private bool ProcessReset(Message message)
{
lock (_sync)
{
_historicalRequests.Clear();
_subscriptionsById.Clear();
_replaceId.Clear();
_allSecIdChilds.Clear();
_reMapSubscriptions.Clear();
}
return(base.OnSendInMessage(message));
}
private void ClearState()
{
lock (_sync)
{
_subscriptionsByKey.Clear();
_subscriptionsById.Clear();
}
}
/// <summary>
/// Release resources.
/// </summary>
protected override void DisposeManaged()
{
_writers.Values.ForEach(w => w.Dispose());
_fileNames.Clear();
_writers.Clear();
base.DisposeManaged();
}
private void ProcessReset(Message message)
{
lock (_sync)
{
_historicalRequests.Clear();
_subscriptionsByKey.Clear();
_subscriptionsById.Clear();
}
base.OnSendInMessage(message);
}
private static Pair[] _TempBufferPairs_ToArrayAndClear()
{
var pairs_new = new Pair[_TempBufferPairs.Count];
var it = _TempBufferPairs.GetEnumerator();
for (var i = 0; it.MoveNext(); i++)
{
pairs_new[i] = it.Current;
}
_TempBufferPairs.Clear();
return(pairs_new);
}
/// <summary>
/// Process <see cref="MessageAdapterWrapper.InnerAdapter"/> output message.
/// </summary>
/// <param name="message">The message.</param>
protected override void OnInnerAdapterNewOutMessage(Message message)
{
switch (message.Type)
{
case MessageTypes.Connect:
{
var nativeIds = Storage.Get(InnerAdapter.StorageName);
lock (_syncRoot)
{
foreach (var tuple in nativeIds)
{
var securityId = tuple.Item1;
var nativeId = tuple.Item2;
_securityIds[nativeId] = securityId;
}
}
base.OnInnerAdapterNewOutMessage(message);
break;
}
case MessageTypes.Reset:
{
lock (_syncRoot)
{
_securityIds.Clear();
_suspendedOutMessages.Clear();
_suspendedInMessages.Clear();
}
base.OnInnerAdapterNewOutMessage(message);
break;
}
case MessageTypes.Security:
{
var secMsg = (SecurityMessage)message;
var securityId = secMsg.SecurityId;
var nativeSecurityId = securityId.Native;
var securityCode = securityId.SecurityCode;
var boardCode = securityId.BoardCode;
if (securityCode.IsEmpty())
{
throw new InvalidOperationException();
}
if (securityId.SecurityType == null)
{
securityId.SecurityType = secMsg.SecurityType;
}
// external code shouldn't receive native ids
securityId.Native = null;
if (!boardCode.IsEmpty())
{
if (nativeSecurityId != null)
{
var storageName = InnerAdapter.StorageName;
if (!Storage.TryAdd(storageName, securityId, nativeSecurityId, InnerAdapter.IsNativeIdentifiersPersistable))
{
var prevId = Storage.TryGetByNativeId(storageName, nativeSecurityId);
if (prevId != null)
{
if (securityId != prevId.Value)
{
throw new InvalidOperationException(LocalizedStrings.Str687Params.Put(securityId, prevId.Value, nativeSecurityId));
}
}
else
{
throw new InvalidOperationException(LocalizedStrings.Str687Params.Put(Storage.TryGetBySecurityId(storageName, securityId), nativeSecurityId, securityId));
}
}
lock (_syncRoot)
_securityIds[nativeSecurityId] = securityId;
}
}
else
{
// TODO
}
base.OnInnerAdapterNewOutMessage(message);
ProcessSuspendedSecurityMessages(secMsg.SecurityId);
break;
}
//case MessageTypes.Position:
//{
// var positionMsg = (PositionMessage)message;
// ProcessMessage(positionMsg.SecurityId, positionMsg, null);
// break;
//}
case MessageTypes.PositionChange:
{
var positionMsg = (PositionChangeMessage)message;
ProcessMessage(positionMsg.SecurityId, positionMsg, (prev, curr) =>
{
foreach (var pair in prev.Changes)
{
curr.Changes.TryAdd(pair.Key, pair.Value);
}
return(curr);
});
break;
}
case MessageTypes.Execution:
{
var execMsg = (ExecutionMessage)message;
ProcessMessage(execMsg.SecurityId, execMsg, null);
break;
}
case MessageTypes.Level1Change:
{
var level1Msg = (Level1ChangeMessage)message;
ProcessMessage(level1Msg.SecurityId, level1Msg, (prev, curr) =>
{
foreach (var pair in prev.Changes)
{
curr.Changes.TryAdd(pair.Key, pair.Value);
}
return(curr);
});
break;
}
case MessageTypes.QuoteChange:
{
