protected override void OnSave(BitArrayWriter writer, IEnumerable <ExecutionMessage> messages, TickMetaInfo metaInfo)
{
if (metaInfo.IsEmpty())
{
var first = messages.First();
metaInfo.FirstId = metaInfo.PrevId = first.TradeId ?? 0;
metaInfo.ServerOffset = first.ServerTime.Offset;
}
writer.WriteInt(messages.Count());
var allowNonOrdered = metaInfo.Version >= MarketDataVersions.Version48;
var isUtc = metaInfo.Version >= MarketDataVersions.Version50;
var allowDiffOffsets = metaInfo.Version >= MarketDataVersions.Version54;
var isTickPrecision = metaInfo.Version >= MarketDataVersions.Version55;
var useLong = metaInfo.Version >= MarketDataVersions.Version56;
foreach (var msg in messages)
{
if (msg.ExecutionType != ExecutionTypes.Tick)
{
throw new ArgumentOutOfRangeException(nameof(messages), msg.ExecutionType, LocalizedStrings.Str1695Params.Put(msg));
}
var tradeId = msg.TradeId ?? 0;
// сделки для индексов имеют нулевой номер
if (tradeId < 0)
{
throw new ArgumentOutOfRangeException(nameof(messages), tradeId, LocalizedStrings.Str1020);
}
// execution ticks (like option execution) may be a zero cost
// ticks for spreads may be a zero cost or less than zero
//if (msg.TradePrice < 0)
// throw new ArgumentOutOfRangeException(nameof(messages), msg.TradePrice, LocalizedStrings.Str1021Params.Put(msg.TradeId));
metaInfo.PrevId = writer.SerializeId(tradeId, metaInfo.PrevId);
// pyhta4og.
// http://stocksharp.com/forum/yaf_postsm6450_Oshibka-pri-importie-instrumientov-s-Finama.aspx#post6450
var volume = msg.TradeVolume;
if (metaInfo.Version < MarketDataVersions.Version53)
{
if (volume == null)
{
throw new ArgumentException(LocalizedStrings.Str1022Params.Put((object)msg.TradeId ?? msg.TradeStringId), nameof(messages));
}
if (volume < 0)
{
throw new ArgumentOutOfRangeException(nameof(messages), volume, LocalizedStrings.Str1022Params.Put(msg.TradeId));
}
writer.WriteVolume(volume.Value, metaInfo, SecurityId);
}
else
{
writer.Write(volume != null);
if (volume != null)
{
if (volume < 0)
{
throw new ArgumentOutOfRangeException(nameof(messages), volume, LocalizedStrings.Str1022Params.Put(msg.TradeId));
}
writer.WriteVolume(volume.Value, metaInfo, SecurityId);
}
}
writer.WritePriceEx(msg.GetTradePrice(), metaInfo, SecurityId, useLong);
writer.WriteSide(msg.OriginSide);
var lastOffset = metaInfo.LastServerOffset;
metaInfo.LastTime = writer.WriteTime(msg.ServerTime, metaInfo.LastTime, LocalizedStrings.Str985, allowNonOrdered, isUtc, metaInfo.ServerOffset, allowDiffOffsets, isTickPrecision, ref lastOffset);
metaInfo.LastServerOffset = lastOffset;
if (metaInfo.Version < MarketDataVersions.Version40)
{
continue;
}
if (metaInfo.Version < MarketDataVersions.Version47)
{
writer.WriteLong((msg.LocalTime - msg.ServerTime).Ticks);
}
else
{
var hasLocalTime = true;
if (metaInfo.Version >= MarketDataVersions.Version49)
{
hasLocalTime = msg.HasLocalTime(msg.ServerTime);
writer.Write(hasLocalTime);
}
if (hasLocalTime)
{
lastOffset = metaInfo.LastLocalOffset;
metaInfo.LastLocalTime = writer.WriteTime(msg.LocalTime, metaInfo.LastLocalTime, LocalizedStrings.Str1024, allowNonOrdered, isUtc, metaInfo.LocalOffset, allowDiffOffsets, isTickPrecision, ref lastOffset, true);
metaInfo.LastLocalOffset = lastOffset;
}
}
if (metaInfo.Version < MarketDataVersions.Version42)
{
continue;
}
if (metaInfo.Version >= MarketDataVersions.Version51)
{
writer.Write(msg.IsSystem != null);
if (msg.IsSystem != null)
{
writer.Write(msg.IsSystem.Value);
}
}
else
{
writer.Write(msg.IsSystem ?? true);
}
if (msg.IsSystem == false)
{
