private static Level1ChangeMessage ToLevel2(string value)
{
var parts = value.SplitByComma();
var isBidValid = parts[10] == "T";
var isAskValid = parts[11] == "T";
if (!isBidValid && !isAskValid)
{
return(null);
}
var date = parts[7].ToDateTime("yyyy-MM-dd");
var l1Msg = new Level1ChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = parts[0],
BoardCode = parts[1]
},
};
// http://www.iqfeed.net/dev/api/docs/ConditionCodes.cfm
l1Msg.Add(Level1Fields.IsSystem, parts[8] == "52");
if (isAskValid)
{
l1Msg.ServerTime = date.Add(parts[9].To <TimeSpan>()).ApplyTimeZone(TimeHelper.Est);
l1Msg
.TryAdd(Level1Fields.BestAskPrice, parts[3].To <decimal>())
.TryAdd(Level1Fields.BestAskVolume, parts[5].To <decimal>())
.Add(Level1Fields.BestAskTime, l1Msg.ServerTime);
}
if (isBidValid)
{
var bidTime = date.Add(parts[6].To <TimeSpan>()).ApplyTimeZone(TimeHelper.Est);
if (bidTime > l1Msg.ServerTime)
{
l1Msg.ServerTime = bidTime;
}
l1Msg
.TryAdd(Level1Fields.BestBidPrice, parts[2].To <decimal>())
.TryAdd(Level1Fields.BestBidVolume, parts[4].To <decimal>())
.Add(Level1Fields.BestBidTime, bidTime);
}
return(l1Msg);
}
private void OnSecInfoResponse(SecInfoResponse response)
{
var securityId = new SecurityId
{
Native = response.SecId,
SecurityCode = response.SecCode,
BoardCode = _boards[response.Market],
};
SendOutMessage(new SecurityMessage
{
SecurityId = securityId,
ExpiryDate = response.MatDate == null ? (DateTimeOffset?)null : response.MatDate.Value.ApplyTimeZone(TimeHelper.Moscow),
OptionType = response.PutCall == null ? (OptionTypes?)null : response.PutCall.Value.FromTransaq(),
});
var l1Msg = new Level1ChangeMessage
{
SecurityId = new SecurityId {
Native = response.SecId
},
ServerTime = SessionHolder.CurrentTime.Convert(TimeHelper.Moscow),
};
l1Msg.TryAdd(Level1Fields.MinPrice, response.MinPrice);
l1Msg.TryAdd(Level1Fields.MaxPrice, response.MaxPrice);
var marginBuy = response.BuyDeposit;
if (marginBuy == null || marginBuy == 0m)
{
marginBuy = response.BgoBuy;
}
var marginSell = response.SellDeposit;
if (marginSell == null || marginSell == 0m)
{
marginSell = response.BgoC;
}
l1Msg.TryAdd(Level1Fields.MarginBuy, marginBuy);
l1Msg.TryAdd(Level1Fields.MarginSell, marginSell);
SendOutMessage(l1Msg);
}
private void FlushQuotes(SecurityId secId)
{
var quotes = _quotes.TryGetValue(secId);
if (quotes == null)
{
return;
}
_quotes.Remove(secId);
foreach (var pair in quotes.CachedPairs)
{
var message = new Level1ChangeMessage
{
SecurityId = secId,
ServerTime = pair.Key
};
var bid = pair.Value.First;
if (bid != null)
{
message
.TryAdd(Level1Fields.BestBidPrice, bid.Price.ToDecimal())
.TryAdd(Level1Fields.BestBidVolume, (decimal)bid.Size);
}
var ask = pair.Value.Second;
if (ask != null)
{
message
.TryAdd(Level1Fields.BestAskPrice, ask.Price.ToDecimal())
.TryAdd(Level1Fields.BestAskVolume, (decimal)ask.Size);
}
SendOutMessage(message);
}
}
private void EmulationConnectorOnNewSecurity(Security security)
{
var level1Info = new Level1ChangeMessage
{
SecurityId = security.ToSecurityId(),
ServerTime = EmulationSettings.StartTime
};
if (security.PriceStep != null)
{
level1Info.TryAdd(Level1Fields.PriceStep, security.PriceStep.Value);
}
if (security.StepPrice != null)
{
level1Info.TryAdd(Level1Fields.StepPrice, security.StepPrice.Value);
}
level1Info.TryAdd(Level1Fields.MinPrice, security.MinPrice ?? 1m);
level1Info.TryAdd(Level1Fields.MaxPrice, security.MaxPrice ?? 1000000m);
if (security.MarginBuy != null)
{
level1Info.TryAdd(Level1Fields.MarginBuy, security.MarginBuy.Value);
}
if (security.MarginSell != null)
{
level1Info.TryAdd(Level1Fields.MarginSell, security.MarginSell.Value);
}
// fill level1 values
EmulationConnector.SendInMessage(level1Info);
}
private void SessionOnStiGreeksUpdate(ref structSTIGreeksUpdate structGreeksUpdate)
{
var message = new Level1ChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = structGreeksUpdate.bstrSymbol,
BoardCode = AssociatedBoardCode,
},
ServerTime = CurrentTime,
};