var quoteChangeMsg = (QuoteChangeMessage)message;
ProcessMessage(quoteChangeMsg.SecurityId, quoteChangeMsg, (prev, curr) => curr);
break;
}
case MessageTypes.CandleTimeFrame:
case MessageTypes.CandleRange:
case MessageTypes.CandlePnF:
case MessageTypes.CandleRenko:
case MessageTypes.CandleTick:
case MessageTypes.CandleVolume:
{
var candleMsg = (CandleMessage)message;
ProcessMessage(candleMsg.SecurityId, candleMsg, null);
break;
}
case MessageTypes.News:
{
var newsMsg = (NewsMessage)message;
if (newsMsg.SecurityId != null)
{
ProcessMessage(newsMsg.SecurityId.Value, newsMsg, null);
}
else
{
base.OnInnerAdapterNewOutMessage(message);
}
break;
}
default:
base.OnInnerAdapterNewOutMessage(message);
break;
}
}
protected override void OnCleared()
{
_transactionIds.Clear();
base.OnCleared();
}
/// <inheritdoc />
protected override void OnInnerAdapterNewOutMessage(Message message)
{
if (message.IsBack)
{
base.OnInnerAdapterNewOutMessage(message);
return;
}
switch (message.Type)
{
case MessageTypes.Connect:
{
var mappings = Storage.Get(StorageName);
lock (_syncRoot)
{
foreach (var mapping in mappings)
{
_securityIds.Add(mapping.StockSharpId, mapping.AdapterId);
}
}
base.OnInnerAdapterNewOutMessage(message);
break;
}
case MessageTypes.Reset:
{
lock (_syncRoot)
{
_securityIds.Clear();
}
base.OnInnerAdapterNewOutMessage(message);
break;
}
case MessageTypes.Security:
{
var secMsg = (SecurityMessage)message;
var adapterId = secMsg.SecurityId.SetNativeId(null);
if (adapterId.IsDefault())
{
throw new InvalidOperationException(secMsg.ToString());
}
lock (_syncRoot)
{
if (_securityIds.TryGetValue(adapterId, out var stockSharpId))
{
secMsg.SecurityId = stockSharpId;
}
}
base.OnInnerAdapterNewOutMessage(message);
break;
}
case MessageTypes.News:
{
var newsMsg = (NewsMessage)message;
if (newsMsg.SecurityId != null)
{
ProcessMessage(newsMsg.SecurityId.Value, newsMsg);
}
else
{
base.OnInnerAdapterNewOutMessage(message);
}
break;
}
default:
{
if (message is ISecurityIdMessage secIdMsg)
{
ProcessMessage(secIdMsg.SecurityId, message);
}
else
{
base.OnInnerAdapterNewOutMessage(message);
}
break;
}
}
}
/// <inheritdoc />
protected override bool OnSendInMessage(Message message)
{
switch (message.Type)
{
case MessageTypes.Reset:
{
lock (_syncRoot)
{
_securityIds.Clear();
_suspendedOutMessages.Clear();
_suspendedInMessages.Clear();
_skipTransactions.Clear();
}
break;
}
case MessageTypes.OrderRegister:
case MessageTypes.OrderReplace:
case MessageTypes.OrderCancel:
case MessageTypes.OrderGroupCancel:
case MessageTypes.MarketData:
{
var secMsg = (SecurityMessage)message;
if (secMsg.SecurityId == default)
{
break;
}
var securityId = secMsg.SecurityId;
var native = GetNativeId(secMsg, securityId);
if (native == null)
{
if (securityId.Native != null)
{
lock (_syncRoot)
_skipTransactions.Add(((ITransactionIdMessage)secMsg).TransactionId);
break;
}
return(true);
}
securityId.Native = native;
message.ReplaceSecurityId(securityId);
break;
}
case MessageTypes.OrderPairReplace:
{
var pairMsg = (OrderPairReplaceMessage)message;
var securityId1 = pairMsg.Message1.SecurityId;
var securityId2 = pairMsg.Message2.SecurityId;
if (securityId1.Native != null && securityId2.Native != null)
{
break;
}
var nativeId1 = GetNativeId(pairMsg, securityId1);
if (nativeId1 == null)
{
return(true);
}
var nativeId2 = GetNativeId(pairMsg, securityId2);
if (nativeId2 == null)
{
return(true);
}
securityId1.Native = nativeId1;
pairMsg.Message1.ReplaceSecurityId(securityId1);
securityId2.Native = nativeId2;
pairMsg.Message2.ReplaceSecurityId(securityId2);
break;
}
case ExtendedMessageTypes.ProcessSuspendedSecurityMessages:
ProcessSuspendedSecurityMessages(((ProcessSuspendedSecurityMessage)message).SecurityId);
break;
}
return(base.OnSendInMessage(message));
}
/// <summary>
/// Process <see cref="MessageAdapterWrapper.InnerAdapter"/> output message.
