quoteMsg.ServerTime);
writer.Write(hasLocalTime);
}
if (hasLocalTime)
{
lastOffset = metaInfo.LastLocalOffset;
metaInfo.LastLocalTime = writer.WriteTime(quoteMsg.LocalTime, metaInfo.LastLocalTime, LocalizedStrings.Str934, allowNonOrdered, isUtc, metaInfo.LocalOffset, allowDiffOffsets, isTickPrecision, ref lastOffset, true);
metaInfo.LastLocalOffset = lastOffset;
}
}
if (metaInfo.Version < MarketDataVersions.Version51)
{
continue;
}
writer.Write(quoteMsg.Currency != null);
if (quoteMsg.Currency != null)
{
writer.WriteInt((int)quoteMsg.Currency.Value);
}
}
}
private void SerializeQuotes(BitArrayWriter writer, QuoteChange[] quotes, QuoteMetaInfo metaInfo /*, bool isFull*/, bool useLong, bool nonAdjustPrice)
{
if (writer == null)
{
throw new ArgumentNullException(nameof(writer));
}
if (quotes == null)
{
throw new ArgumentNullException(nameof(quotes));
}
if (metaInfo == null)
{
throw new ArgumentNullException(nameof(metaInfo));
}
writer.WriteInt(quotes.Length);
foreach (var quote in quotes)
{
// quotes for indices may have zero prices
//if (quote.Price <= 0)
// throw new ArgumentOutOfRangeException(nameof(quotes), quote.Price, LocalizedStrings.Str935);
// some forex connectors do not translate volume
//
if (quote.Volume < 0 /* || (isFull && quote.Volume == 0)*/)
{
throw new ArgumentOutOfRangeException(nameof(quotes), quote.Volume, LocalizedStrings.Str936);
}
var pricePrice = metaInfo.LastPrice;
writer.WritePrice(quote.Price, ref pricePrice, metaInfo, SecurityId, useLong, nonAdjustPrice);
metaInfo.LastPrice = pricePrice;
writer.WriteVolume(quote.Volume, metaInfo, SecurityId);
if (metaInfo.Version < MarketDataVersions.Version56)
{
continue;
}
writer.WriteNullableInt(quote.OrdersCount);
if (metaInfo.Version < MarketDataVersions.Version57)
{
continue;
}
if (quote.Condition != default)
{
writer.Write(true);
writer.WriteInt((int)quote.Condition);
}
else
{
writer.Write(false);
}
}
}
protected override void OnSave(BitArrayWriter writer, IEnumerable <ExecutionMessage> items, OrderLogMetaInfo metaInfo)
{
if (metaInfo.IsEmpty() && !items.IsEmpty())
{
var item = items.First();
metaInfo.FirstOrderId = metaInfo.LastOrderId = item.SafeGetOrderId();
metaInfo.FirstTransactionId = metaInfo.LastTransactionId = item.TransactionId;
metaInfo.ServerOffset = item.ServerTime.Offset;
}
writer.WriteInt(items.Count());
var allowNonOrdered = metaInfo.Version >= MarketDataVersions.Version47;
var isUtc = metaInfo.Version >= MarketDataVersions.Version48;
var allowDiffOffsets = metaInfo.Version >= MarketDataVersions.Version52;
foreach (var item in items)
{
var hasTrade = item.TradeId != null || item.TradePrice != null;
var orderId = item.SafeGetOrderId();
if (orderId < 0)
{
throw new ArgumentOutOfRangeException("items", orderId, LocalizedStrings.Str925);
}
// sell market orders has zero price (if security do not have min allowed price)
// execution ticks (like option execution) may be a zero cost
// ticks for spreads may be a zero cost or less than zero
//if (item.Price < 0)
// throw new ArgumentOutOfRangeException("items", item.Price, LocalizedStrings.Str926Params.Put(item.OrderId));
var volume = item.SafeGetVolume();
if (volume <= 0)
{
throw new ArgumentOutOfRangeException("items", volume, LocalizedStrings.Str927Params.Put(item.OrderId));
}
long?tradeId = null;
if (hasTrade)
{
tradeId = item.GetTradeId();
if (tradeId <= 0)
{
throw new ArgumentOutOfRangeException("items", tradeId, LocalizedStrings.Str1012Params.Put(item.OrderId));
}
// execution ticks (like option execution) may be a zero cost
// ticks for spreads may be a zero cost or less than zero
//if (item.TradePrice <= 0)
// throw new ArgumentOutOfRangeException("items", item.TradePrice, LocalizedStrings.Str929Params.Put(item.TradeId, item.OrderId));
}
metaInfo.LastOrderId = writer.SerializeId(orderId, metaInfo.LastOrderId);
var orderPrice = item.Price;
if (metaInfo.Version < MarketDataVersions.Version45)
{
writer.WritePriceEx(orderPrice, metaInfo, SecurityId);
}
else
{
var isAligned = (orderPrice % metaInfo.PriceStep) == 0;
writer.Write(isAligned);
if (isAligned)
{
if (metaInfo.FirstOrderPrice == 0)
{
metaInfo.FirstOrderPrice = metaInfo.LastOrderPrice = orderPrice;
}
writer.WritePrice(orderPrice, metaInfo.LastOrderPrice, metaInfo, SecurityId, true);
metaInfo.LastOrderPrice = orderPrice;
}
else
{
if (metaInfo.FirstNonSystemPrice == 0)
{
metaInfo.FirstNonSystemPrice = metaInfo.LastNonSystemPrice = orderPrice;
}
metaInfo.LastNonSystemPrice = writer.WriteDecimal(orderPrice, metaInfo.LastNonSystemPrice);
}
}
writer.WriteVolume(volume, metaInfo, SecurityId);
writer.Write(item.Side == Sides.Buy);
var lastOffset = metaInfo.LastServerOffset;
metaInfo.LastTime = writer.WriteTime(item.ServerTime, metaInfo.LastTime, LocalizedStrings.Str1013, allowNonOrdered, isUtc, metaInfo.ServerOffset, allowDiffOffsets, ref lastOffset);
metaInfo.LastServerOffset = lastOffset;
if (hasTrade)
{
writer.Write(true);
if (metaInfo.FirstTradeId == 0)
{
metaInfo.FirstTradeId = metaInfo.LastTradeId = tradeId.Value;
}
metaInfo.LastTradeId = writer.SerializeId(tradeId.Value, metaInfo.LastTradeId);
writer.WritePriceEx(item.GetTradePrice(), metaInfo, SecurityId);
}
else
{
writer.Write(false);
writer.Write(item.OrderState == OrderStates.Active);
}
if (metaInfo.Version < MarketDataVersions.Version31)
{
continue;
}
writer.WriteNullableInt(item.OrderStatus);
if (metaInfo.Version < MarketDataVersions.Version33)
{
continue;
}
if (metaInfo.Version < MarketDataVersions.Version50)
{
writer.WriteInt((int)(item.TimeInForce ?? TimeInForce.PutInQueue));
}
else
{
writer.Write(item.TimeInForce != null);
if (item.TimeInForce != null)
{
writer.WriteInt((int)item.TimeInForce.Value);
}
}
if (metaInfo.Version >= MarketDataVersions.Version49)
{
writer.Write(item.IsSystem != null);
if (item.IsSystem != null)
{
writer.Write(item.IsSystem.Value);
}
}
else
{
writer.Write(item.IsSystem ?? true);
}
if (metaInfo.Version < MarketDataVersions.Version34)
{
continue;
}
metaInfo.LastTransactionId = writer.SerializeId(item.TransactionId, metaInfo.LastTransactionId);
if (metaInfo.Version < MarketDataVersions.Version40)
{
continue;
}
if (metaInfo.Version < MarketDataVersions.Version46)
{
writer.WriteLong(0 /*item.Latency.Ticks*/);
}
var portfolio = item.PortfolioName;
var isEmptyPf = portfolio == null || portfolio == Portfolio.AnonymousPortfolio.Name;
writer.Write(!isEmptyPf);
if (!isEmptyPf)
{
metaInfo.Portfolios.TryAdd(item.PortfolioName);
writer.WriteInt(metaInfo.Portfolios.IndexOf(item.PortfolioName));
}
if (metaInfo.Version < MarketDataVersions.Version51)
{
continue;
}
writer.Write(item.Currency != null);
if (item.Currency != null)
{
writer.WriteInt((int)item.Currency.Value);
}
}
}
protected override void OnSave(BitArrayWriter writer, IEnumerable <QuoteChangeMessage> messages, QuoteMetaInfo metaInfo)
{
if (metaInfo.IsEmpty())
{
var firstDepth = messages.First(); //FirstOrDefault(d => !d.Bids.IsEmpty() || !d.Asks.IsEmpty());
//var price = firstDepth != null ? GetDepthPrice(firstDepth) : 0;
//if (price != 0)
//{
// if ((price % metaInfo.PriceStep) == 0)
// metaInfo.LastPrice = metaInfo.FirstPrice = price;
// else
// metaInfo.LastFractionalPrice = metaInfo.FirstFractionalPrice = price;
//}
metaInfo.ServerOffset = firstDepth.ServerTime.Offset;
metaInfo.IncrementalOnly = firstDepth.State != null;
metaInfo.FirstSeqNum = metaInfo.PrevSeqNum = firstDepth.SeqNum;
}
writer.WriteInt(messages.Count());
QuoteChangeMessage prevQuoteMsg = null;
var allowNonOrdered = metaInfo.Version >= MarketDataVersions.Version47;
var isUtc = metaInfo.Version >= MarketDataVersions.Version50;
var allowDiffOffsets = metaInfo.Version >= MarketDataVersions.Version52;
var isTickPrecision = metaInfo.Version >= MarketDataVersions.Version53;
var nonAdjustPrice = metaInfo.Version >= MarketDataVersions.Version54;
var useLong = metaInfo.Version >= MarketDataVersions.Version55;
var buildFrom = metaInfo.Version >= MarketDataVersions.Version59;
var seqNumAndPos = metaInfo.Version >= MarketDataVersions.Version60;
foreach (var m in messages)
{
var quoteMsg = m;
if (metaInfo.IncrementalOnly)
{
if (quoteMsg.State == null)
{
throw new InvalidOperationException(LocalizedStrings.StorageRequiredIncremental.Put(true));
}
}
else
{
if (quoteMsg.State != null)
{
throw new InvalidOperationException(LocalizedStrings.StorageRequiredIncremental.Put(false));
}
}
//if (m.IsFullEmpty())
// throw new ArgumentException(LocalizedStrings.Str1309, nameof(messages));
//var bid = quoteMsg.GetBestBid();
//var ask = quoteMsg.GetBestAsk();
// LMAX has equals best bid and ask
//if (bid != null && ask != null && bid.Price > ask.Price)
// throw new ArgumentException(LocalizedStrings.Str932Params.Put(bid.Price, ask.Price, quoteMsg.ServerTime), nameof(messages));
var lastOffset = metaInfo.LastServerOffset;