message.TryAdd(Level1Fields.Delta, (decimal)structGreeksUpdate.fDelta);
message.TryAdd(Level1Fields.Gamma, (decimal)structGreeksUpdate.fGamma);
message.TryAdd(Level1Fields.Theta, (decimal)structGreeksUpdate.fTheta);
message.TryAdd(Level1Fields.Vega, (decimal)structGreeksUpdate.fVega);
message.TryAdd(Level1Fields.Rho, (decimal)structGreeksUpdate.fRho);
message.TryAdd(Level1Fields.TheorPrice, (decimal)structGreeksUpdate.fTheoPrice);
message.TryAdd(Level1Fields.ImpliedVolatility, (decimal)structGreeksUpdate.fImpVol);
SendOutMessage(message);
}
private void OnQuotationsResponse(QuotationsResponse response)
{
foreach (var quote in response.Quotations)
{
var message = new Level1ChangeMessage
{
SecurityId = new SecurityId {
Native = quote.SecId
},
ServerTime = SessionHolder.CurrentTime.Convert(TimeHelper.Moscow),
};
message.TryAdd(Level1Fields.AccruedCouponIncome, quote.AccruedIntValue);
message.TryAdd(Level1Fields.OpenPrice, quote.Open);
message.TryAdd(Level1Fields.HighPrice, quote.High);
message.TryAdd(Level1Fields.LowPrice, quote.Low);
message.TryAdd(Level1Fields.ClosePrice, quote.ClosePrice);
message.TryAdd(Level1Fields.BidsCount, quote.BidsCount);
message.TryAdd(Level1Fields.BidsVolume, (decimal?)quote.BidsVolume);
message.TryAdd(Level1Fields.AsksCount, quote.AsksCount);
message.TryAdd(Level1Fields.AsksVolume, (decimal?)quote.AsksVolume);
message.TryAdd(Level1Fields.HighBidPrice, quote.HighBid);
message.TryAdd(Level1Fields.LowAskPrice, quote.LowAsk);
message.TryAdd(Level1Fields.Yield, quote.Yield);
message.TryAdd(Level1Fields.MarginBuy, quote.BuyDeposit);
message.TryAdd(Level1Fields.MarginSell, quote.SellDeposit);
message.TryAdd(Level1Fields.HistoricalVolatility, quote.Volatility);
message.TryAdd(Level1Fields.TheorPrice, quote.TheoreticalPrice);
message.TryAdd(Level1Fields.Change, quote.Change);
message.TryAdd(Level1Fields.Volume, (decimal?)quote.VolToday);
message.TryAdd(Level1Fields.StepPrice, quote.PointCost);
message.TryAdd(Level1Fields.OpenInterest, (decimal?)quote.OpenInterest);
message.TryAdd(Level1Fields.TradesCount, quote.TradesCount);
if (quote.Status != null)
{
message.Add(Level1Fields.State, quote.Status.Value.FromTransaq());
}
// Transaq передает только изменения (например, передать только цену сделки, если объем при этом не изменился)
message.TryAdd(Level1Fields.LastTradePrice, quote.LastTradePrice);
message.TryAdd(Level1Fields.LastTradeVolume, (decimal?)quote.LastTradeVolume);
if (quote.LastTradeTime != null)
{
message.Add(Level1Fields.LastTradeTime, quote.LastTradeTime.Value.ApplyTimeZone(TimeHelper.Moscow));
}
message.TryAdd(Level1Fields.BestBidPrice, quote.BestBidPrice);
message.TryAdd(Level1Fields.BestBidVolume, (decimal?)quote.BestBidVolume);
message.TryAdd(Level1Fields.BestAskPrice, quote.BestAskPrice);
message.TryAdd(Level1Fields.BestAskVolume, (decimal?)quote.BestAskVolume);
SendOutMessage(message);
}
}
private void OnProcessLevel1(string[] data)
{
var f = Wrapper.FieldsLevel1;
foreach (var row in data)
{
var cols = row.ToColumns();
var paperNo = f.PaperNo.GetValue(cols);
var secId = new SecurityId {
Native = paperNo
};
var l1Msg = new Level1ChangeMessage
{
SecurityId = secId,
ServerTime = (f.LastUpdateDate.GetValue(cols).Date + f.LastUpdateTime.GetValue(cols).TimeOfDay).ApplyTimeZone(TimeHelper.Moscow)
};
l1Msg.Add(Level1Fields.State, f.TradingStatus.GetValue(cols));
l1Msg.TryAdd(Level1Fields.MarginBuy, f.GoBuy.GetValue(cols));
l1Msg.TryAdd(Level1Fields.MarginSell, f.GoSell.GetValue(cols));
l1Msg.TryAdd(Level1Fields.OpenInterest, (decimal)f.OpenPosQty.GetValue(cols));
var minPrice = f.MinDeal.GetValue(cols);
var maxPrice = f.MaxDeal.GetValue(cols);
l1Msg.TryAdd(Level1Fields.OpenPrice, f.OpenPrice.GetValue(cols));
l1Msg.TryAdd(Level1Fields.ClosePrice, f.ClosePrice.GetValue(cols));
l1Msg.TryAdd(Level1Fields.HighPrice, maxPrice);
l1Msg.TryAdd(Level1Fields.LowPrice, minPrice);
l1Msg.TryAdd(Level1Fields.BestBidPrice, f.Buy.GetValue(cols));
l1Msg.TryAdd(Level1Fields.BestBidVolume, (decimal)f.BuyQty.GetValue(cols));
