// Three possible outcomes:
// - Result is not null. That's success. In this case error is guaranteed to be null.
// - Result is null, error is null. It means the entry isn't a trade. Not an error.
// - Result is null, error is not null. That's an error.
static MarketTrade MakeTrade(DateTime msgTime, Mantle.Fix44.MDEntry entry, out string error)
{
var res = new MarketTrade();
error = null;
if (!entry.MDEntryType.HasValue)
{
error = "Missing MDEntryType field";
return(null);
}
if (entry.MDEntryType.Value != '2')
{
return(null); // No error.
}
if (!entry.MDEntryPx.HasValue)
{
error = "Missing MDEntryPx field";
return(null);
}
res.Price = entry.MDEntryPx.Value;
if (!entry.MDEntrySize.HasValue)
{
error = "Missing MDEntrySize field";
return(null);
}
res.Quantity = entry.MDEntrySize.Value;
if (entry.Side.HasValue)
{
if (entry.Side.Value == '1')
{
res.Side = Side.Buy;
}
else if (entry.Side.Value == '2')
{
res.Side = Side.Sell;
}
else
{
_log.Warn("Unknown value of Side field: {0}", entry.Side.Value);
}
}
if (entry.MDEntryTime.HasValue)
{
// Huobi sends MDEntryTime with every trade report but this field contains only
// time without the date. We combine it with OrigTime or SendingTime (whichever is present)
// to get a full timestamp.
res.Timestamp = Combine(msgTime, entry.MDEntryTime.Value);
}
return(res);
}
// Three possible outcomes:
// - Result is not null. That's success. In this case error is guaranteed to be null.
// - Result is null, error is null. It means the entry isn't an order. Not an error.
// - Result is null, error is not null. That's an error.
static MarketOrder MakeOrder(Mantle.Fix44.MDEntry entry, out string error)
{
var res = new MarketOrder();
error = null;
if (!entry.MDEntryType.HasValue)
{
error = "Missing MDEntryType field";
return(null);
}
if (entry.MDEntryType.Value == '0')
{
res.Side = Side.Buy;
}
else if (entry.MDEntryType.Value == '1')
{
res.Side = Side.Sell;
}
else
{
return(null); // No error.
}
if (!entry.MDEntryPx.HasValue)
{
error = "Missing MDEntryPx field";
return(null);
}
res.Price = entry.MDEntryPx.Value;
if (!entry.MDEntrySize.HasValue)
{
error = "Missing MDEntrySize field";
return(null);
}
res.Quantity = entry.MDEntrySize.Value;
return(res);
}