/// </summary>
/// <param name="message">The message.</param>
protected override void OnInnerAdapterNewOutMessage(Message message)
{
switch (message.Type)
{
case MessageTypes.Reset:
{
lock (_syncRoot)
{
_securityIds.Clear();
_suspendedMessages.Clear();
_nativeIds.Clear();
}
break;
}
case MessageTypes.Security:
{
var secMsg = (SecurityMessage)message;
var securityId = secMsg.SecurityId;
var nativeSecurityId = securityId.Native;
var securityCode = securityId.SecurityCode;
var boardCode = securityId.BoardCode;
if (securityCode.IsEmpty())
{
throw new InvalidOperationException();
}
if (securityId.SecurityType == null)
{
securityId.SecurityType = secMsg.SecurityType;
}
var isNativeIdNull = nativeSecurityId == null;
if (!boardCode.IsEmpty())
{
lock (_syncRoot)
{
_securityIds[securityId] = securityId;
var temp = securityId;
// GetHashCode shouldn't calc based on native id
temp.Native = null;
if (!isNativeIdNull && !_nativeIds.TryAdd(temp, nativeSecurityId))
{
SecurityId prevId;
if (_nativeIds.TryGetKey(nativeSecurityId, out prevId))
{
if (temp != prevId)
{
throw new InvalidOperationException(LocalizedStrings.Str687Params.Put(temp, prevId, nativeSecurityId));
}
}
else
{
throw new InvalidOperationException(LocalizedStrings.Str687Params.Put(nativeSecurityId, _nativeIds[temp], temp));
}
}
}
}
else
{
// TODO
}
base.OnInnerAdapterNewOutMessage(message);
ProcessSuspendedSecurityMessages(securityId);
break;
}
case MessageTypes.Position:
{
var positionMsg = (PositionMessage)message;
ProcessMessage(positionMsg.SecurityId, positionMsg, null);
break;
}
case MessageTypes.PositionChange:
{
var positionMsg = (PositionChangeMessage)message;
ProcessMessage(positionMsg.SecurityId, positionMsg, (prev, curr) =>
{
foreach (var pair in prev.Changes)
{
curr.Changes.TryAdd(pair.Key, pair.Value);
}
return(curr);
});
break;
}
case MessageTypes.Execution:
{
var execMsg = (ExecutionMessage)message;
ProcessMessage(execMsg.SecurityId, execMsg, null);
break;
}
case MessageTypes.Level1Change:
{
var level1Msg = (Level1ChangeMessage)message;
ProcessMessage(level1Msg.SecurityId, level1Msg, (prev, curr) =>
{
foreach (var pair in prev.Changes)
{
curr.Changes.TryAdd(pair.Key, pair.Value);
}
return(curr);
});
break;
}
case MessageTypes.QuoteChange:
{
var quoteChangeMsg = (QuoteChangeMessage)message;
ProcessMessage(quoteChangeMsg.SecurityId, quoteChangeMsg, (prev, curr) => curr);
break;
}
case MessageTypes.News:
{
var newsMsg = (NewsMessage)message;
if (newsMsg.SecurityId != null)
{
ProcessMessage(newsMsg.SecurityId.Value, newsMsg, null);
}
break;
}
default:
base.OnInnerAdapterNewOutMessage(message);
break;
}
}
/// <summary>
/// Process <see cref="MessageAdapterWrapper.InnerAdapter"/> output message.