l1Msg.TryAdd(Level1Fields.BestAskPrice, f.Sell.GetValue(cols));
l1Msg.TryAdd(Level1Fields.BestAskVolume, (decimal)f.SellQty.GetValue(cols));
l1Msg.TryAdd(Level1Fields.MinPrice, minPrice);
l1Msg.TryAdd(Level1Fields.MaxPrice, maxPrice);
l1Msg.TryAdd(Level1Fields.Multiplier, (decimal)f.LotSize.GetValue(cols));
l1Msg.TryAdd(Level1Fields.ImpliedVolatility, f.Volatility.GetValue(cols));
l1Msg.TryAdd(Level1Fields.TheorPrice, f.TheorPrice.GetValue(cols));
l1Msg.TryAdd(Level1Fields.LastTradePrice, f.LastPrice.GetValue(cols));
l1Msg.TryAdd(Level1Fields.LastTradeVolume, (decimal)f.LastQty.GetValue(cols));
l1Msg.TryAdd(Level1Fields.PriceStep, f.PriceStep.GetValue(cols));
l1Msg.TryAdd(Level1Fields.BidsVolume, (decimal)f.BuySQty.GetValue(cols));
l1Msg.TryAdd(Level1Fields.BidsCount, f.BuyCount.GetValue(cols));
l1Msg.TryAdd(Level1Fields.AsksVolume, (decimal)f.SellSQty.GetValue(cols));
l1Msg.TryAdd(Level1Fields.AsksCount, f.SellCount.GetValue(cols));
SendOutMessage(l1Msg);
}
}
private void OnProcessSecurities(long transactionId, string[] data)
{
var f = Wrapper.FieldsSecurities;
var secMessages = new List <Tuple <int, SecurityMessage> >();
var level1Messages = new List <Level1ChangeMessage>();
foreach (var row in data)
{
var cols = row.ToColumns();
var secType = f.ATCode.GetValue(cols);
if (secType == null)
{
continue;
}
var paperNo = f.PaperNo.GetValue(cols);
var code = f.PaperCode.GetValue(cols);
var name = f.AnsiName.GetValue(cols);
var time = f.ILastUpdate.GetValue(cols);
_securityCodes[paperNo] = code;
var secId = new SecurityId
{
Native = paperNo,
SecurityCode = code,
BoardCode = this.GetBoardCode(f.PlaceCode.GetValue(cols))
};
var msg = new SecurityMessage
{
SecurityId = secId,
Name = name,
ShortName = name,
SecurityType = secType,
Multiplier = f.LotSize.GetValue(cols),
PriceStep = f.PriceStep.GetValue(cols),
//LocalTime = time,
Currency = f.CurrCode.GetValue(cols),
Strike = f.Strike.GetValue(cols)
};
if (msg.SecurityType == SecurityTypes.Option || msg.SecurityType == SecurityTypes.Future)
{
msg.ExpiryDate = f.MatDate.GetValue(cols).ApplyTimeZone(TimeHelper.Moscow);
}
if (msg.SecurityType == SecurityTypes.Option)
{
msg.OptionType = f.ATCode.GetStrValue(cols).ATCodeToOptionType();
msg.Strike = f.Strike.GetValue(cols);
}
secMessages.Add(Tuple.Create(f.BasePaperNo.GetValue(cols), msg));
var l1Msg = new Level1ChangeMessage
{
SecurityId = secId,
ServerTime = time.ApplyTimeZone(TimeHelper.Moscow)
};
l1Msg.TryAdd(Level1Fields.MarginBuy, f.GoBuy.GetValue(cols));
l1Msg.TryAdd(Level1Fields.MarginSell, f.GoSell.GetValue(cols));
l1Msg.TryAdd(Level1Fields.StepPrice, f.PriceStepCost.GetValue(cols));
level1Messages.Add(l1Msg);
}
secMessages.Where(t => t.Item2.SecurityType == SecurityTypes.Option).ForEach(t =>
t.Item2.UnderlyingSecurityCode = _securityCodes.TryGetValue(t.Item1));
secMessages.ForEach(t => SendOutMessage(t.Item2));
level1Messages.ForEach(SendOutMessage);
if (transactionId > 0)
{
SendOutMessage(new SecurityLookupResultMessage
{
OriginalTransactionId = transactionId,
});
}
}
private void SessionOnStiQuoteUpdate(ref structSTIQuoteUpdate structQuoteUpdate)
{
var message = new Level1ChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = structQuoteUpdate.bstrSymbol,
BoardCode = structQuoteUpdate.bstrExch,
},
ServerTime = structQuoteUpdate.bstrUpdateTime.StrToTime(),
};
message.TryAdd(Level1Fields.BestAskPrice, (decimal)structQuoteUpdate.fAskPrice);
message.TryAdd(Level1Fields.BestBidPrice, (decimal)structQuoteUpdate.fAskPrice);
message.TryAdd(Level1Fields.BestAskVolume, (decimal)structQuoteUpdate.nAskSize);
message.TryAdd(Level1Fields.BestBidVolume, (decimal)structQuoteUpdate.nBidSize);
message.TryAdd(Level1Fields.OpenPrice, (decimal)structQuoteUpdate.fOpenPrice);
message.TryAdd(Level1Fields.HighPrice, (decimal)structQuoteUpdate.fHighPrice);
message.TryAdd(Level1Fields.LowPrice, (decimal)structQuoteUpdate.fLowPrice);
message.TryAdd(Level1Fields.LastTradePrice, (decimal)structQuoteUpdate.fLastPrice);
