/// <summary>
/// Отправить сообщение.
/// </summary>
/// <param name="message">Сообщение.</param>
protected override void OnSendInMessage(Message message)
{
switch (message.Type)
{
case MessageTypes.Reset:
{
_requestsType.Clear();
_secIds.Clear();
_candleParsers.Clear();
_newsIds.Clear();
_lookupResult.Clear();
_currSystemType = null;
if (_lookupFeed != null)
{
SafeDisconnectFeed(ref _lookupFeed);
}
if (_level1Feed != null)
{
SafeDisconnectFeed(ref _level1Feed);
}
if (_level2Feed != null)
{
SafeDisconnectFeed(ref _level2Feed);
}
if (_derivativeFeed != null)
{
SafeDisconnectFeed(ref _derivativeFeed);
}
SendOutMessage(new ResetMessage());
break;
}
case MessageTypes.Connect:
{
_isDownloadSecurityFromSite = IsDownloadSecurityFromSite;
_lookupFeed = CreateFeed(LookupAddress, "LookupFeed");
_level1Feed = CreateFeed(Level1Address, "Level1Feed");
_level2Feed = CreateFeed(Level2Address, "Level2Feed");
_derivativeFeed = CreateFeed(DerivativeAddress, "DerivativeFeed");
_level1Feed.SetLevel1FieldSet(new[]
{
Level1ColumnRegistry.Symbol,
Level1ColumnRegistry.ExchangeId,
Level1ColumnRegistry.LastTradeMarket,
Level1ColumnRegistry.BidMarket,
Level1ColumnRegistry.AskMarket
}
.Concat(Level1Columns)
.Select(c => c.Name)
.ToArray());
break;
}
case MessageTypes.Disconnect:
{
SafeDisconnectFeed(ref _lookupFeed);
SafeDisconnectFeed(ref _level1Feed);
SafeDisconnectFeed(ref _level2Feed);
SafeDisconnectFeed(ref _derivativeFeed);
//_isCommonLookupDone = null;
SendOutMessage(new DisconnectMessage());
break;
}
case MessageTypes.MarketData:
{
var mdMsg = (MarketDataMessage)message;
var from = mdMsg.From.ToLocalTime(TimeHelper.Est);
var to = mdMsg.To.ToLocalTime(TimeHelper.Est);
switch (mdMsg.DataType)
{
case MarketDataTypes.Level1:
{
if (mdMsg.To == DateTimeOffset.MaxValue)
{
if (mdMsg.IsSubscribe)
{
_level1Feed.SubscribeSymbol(mdMsg.SecurityId.SecurityCode);
}
else
{
_level1Feed.UnSubscribeSymbol(mdMsg.SecurityId.SecurityCode);
}
}
else
{
if (mdMsg.IsSubscribe)
{
_requestsType.Add(mdMsg.TransactionId, MessageTypes.Execution);
_secIds.Add(mdMsg.TransactionId, mdMsg.SecurityId);
if (mdMsg.Count != 0)
{
_lookupFeed.RequestTicks(mdMsg.TransactionId, mdMsg.SecurityId.SecurityCode, mdMsg.Count);
}
else
{
_lookupFeed.RequestTicks(mdMsg.TransactionId, mdMsg.SecurityId.SecurityCode, from, to);
}
}
}
break;
}
case MarketDataTypes.MarketDepth:
{
if (mdMsg.IsSubscribe)
{
_level2Feed.SubscribeSymbol(mdMsg.SecurityId.SecurityCode);
}
else
{
_level2Feed.UnSubscribeSymbol(mdMsg.SecurityId.SecurityCode);
}
break;
}
//case MarketDataTypes.Trades:
//{
// if (mdMsg.To == DateTime.MaxValue)
// {
// if (mdMsg.IsSubscribe)
// _level1Feed.SubscribeSymbol(mdMsg.SecurityId.SecurityCode);
// else
// _level1Feed.UnSubscribeSymbol(mdMsg.SecurityId.SecurityCode);
// }
// else
// {
// if (mdMsg.IsSubscribe)
// {
// _requestsType.Add(mdMsg.TransactionId, MessageTypes.Execution);
// _lookupFeed.RequestTrades(mdMsg.TransactionId, mdMsg.SecurityId.SecurityCode, mdMsg.From, mdMsg.To);
// }
// }
// break;
//}
case MarketDataTypes.News:
{
if (mdMsg.IsSubscribe)
{
if (mdMsg.NewsId.IsEmpty())
{
if (mdMsg.From.IsDefault())
