Ejemplo n.º 1
0
        private void CreateAssociatedSecurityQuotes(QuoteChangeMessage quoteMsg)
        {
            if (!SessionHolder.CreateAssociatedSecurity)
            {
                return;
            }

            if (quoteMsg.SecurityId.IsDefault())
            {
                return;
            }

            var builder = _quoteChangeDepthBuilders
                          .SafeAdd(quoteMsg.SecurityId.SecurityCode, c => new QuoteChangeDepthBuilder(c, SessionHolder.AssociatedBoardCode));

            NewOutMessage.SafeInvoke(builder.Process(quoteMsg));
        }
Ejemplo n.º 2
0
        /// <summary>
        /// Отправить исходящее сообщение, вызвав событие <see cref="NewOutMessage"/>.
        /// </summary>
        /// <param name="message">Сообщение.</param>
        public virtual void SendOutMessage(Message message)
        {
            InitMessageLocalTime(message);

            if (_prevTime != DateTime.MinValue)
            {
                var diff = message.LocalTime - _prevTime;

                _secLookupTimeOut
                .ProcessTime(diff)
                .ForEach(id => SendOutMessage(new SecurityLookupResultMessage {
                    OriginalTransactionId = id
                }));

                _pfLookupTimeOut
                .ProcessTime(diff)
                .ForEach(id => SendOutMessage(new PortfolioLookupResultMessage {
                    OriginalTransactionId = id
                }));
            }

            _prevTime = message.LocalTime;
            NewOutMessage.SafeInvoke(message);
        }
Ejemplo n.º 3
0
        /// <summary>
        /// Open channel.
        /// </summary>
        public void Open()
        {
            _messageQueue.Open();

            ThreadingHelper
            .Thread(() => CultureInfo.InvariantCulture.DoInCulture(() =>
            {
                while (!_messageQueue.IsClosed)
                {
                    try
                    {
                        KeyValuePair <DateTimeOffset, Message> pair;

                        if (!_messageQueue.TryDequeue(out pair))
                        {
                            break;
                        }

                        //if (!(message is TimeMessage) && message.GetType().Name != "BasketMessage")
                        //	Console.WriteLine("<< ({0}) {1}", System.Threading.Thread.CurrentThread.Name, message);

                        _msgStat.Remove(pair.Value);
                        NewOutMessage.SafeInvoke(pair.Value);
                    }
                    catch (Exception ex)
                    {
                        _errorHandler(ex);
                    }
                }

                Closed.SafeInvoke();
            }))
            .Name("{0} channel thread.".Put(Name))
            //.Culture(CultureInfo.InvariantCulture)
            .Launch();
        }
Ejemplo n.º 4
0
            public void Open()
            {
                _messageQueue.Open();

                ThreadingHelper
                .Thread(() => CultureInfo.InvariantCulture.DoInCulture(() =>
                {
                    while (!_messageQueue.IsClosed)
                    {
                        try
                        {
                            var sended = _historyMessageAdapter.SendOutMessage();

                            KeyValuePair <DateTimeOffset, Message> pair;

                            if (!_messageQueue.TryDequeue(out pair, true, !sended))
                            {
                                if (!sended)
                                {
                                    break;
                                }
                            }
                            else
                            {
                                NewOutMessage.SafeInvoke(pair.Value);
                            }
                        }
                        catch (Exception ex)
                        {
                            _errorHandler(ex);
                        }
                    }
                }))
                .Name("History emulation channel thread.")
                .Launch();
            }
Ejemplo n.º 5
0
 /// <summary>
 /// To call the event <see cref="NewOutMessage"/>.
 /// </summary>
 /// <param name="message">The message.</param>
 protected void RaiseNewOutMessage(Message message)
 {
     NewOutMessage.SafeInvoke(message);
 }
Ejemplo n.º 6
0
        /// <summary>
        /// Метод обработки исходящих сообщений для <see cref="OutMessageProcessor"/>.
        /// </summary>
        /// <param name="message">Сообщение.</param>
        /// <param name="adapter">Адаптер.</param>
        protected virtual void OnOutMessageProcessor(Message message, IMessageAdapter adapter)
        {
            if (this != adapter)
            {
                return;
            }

            switch (message.Type)
            {
            case MessageTypes.ClearMessageQueue:
                OutMessageProcessor.Clear((ClearMessageQueueMessage)message);
                return;

            case MessageTypes.Security:
            {
                NewOutMessage.SafeInvoke(message);

                if (!SessionHolder.CreateAssociatedSecurity)
                {
                    break;
                }

                var clone = (SecurityMessage)message.Clone();
                clone.SecurityId = CloneSecurityId(clone.SecurityId);
                NewOutMessage.SafeInvoke(clone);

                break;
            }

            case MessageTypes.Level1Change:
            {
                NewOutMessage.SafeInvoke(message);

                var l1Msg = (Level1ChangeMessage)message;

                if (l1Msg.SecurityId.IsDefault())
                {
                    break;
                }

                if (SessionHolder.CreateAssociatedSecurity)
                {
                    // обновление BestXXX для ALL из конкретных тикеров
                    var clone = (Level1ChangeMessage)l1Msg.Clone();
                    clone.SecurityId = CloneSecurityId(clone.SecurityId);
                    NewOutMessage.SafeInvoke(clone);
                }

                if (SessionHolder.CreateDepthFromLevel1)
                {
                    // генерация стакана из Level1
                    var builder = _level1DepthBuilders.SafeAdd(l1Msg.SecurityId, c => new Level1DepthBuilder(c));

                    if (builder.Process(l1Msg))
                    {
                        var quoteMsg = builder.QuoteChange;