message.TryAdd(Level1Fields.LastTradeVolume, (decimal)structQuoteUpdate.nLastSize);
message.TryAdd(Level1Fields.OpenInterest, (decimal)structQuoteUpdate.nOpenInterest);
message.TryAdd(Level1Fields.Volume, (decimal)structQuoteUpdate.nCumVolume);
message.TryAdd(Level1Fields.VWAP, (decimal)structQuoteUpdate.fVwap);
SendOutMessage(message);
if (_subscribedSecuritiesToTrade.Cache.Contains(structQuoteUpdate.bstrSymbol) && structQuoteUpdate.fLastPrice != 0)
{
var tickMsg = new ExecutionMessage
{
ExecutionType = ExecutionTypes.Tick,
SecurityId = new SecurityId {
SecurityCode = structQuoteUpdate.bstrSymbol, BoardCode = structQuoteUpdate.bstrExch
},
//TradeId = structQuoteSnap.,
TradePrice = (decimal)structQuoteUpdate.fLastPrice,
Volume = structQuoteUpdate.nLastSize,
//OriginSide = action.ToSide(),
ServerTime = structQuoteUpdate.bstrUpdateTime.StrToTime()
};
SendOutMessage(tickMsg);
}
}
private void OnSecurityChanged(string smartId, Tuple<decimal, decimal, DateTime> lastTrade, decimal open, decimal high, decimal low, decimal close, decimal volume, QuoteChange bid, QuoteChange ask,
decimal openInt, Tuple<decimal, decimal> goBuySell, Tuple<decimal, decimal> goBase, Tuple<decimal, decimal> limits, int tradingStatus, Tuple<decimal, decimal> volatTheorPrice)
{
var secId = new SecurityId { Native = smartId };
var message = new Level1ChangeMessage
{
SecurityId = secId,
ExtensionInfo = new Dictionary<object, object>
{
{ SmartComExtensionInfoHelper.SecurityOptionsMargin, goBase.Item1 },
{ SmartComExtensionInfoHelper.SecurityOptionsSyntheticMargin, goBase.Item2 }
},
ServerTime = CurrentTime.Convert(TimeHelper.Moscow),
};
message.TryAdd(Level1Fields.LastTradePrice, lastTrade.Item1);
message.TryAdd(Level1Fields.LastTradeVolume, lastTrade.Item2);
message.Add(Level1Fields.LastTradeTime, lastTrade.Item3.ApplyTimeZone(TimeHelper.Moscow));
var prevQuotes = _bestQuotes.TryGetValue(secId);
if (bid.Price != 0)
{
message.Add(Level1Fields.BestBidPrice, bid.Price);
if (prevQuotes != null && prevQuotes.First != null && prevQuotes.First.Item1 == bid.Price)
message.Add(Level1Fields.BestBidVolume, prevQuotes.First.Item2);
}
if (ask.Price != 0)
{
message.Add(Level1Fields.BestAskPrice, ask.Price);
if (prevQuotes != null && prevQuotes.Second != null && prevQuotes.Second.Item1 == ask.Price)
message.Add(Level1Fields.BestAskVolume, prevQuotes.Second.Item2);
}
message.TryAdd(Level1Fields.BidsVolume, bid.Volume);
message.TryAdd(Level1Fields.AsksVolume, ask.Volume);
message.TryAdd(Level1Fields.OpenPrice, open);
message.TryAdd(Level1Fields.LowPrice, low);
message.TryAdd(Level1Fields.HighPrice, high);
message.TryAdd(Level1Fields.ClosePrice, close);
message.TryAdd(Level1Fields.MinPrice, limits.Item1);
message.TryAdd(Level1Fields.MaxPrice, limits.Item2);
message.TryAdd(Level1Fields.MarginBuy, goBuySell.Item1);
message.TryAdd(Level1Fields.MarginSell, goBuySell.Item2);
message.TryAdd(Level1Fields.OpenInterest, openInt);
message.TryAdd(Level1Fields.ImpliedVolatility, volatTheorPrice.Item1);
message.TryAdd(Level1Fields.TheorPrice, volatTheorPrice.Item2);
message.TryAdd(Level1Fields.Volume, volume);
message.Add(Level1Fields.State, tradingStatus == 0 ? SecurityStates.Trading : SecurityStates.Stoped);
SendOutMessage(message);
}
private void OnSecInfoResponse(SecInfoResponse response)
{
var securityId = new SecurityId
{
Native = response.SecId,
SecurityCode = response.SecCode,
BoardCode = _boards[response.Market],
};
SendOutMessage(new SecurityMessage
{
SecurityId = securityId,
ExpiryDate = response.MatDate?.ApplyTimeZone(TimeHelper.Moscow),
OptionType = response.PutCall?.FromTransaq(),
});
var l1Msg = new Level1ChangeMessage
{
SecurityId = new SecurityId { Native = response.SecId },
ServerTime = CurrentTime.Convert(TimeHelper.Moscow),
};
l1Msg.TryAdd(Level1Fields.MinPrice, response.MinPrice);
l1Msg.TryAdd(Level1Fields.MaxPrice, response.MaxPrice);
var marginBuy = response.BuyDeposit;
if (marginBuy == null || marginBuy == 0m)