{
_level1Feed.SubscribeNews();
}
else
{
_requestsType.Add(mdMsg.TransactionId, MessageTypes.News);
_lookupFeed.RequestNewsHeadlines(mdMsg.TransactionId, from);
}
}
else
{
var newsId = mdMsg.NewsId;
_newsIds.Add(mdMsg.TransactionId, newsId);
_requestsType.Add(mdMsg.TransactionId, ExtendedMessageTypes.NewsStory);
_lookupFeed.RequestNewsStory(mdMsg.TransactionId, newsId);
}
}
else
{
_level1Feed.UnSubscribeNews();
}
break;
}
case MarketDataTypes.CandleTimeFrame:
case MarketDataTypes.CandleTick:
case MarketDataTypes.CandleVolume:
case MarketDataTypes.CandleRange:
case MarketDataTypes.CandlePnF:
case MarketDataTypes.CandleRenko:
{
if (mdMsg.IsSubscribe)
{
// streaming
if (from == DateTimeOffset.MaxValue && mdMsg.Count == 0)
{
string strArg, intervalType;
GetCandleParams(mdMsg.DataType, mdMsg.Arg, out strArg, out intervalType);
_requestsType.Add(mdMsg.TransactionId, mdMsg.DataType.ToCandleMessageType());
_secIds.Add(mdMsg.TransactionId, mdMsg.SecurityId);
_candleParsers.Add(mdMsg.TransactionId, Tuple.Create(_candleStreamingParser, mdMsg.Arg));
_derivativeFeed.SubscribeCandles(mdMsg.SecurityId.SecurityCode, intervalType, strArg, from, mdMsg.TransactionId);
break;
}
if (mdMsg.Arg is TimeSpan)
{
var tf = (TimeSpan)mdMsg.Arg;
if (tf.Ticks == TimeHelper.TicksPerMonth)
{
_requestsType.Add(mdMsg.TransactionId, ExtendedMessageTypes.HistoryExtraDayCandle);
_secIds.Add(mdMsg.TransactionId, mdMsg.SecurityId);
_candleParsers.Add(mdMsg.TransactionId, Tuple.Create(_candleParser, mdMsg.Arg));
var count = mdMsg.Count;
if (count == 0)
{
count = ExchangeBoard.Associated.GetTimeFrameCount(new Range <DateTimeOffset>(mdMsg.From, mdMsg.To), tf);
}
_lookupFeed.RequestMonthlyCandles(mdMsg.TransactionId, mdMsg.SecurityId.SecurityCode, count);
}
else if (tf == TimeSpan.FromDays(7))
{
_requestsType.Add(mdMsg.TransactionId, ExtendedMessageTypes.HistoryExtraDayCandle);
_secIds.Add(mdMsg.TransactionId, mdMsg.SecurityId);
_candleParsers.Add(mdMsg.TransactionId, Tuple.Create(_candleParser, mdMsg.Arg));
var count = mdMsg.Count;
if (count == 0)
{
count = ExchangeBoard.Associated.GetTimeFrameCount(new Range <DateTimeOffset>(mdMsg.From, mdMsg.To), tf);
}
_lookupFeed.RequestWeeklyCandles(mdMsg.TransactionId, mdMsg.SecurityId.SecurityCode, count);
}
else if (tf == TimeSpan.FromDays(1))
{
_requestsType.Add(mdMsg.TransactionId, ExtendedMessageTypes.HistoryExtraDayCandle);
_secIds.Add(mdMsg.TransactionId, mdMsg.SecurityId);
_candleParsers.Add(mdMsg.TransactionId, Tuple.Create(_candleParser, mdMsg.Arg));
if (mdMsg.Count != 0)
{
_lookupFeed.RequestDailyCandles(mdMsg.TransactionId, mdMsg.SecurityId.SecurityCode, mdMsg.Count);
}
else
{
_lookupFeed.RequestDailyCandles(mdMsg.TransactionId, mdMsg.SecurityId.SecurityCode, from, to);
}
}
else if (tf < TimeSpan.FromDays(1))
{
string strArg, intervalType;
GetCandleParams(mdMsg.DataType, mdMsg.Arg, out strArg, out intervalType);
_requestsType.Add(mdMsg.TransactionId, mdMsg.DataType.ToCandleMessageType());
_secIds.Add(mdMsg.TransactionId, mdMsg.SecurityId);
_candleParsers.Add(mdMsg.TransactionId, Tuple.Create(_candleIntradayParser, mdMsg.Arg));