                        NewOutMessage.SafeInvoke(quoteMsg);
                        CreateAssociatedSecurityQuotes(quoteMsg);
                    }
                }

                break;
            }

            case MessageTypes.QuoteChange:
            {
                var quoteMsg = (QuoteChangeMessage)message;

                NewOutMessage.SafeInvoke(quoteMsg);

                if (SessionHolder.CreateDepthFromLevel1)
                {
                    _level1DepthBuilders.SafeAdd(quoteMsg.SecurityId, c => new Level1DepthBuilder(c)).HasDepth = true;
                }

                CreateAssociatedSecurityQuotes(quoteMsg);
                break;
            }

            case MessageTypes.Execution:
            {
                NewOutMessage.SafeInvoke(message);

                if (!SessionHolder.CreateAssociatedSecurity)
                {
                    break;
                }

                var execMsg = (ExecutionMessage)message;

                if (execMsg.SecurityId.IsDefault())
                {
                    break;
                }

                switch (execMsg.ExecutionType)
                {
                case ExecutionTypes.Tick:
                case ExecutionTypes.OrderLog:
                {
                    var clone = (ExecutionMessage)message.Clone();
                    clone.SecurityId = CloneSecurityId(clone.SecurityId);
                    NewOutMessage.SafeInvoke(clone);
                    break;
                }
                }

                break;
            }

            default:
                NewOutMessage.SafeInvoke(message);
                break;
            }
        }
Ejemplo n.º 7
0
        /// <summary>
        /// Отправить исходящее сообщение, вызвав событие <see cref="NewOutMessage"/>.
        /// </summary>
        /// <param name="message">Сообщение.</param>
        public virtual void SendOutMessage(Message message)
        {
            InitMessageLocalTime(message);

            switch (message.Type)
            {
            case MessageTypes.Security:
            {
                NewOutMessage.SafeInvoke(message);

                if (!CreateAssociatedSecurity)
                {
                    break;
                }

                var clone = (SecurityMessage)message.Clone();
                clone.SecurityId = CloneSecurityId(clone.SecurityId);
                NewOutMessage.SafeInvoke(clone);

                break;
            }

            case MessageTypes.Level1Change:
            {
                NewOutMessage.SafeInvoke(message);

                var l1Msg = (Level1ChangeMessage)message;

                if (l1Msg.SecurityId.IsDefault())
                {
                    break;
                }

                if (CreateAssociatedSecurity)
                {
                    // обновление BestXXX для ALL из конкретных тикеров
                    var clone = (Level1ChangeMessage)l1Msg.Clone();
                    clone.SecurityId = CloneSecurityId(clone.SecurityId);
                    NewOutMessage.SafeInvoke(clone);
                }

                if (CreateDepthFromLevel1)
                {
                    // генерация стакана из Level1
                    var builder = _level1DepthBuilders.SafeAdd(l1Msg.SecurityId, c => new Level1DepthBuilder(c));

                    if (builder.Process(l1Msg))
                    {
                        var quoteMsg = builder.QuoteChange;

                        NewOutMessage.SafeInvoke(quoteMsg);
                        CreateAssociatedSecurityQuotes(quoteMsg);
                    }
                }

                break;
            }

            case MessageTypes.QuoteChange:
            {
                var quoteMsg = (QuoteChangeMessage)message;

                NewOutMessage.SafeInvoke(quoteMsg);

                if (CreateDepthFromLevel1)
                {
                    _level1DepthBuilders.SafeAdd(quoteMsg.SecurityId, c => new Level1DepthBuilder(c)).HasDepth = true;
                }

                CreateAssociatedSecurityQuotes(quoteMsg);
                break;
            }

            case MessageTypes.Execution:
            {
                NewOutMessage.SafeInvoke(message);

                if (!CreateAssociatedSecurity)
                {
                    break;
                }

                var execMsg = (ExecutionMessage)message;

                if (execMsg.SecurityId.IsDefault())
                {
                    break;
                }

                switch (execMsg.ExecutionType)
                {
                case ExecutionTypes.Tick:
                case ExecutionTypes.OrderLog:
                {
                    var clone = (ExecutionMessage)message.Clone();
                    clone.SecurityId = CloneSecurityId(clone.SecurityId);
                    NewOutMessage.SafeInvoke(clone);
                    break;
                }
                }

                break;
            }

            default:
            {
                if (_prevTime != DateTime.MinValue)
                {
                    var diff = message.LocalTime - _prevTime;

                    //if (message.Type != MessageTypes.Time && diff >= MarketTimeChangedInterval)
                    //{
                    //	SendOutMessage(new TimeMessage
                    //	{
                    //		LocalTime = message.LocalTime,
                    //		ServerTime = message.GetServerTime(),
                    //	});
                    //}

                    _secLookupTimeOut
                    .ProcessTime(diff)
                    .ForEach(id => SendOutMessage(new SecurityLookupResultMessage {
                            OriginalTransactionId = id
                        }));

                    _pfLookupTimeOut
                    .ProcessTime(diff)
                    .ForEach(id => SendOutMessage(new PortfolioLookupResultMessage {
                            OriginalTransactionId = id
                        }));

                    //ProcessReconnection(diff);
                }

                _prevTime = message.LocalTime;
                NewOutMessage.SafeInvoke(message);
                break;
            }
            }
        }
Ejemplo n.º 8
0
 private void TransactionAdapterOnNewOutMessage(Message message)
 {
     NewOutMessage.SafeInvoke(message);
 }
Ejemplo n.º 9
0
 private void MarketDataAdapterOnNewOutMessage(Message message)
 {
     NewOutMessage.SafeInvoke(message);
 }