marginBuy = response.BgoBuy;
var marginSell = response.SellDeposit;
if (marginSell == null || marginSell == 0m)
marginSell = response.BgoC;
l1Msg.TryAdd(Level1Fields.MarginBuy, marginBuy);
l1Msg.TryAdd(Level1Fields.MarginSell, marginSell);
SendOutMessage(l1Msg);
}
private void OnQuotationsResponse(QuotationsResponse response)
{
foreach (var quote in response.Quotations)
{
var message = new Level1ChangeMessage
{
SecurityId = new SecurityId { Native = quote.SecId },
ServerTime = CurrentTime.Convert(TimeHelper.Moscow),
};
message.TryAdd(Level1Fields.AccruedCouponIncome, quote.AccruedIntValue);
message.TryAdd(Level1Fields.OpenPrice, quote.Open);
message.TryAdd(Level1Fields.HighPrice, quote.High);
message.TryAdd(Level1Fields.LowPrice, quote.Low);
message.TryAdd(Level1Fields.ClosePrice, quote.ClosePrice);
message.TryAdd(Level1Fields.BidsCount, quote.BidsCount);
message.TryAdd(Level1Fields.BidsVolume, (decimal?)quote.BidsVolume);
message.TryAdd(Level1Fields.AsksCount, quote.AsksCount);
message.TryAdd(Level1Fields.AsksVolume, (decimal?)quote.AsksVolume);
message.TryAdd(Level1Fields.HighBidPrice, quote.HighBid);
message.TryAdd(Level1Fields.LowAskPrice, quote.LowAsk);
message.TryAdd(Level1Fields.Yield, quote.Yield);
message.TryAdd(Level1Fields.MarginBuy, quote.BuyDeposit);
message.TryAdd(Level1Fields.MarginSell, quote.SellDeposit);
message.TryAdd(Level1Fields.HistoricalVolatility, quote.Volatility);
message.TryAdd(Level1Fields.TheorPrice, quote.TheoreticalPrice);
message.TryAdd(Level1Fields.Change, quote.Change);
message.TryAdd(Level1Fields.Volume, (decimal?)quote.VolToday);
message.TryAdd(Level1Fields.StepPrice, quote.PointCost);
message.TryAdd(Level1Fields.OpenInterest, (decimal?)quote.OpenInterest);
message.TryAdd(Level1Fields.TradesCount, quote.TradesCount);
if (quote.Status != null)
message.Add(Level1Fields.State, quote.Status.Value.FromTransaq());
// Transaq передает только изменения (например, передать только цену сделки, если объем при этом не изменился)
message.TryAdd(Level1Fields.LastTradePrice, quote.LastTradePrice);
message.TryAdd(Level1Fields.LastTradeVolume, (decimal?)quote.LastTradeVolume);
if (quote.LastTradeTime != null)
message.Add(Level1Fields.LastTradeTime, quote.LastTradeTime.Value.ToDto());
message.TryAdd(Level1Fields.BestBidPrice, quote.BestBidPrice);
message.TryAdd(Level1Fields.BestBidVolume, (decimal?)quote.BestBidVolume);
message.TryAdd(Level1Fields.BestAskPrice, quote.BestAskPrice);
message.TryAdd(Level1Fields.BestAskVolume, (decimal?)quote.BestAskVolume);
SendOutMessage(message);
}
}
private void OnProcessLevel1(string[] data)
{
var f = Wrapper.FieldsLevel1;
foreach (var row in data)
{
var cols = row.ToColumns();
var paperNo = f.PaperNo.GetValue(cols);
var secId = new SecurityId { Native = paperNo };
var l1Msg = new Level1ChangeMessage
{
SecurityId = secId,
ServerTime = (f.LastUpdateDate.GetValue(cols).Date + f.LastUpdateTime.GetValue(cols).TimeOfDay).ApplyTimeZone(TimeHelper.Moscow)
};
l1Msg.Add(Level1Fields.State, f.TradingStatus.GetValue(cols));
l1Msg.TryAdd(Level1Fields.MarginBuy, f.GoBuy.GetValue(cols));
l1Msg.TryAdd(Level1Fields.MarginSell, f.GoSell.GetValue(cols));
l1Msg.TryAdd(Level1Fields.OpenInterest, (decimal)f.OpenPosQty.GetValue(cols));
var minPrice = f.MinDeal.GetValue(cols);
var maxPrice = f.MaxDeal.GetValue(cols);
l1Msg.TryAdd(Level1Fields.OpenPrice, f.OpenPrice.GetValue(cols));
l1Msg.TryAdd(Level1Fields.ClosePrice, f.ClosePrice.GetValue(cols));
l1Msg.TryAdd(Level1Fields.HighPrice, maxPrice);
l1Msg.TryAdd(Level1Fields.LowPrice, minPrice);
l1Msg.TryAdd(Level1Fields.BestBidPrice, f.Buy.GetValue(cols));
l1Msg.TryAdd(Level1Fields.BestBidVolume, (decimal)f.BuyQty.GetValue(cols));
l1Msg.TryAdd(Level1Fields.BestAskPrice, f.Sell.GetValue(cols));
l1Msg.TryAdd(Level1Fields.BestAskVolume, (decimal)f.SellQty.GetValue(cols));
l1Msg.TryAdd(Level1Fields.MinPrice, minPrice);
l1Msg.TryAdd(Level1Fields.MaxPrice, maxPrice);
l1Msg.TryAdd(Level1Fields.Multiplier, (decimal)f.LotSize.GetValue(cols));