metaInfo.LastTime = writer.WriteTime(quoteMsg.ServerTime, metaInfo.LastTime, LocalizedStrings.MarketDepth, allowNonOrdered, isUtc, metaInfo.ServerOffset, allowDiffOffsets, isTickPrecision, ref lastOffset);
metaInfo.LastServerOffset = lastOffset;
QuoteChangeMessage delta;
if (metaInfo.IncrementalOnly)
{
writer.WriteInt((int)quoteMsg.State.Value);
delta = quoteMsg;
}
else
{
var isFull = prevQuoteMsg == null;
writer.Write(isFull);
delta = isFull ? quoteMsg : prevQuoteMsg.GetDelta(quoteMsg);
prevQuoteMsg = quoteMsg;
}
SerializeQuotes(writer, delta.Bids, metaInfo /*, isFull*/, useLong, nonAdjustPrice);
SerializeQuotes(writer, delta.Asks, metaInfo /*, isFull*/, useLong, nonAdjustPrice);
//metaInfo.LastPrice = GetDepthPrice(quoteMsg);
if (metaInfo.Version < MarketDataVersions.Version40)
{
continue;
}
if (metaInfo.Version < MarketDataVersions.Version46)
{
writer.WriteLong((quoteMsg.LocalTime - quoteMsg.ServerTime).Ticks);
}
else
{
var hasLocalTime = true;
if (metaInfo.Version >= MarketDataVersions.Version49)
{
hasLocalTime = quoteMsg.HasLocalTime(quoteMsg.ServerTime);
writer.Write(hasLocalTime);
}
if (hasLocalTime)
{
lastOffset = metaInfo.LastLocalOffset;
metaInfo.LastLocalTime = writer.WriteTime(quoteMsg.LocalTime, metaInfo.LastLocalTime, LocalizedStrings.Str934, allowNonOrdered, isUtc, metaInfo.LocalOffset, allowDiffOffsets, isTickPrecision, ref lastOffset, true);
metaInfo.LastLocalOffset = lastOffset;
}
}
if (metaInfo.Version < MarketDataVersions.Version51)
{
continue;
}
writer.Write(quoteMsg.Currency != null);
if (quoteMsg.Currency != null)
{
writer.WriteInt((int)quoteMsg.Currency.Value);
}
if (!buildFrom)
{
continue;
}
writer.WriteBuildFrom(quoteMsg.BuildFrom);
if (!seqNumAndPos)
{
continue;
}
writer.WriteSeqNum(quoteMsg, metaInfo);
writer.Write(quoteMsg.HasPositions);
}
}
public static void WritePrice(this BitArrayWriter writer, decimal price, ref decimal prevPrice, BinaryMetaInfo info, SecurityId securityId, bool useLong = false, bool nonAdjustPrice = false)
{
var priceStep = info.LastPriceStep;
if (priceStep == 0)
{
throw new InvalidOperationException(LocalizedStrings.Str2925);
}
if ((price % priceStep) != 0)
{
if (!nonAdjustPrice)
{
throw new ArgumentException(LocalizedStrings.Str1007Params.Put(priceStep, securityId, price), nameof(info));
}
writer.Write(false);
var priceStepChanged = false;
if ((price % info.LastPriceStep) != 0)
{
var newPriceStep = 1m;
var found = false;
for (var i = 0; i < 20; i++)
{
if ((price % newPriceStep) == 0)
{
found = true;
break;
}
newPriceStep /= 10;
}
if (!found)
{
throw new ArgumentException(LocalizedStrings.Str1007Params.Put(priceStep, securityId, price), nameof(info));
}
info.LastPriceStep = newPriceStep;
//if (info.FirstPriceStep == 0)
// info.FirstPriceStep = info.LastPriceStep;
priceStepChanged = true;
}
writer.Write(priceStepChanged);
if (priceStepChanged)
{
WriteDecimal(writer, info.LastPriceStep, 0);
}
if (info.FirstFractionalPrice == 0)
{
info.FirstFractionalPrice = info.LastFractionalPrice = price;
}
var stepCount = (long)((price - info.LastFractionalPrice) / info.LastPriceStep);
if (useLong)
{
writer.WriteLong(stepCount);
}
else
{
writer.WriteInt((int)stepCount);
}
info.LastFractionalPrice = price;
return;
}
if (nonAdjustPrice)
{
writer.Write(true);
}
try
{
var stepCount = (long)((price - prevPrice) / priceStep);
// ОЛ может содержать заявки с произвольно большими ценами
if (useLong)
{
writer.WriteLong(stepCount);
}
else
{
if (stepCount.Abs() > int.MaxValue)
{
throw new InvalidOperationException("Range is overflow.");
}
writer.WriteInt((int)stepCount);
}
prevPrice = price;
}
catch (OverflowException ex)
{
throw new ArgumentException(LocalizedStrings.Str1008Params.Put(price, prevPrice, priceStep, useLong), ex);
}
}
protected override void OnSave(BitArrayWriter writer, IEnumerable <NewsMessage> messages, NewsMetaInfo metaInfo)
{
var isMetaEmpty = metaInfo.IsEmpty();
writer.WriteInt(messages.Count());
foreach (var news in messages)
{
if (isMetaEmpty)
{
metaInfo.ServerOffset = news.ServerTime.Offset;
isMetaEmpty = false;
}
if (news.Id.IsEmpty())
{
writer.Write(false);
}
else
{
writer.Write(true);
writer.WriteString(news.Id);
}
writer.WriteString(news.Headline);
if (news.Story.IsEmpty())
{
writer.Write(false);
}
else
{
writer.Write(true);
writer.WriteString(news.Story);
}
if (news.Source.IsEmpty())
{
writer.Write(false);
}
else
{
writer.Write(true);
writer.WriteString(news.Source);
}
if (news.BoardCode.IsEmpty())
{
writer.Write(false);
}
else
{
writer.Write(true);
writer.WriteString(news.BoardCode);
}
if (news.SecurityId == null)
{
writer.Write(false);
}
else
{
writer.Write(true);
writer.WriteString(news.SecurityId.Value.SecurityCode);
}
if (news.Url == null)
{
writer.Write(false);
}
else
{
writer.Write(true);
writer.WriteString(news.Url.To <string>());
}
metaInfo.LastTime = writer.WriteTime(news.ServerTime, metaInfo.LastTime, LocalizedStrings.News, true, true, metaInfo.ServerOffset);
}
}
protected override void OnSave(BitArrayWriter writer, IEnumerable <NewsMessage> messages, NewsMetaInfo metaInfo)
{
var isMetaEmpty = metaInfo.IsEmpty();
writer.WriteInt(messages.Count());
var allowDiffOffsets = metaInfo.Version >= MarketDataVersions.Version46;
var isTickPrecision = metaInfo.Version >= MarketDataVersions.Version47;
foreach (var news in messages)
{
if (isMetaEmpty)
{
metaInfo.ServerOffset = news.ServerTime.Offset;
isMetaEmpty = false;
}
if (news.Id.IsEmpty())
{
writer.Write(false);
}
else
{
writer.Write(true);
writer.WriteString(news.Id);
}
writer.WriteString(news.Headline);
if (news.Story.IsEmpty())
{
writer.Write(false);
}
else
{
writer.Write(true);
writer.WriteString(news.Story);
}
if (news.Source.IsEmpty())
{
writer.Write(false);
}
else
{
writer.Write(true);
writer.WriteString(news.Source);
}
if (news.BoardCode.IsEmpty())
{
writer.Write(false);
}
else
{
writer.Write(true);
writer.WriteString(news.BoardCode);
}
if (news.SecurityId == null)
{
writer.Write(false);
}
else
{
writer.Write(true);
writer.WriteString(news.SecurityId.Value.SecurityCode);
}
if (news.Url == null)
{
writer.Write(false);
}
else
{
writer.Write(true);
writer.WriteString(news.Url.To <string>());
}
var lastOffset = metaInfo.LastServerOffset;
metaInfo.LastTime = writer.WriteTime(news.ServerTime, metaInfo.LastTime, LocalizedStrings.News, true, true, metaInfo.ServerOffset, allowDiffOffsets, isTickPrecision, ref lastOffset);
metaInfo.LastServerOffset = lastOffset;
}
}
protected override void OnSave(BitArrayWriter writer, IEnumerable <QuoteChangeMessage> messages, QuoteMetaInfo metaInfo)
{
if (metaInfo.IsEmpty())
{
var firstDepth = messages.FirstOrDefault(d => !d.Bids.IsEmpty() || !d.Asks.IsEmpty());
metaInfo.LastPrice = metaInfo.FirstPrice = firstDepth != null?GetDepthPrice(firstDepth) : 0;
metaInfo.ServerOffset = (firstDepth ?? messages.First()).ServerTime.Offset;
}
writer.WriteInt(messages.Count());
QuoteChangeMessage prevQuoteMsg = null;
var allowNonOrdered = metaInfo.Version >= MarketDataVersions.Version47;
var isUtc = metaInfo.Version >= MarketDataVersions.Version50;
var allowDiffOffsets = metaInfo.Version >= MarketDataVersions.Version52;
foreach (var m in messages)
{
var quoteMsg = m;
//if (depth.IsFullEmpty())
// throw new ArgumentException("Переданный стакан является пустым.", "depths");
if (!quoteMsg.IsSorted)
{
quoteMsg = (QuoteChangeMessage)quoteMsg.Clone();
quoteMsg.Bids = quoteMsg.Bids.OrderByDescending(q => q.Price).ToArray();
quoteMsg.Asks = quoteMsg.Asks.OrderBy(q => q.Price).ToArray();
}
var bid = quoteMsg.GetBestBid();
var ask = quoteMsg.GetBestAsk();
// LMAX has equals best bid and ask
if (bid != null && ask != null && bid.Price > ask.Price)
{
throw new ArgumentException(LocalizedStrings.Str932Params.Put(bid.Price, ask.Price, quoteMsg.ServerTime), nameof(messages));
}
var lastOffset = metaInfo.LastServerOffset;
metaInfo.LastTime = writer.WriteTime(quoteMsg.ServerTime, metaInfo.LastTime, LocalizedStrings.MarketDepth, allowNonOrdered, isUtc, metaInfo.ServerOffset, allowDiffOffsets, ref lastOffset);
metaInfo.LastServerOffset = lastOffset;
var isFull = prevQuoteMsg == null;
writer.Write(isFull);
var delta = isFull ? quoteMsg : prevQuoteMsg.GetDelta(quoteMsg);
prevQuoteMsg = quoteMsg;
SerializeQuotes(writer, delta.Bids, metaInfo /*, isFull*/);
SerializeQuotes(writer, delta.Asks, metaInfo /*, isFull*/);
metaInfo.LastPrice = GetDepthPrice(quoteMsg);
if (metaInfo.Version < MarketDataVersions.Version40)
{
continue;
}
if (metaInfo.Version < MarketDataVersions.Version46)
{
writer.WriteLong(SecurityId.GetLatency(quoteMsg.ServerTime, quoteMsg.LocalTime).Ticks);
}
else
{
var hasLocalTime = true;
if (metaInfo.Version >= MarketDataVersions.Version49)
{
hasLocalTime = !quoteMsg.LocalTime.IsDefault() && quoteMsg.LocalTime != quoteMsg.ServerTime;
writer.Write(hasLocalTime);
}
