/// <inheritdoc />
protected override Level1ChangeMessage Read(FastCsvReader reader, IMarketDataMetaInfo metaInfo)
{
var level1 = new Level1ChangeMessage
{
SecurityId = SecurityId,
ServerTime = reader.ReadTime(metaInfo.Date),
BuildFrom = reader.ReadBuildFrom(),
SeqNum = reader.ReadNullableLong() ?? 0L,
};
reader.Skip(_reserved.Length);
var count = reader.ReadInt();
foreach (var pair in _level1Fields.Take(count))
{
// backward compatibility
if (reader.ColumnCurr == reader.ColumnCount)
{
break;
}
var field = pair.Key;
if (pair.Value == typeof(DateTimeOffset))
{
var dtStr = reader.ReadString();
if (dtStr != null)
{
level1.Changes.Add(field, (dtStr.ToDateTime() + reader.ReadString().ToTimeMls()).ToDateTimeOffset(TimeSpan.Parse(reader.ReadString().Remove("+"))));
}
else
{
reader.Skip(2);
}
}
else if (pair.Value == typeof(int))
{
var value = reader.ReadNullableInt();
if (value != null)
{
level1.Changes.Add(field, value.Value);
}
}
else if (pair.Value == typeof(long))
{
var value = reader.ReadNullableLong();
if (value != null)
{
level1.Changes.Add(field, value.Value);
}
}
else if (pair.Value == typeof(bool))
{
var value = reader.ReadNullableBool();
if (value != null)
{
level1.Changes.Add(field, value.Value);
}
}
else if (pair.Value == typeof(SecurityStates))
{
var value = reader.ReadNullableEnum <SecurityStates>();
if (value != null)
{
level1.Changes.Add(field, value.Value);
}
}
else if (pair.Value == typeof(Sides))
{
var value = reader.ReadNullableEnum <Sides>();
if (value != null)
{
level1.Changes.Add(field, value.Value);
}
}
else
{
var value = reader.ReadNullableDecimal();
if (value != null)
{
level1.Changes.Add(field, value.Value);
}
}
}
return(level1);
}
/// <inheritdoc />
protected override ExecutionMessage Read(FastCsvReader reader, IMarketDataMetaInfo metaInfo)
{
var msg = new ExecutionMessage
{
SecurityId = SecurityId,
ExecutionType = ExecutionTypes.Transaction,
ServerTime = reader.ReadTime(metaInfo.Date),
TransactionId = reader.ReadLong(),
OriginalTransactionId = reader.ReadLong(),
OrderId = reader.ReadNullableLong(),
OrderStringId = reader.ReadString(),
OrderBoardId = reader.ReadString(),
UserOrderId = reader.ReadString(),
OrderPrice = reader.ReadDecimal(),
OrderVolume = reader.ReadNullableDecimal(),
Balance = reader.ReadNullableDecimal(),
VisibleVolume = reader.ReadNullableDecimal(),
Side = reader.ReadEnum <Sides>(),
OriginSide = reader.ReadNullableEnum <Sides>(),
OrderState = reader.ReadNullableEnum <OrderStates>(),
OrderType = reader.ReadNullableEnum <OrderTypes>(),
TimeInForce = reader.ReadNullableEnum <TimeInForce>(),
TradeId = reader.ReadNullableLong(),
TradeStringId = reader.ReadString(),
TradePrice = reader.ReadNullableDecimal(),
TradeVolume = reader.ReadNullableDecimal(),
PortfolioName = reader.ReadString(),
ClientCode = reader.ReadString(),
BrokerCode = reader.ReadString(),
DepoName = reader.ReadString(),
IsSystem = reader.ReadNullableBool(),
HasOrderInfo = reader.ReadBool(),
HasTradeInfo = reader.ReadBool(),
Commission = reader.ReadNullableDecimal(),
Currency = reader.ReadNullableEnum <CurrencyTypes>(),
Comment = reader.ReadString(),
SystemComment = reader.ReadString(),
//DerivedOrderId = reader.ReadNullableLong(),
//DerivedOrderStringId = reader.ReadString(),
};
reader.ReadNullableLong();
reader.ReadString();
msg.IsUpTick = reader.ReadNullableBool();