l1Msg.TryAdd(Level1Fields.ImpliedVolatility, f.Volatility.GetValue(cols));
l1Msg.TryAdd(Level1Fields.TheorPrice, f.TheorPrice.GetValue(cols));
l1Msg.TryAdd(Level1Fields.LastTradePrice, f.LastPrice.GetValue(cols));
l1Msg.TryAdd(Level1Fields.LastTradeVolume, (decimal)f.LastQty.GetValue(cols));
l1Msg.TryAdd(Level1Fields.PriceStep, f.PriceStep.GetValue(cols));
l1Msg.TryAdd(Level1Fields.BidsVolume, (decimal)f.BuySQty.GetValue(cols));
l1Msg.TryAdd(Level1Fields.BidsCount, f.BuyCount.GetValue(cols));
l1Msg.TryAdd(Level1Fields.AsksVolume, (decimal)f.SellSQty.GetValue(cols));
l1Msg.TryAdd(Level1Fields.AsksCount, f.SellCount.GetValue(cols));
SendOutMessage(l1Msg);
}
}
private void OnProcessSecurities(long transactionId, string[] data)
{
var f = Wrapper.FieldsSecurities;
var secMessages = new List<Tuple<int, SecurityMessage>>();
var level1Messages = new List<Level1ChangeMessage>();
foreach (var row in data)
{
var cols = row.ToColumns();
var secType = f.ATCode.GetValue(cols);
if(secType == null)
continue;
var paperNo = f.PaperNo.GetValue(cols);
var code = f.PaperCode.GetValue(cols);
var name = f.AnsiName.GetValue(cols);
var time = f.ILastUpdate.GetValue(cols);
_securityCodes[paperNo] = code;
var secId = new SecurityId
{
Native = paperNo,
SecurityCode = code,
BoardCode = this.GetBoardCode(f.PlaceCode.GetValue(cols))
};
var msg = new SecurityMessage
{
SecurityId = secId,
Name = name,
ShortName = name,
SecurityType = secType,
Multiplier = f.LotSize.GetValue(cols),
PriceStep = f.PriceStep.GetValue(cols),
//LocalTime = time,
Currency = f.CurrCode.GetValue(cols),
Strike = f.Strike.GetValue(cols)
};
if(msg.SecurityType == SecurityTypes.Option || msg.SecurityType == SecurityTypes.Future)
msg.ExpiryDate = f.MatDate.GetValue(cols).ApplyTimeZone(TimeHelper.Moscow);
if (msg.SecurityType == SecurityTypes.Option)
{
msg.OptionType = f.ATCode.GetStrValue(cols).ATCodeToOptionType();
msg.Strike = f.Strike.GetValue(cols);
}
secMessages.Add(Tuple.Create(f.BasePaperNo.GetValue(cols), msg));
var l1Msg = new Level1ChangeMessage
{
SecurityId = secId,
ServerTime = time.ApplyTimeZone(TimeHelper.Moscow)
};
l1Msg.TryAdd(Level1Fields.MarginBuy, f.GoBuy.GetValue(cols));
l1Msg.TryAdd(Level1Fields.MarginSell, f.GoSell.GetValue(cols));
l1Msg.TryAdd(Level1Fields.StepPrice, f.PriceStepCost.GetValue(cols));
level1Messages.Add(l1Msg);
}
secMessages.Where(t => t.Item2.SecurityType == SecurityTypes.Option).ForEach(t =>
t.Item2.UnderlyingSecurityCode = _securityCodes.TryGetValue(t.Item1));
secMessages.ForEach(t => SendOutMessage(t.Item2));
level1Messages.ForEach(SendOutMessage);
if (transactionId > 0)
{
SendOutMessage(new SecurityLookupResultMessage
{
OriginalTransactionId = transactionId,
});
}
}
private void FlushQuotes(SecurityId secId)
{
var quotes = _quotes.TryGetValue(secId);
if (quotes == null)
return;
_quotes.Remove(secId);
foreach (var pair in quotes.CachedPairs)
{
var message = new Level1ChangeMessage
{
SecurityId = secId,
ServerTime = pair.Key
};
var bid = pair.Value.First;
if (bid != null)
{
message
.TryAdd(Level1Fields.BestBidPrice, bid.Price.ToDecimal())
.TryAdd(Level1Fields.BestBidVolume, (decimal)bid.Size);
}
var ask = pair.Value.Second;
if (ask != null)
{
message
.TryAdd(Level1Fields.BestAskPrice, ask.Price.ToDecimal())
.TryAdd(Level1Fields.BestAskVolume, (decimal)ask.Size);
}
SendOutMessage(message);
}
}
private static Level1ChangeMessage ToLevel2(string value)
{
var parts = value.SplitByComma();
var isBidValid = parts[10] == "T";
var isAskValid = parts[11] == "T";
if (!isBidValid && !isAskValid)
return null;
var date = parts[7].ToDateTime("yyyy-MM-dd");
var l1Msg = new Level1ChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = parts[0],
BoardCode = parts[1]
},
};
// http://www.iqfeed.net/dev/api/docs/ConditionCodes.cfm
l1Msg.Add(Level1Fields.IsSystem, parts[8] == "52");
if (isAskValid)
{
l1Msg.ServerTime = date.Add(parts[9].To<TimeSpan>()).ApplyTimeZone(TimeHelper.Est);
l1Msg
.TryAdd(Level1Fields.BestAskPrice, parts[3].To<decimal>())