if (hasLocalTime)
{
lastOffset = metaInfo.LastLocalOffset;
metaInfo.LastLocalTime = writer.WriteTime(quoteMsg.LocalTime, metaInfo.LastLocalTime, LocalizedStrings.Str934, allowNonOrdered, isUtc, metaInfo.LocalOffset, allowDiffOffsets, ref lastOffset);
metaInfo.LastLocalOffset = lastOffset;
}
}
if (metaInfo.Version < MarketDataVersions.Version51)
{
continue;
}
writer.Write(quoteMsg.Currency != null);
if (quoteMsg.Currency != null)
{
writer.WriteInt((int)quoteMsg.Currency.Value);
}
}
}
protected override void OnSave(BitArrayWriter writer, IEnumerable <NewsMessage> messages, NewsMetaInfo metaInfo)
{
if (metaInfo.IsEmpty())
{
var first = messages.First();
metaInfo.ServerOffset = first.ServerTime.Offset;
metaInfo.FirstSeqNum = metaInfo.PrevSeqNum = first.SeqNum;
}
writer.WriteInt(messages.Count());
var allowDiffOffsets = metaInfo.Version >= MarketDataVersions.Version46;
var isTickPrecision = metaInfo.Version >= MarketDataVersions.Version47;
var seqNum = metaInfo.Version >= MarketDataVersions.Version51;
foreach (var news in messages)
{
writer.WriteStringEx(news.Id);
writer.WriteString(news.Headline);
writer.WriteStringEx(news.Story);
writer.WriteStringEx(news.Source);
writer.WriteStringEx(news.BoardCode);
writer.WriteStringEx(news.SecurityId?.SecurityCode);
writer.WriteStringEx(news.Url);
var lastOffset = metaInfo.LastServerOffset;
metaInfo.LastTime = writer.WriteTime(news.ServerTime, metaInfo.LastTime, LocalizedStrings.News, true, true, metaInfo.ServerOffset, allowDiffOffsets, isTickPrecision, ref lastOffset);
metaInfo.LastServerOffset = lastOffset;
if (metaInfo.Version < MarketDataVersions.Version48)
{
continue;
}
writer.Write(news.Priority != null);
if (news.Priority != null)
{
writer.WriteInt((int)news.Priority.Value);
}
if (metaInfo.Version < MarketDataVersions.Version49)
{
continue;
}
writer.WriteStringEx(news.Language);
if (metaInfo.Version < MarketDataVersions.Version50)
{
continue;
}
writer.Write(news.ExpiryDate != null);
if (news.ExpiryDate != null)
{
writer.WriteLong(news.ExpiryDate.Value.To <long>());
}
writer.WriteStringEx(news.SecurityId?.BoardCode);
if (!seqNum)
{
continue;
}
writer.WriteSeqNum(news, metaInfo);
}
}
protected override void OnSave(BitArrayWriter writer, IEnumerable <PositionChangeMessage> messages, PositionMetaInfo metaInfo)
{
if (metaInfo.IsEmpty())
{
var msg = messages.First();
metaInfo.ServerOffset = msg.ServerTime.Offset;
}
writer.WriteInt(messages.Count());
foreach (var message in messages)
{
var lastOffset = metaInfo.LastServerOffset;
metaInfo.LastTime = writer.WriteTime(message.ServerTime, metaInfo.LastTime, "level1", true, true, metaInfo.ServerOffset, true, true, ref lastOffset);
metaInfo.LastServerOffset = lastOffset;
var hasLocalTime = message.HasLocalTime(message.ServerTime);
writer.Write(hasLocalTime);
if (hasLocalTime)
{
lastOffset = metaInfo.LastLocalOffset;
metaInfo.LastLocalTime = writer.WriteTime(message.LocalTime, metaInfo.LastLocalTime, LocalizedStrings.Str919, true, true, metaInfo.LocalOffset, true, true, ref lastOffset, true);
metaInfo.LastLocalOffset = lastOffset;
}
metaInfo.Portfolios.TryAdd(message.PortfolioName);
writer.WriteInt(metaInfo.Portfolios.IndexOf(message.PortfolioName));
if (message.ClientCode.IsEmpty())
{
writer.Write(false);
}
else
{
writer.Write(true);
metaInfo.ClientCodes.TryAdd(message.ClientCode);
writer.WriteInt(metaInfo.ClientCodes.IndexOf(message.ClientCode));
}
if (message.DepoName.IsEmpty())
{
writer.Write(false);
}
else
{
writer.Write(true);
metaInfo.DepoNames.TryAdd(message.DepoName);
writer.WriteInt(metaInfo.DepoNames.IndexOf(message.DepoName));
}
writer.Write(message.LimitType != null);
if (message.LimitType != null)
{
writer.WriteInt((int)message.LimitType.Value);
}
var count = message.Changes.Count;
if (count == 0)
{
throw new ArgumentException(LocalizedStrings.Str920, nameof(messages));
}
writer.WriteInt(count);
foreach (var change in message.Changes)
{
writer.WriteInt((int)change.Key);
switch (change.Key)
{
case PositionChangeTypes.BeginValue:
SerializeChange(writer, metaInfo.BeginValue, (decimal)change.Value);
break;
case PositionChangeTypes.CurrentValue:
SerializeChange(writer, metaInfo.CurrentValue, (decimal)change.Value);
break;
case PositionChangeTypes.BlockedValue:
SerializeChange(writer, metaInfo.BlockedValue, (decimal)change.Value);
break;
case PositionChangeTypes.CurrentPrice:
SerializeChange(writer, metaInfo.CurrentPrice, (decimal)change.Value);
break;
case PositionChangeTypes.AveragePrice:
SerializeChange(writer, metaInfo.AveragePrice, (decimal)change.Value);
break;
case PositionChangeTypes.UnrealizedPnL:
SerializeChange(writer, metaInfo.UnrealizedPnL, (decimal)change.Value);
break;
case PositionChangeTypes.RealizedPnL:
SerializeChange(writer, metaInfo.RealizedPnL, (decimal)change.Value);
break;
case PositionChangeTypes.VariationMargin:
SerializeChange(writer, metaInfo.VariationMargin, (decimal)change.Value);
break;
case PositionChangeTypes.Currency:
writer.WriteInt((int)(CurrencyTypes)change.Value);
break;
case PositionChangeTypes.Leverage:
SerializeChange(writer, metaInfo.Leverage, (decimal)change.Value);
break;
case PositionChangeTypes.Commission:
SerializeChange(writer, metaInfo.Commission, (decimal)change.Value);
break;
case PositionChangeTypes.CurrentValueInLots:
SerializeChange(writer, metaInfo.CurrentValueInLots, (decimal)change.Value);
break;
case PositionChangeTypes.State:
writer.WriteInt((int)(PortfolioStates)change.Value);
break;
default:
throw new ArgumentOutOfRangeException();
}
}
}
}
public static DateTime WriteTime(this BitArrayWriter writer, DateTimeOffset dto, DateTime prevTime, string name, bool allowNonOrdered, bool isUtc, TimeSpan offset, bool allowDiffOffsets, ref TimeSpan prevOffset)
{
if (writer == null)
{
throw new ArgumentNullException("writer");
}
if (allowDiffOffsets)
{
writer.Write(dto.Offset == prevOffset);
if (prevOffset != dto.Offset)
{
prevOffset = dto.Offset;
writer.WriteInt(prevOffset.Hours);
writer.Write(prevOffset.Minutes == 0);
if (prevOffset.Minutes != 0)
{
writer.WriteInt(prevOffset.Minutes);
}
}
}
else if (isUtc && dto.Offset != offset)
{
throw new ArgumentException(LocalizedStrings.WrongTimeOffset.Put(dto, offset));
}
dto = dto.Truncate();
var time = isUtc ? dto.UtcDateTime : dto.LocalDateTime;
var timeDiff = time - prevTime;
if (allowNonOrdered)
{
if (timeDiff < TimeSpan.Zero)
{
writer.Write(false);
timeDiff = new TimeSpan(-timeDiff.Ticks);
}
else
{
writer.Write(true);
}
if (timeDiff >= TimeSpan.FromMinutes(1))
{
writer.Write(true);
if (timeDiff <= TimeSpan.FromHours(32))
{
writer.Write(true);
writer.WriteBits(timeDiff.Hours, 5);
}
else
{
writer.Write(false);
writer.WriteInt(timeDiff.Hours);
}
writer.WriteBits(timeDiff.Minutes, 6);
writer.WriteBits(timeDiff.Seconds, 6);
}
else
{
writer.Write(false);
writer.WriteInt(timeDiff.Seconds);
}
}
else
{
if (timeDiff < TimeSpan.Zero)
{
throw new ArgumentException(LocalizedStrings.Str1009Params.Put(name, prevTime, time), "dto");
}
if (timeDiff >= TimeSpan.FromMinutes(1))
{
writer.Write(true);
timeDiff = time.TimeOfDay;
writer.WriteBits(timeDiff.Hours, 5);
writer.WriteBits(timeDiff.Minutes, 6);
writer.WriteBits(timeDiff.Seconds, 6);
}
else
{
writer.Write(false);
writer.WriteInt(timeDiff.Seconds);
}
}
writer.WriteInt(timeDiff.Milliseconds);
return(time);
}
protected override void OnSave(BitArrayWriter writer, IEnumerable <ExecutionMessage> messages, OrderLogMetaInfo metaInfo)
{
if (metaInfo.IsEmpty() && !messages.IsEmpty())
{
var item = messages.First();
metaInfo.FirstOrderId = metaInfo.LastOrderId = item.OrderId ?? default;
metaInfo.FirstTransactionId = metaInfo.LastTransactionId = item.TransactionId;
metaInfo.ServerOffset = item.ServerTime.Offset;
metaInfo.FirstSeqNum = metaInfo.PrevSeqNum = item.SeqNum;
}
writer.WriteInt(messages.Count());
var allowNonOrdered = metaInfo.Version >= MarketDataVersions.Version47;
var isUtc = metaInfo.Version >= MarketDataVersions.Version48;
var allowDiffOffsets = metaInfo.Version >= MarketDataVersions.Version52;
var isTickPrecision = metaInfo.Version >= MarketDataVersions.Version53;
var useBalance = metaInfo.Version >= MarketDataVersions.Version54;
var buildFrom = metaInfo.Version >= MarketDataVersions.Version55;
var seqNum = metaInfo.Version >= MarketDataVersions.Version56;
var useLong = metaInfo.Version >= MarketDataVersions.Version57;
var largeDecimal = metaInfo.Version >= MarketDataVersions.Version57;
var stringId = metaInfo.Version >= MarketDataVersions.Version58;
foreach (var message in messages)
{
var hasTrade = message.TradeId != null || message.TradePrice != null || !message.TradeStringId.IsEmpty();
var orderId = message.OrderId;
if (orderId is null)
{
if (!stringId)
{
throw new ArgumentOutOfRangeException(nameof(messages), message.TransactionId, LocalizedStrings.Str925);
}
}
