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);
}
}