.TryAdd(Level1Fields.BestAskVolume, parts[5].To<decimal>())
.Add(Level1Fields.BestAskTime, l1Msg.ServerTime);
}
if (isBidValid)
{
var bidTime = date.Add(parts[6].To<TimeSpan>()).ApplyTimeZone(TimeHelper.Est);
if (bidTime > l1Msg.ServerTime)
l1Msg.ServerTime = bidTime;
l1Msg
.TryAdd(Level1Fields.BestBidPrice, parts[2].To<decimal>())
.TryAdd(Level1Fields.BestBidVolume, parts[4].To<decimal>())
.Add(Level1Fields.BestBidTime, bidTime);
}
return l1Msg;
}
private void SessionOnStiQuoteSnap(ref structSTIQuoteSnap structQuoteSnap)
{
var l1CngMsg = new Level1ChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = structQuoteSnap.bstrSymbol,
BoardCode = structQuoteSnap.bstrExch
},
ServerTime = structQuoteSnap.bstrUpdateTime.StrToTime(),
};
if (structQuoteSnap.bAskPrice != 0)
l1CngMsg.TryAdd(Level1Fields.BestAskPrice, (decimal)structQuoteSnap.fAskPrice);
if (structQuoteSnap.bBidPrice != 0)
l1CngMsg.TryAdd(Level1Fields.BestBidPrice, (decimal)structQuoteSnap.fBidPrice);
l1CngMsg.TryAdd(Level1Fields.BestAskVolume, (decimal)structQuoteSnap.nAskSize);
l1CngMsg.TryAdd(Level1Fields.BestBidVolume, (decimal)structQuoteSnap.nBidSize);
if (structQuoteSnap.bOpenPrice != 0)
l1CngMsg.TryAdd(Level1Fields.OpenPrice, (decimal)structQuoteSnap.fOpenPrice);
if (structQuoteSnap.bHighPrice != 0)
l1CngMsg.TryAdd(Level1Fields.HighPrice, (decimal)structQuoteSnap.fHighPrice);
if (structQuoteSnap.bLowPrice != 0)
l1CngMsg.TryAdd(Level1Fields.LowPrice, (decimal)structQuoteSnap.fLowPrice);
if (structQuoteSnap.bLastPrice != 0)
l1CngMsg.TryAdd(Level1Fields.LastTradePrice, (decimal)structQuoteSnap.fLastPrice);
l1CngMsg.TryAdd(Level1Fields.LastTradeVolume, (decimal)structQuoteSnap.nLastSize);
l1CngMsg.TryAdd(Level1Fields.OpenInterest, (decimal)structQuoteSnap.nOpenInterest);
l1CngMsg.TryAdd(Level1Fields.Volume, (decimal)structQuoteSnap.nCumVolume);
l1CngMsg.TryAdd(Level1Fields.VWAP, (decimal)structQuoteSnap.fVwap);
l1CngMsg.TryAdd(Level1Fields.ClosePrice, (decimal)structQuoteSnap.fClosePrice); // öåíà çàêðûòèÿ ïðîøëîãî äíÿ.
SendOutMessage(l1CngMsg);
if (_subscribedSecuritiesToTrade.Cache.Contains(structQuoteSnap.bstrSymbol) && structQuoteSnap.fLastPrice != 0)
{
var tickMsg= new ExecutionMessage
{
ExecutionType = ExecutionTypes.Tick,
SecurityId = new SecurityId{SecurityCode = structQuoteSnap.bstrSymbol,BoardCode = structQuoteSnap.bstrExch},
//TradeId = structQuoteSnap.,
TradePrice = (decimal)structQuoteSnap.fLastPrice,
TradeVolume = structQuoteSnap.nLastSize,
//OriginSide = action.ToSide(),
ServerTime = structQuoteSnap.bstrUpdateTime.StrToTime()
};
SendOutMessage(tickMsg);
}
}
private void SessionOnStiGreeksUpdate(ref structSTIGreeksUpdate structGreeksUpdate)
{
var message = new Level1ChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = structGreeksUpdate.bstrSymbol,
BoardCode = AssociatedBoardCode,
},
ServerTime = CurrentTime,
};
message.TryAdd(Level1Fields.Delta, (decimal)structGreeksUpdate.fDelta);
message.TryAdd(Level1Fields.Gamma, (decimal)structGreeksUpdate.fGamma);
message.TryAdd(Level1Fields.Theta, (decimal)structGreeksUpdate.fTheta);
message.TryAdd(Level1Fields.Vega, (decimal)structGreeksUpdate.fVega);
message.TryAdd(Level1Fields.Rho, (decimal)structGreeksUpdate.fRho);
message.TryAdd(Level1Fields.TheorPrice, (decimal)structGreeksUpdate.fTheoPrice);
message.TryAdd(Level1Fields.ImpliedVolatility, (decimal)structGreeksUpdate.fImpVol);
SendOutMessage(message);
}
private void OnSecurityChanged(string smartId, Tuple <decimal?, decimal?, DateTime> lastTrade, decimal?open, decimal?high, decimal?low, decimal?close, decimal?volume, QuoteChange bid, QuoteChange ask,
decimal?openInt, Tuple <decimal?, decimal?> goBuySell, Tuple <decimal?, decimal?> goBase, Tuple <decimal?, decimal?> limits, int tradingStatus, Tuple <decimal?, decimal?> volatTheorPrice)
{
var secId = new SecurityId {
Native = smartId
};
var message = new Level1ChangeMessage
{
SecurityId = secId,
ExtensionInfo = new Dictionary <object, object>
{