/*msg.IsCancellation = */ reader.Skip();
msg.OpenInterest = reader.ReadNullableDecimal();
msg.PnL = reader.ReadNullableDecimal();
msg.Position = reader.ReadNullableDecimal();
msg.Slippage = reader.ReadNullableDecimal();
msg.TradeStatus = reader.ReadNullableInt();
msg.OrderStatus = reader.ReadNullableLong();
msg.Latency = reader.ReadNullableLong().To <TimeSpan?>();
var error = reader.ReadString();
if (!error.IsEmpty())
{
msg.Error = new InvalidOperationException(error);
}
var dtStr = reader.ReadString();
if (dtStr != null)
{
msg.ExpiryDate = (dtStr.ToDateTime() + reader.ReadString().ToTimeMls()).ToDateTimeOffset(TimeSpan.Parse(reader.ReadString().Remove("+")));
}
else
{
reader.Skip(2);
}
msg.LocalTime = reader.ReadTime(metaInfo.Date);
msg.IsMarketMaker = reader.ReadNullableBool();
if ((reader.ColumnCurr + 1) < reader.ColumnCount)
{
msg.CommissionCurrency = reader.ReadString();
}
if ((reader.ColumnCurr + 1) < reader.ColumnCount)
{
msg.IsMargin = reader.ReadNullableBool();
msg.IsManual = reader.ReadNullableBool();
}
if ((reader.ColumnCurr + 1) < reader.ColumnCount)
{
msg.MinVolume = reader.ReadNullableDecimal();
msg.PositionEffect = reader.ReadNullableEnum <OrderPositionEffects>();
msg.PostOnly = reader.ReadNullableBool();
msg.Initiator = reader.ReadNullableBool();
}
if ((reader.ColumnCurr + 1) < reader.ColumnCount)
{
msg.SeqNum = reader.ReadLong();
msg.StrategyId = reader.ReadString();
}
if ((reader.ColumnCurr + 1) < reader.ColumnCount)
{
msg.BuildFrom = reader.ReadBuildFrom();
}
if ((reader.ColumnCurr + 1) < reader.ColumnCount)
{
msg.Leverage = reader.ReadInt();
}
return(msg);
}
/// <inheritdoc />
protected override PositionChangeMessage Read(FastCsvReader reader, IMarketDataMetaInfo metaInfo)
{
var posMsg = new PositionChangeMessage
{
SecurityId = SecurityId,
ServerTime = reader.ReadTime(metaInfo.Date),
PortfolioName = reader.ReadString(),
ClientCode = reader.ReadString(),
DepoName = reader.ReadString(),
LimitType = reader.ReadNullableEnum <TPlusLimits>(),
Description = reader.ReadString(),
StrategyId = reader.ReadString(),
Side = reader.ReadNullableEnum <Sides>(),
BuildFrom = reader.ReadBuildFrom(),
};
reader.Skip(_reserved.Length);
var count = reader.ReadInt();
foreach (var type in _types.Take(count))
{
switch (type)
{
case PositionChangeTypes.Currency:
{
var currency = reader.ReadNullableEnum <CurrencyTypes>();
if (currency != null)
{
posMsg.Changes.Add(type, currency);
}
break;
}
case PositionChangeTypes.State:
{
var state = reader.ReadNullableEnum <PortfolioStates>();
if (state != null)
{
posMsg.Changes.Add(type, state);
}
break;
}
case PositionChangeTypes.ExpirationDate:
{
var dtStr = reader.ReadString();
if (dtStr != null)
{
posMsg.Changes.Add(type, (dtStr.ToDateTime() + reader.ReadString().ToTimeMls()).ToDateTimeOffset(TimeSpan.Parse(reader.ReadString().Remove("+"))));
}
else
{
reader.Skip(2);
}
break;
}
default:
{
var value = reader.ReadNullableDecimal();
if (value != null)
{
posMsg.Changes.Add(type, value);
}
break;
}
}
}
return(posMsg);
}
public static DataType ReadBuildFrom(this FastCsvReader reader)
{
if (reader is null)
{
throw new ArgumentNullException(nameof(reader));
}
var str = reader.ReadString();
if (str.IsEmpty())
{
reader.Skip(3);
return(null);
}
return(str.To <int>().ToDataType(reader.ReadLong(), reader.ReadDecimal(), reader.ReadInt()));
}