public bool UpdateFromSecurityTypeMsg(IQMessageArgs args)
{
var fields = args.Message.Split(',');
if (fields.Length >= 3)
{
int id;
if (!int.TryParse(fields[0], out id))
{
return(false);
}
SecurityType type;
if (!Enum.TryParse(fields[1], true, out type))
{
return(false);
}
if (!TryAdd(type, id))
{
return(false);
}
return(Count >= ExpectedCount);
}
return(false);
}
// Result Format for HIX, HID, and HIT requests:
//
// +---------------+---------------------+
// | Field | Format |
// +---------------+---------------------+
// | RequestID | Text |
// | Timestamp | CCYY-MM-DD HH:MM:SS |
// | High | decimal |
// | Low | decimal |
// | Open | decimal |
// | Close | decimal |
// | Total Volume | integer |
// | Period Volume | integer |
// +---------------+---------------------+
//
//
// Result Format for HDX, HDT, HWX, and HMX requests:
//
// +---------------+---------------------+
// | Field | Format |
// +---------------+---------------------+
// | RequestID | Text |
// | Timestamp | CCYY-MM-DD HH:MM:SS |
// | High | decimal |
// | Low | decimal |
// | Open | decimal |
// | Close | decimal |
// | Period Volume | integer |
// | Open Interest | integer |
// +---------------+---------------------+
public static void Parse(IQMessageArgs args, HistoryProviderSpan span, out HistoryMsg msg)
{
msg = new HistoryMsg();
var isHitRequest = HistoryProviderSpan.Day > span;
var fields = args.Message.Split(',');
msg.Time = IQFeedParser.ParseDateTime(fields[FIELD_TIME], "yyyy-MM-dd HH:mm:ss", "yyyy-MM-dd");
msg.Time = IQFeedParser.FromIQFeedTime(msg.Time) - span.ToTimeSpan(); // Переводим в нашу временную зону и сдвигаем все свечи на на величину периода, чтобы свечи были как везде
msg.High = IQFeedParser.ParseDecimal(fields[FIELD_HIGH]);
msg.Low = IQFeedParser.ParseDecimal(fields[FIELD_LOW]);
msg.Open = IQFeedParser.ParseDecimal(fields[FIELD_OPEN]);
msg.Close = IQFeedParser.ParseDecimal(fields[FIELD_CLOSE]);
if (isHitRequest)
{
msg.Volume = IQFeedParser.ParseInt(fields[FIELD_VOLUME]);
msg.OpenInterest = IQFeedParser.ParseInt(fields[FIELD_OPEN_INTEREST]);
}
else
{
msg.Volume = IQFeedParser.ParseInt(fields[FIELD_VOLUME_HIT]);
msg.OpenInterest = 0;
}
}
public void UpdateFromL1SystemMsg(IQMessageArgs args)
{
var fields = args.Message.Split(',');
for (var i = 1; i < fields.Length; i++)
{
this[fields[i]] = i - 1;
}
}
public static void Parse(IQMessageArgs args, out L1FundamentalMsg msg)
{
msg = new L1FundamentalMsg();
var fields = args.Message.Split(',');
msg.Symbol = fields[FIELD_SYMBOL];
msg.DecimalPlaces = IQFeedParser.ParseUint(fields[FIELD_DECIMAL_PLACES]);
msg.PriceStep = (decimal)(1.0 / (Math.Pow(10, msg.DecimalPlaces)));
msg.PriceStepValue = null; // TODO
}
public static bool TryParse(IQMessageArgs args, L1FieldIndex index, out L1UpdateMsg msg)
{
string rawValue;
msg = new L1UpdateMsg();
var fields = args.Message.Split(',');
#region Symbol
if (!index.TryGetField(fields, FIELD_SYMBOL, out msg.Symbol))
{
return(false);
}
#endregion
#region BestBidPrice
if (!index.TryGetField(fields, FIELD_BID, out rawValue))
{
return(false);
}
msg.BestBidPrice = IQFeedParser.ParseDecimal(rawValue);
#endregion
#region BestOfferPrice
if (!index.TryGetField(fields, FIELD_ASK, out rawValue))
{
return(false);
}
msg.BestOfferPrice = IQFeedParser.ParseDecimal(rawValue);
#endregion
#region BestBidQuantity
if (!index.TryGetField(fields, FIELD_BID_SIZE, out rawValue))
{
return(false);
}
msg.BestBidQuantity = IQFeedParser.ParseLong(rawValue);
#endregion
#region BestOfferQuantity
if (!index.TryGetField(fields, FIELD_ASK_SIZE, out rawValue))
{
return(false);
}
msg.BestOfferQuantity = IQFeedParser.ParseLong(rawValue);
#endregion
#region LastPrice
if (!index.TryGetField(fields, FIELD_LAST, out rawValue))
{
return(false);
}
msg.LastPrice = IQFeedParser.ParseDecimal(rawValue);
#endregion
//msg.LastChangeTime = fields[16];
#region Settlement
if (!index.TryGetField(fields, FIELD_SETTLE, out rawValue))
{
return(false);
}
msg.Settlement = IQFeedParser.ParseDecimal(rawValue);
#endregion
#region PreviousSettlement
if (!index.TryGetField(fields, FIELD_EXTENDED_TRADE, out rawValue))
{
return(false);
}
var extendedTrade = IQFeedParser.ParseDecimal(rawValue);
if (!index.TryGetField(fields, FIELD_EXTENDED_TRADING_CHANGE, out rawValue))
{
return(false);
}
var extendedTradingChange = IQFeedParser.ParseDecimal(rawValue);
// IQFeed API не выставляет наружу PreviousSettlement, но в документации есть два интересных поля:
// | 37 | Extended Trading Change | float | IQFeed 4.9 | Extended Trade (field 76) minus Yesterday's close | Calculated by IQConnect.exe |
// | 76 | Extended Trade | float | IQFeed 5.0 | Price of the most recent extended trade (last qualified trades + Form T trades). | Provided by the exchange or 3rd party data provider |
// Зная эти два поля, можно посчитать Yesterday's close, худо-бедно сойдет
msg.PreviousSettlement = extendedTrade - extendedTradingChange;
#endregion
//msg.BottomPriceLimit
//msg.TopPriceLimit
//msg.Vola = ParseDecimal(fields[43]) * 100;
//msg.Go
//msg.LotSize
//msg.PremiumStyle
//msg.TheorPrice
return(true);
}