{ SmartComExtensionInfoHelper.SecurityOptionsMargin, goBase.Item1 },
{ SmartComExtensionInfoHelper.SecurityOptionsSyntheticMargin, goBase.Item2 }
},
ServerTime = CurrentTime.Convert(TimeHelper.Moscow),
};
message.TryAdd(Level1Fields.LastTradePrice, lastTrade.Item1);
message.TryAdd(Level1Fields.LastTradeVolume, lastTrade.Item2);
message.Add(Level1Fields.LastTradeTime, lastTrade.Item3.ApplyTimeZone(TimeHelper.Moscow));
var prevQuotes = _bestQuotes.TryGetValue(secId);
if (bid.Price != 0)
{
message.Add(Level1Fields.BestBidPrice, bid.Price);
if (prevQuotes != null && prevQuotes.First != null && prevQuotes.First.Item1 == bid.Price)
{
message.Add(Level1Fields.BestBidVolume, prevQuotes.First.Item2);
}
}
if (ask.Price != 0)
{
message.Add(Level1Fields.BestAskPrice, ask.Price);
if (prevQuotes != null && prevQuotes.Second != null && prevQuotes.Second.Item1 == ask.Price)
{
message.Add(Level1Fields.BestAskVolume, prevQuotes.Second.Item2);
}
}
message.TryAdd(Level1Fields.BidsVolume, bid.Volume);
message.TryAdd(Level1Fields.AsksVolume, ask.Volume);
message.TryAdd(Level1Fields.OpenPrice, open);
message.TryAdd(Level1Fields.LowPrice, low);
message.TryAdd(Level1Fields.HighPrice, high);
message.TryAdd(Level1Fields.ClosePrice, close);
message.TryAdd(Level1Fields.MinPrice, limits.Item1);
message.TryAdd(Level1Fields.MaxPrice, limits.Item2);
message.TryAdd(Level1Fields.MarginBuy, goBuySell.Item1);
message.TryAdd(Level1Fields.MarginSell, goBuySell.Item2);
message.TryAdd(Level1Fields.OpenInterest, openInt);
message.TryAdd(Level1Fields.ImpliedVolatility, volatTheorPrice.Item1);
message.TryAdd(Level1Fields.TheorPrice, volatTheorPrice.Item2);
message.TryAdd(Level1Fields.Volume, volume);
message.Add(Level1Fields.State, tradingStatus == 0 ? SecurityStates.Trading : SecurityStates.Stoped);
SendOutMessage(message);
}
private void SessionOnStiQuoteSnap(ref structSTIQuoteSnap structQuoteSnap)
{
var l1CngMsg = new Level1ChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = structQuoteSnap.bstrSymbol,
BoardCode = structQuoteSnap.bstrExch
},
ServerTime = structQuoteSnap.bstrUpdateTime.StrToTime(),
};
if (structQuoteSnap.bAskPrice != 0)
{
l1CngMsg.TryAdd(Level1Fields.BestAskPrice, (decimal)structQuoteSnap.fAskPrice);
}
if (structQuoteSnap.bBidPrice != 0)
{
l1CngMsg.TryAdd(Level1Fields.BestBidPrice, (decimal)structQuoteSnap.fBidPrice);
}
l1CngMsg.TryAdd(Level1Fields.BestAskVolume, (decimal)structQuoteSnap.nAskSize);
l1CngMsg.TryAdd(Level1Fields.BestBidVolume, (decimal)structQuoteSnap.nBidSize);
if (structQuoteSnap.bOpenPrice != 0)
{
l1CngMsg.TryAdd(Level1Fields.OpenPrice, (decimal)structQuoteSnap.fOpenPrice);
}
if (structQuoteSnap.bHighPrice != 0)
{
l1CngMsg.TryAdd(Level1Fields.HighPrice, (decimal)structQuoteSnap.fHighPrice);
}
if (structQuoteSnap.bLowPrice != 0)
{
l1CngMsg.TryAdd(Level1Fields.LowPrice, (decimal)structQuoteSnap.fLowPrice);
}
if (structQuoteSnap.bLastPrice != 0)
{
l1CngMsg.TryAdd(Level1Fields.LastTradePrice, (decimal)structQuoteSnap.fLastPrice);
}
l1CngMsg.TryAdd(Level1Fields.LastTradeVolume, (decimal)structQuoteSnap.nLastSize);
l1CngMsg.TryAdd(Level1Fields.OpenInterest, (decimal)structQuoteSnap.nOpenInterest);
l1CngMsg.TryAdd(Level1Fields.Volume, (decimal)structQuoteSnap.nCumVolume);
l1CngMsg.TryAdd(Level1Fields.VWAP, (decimal)structQuoteSnap.fVwap);
l1CngMsg.TryAdd(Level1Fields.ClosePrice, (decimal)structQuoteSnap.fClosePrice); // öåíà çàêðûòèÿ ïðîøëîãî äíÿ.
SendOutMessage(l1CngMsg);
if (_subscribedSecuritiesToTrade.Cache.Contains(structQuoteSnap.bstrSymbol) && structQuoteSnap.fLastPrice != 0)
{
var tickMsg = new ExecutionMessage
{
ExecutionType = ExecutionTypes.Tick,
SecurityId = new SecurityId {
SecurityCode = structQuoteSnap.bstrSymbol, BoardCode = structQuoteSnap.bstrExch
},
//TradeId = structQuoteSnap.,
TradePrice = (decimal)structQuoteSnap.fLastPrice,
TradeVolume = structQuoteSnap.nLastSize,
//OriginSide = action.ToSide(),
ServerTime = structQuoteSnap.bstrUpdateTime.StrToTime()
};
SendOutMessage(tickMsg);
}
}