/// </summary>
/// <param name="message">The message.</param>
protected override void OnInnerAdapterNewOutMessage(Message message)
{
switch (message.Type)
{
case MessageTypes.Connect:
{
var mappings = Storage.Get(StorageName);
lock (_syncRoot)
{
foreach (var mapping in mappings)
{
_securityIds.Add(mapping.StockSharpId, mapping.AdapterId);
}
}
base.OnInnerAdapterNewOutMessage(message);
break;
}
case MessageTypes.Reset:
{
lock (_syncRoot)
{
_securityIds.Clear();
}
base.OnInnerAdapterNewOutMessage(message);
break;
}
case MessageTypes.Security:
{
var secMsg = (SecurityMessage)message;
var securityCode = secMsg.SecurityId.SecurityCode;
var boardCode = secMsg.SecurityId.BoardCode;
if (securityCode.IsEmpty() || boardCode.IsEmpty())
{
throw new InvalidOperationException();
}
var adapterId = new SecurityId
{
SecurityCode = securityCode,
BoardCode = boardCode
};
SecurityId?stockSharpId;
lock (_syncRoot)
stockSharpId = _securityIds.TryGetValue2(adapterId);
if (stockSharpId != null)
{
secMsg.SecurityId = stockSharpId.Value;
}
base.OnInnerAdapterNewOutMessage(message);
break;
}
case MessageTypes.PositionChange:
{
var positionMsg = (PositionChangeMessage)message;
ProcessMessage(positionMsg.SecurityId, positionMsg);
break;
}
case MessageTypes.Execution:
{
var execMsg = (ExecutionMessage)message;
ProcessMessage(execMsg.SecurityId, execMsg);
break;
}
case MessageTypes.Level1Change:
{
var level1Msg = (Level1ChangeMessage)message;
ProcessMessage(level1Msg.SecurityId, level1Msg);
break;
}
case MessageTypes.QuoteChange:
{
var quoteChangeMsg = (QuoteChangeMessage)message;
ProcessMessage(quoteChangeMsg.SecurityId, quoteChangeMsg);
break;
}
case MessageTypes.CandleTimeFrame:
case MessageTypes.CandleRange:
case MessageTypes.CandlePnF:
case MessageTypes.CandleRenko:
case MessageTypes.CandleTick:
case MessageTypes.CandleVolume:
{
var candleMsg = (CandleMessage)message;
ProcessMessage(candleMsg.SecurityId, candleMsg);
break;
}
case MessageTypes.News:
{
var newsMsg = (NewsMessage)message;
if (newsMsg.SecurityId != null)
{
ProcessMessage(newsMsg.SecurityId.Value, newsMsg);
}
else
{
base.OnInnerAdapterNewOutMessage(message);
}
break;
}
default:
base.OnInnerAdapterNewOutMessage(message);
break;
}
}
/// <summary>
/// Записать сообщения.
/// </summary>
/// <param name="messages">Отладочные сообщения.</param>
protected override void OnWriteMessages(IEnumerable <LogMessage> messages)
{
// pyh: эмуляция года данных происходит за 5 секунд. На выходе 365 файлов лога? Бред.