if (message.ExecutionType != ExecutionTypes.OrderLog)
{
throw new ArgumentOutOfRangeException(nameof(messages), message.ExecutionType, LocalizedStrings.Str1695Params.Put(message));
}
// sell market orders has zero price (if security do not have min allowed price)
// execution ticks (like option execution) may be a zero cost
// ticks for spreads may be a zero cost or less than zero
//if (item.Price < 0)
// throw new ArgumentOutOfRangeException(nameof(messages), item.Price, LocalizedStrings.Str926Params.Put(item.OrderId));
var volume = message.SafeGetVolume();
if (volume <= 0 && message.OrderState != OrderStates.Done)
{
throw new ArgumentOutOfRangeException(nameof(messages), volume, LocalizedStrings.Str927Params.Put(message.TransactionId));
}
long?tradeId = null;
if (hasTrade)
{
tradeId = message.TradeId;
if (tradeId is null || tradeId <= 0)
{
if (!stringId)
{
throw new ArgumentOutOfRangeException(nameof(messages), tradeId, LocalizedStrings.Str1012Params.Put(message.TransactionId));
}
}
// execution ticks (like option execution) may be a zero cost
// ticks for spreads may be a zero cost or less than zero
//if (item.TradePrice <= 0)
// throw new ArgumentOutOfRangeException(nameof(messages), item.TradePrice, LocalizedStrings.Str929Params.Put(item.TradeId, item.OrderId));
}
metaInfo.LastOrderId = writer.SerializeId(orderId ?? 0, metaInfo.LastOrderId);
var orderPrice = message.OrderPrice;
if (metaInfo.Version < MarketDataVersions.Version45)
{
writer.WritePriceEx(orderPrice, metaInfo, SecurityId, false, false);
}
else
{
var isAligned = (orderPrice % metaInfo.LastPriceStep) == 0;
writer.Write(isAligned);
if (isAligned)
{
if (metaInfo.FirstOrderPrice == 0)
{
metaInfo.FirstOrderPrice = metaInfo.LastOrderPrice = orderPrice;
}
var prevPrice = metaInfo.LastOrderPrice;
writer.WritePrice(orderPrice, ref prevPrice, metaInfo, SecurityId, true);
metaInfo.LastOrderPrice = prevPrice;
}
else
{
if (metaInfo.FirstFractionalPrice == 0)
{
metaInfo.FirstFractionalPrice = metaInfo.LastFractionalPrice = orderPrice;
}
metaInfo.LastFractionalPrice = writer.WriteDecimal(orderPrice, metaInfo.LastFractionalPrice);
}
}
writer.WriteVolume(volume, metaInfo, largeDecimal);
writer.Write(message.Side == Sides.Buy);
var lastOffset = metaInfo.LastServerOffset;
metaInfo.LastTime = writer.WriteTime(message.ServerTime, metaInfo.LastTime, LocalizedStrings.Str1013, allowNonOrdered, isUtc, metaInfo.ServerOffset, allowDiffOffsets, isTickPrecision, ref lastOffset);
metaInfo.LastServerOffset = lastOffset;
if (hasTrade)
{
writer.Write(true);
if (metaInfo.FirstTradeId == 0)
{
metaInfo.FirstTradeId = metaInfo.LastTradeId = tradeId ?? default;
}
metaInfo.LastTradeId = writer.SerializeId(tradeId ?? default, metaInfo.LastTradeId);
writer.WritePriceEx(message.GetTradePrice(), metaInfo, SecurityId, useLong, largeDecimal);
if (metaInfo.Version >= MarketDataVersions.Version54)
{
writer.WriteInt((int)message.OrderState);
}
}
else
{
writer.Write(false);
if (metaInfo.Version >= MarketDataVersions.Version54)
{
writer.WriteInt((int)message.OrderState);
}
else
{
writer.Write(message.OrderState == OrderStates.Active);
}
}
if (metaInfo.Version < MarketDataVersions.Version31)
{
continue;
}
writer.WriteNullableInt((int?)message.OrderStatus);
if (metaInfo.Version < MarketDataVersions.Version33)
{
continue;
}
if (metaInfo.Version < MarketDataVersions.Version50)
{
writer.WriteInt((int)(message.TimeInForce ?? TimeInForce.PutInQueue));
}
else
{
writer.Write(message.TimeInForce != null);
if (message.TimeInForce != null)
{
writer.WriteInt((int)message.TimeInForce.Value);
}
}
if (metaInfo.Version >= MarketDataVersions.Version49)
{
writer.Write(message.IsSystem != null);
if (message.IsSystem != null)
{
writer.Write(message.IsSystem.Value);
}
}
else
{
writer.Write(message.IsSystem ?? true);
}
if (metaInfo.Version < MarketDataVersions.Version34)
{
continue;
}
metaInfo.LastTransactionId = writer.SerializeId(message.TransactionId, metaInfo.LastTransactionId);
if (metaInfo.Version < MarketDataVersions.Version40)
{
continue;
}
if (metaInfo.Version < MarketDataVersions.Version46)
{
writer.WriteLong(0 /*item.Latency.Ticks*/);
}
var portfolio = message.PortfolioName;
var isEmptyPf = portfolio == null;
var isAnonymous = !isEmptyPf && portfolio == Portfolio.AnonymousPortfolio.Name;
if (isEmptyPf)
{
writer.Write(false);
}
else
{
if (isAnonymous)
{
if (metaInfo.Version < MarketDataVersions.Version54)
{
writer.Write(false);
}
else
{
writer.Write(true);
writer.Write(true); // is anonymous
}
}
else
{
writer.Write(true);
if (metaInfo.Version > MarketDataVersions.Version54)
{
writer.Write(false); // not anonymous
}
metaInfo.Portfolios.TryAdd(message.PortfolioName);
writer.WriteInt(metaInfo.Portfolios.IndexOf(message.PortfolioName));
}
}
if (metaInfo.Version < MarketDataVersions.Version51)
{
continue;
}
writer.WriteNullableInt((int?)message.Currency);
if (!useBalance)
{
continue;
}
if (message.Balance == null)
{
writer.Write(false);
}
else
{
writer.Write(true);
if (message.Balance.Value == 0)
{
writer.Write(false);
}
else
{
writer.Write(true);
writer.WriteDecimal(message.Balance.Value, 0);
}
}
if (!buildFrom)
{
continue;
}
writer.WriteBuildFrom(message.BuildFrom);
if (!seqNum)
{
continue;
}
writer.WriteSeqNum(message, metaInfo);
if (!stringId)
{
continue;
}
writer.Write(orderId is null);
writer.WriteStringEx(message.OrderStringId);
writer.Write(tradeId is null);
writer.WriteStringEx(message.TradeStringId);
if (message.OrderBuyId != null)
{
writer.Write(true);
metaInfo.LastOrderId = writer.SerializeId(message.OrderBuyId.Value, metaInfo.LastOrderId);
}
else
{
writer.Write(false);
}
if (message.OrderSellId != null)
{
writer.Write(true);
metaInfo.LastOrderId = writer.SerializeId(message.OrderSellId.Value, metaInfo.LastOrderId);
}
else
{
writer.Write(false);
}
writer.WriteNullableBool(message.IsUpTick);
writer.WriteNullableDecimal(message.Yield);
writer.WriteNullableInt(message.TradeStatus);
writer.WriteNullableDecimal(message.OpenInterest);
writer.WriteNullableInt((int?)message.OriginSide);
}
}
public static DateTime WriteTime(this BitArrayWriter writer, DateTimeOffset dto, DateTime prevTime, string name, bool allowNonOrdered, bool isUtc, TimeSpan offset)
{
if (writer == null)
{
throw new ArgumentNullException("writer");
}
if (isUtc && dto.Offset != offset)
{
throw new ArgumentException("Время {0} имеет неправильное смещение. Ожидается {1}.".Put(dto, offset));
}
dto = dto.Truncate();
var time = isUtc ? dto.UtcDateTime : dto.LocalDateTime;
var timeDiff = time - prevTime;
if (allowNonOrdered)
{
if (timeDiff < TimeSpan.Zero)
{
writer.Write(false);
timeDiff = new TimeSpan(-timeDiff.Ticks);
}
else
{
writer.Write(true);
}
if (timeDiff >= TimeSpan.FromMinutes(1))
{
writer.Write(true);
if (timeDiff <= TimeSpan.FromHours(32))
{
writer.Write(true);
writer.WriteBits(timeDiff.Hours, 5);
}
else
{
writer.Write(false);
writer.WriteInt(timeDiff.Hours);
}
writer.WriteBits(timeDiff.Minutes, 6);
writer.WriteBits(timeDiff.Seconds, 6);
}
else
{
writer.Write(false);
writer.WriteInt(timeDiff.Seconds);
}
}
else
{
if (timeDiff < TimeSpan.Zero)
{
throw new ArgumentException(LocalizedStrings.Str1009Params.Put(name, prevTime, time), "dto");
}
if (timeDiff >= TimeSpan.FromMinutes(1))
{
writer.Write(true);
timeDiff = time.TimeOfDay;
writer.WriteBits(timeDiff.Hours, 5);
writer.WriteBits(timeDiff.Minutes, 6);
writer.WriteBits(timeDiff.Seconds, 6);
}
else
{
writer.Write(false);
writer.WriteInt(timeDiff.Seconds);
}
}
writer.WriteInt(timeDiff.Milliseconds);
return(time);
}
protected override void OnSave(BitArrayWriter writer, IEnumerable <ExecutionMessage> messages, TickMetaInfo metaInfo)
{
if (metaInfo.IsEmpty())
{
var first = messages.First();
metaInfo.FirstId = metaInfo.PrevId = first.TradeId ?? 0;
metaInfo.ServerOffset = first.ServerTime.Offset;
}
writer.WriteInt(messages.Count());
var allowNonOrdered = metaInfo.Version >= MarketDataVersions.Version48;
var isUtc = metaInfo.Version >= MarketDataVersions.Version50;
var allowDiffOffsets = metaInfo.Version >= MarketDataVersions.Version54;
foreach (var msg in messages)
{
if (msg.ExecutionType != ExecutionTypes.Tick)
{
throw new ArgumentOutOfRangeException(nameof(messages), msg.ExecutionType, LocalizedStrings.Str1695Params.Put(msg.TradeId));
}
var tradeId = msg.TradeId ?? 0;
// сделки для индексов имеют нулевой номер
if (tradeId < 0)
{
throw new ArgumentOutOfRangeException(nameof(messages), tradeId, LocalizedStrings.Str1020);
}
// execution ticks (like option execution) may be a zero cost
// ticks for spreads may be a zero cost or less than zero
//if (msg.TradePrice < 0)
// throw new ArgumentOutOfRangeException(nameof(messages), msg.TradePrice, LocalizedStrings.Str1021Params.Put(msg.TradeId));
metaInfo.PrevId = writer.SerializeId(tradeId, metaInfo.PrevId);
// pyhta4og.