if (metaInfo.Version >= MarketDataVersions.Version51)
{
writer.WriteNullableInt(msg.TradeStatus);
}
else
{
writer.WriteInt(msg.TradeStatus ?? 0);
}
}
var oi = msg.OpenInterest;
if (metaInfo.Version < MarketDataVersions.Version46)
{
writer.WriteVolume(oi ?? 0m, metaInfo, SecurityId);
}
else
{
writer.Write(oi != null);
if (oi != null)
{
writer.WriteVolume(oi.Value, metaInfo, SecurityId);
}
}
if (metaInfo.Version < MarketDataVersions.Version45)
{
continue;
}
writer.Write(msg.IsUpTick != null);
if (msg.IsUpTick != null)
{
writer.Write(msg.IsUpTick.Value);
}
if (metaInfo.Version < MarketDataVersions.Version52)
{
continue;
}
writer.Write(msg.Currency != null);
if (msg.Currency != null)
{
writer.WriteInt((int)msg.Currency.Value);
}
}
}
protected override void OnSave(BitArrayWriter writer, IEnumerable <ExecutionMessage> messages, TradeMetaInfo metaInfo)
{
if (metaInfo.IsEmpty())
{
var first = messages.First();
metaInfo.FirstId = metaInfo.PrevId = first.TradeId;
metaInfo.ServerOffset = first.ServerTime.Offset;
}
writer.WriteInt(messages.Count());
var allowNonOrdered = metaInfo.Version >= MarketDataVersions.Version48;
var isUtc = metaInfo.Version >= MarketDataVersions.Version50;
foreach (var msg in messages)
{
if (msg.ExecutionType != ExecutionTypes.Tick)
{
throw new ArgumentOutOfRangeException("messages", msg.ExecutionType, LocalizedStrings.Str1019Params.Put(msg.TradeId));
}
// сделки для индексов имеют нулевой номер
if (msg.TradeId < 0)
{
throw new ArgumentOutOfRangeException("messages", msg.TradeId, LocalizedStrings.Str1020);
}
// execution ticks (like option execution) may be a zero cost
// ticks for spreads may be a zero cost or less than zero
//if (msg.TradePrice < 0)
// throw new ArgumentOutOfRangeException("messages", msg.TradePrice, LocalizedStrings.Str1021Params.Put(msg.TradeId));
// pyhta4og.
// http://stocksharp.com/forum/yaf_postsm6450_Oshibka-pri-importie-instrumientov-s-Finama.aspx#post6450
if (msg.Volume < 0)
{
throw new ArgumentOutOfRangeException("messages", msg.Volume, LocalizedStrings.Str1022Params.Put(msg.TradeId));
}
metaInfo.PrevId = writer.SerializeId(msg.TradeId, metaInfo.PrevId);
writer.WriteVolume(msg.Volume, metaInfo, SecurityId);
writer.WritePriceEx(msg.TradePrice, metaInfo, SecurityId);
writer.WriteSide(msg.OriginSide);
metaInfo.LastTime = writer.WriteTime(msg.ServerTime, metaInfo.LastTime, LocalizedStrings.Str1023, allowNonOrdered, isUtc, metaInfo.ServerOffset);
if (metaInfo.Version < MarketDataVersions.Version40)
{
continue;
}
if (metaInfo.Version < MarketDataVersions.Version47)
{
writer.WriteLong(SecurityId.GetLatency(msg.ServerTime, msg.LocalTime).Ticks);
}
else
{
var hasLocalTime = true;
if (metaInfo.Version >= MarketDataVersions.Version49)
{
hasLocalTime = !msg.LocalTime.IsDefault() && msg.LocalTime != msg.ServerTime;
writer.Write(hasLocalTime);
}
if (hasLocalTime)
{
metaInfo.LastLocalTime = writer.WriteTime(msg.LocalTime, metaInfo.LastLocalTime, LocalizedStrings.Str1024, allowNonOrdered, isUtc, metaInfo.LocalOffset);
}
}
if (metaInfo.Version < MarketDataVersions.Version42)
{
continue;
}
writer.Write(msg.IsSystem);
if (!msg.IsSystem)
{
writer.WriteInt(msg.TradeStatus);
}
var oi = msg.OpenInterest;
if (metaInfo.Version < MarketDataVersions.Version46)
{
writer.WriteVolume(oi ?? 0m, metaInfo, SecurityId);
}
else
{
writer.Write(oi != null);
if (oi != null)
{
writer.WriteVolume(oi.Value, metaInfo, SecurityId);
}
}
if (metaInfo.Version < MarketDataVersions.Version45)
{
continue;
}
writer.Write(msg.IsUpTick != null);
if (msg.IsUpTick != null)
{
writer.Write(msg.IsUpTick.Value);
}
}
}