//var interval = tf.TotalSeconds.To<int>();
if (mdMsg.Count != 0)
{
_lookupFeed.RequestCandles(mdMsg.TransactionId, mdMsg.SecurityId.SecurityCode, intervalType, strArg, mdMsg.Count);
}
else
{
_lookupFeed.RequestCandles(mdMsg.TransactionId, mdMsg.SecurityId.SecurityCode, intervalType, strArg, from, to);
}
}
else
{
throw new InvalidOperationException(LocalizedStrings.Str2139Params.Put(tf));
}
}
else
{
string strArg, intervalType;
GetCandleParams(mdMsg.DataType, mdMsg.Arg, out strArg, out intervalType);
if (mdMsg.Count != 0)
{
_lookupFeed.RequestCandles(mdMsg.TransactionId, mdMsg.SecurityId.SecurityCode, intervalType, strArg, mdMsg.Count);
}
else
{
_lookupFeed.RequestCandles(mdMsg.TransactionId, mdMsg.SecurityId.SecurityCode, intervalType, strArg, from, to);
}
}
}
else
{
_derivativeFeed.UnSubscribeCandles(mdMsg.SecurityId.SecurityCode, mdMsg.OriginalTransactionId);
}
break;
}
default:
{
SendOutMarketDataNotSupported(mdMsg.TransactionId);
return;
}
}
var reply = (MarketDataMessage)message.Clone();
reply.OriginalTransactionId = mdMsg.TransactionId;
SendOutMessage(reply);
break;
}
case MessageTypes.SecurityLookup:
{
var lookupMsg = (SecurityLookupMessage)message;
var securityTypes = new HashSet <SecurityTypes>();
if (lookupMsg.SecurityTypes != null)
{
securityTypes.AddRange(lookupMsg.SecurityTypes);
}
else if (lookupMsg.SecurityType != null)
{
securityTypes.Add(lookupMsg.SecurityType.Value);
}
if (_isDownloadSecurityFromSite)
{
_isDownloadSecurityFromSite = false;
using (var zip = new ZipArchive(
SecuritiesFile.IsEmpty()
? IQFeedHelper.DownloadSymbols().To <Stream>()
: File.OpenRead(SecuritiesFile)))
{
var entry = zip.GetEntry("mktsymbols_v2.txt");
using (var reader = entry.Open())
{
reader
.ReadLines()
.Skip(1)
.Select(line => line.Split('\t'))
.ForEach(parts =>
{
if (parts.Length == 9)
{
// mika 2014.09.16
// below line has incorrect tabulation
// CS.17.CB CREDIT SUISSE NEW YORK 1.375% 05/26/17 NYSE NYSE BONDS
var list = parts.ToList();
list.RemoveAt(2);
parts = list.ToArray();
}
var secType = parts[4].ToSecurityType();
if (secType == null)
{
this.AddWarningLog(LocalizedStrings.Str2140Params.Put(parts[4]));
}
if (secType != null && !securityTypes.Contains(secType.Value))
{
return;
}
var secCode = parts[0];
var secName = parts[0];
var boardCode = parts[2];
SendOutMessage(new BoardMessage
{
Code = boardCode,
ExchangeCode = boardCode
});
SendOutMessage(new SecurityMessage
{
SecurityId = new SecurityId
{
SecurityCode = secCode,
BoardCode = boardCode
},
Name = secName,
SecurityType = secType,
OriginalTransactionId = lookupMsg.TransactionId
});
});
}
}
break;
}
var requestedTypes = _securityTypes
.Where(t => t.Value != null && securityTypes.Contains(t.Value.Value))
.Select(i => i.Key.To <string>())
.ToArray();
_requestsType.Add(lookupMsg.TransactionId, MessageTypes.Security);
_lookupResult.Add(lookupMsg.TransactionId, lookupMsg);
var code = lookupMsg.SecurityId.SecurityCode;
if (code.IsEmpty())
{
code = "*";
}
_lookupFeed.RequestSecurities(lookupMsg.TransactionId, IQFeedSearchField.Symbol, code, IQFeedFilterType.SecurityType, requestedTypes);
break;
}
}
}