// http://stocksharp.com/forum/yaf_postsm6450_Oshibka-pri-importie-instrumientov-s-Finama.aspx#post6450
var volume = msg.TradeVolume;
if (metaInfo.Version < MarketDataVersions.Version53)
{
if (volume == null)
{
throw new ArgumentException(LocalizedStrings.Str1022Params.Put((object)msg.TradeId ?? msg.TradeStringId), nameof(messages));
}
if (volume < 0)
{
throw new ArgumentOutOfRangeException(nameof(messages), volume, LocalizedStrings.Str1022Params.Put(msg.TradeId));
}
writer.WriteVolume(volume.Value, metaInfo, SecurityId);
}
else
{
writer.Write(volume != null);
if (volume != null)
{
if (volume < 0)
{
throw new ArgumentOutOfRangeException(nameof(messages), volume, LocalizedStrings.Str1022Params.Put(msg.TradeId));
}
writer.WriteVolume(volume.Value, metaInfo, SecurityId);
}
}
writer.WritePriceEx(msg.GetTradePrice(), metaInfo, SecurityId);
writer.WriteSide(msg.OriginSide);
var lastOffset = metaInfo.LastServerOffset;
metaInfo.LastTime = writer.WriteTime(msg.ServerTime, metaInfo.LastTime, LocalizedStrings.Str985, allowNonOrdered, isUtc, metaInfo.ServerOffset, allowDiffOffsets, ref lastOffset);
metaInfo.LastServerOffset = lastOffset;
if (metaInfo.Version < MarketDataVersions.Version40)
{
continue;
}
if (metaInfo.Version < MarketDataVersions.Version47)
{
writer.WriteLong((msg.LocalTime - msg.ServerTime).Ticks);
}
else
{
var hasLocalTime = true;
if (metaInfo.Version >= MarketDataVersions.Version49)
{
hasLocalTime = !msg.LocalTime.IsDefault() && msg.LocalTime != msg.ServerTime;
writer.Write(hasLocalTime);
}
if (hasLocalTime)
{
lastOffset = metaInfo.LastLocalOffset;
metaInfo.LastLocalTime = writer.WriteTime(msg.LocalTime, metaInfo.LastLocalTime, LocalizedStrings.Str1024, allowNonOrdered, isUtc, metaInfo.LocalOffset, allowDiffOffsets, ref lastOffset);
metaInfo.LastLocalOffset = lastOffset;
}
}
if (metaInfo.Version < MarketDataVersions.Version42)
{
continue;
}
if (metaInfo.Version >= MarketDataVersions.Version51)
{
writer.Write(msg.IsSystem != null);
if (msg.IsSystem != null)
{
writer.Write(msg.IsSystem.Value);
}
}
else
{
writer.Write(msg.IsSystem ?? true);
}
if (msg.IsSystem == false)
{
if (metaInfo.Version >= MarketDataVersions.Version51)
{
writer.WriteNullableInt(msg.TradeStatus);
}
else
{
writer.WriteInt(msg.TradeStatus ?? 0);
}
}
var oi = msg.OpenInterest;
if (metaInfo.Version < MarketDataVersions.Version46)
{
writer.WriteVolume(oi ?? 0m, metaInfo, SecurityId);
}
else
{
writer.Write(oi != null);
if (oi != null)
{
writer.WriteVolume(oi.Value, metaInfo, SecurityId);
}
}
if (metaInfo.Version < MarketDataVersions.Version45)
{
continue;
}
writer.Write(msg.IsUpTick != null);
if (msg.IsUpTick != null)
{
writer.Write(msg.IsUpTick.Value);
}
if (metaInfo.Version < MarketDataVersions.Version52)
{
continue;
}
writer.Write(msg.Currency != null);
if (msg.Currency != null)
{
writer.WriteInt((int)msg.Currency.Value);
}
}
}
protected override void OnSave(BitArrayWriter writer, IEnumerable <ExecutionMessage> messages, TransactionSerializerMetaInfo metaInfo)
{
if (metaInfo.IsEmpty())
{
var msg = messages.First();
metaInfo.FirstOrderId = metaInfo.LastOrderId = msg.OrderId ?? 0;
metaInfo.FirstTradeId = metaInfo.LastTradeId = msg.TradeId ?? 0;
metaInfo.FirstTransactionId = metaInfo.LastTransactionId = msg.TransactionId;
metaInfo.FirstOriginalTransactionId = metaInfo.LastOriginalTransactionId = msg.OriginalTransactionId;
metaInfo.FirstCommission = metaInfo.LastCommission = msg.Commission ?? 0;
metaInfo.FirstPnL = metaInfo.LastPnL = msg.PnL ?? 0;
metaInfo.FirstPosition = metaInfo.LastPosition = msg.Position ?? 0;
metaInfo.FirstSlippage = metaInfo.LastSlippage = msg.Slippage ?? 0;
metaInfo.FirstItemLocalTime = metaInfo.LastItemLocalTime = msg.LocalTime.UtcDateTime;
metaInfo.FirstItemLocalOffset = metaInfo.LastItemLocalOffset = msg.LocalTime.Offset;
metaInfo.ServerOffset = msg.ServerTime.Offset;
}
writer.WriteInt(messages.Count());
var allowNonOrdered = metaInfo.Version >= MarketDataVersions.Version48;
var isUtc = metaInfo.Version >= MarketDataVersions.Version51;
var allowDiffOffsets = metaInfo.Version >= MarketDataVersions.Version56;
var isTickPrecision = metaInfo.Version >= MarketDataVersions.Version60;
var buildFrom = metaInfo.Version >= MarketDataVersions.Version67;
foreach (var msg in messages)
{
if (msg.ExecutionType != ExecutionTypes.Transaction)
{
throw new ArgumentOutOfRangeException(nameof(messages), msg.ExecutionType, LocalizedStrings.Str1695Params.Put(msg));
}
// нулевой номер заявки возможен при сохранении в момент регистрации
if (msg.OrderId < 0)
{
throw new ArgumentOutOfRangeException(nameof(messages), msg.OrderId, LocalizedStrings.Str925);
}
// нулевая цена возможна, если идет "рыночная" продажа по инструменту без планок
if (msg.OrderPrice < 0)
{
throw new ArgumentOutOfRangeException(nameof(messages), msg.OrderPrice, LocalizedStrings.Str926Params.Put(msg.OrderId == null ? msg.OrderStringId : msg.OrderId.To <string>()));
}
//var volume = msg.Volume;
//if (volume < 0)
// throw new ArgumentOutOfRangeException(nameof(messages), volume, LocalizedStrings.Str927Params.Put(msg.OrderId == null ? msg.OrderStringId : msg.OrderId.To<string>()));
if (msg.HasTradeInfo())
{
//if ((msg.TradeId == null && msg.TradeStringId.IsEmpty()) || msg.TradeId <= 0)
// throw new ArgumentOutOfRangeException(nameof(messages), msg.TradeId, LocalizedStrings.Str928Params.Put(msg.TransactionId));
if (msg.TradePrice == null || msg.TradePrice <= 0)
{
throw new ArgumentOutOfRangeException(nameof(messages), msg.TradePrice, LocalizedStrings.Str929Params.Put(msg.TradeId, msg.OrderId));
}
}
metaInfo.LastTransactionId = writer.SerializeId(msg.TransactionId, metaInfo.LastTransactionId);
metaInfo.LastOriginalTransactionId = writer.SerializeId(msg.OriginalTransactionId, metaInfo.LastOriginalTransactionId);
writer.Write(msg.HasOrderInfo);
writer.Write(msg.HasTradeInfo);
writer.Write(msg.OrderId != null);
if (msg.OrderId != null)
{
metaInfo.LastOrderId = writer.SerializeId(msg.OrderId.Value, metaInfo.LastOrderId);
}
else
{
writer.WriteStringEx(msg.OrderStringId);
}
writer.WriteStringEx(msg.OrderBoardId);
writer.Write(msg.TradeId != null);
if (msg.TradeId != null)
{
metaInfo.LastTradeId = writer.SerializeId(msg.TradeId.Value, metaInfo.LastTradeId);
}
else
{
writer.WriteStringEx(msg.TradeStringId);
}
if (msg.OrderPrice != 0)
{
writer.Write(true);
writer.WritePriceEx(msg.OrderPrice, metaInfo, SecurityId);
}
else
{
writer.Write(false);
}
if (msg.TradePrice != null)
{
writer.Write(true);
writer.WritePriceEx(msg.TradePrice.Value, metaInfo, SecurityId);
}
else
{
writer.Write(false);
}
writer.Write(msg.Side == Sides.Buy);
writer.Write(msg.OrderVolume != null);
if (msg.OrderVolume != null)
{
writer.WriteVolume(msg.OrderVolume.Value, metaInfo, SecurityId);
}
writer.Write(msg.TradeVolume != null);
if (msg.TradeVolume != null)
{
writer.WriteVolume(msg.TradeVolume.Value, metaInfo, SecurityId);
}
writer.Write(msg.VisibleVolume != null);
if (msg.VisibleVolume != null)
{
writer.WriteVolume(msg.VisibleVolume.Value, metaInfo, SecurityId);
}
writer.Write(msg.Balance != null);
if (msg.Balance != null)
{
writer.WriteVolume(msg.Balance.Value, metaInfo, SecurityId);
}
var lastOffset = metaInfo.LastServerOffset;
metaInfo.LastTime = writer.WriteTime(msg.ServerTime, metaInfo.LastTime, LocalizedStrings.Str930, allowNonOrdered, isUtc, metaInfo.ServerOffset, allowDiffOffsets, isTickPrecision, ref lastOffset);
metaInfo.LastServerOffset = lastOffset;
writer.WriteNullableInt((int?)msg.OrderType);
writer.WriteNullableInt((int?)msg.OrderState);
writer.WriteNullableLong(msg.OrderStatus);
writer.WriteNullableInt(msg.TradeStatus);
writer.WriteNullableInt((int?)msg.TimeInForce);
writer.Write(msg.IsSystem != null);
if (msg.IsSystem != null)
{
writer.Write(msg.IsSystem.Value);
}
writer.Write(msg.IsUpTick != null);
if (msg.IsUpTick != null)
{
writer.Write(msg.IsUpTick.Value);
}
writer.WriteDto(msg.ExpiryDate);
metaInfo.LastCommission = Write(writer, msg.Commission, metaInfo.LastCommission);
metaInfo.LastPnL = Write(writer, msg.PnL, metaInfo.LastPnL);
metaInfo.LastPosition = Write(writer, msg.Position, metaInfo.LastPosition);
metaInfo.LastSlippage = Write(writer, msg.Slippage, metaInfo.LastSlippage);
WriteString(writer, metaInfo.Portfolios, msg.PortfolioName);
WriteString(writer, metaInfo.ClientCodes, msg.ClientCode);
WriteString(writer, metaInfo.BrokerCodes, msg.BrokerCode);
WriteString(writer, metaInfo.DepoNames, msg.DepoName);
WriteString(writer, metaInfo.UserOrderIds, msg.UserOrderId);
WriteString(writer, metaInfo.Comments, msg.Comment);
WriteString(writer, metaInfo.SystemComments, msg.SystemComment);
WriteString(writer, metaInfo.Errors, msg.Error?.Message);
writer.WriteNullableInt((int?)msg.Currency);
writer.Write(msg.Latency != null);
if (msg.Latency != null)
{
writer.WriteLong(msg.Latency.Value.Ticks);
}
writer.Write(msg.OriginSide != null);
if (msg.OriginSide != null)
{
writer.Write(msg.OriginSide.Value == Sides.Buy);
}
if (metaInfo.Version < MarketDataVersions.Version59)
{
continue;
}
WriteItemLocalTime(writer, metaInfo, msg, isTickPrecision);
if (metaInfo.Version < MarketDataVersions.Version61)
{
continue;
}
writer.Write(msg.IsMarketMaker != null);
if (msg.IsMarketMaker != null)
{
writer.Write(msg.IsMarketMaker.Value);
}
if (metaInfo.Version < MarketDataVersions.Version62)
{
continue;
}
writer.Write(msg.IsMargin != null);
if (msg.IsMargin != null)
{
writer.Write(msg.IsMargin.Value);
}
if (metaInfo.Version < MarketDataVersions.Version63)
{
continue;
}
writer.WriteStringEx(msg.CommissionCurrency);
if (metaInfo.Version < MarketDataVersions.Version64)
{
continue;
}
writer.Write(msg.IsManual != null);
if (msg.IsManual != null)
{
writer.Write(msg.IsManual.Value);
}
if (metaInfo.Version < MarketDataVersions.Version65)
{
continue;
}
writer.Write(msg.PositionEffect != null);
if (msg.PositionEffect != null)
{
writer.WriteInt((int)msg.PositionEffect.Value);
}
writer.Write(msg.PostOnly != null);
if (msg.PostOnly != null)
{
writer.Write(msg.PostOnly.Value);
}
writer.Write(msg.Initiator != null);
if (msg.Initiator != null)
{
writer.Write(msg.Initiator.Value);
}
if (metaInfo.Version < MarketDataVersions.Version66)
{
continue;
}
writer.WriteLong(msg.SeqNum);
WriteString(writer, metaInfo.StrategyIds, msg.StrategyId);
if (!buildFrom)
{
continue;
}
writer.WriteBuildFrom(msg.BuildFrom);
}
}
public static DateTime WriteTime(this BitArrayWriter writer, DateTimeOffset dto, DateTime prevTime, string name, bool allowNonOrdered, bool isUtc, TimeSpan offset, bool allowDiffOffsets, bool isTickPrecision, ref TimeSpan prevOffset, bool bigRange = false)
{
if (writer == null)
{
throw new ArgumentNullException(nameof(writer));
}
if (allowDiffOffsets)
{
writer.Write(dto.Offset == prevOffset);
if (prevOffset != dto.Offset)
{
prevOffset = dto.Offset;
writer.WriteInt(prevOffset.Hours);
writer.Write(prevOffset.Minutes == 0);
if (prevOffset.Minutes != 0)
{
writer.WriteInt(prevOffset.Minutes);
}
}
}
else if (isUtc && dto.Offset != offset)
{
throw new ArgumentException(LocalizedStrings.WrongTimeOffset.Put(dto, offset));
}
if (!isTickPrecision)
{
dto = dto.StorageBinaryOldTruncate();
}
var time = isUtc ? dto.UtcDateTime : dto.LocalDateTime;
var timeDiff = time - prevTime;
if (allowNonOrdered)
{
if (timeDiff < TimeSpan.Zero)
{
writer.Write(false);
timeDiff = new TimeSpan(-timeDiff.Ticks);
}
else
{
writer.Write(true);
}
if (timeDiff >= TimeSpan.FromMinutes(1))
{
writer.Write(true);
if (timeDiff <= TimeSpan.FromHours(32))
{
writer.Write(true);
writer.WriteBits(timeDiff.Days * 24 + timeDiff.Hours, 5);
}
else
{
writer.Write(false);
writer.WriteInt(timeDiff.Hours);
if (timeDiff.Days > 0)
{
if (!bigRange)
{
throw new ArgumentOutOfRangeException(nameof(dto), LocalizedStrings.BigRangeError.Put(prevTime, dto));
}
writer.Write(true);
writer.WriteInt(timeDiff.Days);
}
else
{
writer.Write(false);
}
}
writer.WriteBits(timeDiff.Minutes, 6);
writer.WriteBits(timeDiff.Seconds, 6);
}
else
{
writer.Write(false);
writer.WriteInt(timeDiff.Seconds);
}
}
else
{
if (timeDiff < TimeSpan.Zero)
{
throw new ArgumentException(LocalizedStrings.Str1009Params.Put(name, prevTime, time), nameof(dto));
}
if (timeDiff >= TimeSpan.FromMinutes(1))
{
writer.Write(true);
timeDiff = time.TimeOfDay;
writer.WriteBits(timeDiff.Hours, 5);
writer.WriteBits(timeDiff.Minutes, 6);
writer.WriteBits(timeDiff.Seconds, 6);
}
else
{
writer.Write(false);
writer.WriteInt(timeDiff.Seconds);
}
}
writer.WriteInt(timeDiff.Milliseconds);
if (isTickPrecision)
{
writer.WriteInt((int)(timeDiff.Ticks % 10000));
}
return(time);
}
protected override void OnSave(BitArrayWriter writer, IEnumerable <TCandleMessage> candles, CandleMetaInfo metaInfo)
{
if (metaInfo.IsEmpty())
{
var firstCandle = candles.First();
metaInfo.FirstPrice = firstCandle.LowPrice;
metaInfo.LastPrice = firstCandle.LowPrice;
metaInfo.ServerOffset = firstCandle.OpenTime.Offset;
}
writer.WriteInt(candles.Count());
var allowNonOrdered = metaInfo.Version >= MarketDataVersions.Version49;
var isUtc = metaInfo.Version >= MarketDataVersions.Version50;
foreach (var candle in candles)
{
writer.WriteVolume(candle.TotalVolume, metaInfo, SecurityId);
if (metaInfo.Version < MarketDataVersions.Version52)
{
writer.WriteVolume(candle.RelativeVolume ?? 0, metaInfo, SecurityId);
}
else
{
writer.Write(candle.RelativeVolume != null);
if (candle.RelativeVolume != null)
{
writer.WriteVolume(candle.RelativeVolume.Value, metaInfo, SecurityId);
}
}
writer.WritePrice(candle.LowPrice, metaInfo.LastPrice, metaInfo, SecurityId);
metaInfo.LastPrice = candle.LowPrice;
writer.WritePrice(candle.OpenPrice, metaInfo.LastPrice, metaInfo, SecurityId);
writer.WritePrice(candle.ClosePrice, metaInfo.LastPrice, metaInfo, SecurityId);
writer.WritePrice(candle.HighPrice, metaInfo.LastPrice, metaInfo, SecurityId);
metaInfo.LastTime = writer.WriteTime(candle.OpenTime, metaInfo.LastTime, LocalizedStrings.Str998, allowNonOrdered, isUtc, metaInfo.ServerOffset);
if (metaInfo.Version >= MarketDataVersions.Version46)
{
var isAll = !candle.HighTime.IsDefault() && !candle.LowTime.IsDefault();
DateTimeOffset first;
DateTimeOffset second;
writer.Write(isAll);
if (isAll)
{
var isOrdered = candle.HighTime <= candle.LowTime;
writer.Write(isOrdered);
first = isOrdered ? candle.HighTime : candle.LowTime;
second = isOrdered ? candle.LowTime : candle.HighTime;
}
else
{
writer.Write(!candle.HighTime.IsDefault());
writer.Write(!candle.LowTime.IsDefault());
if (candle.HighTime.IsDefault())
{
first = candle.LowTime;
second = default(DateTimeOffset);
}
else
{
first = candle.HighTime;
second = default(DateTimeOffset);
}
}
if (!first.IsDefault())
{
metaInfo.LastTime = writer.WriteTime(first, metaInfo.LastTime, LocalizedStrings.Str999, allowNonOrdered, isUtc, metaInfo.ServerOffset);
}
if (!second.IsDefault())
{
metaInfo.LastTime = writer.WriteTime(second, metaInfo.LastTime, LocalizedStrings.Str1000, allowNonOrdered, isUtc, metaInfo.ServerOffset);
}
}
if (metaInfo.Version >= MarketDataVersions.Version47)
{
writer.Write(!candle.CloseTime.IsDefault());
if (!candle.CloseTime.IsDefault())
{
metaInfo.LastTime = writer.WriteTime(candle.CloseTime, metaInfo.LastTime, LocalizedStrings.Str1001, allowNonOrdered, isUtc, metaInfo.ServerOffset);
}
}
else
{
var time = writer.WriteTime(candle.CloseTime, metaInfo.LastTime, LocalizedStrings.Str1001, allowNonOrdered, isUtc, metaInfo.ServerOffset);
if (metaInfo.Version >= MarketDataVersions.Version41)
{
metaInfo.LastTime = time;
}
}
if (metaInfo.Version >= MarketDataVersions.Version46)
{
if (metaInfo.Version < MarketDataVersions.Version51)
{
writer.WriteVolume(candle.OpenVolume ?? 0m, metaInfo, SecurityId);
writer.WriteVolume(candle.HighVolume ?? 0m, metaInfo, SecurityId);
writer.WriteVolume(candle.LowVolume ?? 0m, metaInfo, SecurityId);
writer.WriteVolume(candle.CloseVolume ?? 0m, metaInfo, SecurityId);
}
else
{
if (candle.OpenVolume == null)
{
writer.Write(false);
}
else
{
writer.Write(true);
writer.WriteVolume(candle.OpenVolume.Value, metaInfo, SecurityId);
}
if (candle.HighVolume == null)
{
writer.Write(false);
}
else
{
writer.Write(true);
writer.WriteVolume(candle.HighVolume.Value, metaInfo, SecurityId);
}
if (candle.LowVolume == null)
{
writer.Write(false);
}
else
{
writer.Write(true);
writer.WriteVolume(candle.LowVolume.Value, metaInfo, SecurityId);
}
if (candle.CloseVolume == null)
{
writer.Write(false);
}
else
{
writer.Write(true);
writer.WriteVolume(candle.CloseVolume.Value, metaInfo, SecurityId);
}
}
}
writer.WriteInt((int)candle.State);
if (metaInfo.Version < MarketDataVersions.Version45)
{
continue;
}
var oi = candle.OpenInterest;
if (metaInfo.Version < MarketDataVersions.Version48)
{
writer.WriteVolume(oi ?? 0m, metaInfo, SecurityId);
}
else
{
writer.Write(oi != null);
if (oi != null)
{
writer.WriteVolume(oi.Value, metaInfo, SecurityId);
}
}
if (metaInfo.Version < MarketDataVersions.Version52)
{
continue;
}
writer.Write(candle.DownTicks != null);
if (candle.DownTicks != null)
{
writer.WriteInt(candle.DownTicks.Value);
}
writer.Write(candle.UpTicks != null);
if (candle.UpTicks != null)
{
writer.WriteInt(candle.UpTicks.Value);
}
writer.Write(candle.TotalTicks != null);
if (candle.TotalTicks != null)
{
writer.WriteInt(candle.TotalTicks.Value);
}
}
}
protected override void OnSave(BitArrayWriter writer, IEnumerable <ExecutionMessage> messages, TransactionSerializerMetaInfo metaInfo)
{
if (metaInfo.IsEmpty())
{
var msg = messages.First();
metaInfo.FirstOrderId = metaInfo.LastOrderId = msg.OrderId ?? 0;
metaInfo.FirstTradeId = metaInfo.LastTradeId = msg.TradeId ?? 0;
metaInfo.FirstTransactionId = metaInfo.LastTransactionId = msg.TransactionId;
metaInfo.FirstOriginalTransactionId = metaInfo.LastOriginalTransactionId = msg.OriginalTransactionId;
metaInfo.FirstCommission = metaInfo.LastCommission = msg.Commission ?? 0;
metaInfo.ServerOffset = msg.ServerTime.Offset;
}
writer.WriteInt(messages.Count());
var allowNonOrdered = metaInfo.Version >= MarketDataVersions.Version48;
var isUtc = metaInfo.Version >= MarketDataVersions.Version51;
var allowDiffOffsets = metaInfo.Version >= MarketDataVersions.Version56;
foreach (var msg in messages)
{
var isTrade = msg.ExecutionType == ExecutionTypes.Trade;
if (msg.ExecutionType != ExecutionTypes.Order && msg.ExecutionType != ExecutionTypes.Trade)
{
throw new ArgumentOutOfRangeException("messages", msg.ExecutionType, LocalizedStrings.Str1695Params.Put(msg.OrderId ?? msg.TradeId));
}
// нулевой номер заявки возможен при сохранении в момент регистрации
if (msg.OrderId < 0)
{
throw new ArgumentOutOfRangeException("messages", msg.OrderId, LocalizedStrings.Str925);
}
// нулевая цена возможна, если идет "рыночная" продажа по инструменту без планок
if (msg.OrderPrice < 0)
{
throw new ArgumentOutOfRangeException("messages", msg.OrderPrice, LocalizedStrings.Str926Params.Put(msg.OrderId == null ? msg.OrderStringId : msg.OrderId.To <string>()));
}
var volume = msg.SafeGetVolume();
if (volume < 0)
{
throw new ArgumentOutOfRangeException("messages", volume, LocalizedStrings.Str927Params.Put(msg.OrderId == null ? msg.OrderStringId : msg.OrderId.To <string>()));
}
if (isTrade)
{
if ((msg.TradeId == null && msg.TradeStringId.IsEmpty()) || msg.TradeId <= 0)
{
throw new ArgumentOutOfRangeException("messages", msg.TradeId, LocalizedStrings.Str928Params.Put(msg.TransactionId));
}
if (msg.TradePrice == null || msg.TradePrice <= 0)
{
throw new ArgumentOutOfRangeException("messages", msg.TradePrice, LocalizedStrings.Str929Params.Put(msg.TradeId, msg.OrderId));
}
}
writer.WriteInt((int)msg.ExecutionType);
metaInfo.LastTransactionId = writer.SerializeId(msg.TransactionId, metaInfo.LastTransactionId);
metaInfo.LastOriginalTransactionId = writer.SerializeId(msg.OriginalTransactionId, metaInfo.LastOriginalTransactionId);
if (!isTrade)
{
if (metaInfo.Version < MarketDataVersions.Version50)
{
metaInfo.LastOrderId = writer.SerializeId(msg.OrderId ?? 0, metaInfo.LastOrderId);
}
else
{
writer.Write(msg.OrderId != null);
if (msg.OrderId != null)
{
metaInfo.LastOrderId = writer.SerializeId(msg.OrderId.Value, metaInfo.LastOrderId);
}
else
{
writer.Write(!msg.OrderStringId.IsEmpty());
if (!msg.OrderStringId.IsEmpty())
{
writer.WriteString(msg.OrderStringId);
}
}
writer.Write(!msg.OrderBoardId.IsEmpty());
if (!msg.OrderBoardId.IsEmpty())
{
writer.WriteString(msg.OrderBoardId);
}
}
}
else
{
if (metaInfo.Version < MarketDataVersions.Version50)
{
metaInfo.LastTradeId = writer.SerializeId(msg.TradeId ?? 0, metaInfo.LastTradeId);
}
else
{
writer.Write(msg.TradeId != null);
if (msg.TradeId != null)
{
metaInfo.LastTradeId = writer.SerializeId(msg.TradeId.Value, metaInfo.LastTradeId);
}
else
{
writer.Write(!msg.TradeStringId.IsEmpty());
if (!msg.TradeStringId.IsEmpty())
{
writer.WriteString(msg.TradeStringId);
}
}
}
}
writer.Write(msg.Side == Sides.Buy);
writer.WritePriceEx(!isTrade ? msg.OrderPrice : msg.GetTradePrice(), metaInfo, SecurityId);
writer.WriteVolume(volume, metaInfo, SecurityId);
if (metaInfo.Version < MarketDataVersions.Version54)
{
writer.WriteVolume(msg.VisibleVolume ?? 0, metaInfo, SecurityId);
writer.WriteVolume(msg.Balance ?? 0, metaInfo, SecurityId);
}
else
{
writer.Write(msg.VisibleVolume != null);
if (msg.VisibleVolume != null)
{
writer.WriteVolume(msg.VisibleVolume.Value, metaInfo, SecurityId);
}
writer.Write(msg.Balance != null);
if (msg.Balance != null)
{
writer.WriteVolume(msg.Balance.Value, metaInfo, SecurityId);
}
}
var lastOffset = metaInfo.LastServerOffset;
metaInfo.LastTime = writer.WriteTime(msg.ServerTime, metaInfo.LastTime, LocalizedStrings.Str930, allowNonOrdered, isUtc, metaInfo.ServerOffset, allowDiffOffsets, ref lastOffset);
metaInfo.LastServerOffset = lastOffset;
writer.WriteInt((int)msg.OrderType);
writer.WriteNullableInt(msg.OrderState);
writer.WriteNullableInt(msg.OrderStatus);
if (metaInfo.Version < MarketDataVersions.Version52)
{
writer.WriteInt(msg.TradeStatus ?? 0);
}
else
{
writer.WriteNullableInt(msg.TradeStatus);
}
if (metaInfo.Version < MarketDataVersions.Version53)
{
writer.WriteInt((int)(msg.TimeInForce ?? TimeInForce.PutInQueue));
}
else
{
writer.Write(msg.TimeInForce != null);
if (msg.TimeInForce != null)
{
writer.WriteInt((int)msg.TimeInForce.Value);
}
}
if (metaInfo.Version < MarketDataVersions.Version52)
{
writer.Write(msg.IsSystem ?? true);
}
else
{
writer.Write(msg.IsSystem != null);
if (msg.IsSystem != null)
{
writer.Write(msg.IsSystem.Value);
}
}
writer.WriteLong(msg.ExpiryDate != null ? msg.ExpiryDate.Value.Ticks : 0L);
WriteCommission(writer, metaInfo, msg.Commission);
WriteString(writer, metaInfo.Portfolios, msg.PortfolioName);
WriteString(writer, metaInfo.StrategyIds, msg.UserOrderId);
WriteString(writer, metaInfo.Comments, msg.Comment);
WriteString(writer, metaInfo.Errors, msg.Error != null ? msg.Error.Message : null);
if (metaInfo.Version < MarketDataVersions.Version55)
{
continue;
}
writer.Write(msg.Currency != null);
if (msg.Currency != null)
{
writer.WriteInt((int)msg.Currency.Value);
}
}
}
protected override void OnSave(BitArrayWriter writer, IEnumerable <TCandleMessage> candles, CandleMetaInfo metaInfo)
{
if (metaInfo.IsEmpty())
{
var firstCandle = candles.First();
var low = firstCandle.LowPrice;
if ((low % metaInfo.PriceStep) == 0)
{
metaInfo.FirstPrice = metaInfo.LastPrice = low;
}
else
{
metaInfo.FirstFractionalPrice = metaInfo.LastFractionalPrice = low;
}
metaInfo.ServerOffset = firstCandle.OpenTime.Offset;
}
writer.WriteInt(candles.Count());
var allowNonOrdered = metaInfo.Version >= MarketDataVersions.Version49;
var isUtc = metaInfo.Version >= MarketDataVersions.Version50;
var allowDiffOffsets = metaInfo.Version >= MarketDataVersions.Version53;
var useLevels = metaInfo.Version >= MarketDataVersions.Version54;
var bigRange = metaInfo.Version >= MarketDataVersions.Version57;
var isTickPrecision = bigRange;
var useLong = metaInfo.Version >= MarketDataVersions.Version58;
var buildFrom = metaInfo.Version >= MarketDataVersions.Version59;
foreach (var candle in candles)
{
if (candle.State == CandleStates.Active)
{
throw new ArgumentException(LocalizedStrings.CandleActiveNotSupport.Put(candle), nameof(candle));
}
writer.WriteVolume(candle.TotalVolume, metaInfo, SecurityId);
if (metaInfo.Version < MarketDataVersions.Version52)
{
writer.WriteVolume(candle.RelativeVolume ?? 0, metaInfo, SecurityId);
}
else
{
writer.Write(candle.RelativeVolume != null);
if (candle.RelativeVolume != null)
{
writer.WriteVolume(candle.RelativeVolume.Value, metaInfo, SecurityId);
}
}
if (metaInfo.Version < MarketDataVersions.Version56)
{
var prevPrice = metaInfo.LastPrice;
writer.WritePrice(candle.LowPrice, ref prevPrice, metaInfo, SecurityId);
metaInfo.LastPrice = prevPrice;
prevPrice = metaInfo.LastPrice;
writer.WritePrice(candle.OpenPrice, ref prevPrice, metaInfo, SecurityId);
prevPrice = metaInfo.LastPrice;
writer.WritePrice(candle.ClosePrice, ref prevPrice, metaInfo, SecurityId);
prevPrice = metaInfo.LastPrice;
writer.WritePrice(candle.HighPrice, ref prevPrice, metaInfo, SecurityId);
}
else
{
writer.WritePriceEx(candle.LowPrice, metaInfo, SecurityId, useLong);
if (candle.OpenPrice <= candle.ClosePrice)
{
writer.Write(true);
writer.WritePriceEx(candle.OpenPrice, metaInfo, SecurityId, useLong);
writer.WritePriceEx(candle.ClosePrice, metaInfo, SecurityId, useLong);
}
else
{
writer.Write(false);
writer.WritePriceEx(candle.ClosePrice, metaInfo, SecurityId, useLong);
writer.WritePriceEx(candle.OpenPrice, metaInfo, SecurityId, useLong);
}
writer.WritePriceEx(candle.HighPrice, metaInfo, SecurityId, useLong);
}
if (!candle.CloseTime.IsDefault() && candle.OpenTime > candle.CloseTime)
{
throw new ArgumentException(LocalizedStrings.MoreThanCloseTime.Put(candle.OpenTime, candle.CloseTime));
}
var lastOffset = metaInfo.LastServerOffset;
metaInfo.LastTime = writer.WriteTime(candle.OpenTime, metaInfo.LastTime, LocalizedStrings.Str998, allowNonOrdered, isUtc, metaInfo.ServerOffset, allowDiffOffsets, isTickPrecision, ref lastOffset);
metaInfo.LastServerOffset = lastOffset;
if (metaInfo.Version >= MarketDataVersions.Version46)
{
var isAll = !candle.HighTime.IsDefault() && !candle.LowTime.IsDefault();
DateTimeOffset first;
DateTimeOffset second;
writer.Write(isAll);
if (isAll)
{
var isOrdered = candle.HighTime <= candle.LowTime;
writer.Write(isOrdered);
first = isOrdered ? candle.HighTime : candle.LowTime;
second = isOrdered ? candle.LowTime : candle.HighTime;
}
else
{
writer.Write(!candle.HighTime.IsDefault());
writer.Write(!candle.LowTime.IsDefault());
first = candle.HighTime.IsDefault() ? candle.LowTime : candle.HighTime;
second = default;
}
if (!first.IsDefault())
{
if (first.Offset != lastOffset && !allowDiffOffsets)
{
throw new ArgumentException(LocalizedStrings.WrongTimeOffset.Put(first, lastOffset));
}
if (!candle.CloseTime.IsDefault() && first > candle.CloseTime)
{
throw new ArgumentException(LocalizedStrings.MoreThanCloseTime.Put(first, candle.CloseTime));
}
metaInfo.LastTime = writer.WriteTime(first, metaInfo.LastTime, LocalizedStrings.Str999, allowNonOrdered, isUtc, metaInfo.ServerOffset, allowDiffOffsets, isTickPrecision, ref lastOffset, bigRange);
}
if (!second.IsDefault())
{
if (second.Offset != lastOffset && !allowDiffOffsets)
{
throw new ArgumentException(LocalizedStrings.WrongTimeOffset.Put(second, lastOffset));
}
if (!candle.CloseTime.IsDefault() && second > candle.CloseTime)
{
throw new ArgumentException(LocalizedStrings.MoreThanCloseTime.Put(second, candle.CloseTime));
}
metaInfo.LastTime = writer.WriteTime(second, metaInfo.LastTime, LocalizedStrings.Str1000, allowNonOrdered, isUtc, metaInfo.ServerOffset, allowDiffOffsets, isTickPrecision, ref lastOffset, bigRange);
}
}
if (metaInfo.Version >= MarketDataVersions.Version47)
{
writer.Write(!candle.CloseTime.IsDefault());
if (!candle.CloseTime.IsDefault())
{
if (candle.CloseTime.Offset != lastOffset && !allowDiffOffsets)
{
throw new ArgumentException(LocalizedStrings.WrongTimeOffset.Put(candle.CloseTime, lastOffset));
}
metaInfo.LastTime = writer.WriteTime(candle.CloseTime, metaInfo.LastTime, LocalizedStrings.Str1001, allowNonOrdered, isUtc, metaInfo.ServerOffset, allowDiffOffsets, isTickPrecision, ref lastOffset, bigRange);
}
}
else
{
var time = writer.WriteTime(candle.CloseTime, metaInfo.LastTime, LocalizedStrings.Str1001, allowNonOrdered, isUtc, metaInfo.ServerOffset, allowDiffOffsets, false, ref lastOffset);
if (metaInfo.Version >= MarketDataVersions.Version41)
{
metaInfo.LastTime = time;
}
}
if (metaInfo.Version >= MarketDataVersions.Version46)
{
if (metaInfo.Version < MarketDataVersions.Version51)
{
writer.WriteVolume(candle.OpenVolume ?? 0m, metaInfo, SecurityId);
writer.WriteVolume(candle.HighVolume ?? 0m, metaInfo, SecurityId);
writer.WriteVolume(candle.LowVolume ?? 0m, metaInfo, SecurityId);
writer.WriteVolume(candle.CloseVolume ?? 0m, metaInfo, SecurityId);
}
else
{
if (candle.OpenVolume == null)
{
writer.Write(false);
}
else
{
writer.Write(true);
writer.WriteVolume(candle.OpenVolume.Value, metaInfo, SecurityId);
}
if (candle.HighVolume == null)
{
writer.Write(false);
}
else
{
writer.Write(true);
writer.WriteVolume(candle.HighVolume.Value, metaInfo, SecurityId);
}
if (candle.LowVolume == null)
{
writer.Write(false);
}
else
{
writer.Write(true);
writer.WriteVolume(candle.LowVolume.Value, metaInfo, SecurityId);
}
if (candle.CloseVolume == null)
{
writer.Write(false);
}
else
{
writer.Write(true);
writer.WriteVolume(candle.CloseVolume.Value, metaInfo, SecurityId);
}
}
}
writer.WriteInt((int)candle.State);
if (metaInfo.Version < MarketDataVersions.Version45)
{
continue;
}
var oi = candle.OpenInterest;
if (metaInfo.Version < MarketDataVersions.Version48)
{
writer.WriteVolume(oi ?? 0m, metaInfo, SecurityId);
}
else
{
writer.Write(oi != null);
if (oi != null)
{
writer.WriteVolume(oi.Value, metaInfo, SecurityId);
}
}
if (metaInfo.Version < MarketDataVersions.Version52)
{
continue;
}
writer.Write(candle.DownTicks != null);
if (candle.DownTicks != null)
{
writer.WriteInt(candle.DownTicks.Value);
}
writer.Write(candle.UpTicks != null);
if (candle.UpTicks != null)
{
writer.WriteInt(candle.UpTicks.Value);
}
writer.Write(candle.TotalTicks != null);
if (candle.TotalTicks != null)
{
writer.WriteInt(candle.TotalTicks.Value);
}
if (!useLevels)
{
continue;
}
var priceLevels = candle.PriceLevels;
writer.Write(priceLevels != null);
if (priceLevels != null)
{
priceLevels = priceLevels.ToArray();
writer.WriteInt(priceLevels.Count());
foreach (var level in priceLevels)
{
if (metaInfo.Version < MarketDataVersions.Version56)
{
var prevPrice = metaInfo.LastPrice;
writer.WritePrice(level.Price, ref prevPrice, metaInfo, SecurityId);
metaInfo.LastPrice = prevPrice;
}
else
{
writer.WritePriceEx(level.Price, metaInfo, SecurityId);
}
writer.WriteInt(level.BuyCount);
writer.WriteInt(level.SellCount);
writer.WriteVolume(level.BuyVolume, metaInfo, SecurityId);
writer.WriteVolume(level.SellVolume, metaInfo, SecurityId);
if (metaInfo.Version >= MarketDataVersions.Version55)
{
writer.WriteVolume(level.TotalVolume, metaInfo, SecurityId);
}
var volumes = level.BuyVolumes;
if (volumes == null)
{
writer.Write(false);
}
else
{
writer.Write(true);
volumes = volumes.ToArray();
writer.WriteInt(volumes.Count());
foreach (var volume in volumes)
{
writer.WriteVolume(volume, metaInfo, SecurityId);
}
}
volumes = level.SellVolumes;
if (volumes == null)
{
writer.Write(false);
}
else
{
writer.Write(true);
volumes = volumes.ToArray();
writer.WriteInt(volumes.Count());
foreach (var volume in volumes)
{
writer.WriteVolume(volume, metaInfo, SecurityId);
}
}
}
}
if (!buildFrom)
{
continue;
}
writer.WriteBuildFrom(candle.BuildFrom);
}
}