//var date = SeparateByDates != SeparateByDateModes.None ? message.Time.Date : default(DateTime);
var date = SeparateByDates != SeparateByDateModes.None ? DateTime.Today : default(DateTime);
string prevFileName = null;
StreamWriter prevWriter = null;
var isDisposing = false;
foreach (var group in messages.GroupBy(m =>
{
if (isDisposing || m.IsDispose)
{
isDisposing = true;
return(null);
}
var fileName = FileName ?? GetSourceName(m.Source);
if (prevFileName == fileName)
{
return(prevWriter);
}
var key = Tuple.Create(fileName, date);
var writer = _writers.TryGetValue(key);
if (writer == null)
{
if (isDisposing)
{
return(null);
}
writer = OnCreateWriter(GetFileName(fileName, date));
_writers.Add(key, writer);
}
prevFileName = fileName;
prevWriter = writer;
return(writer);
}).AsParallel())
{
if (isDisposing)
{
_writers.Values.ForEach(w => w.Dispose());
_writers.Clear();
return;
}
var writer = group.Key;
try
{
foreach (var message in group)
{
WriteMessage(writer, message);
if (MaxLength <= 0 || writer.BaseStream.Position < MaxLength)
{
continue;
}
var fileName = _fileNames[writer];
_fileNames.Remove(writer);
var key = _writers[writer];
writer.Dispose();
var maxIndex = 0;
while (File.Exists(GetRollingFileName(fileName, maxIndex + 1)))
{
maxIndex++;
}
for (var i = maxIndex; i > 0; i--)
{
File.Move(GetRollingFileName(fileName, i), GetRollingFileName(fileName, i + 1));
}
File.Move(fileName, GetRollingFileName(fileName, 1));
if (MaxCount > 0)
{
maxIndex++;
for (var i = MaxCount; i <= maxIndex; i++)
{
File.Delete(GetRollingFileName(fileName, i));
}
}
writer = OnCreateWriter(fileName);
_writers[key] = writer;
}
}
finally
{
writer.Flush();
}
}
}
/// <inheritdoc />
protected override bool OnSendInMessage(Message message)
{
switch (message.Type)
{
case MessageTypes.Reset:
{
lock (_syncRoot)
{
_securityIds.Clear();
_suspendedOutMessages.Clear();
_suspendedInMessages.Clear();
}
break;
}
case MessageTypes.OrderPairReplace:
{
var pairMsg = (OrderPairReplaceMessage)message;
var securityId1 = pairMsg.Message1.SecurityId;
var securityId2 = pairMsg.Message2.SecurityId;
if (securityId1.Native != null && securityId2.Native != null)
{
break;
}
var nativeId1 = GetNativeId(pairMsg, securityId1);
if (nativeId1 == null)
{
return(true);
}
var nativeId2 = GetNativeId(pairMsg, securityId2);
if (nativeId2 == null)
{
return(true);
}
securityId1.Native = nativeId1;
pairMsg.Message1.ReplaceSecurityId(securityId1);
securityId2.Native = nativeId2;
pairMsg.Message2.ReplaceSecurityId(securityId2);
break;
}
case ExtendedMessageTypes.ProcessSuspended:
ProcessInSuspended(((ProcessSuspendedMessage)message).SecurityId);
return(true);
default:
{
if (message is ISecurityIdMessage secIdMsg)
{
if (secIdMsg.SecurityId == default)
{
break;
}
var securityId = secIdMsg.SecurityId;
if (securityId.Native != null)
{
break;
}
var native = GetNativeId(message, securityId);
if (native == null)
{
return(true);
}
securityId.Native = native;
message.ReplaceSecurityId(securityId);
}
break;
}
}
return(base.OnSendInMessage(message));
}
private void ReloadOrders()
{
_versionOrderSet.Clear();
int countOld = 0, countNew = 0;
var orders = _connector.Orders.Where(order => order.Id > 0).ToDictionary(order => order.Id);
var processedOrders = new List <BusinessEntities.Order>();
foreach (var oecOrder in Oec.Orders)
{
foreach (var ver in oecOrder.Versions)
{
try
{
if (orders.ContainsKey(ver.ID))
{
++countOld;
var order = orders[ver.ID];
processedOrders.Add(order);
BindOrderToOecOrderVersion(order, ver);
if (order.IsInFinalState() && ver.IsInFinalState())
{
continue;
}
order.CopyFromOECOrderVersion(ver);
_connector.GetOrder(order.Security, order.Type, order.Id, id => order, o => false);
}
else
{
var portfolio = _connector.FindPortfolioByAccount(ver.Order.Account, null);
var security = _connector.FindSecurityByContract(ver.Order.Contract);
var vercopy = ver;
var orderType = ver.Type.ToStockSharp();
var order = _connector.GetOrder(security, orderType, ver.ID, id =>
{
var ord = _connector.EntityFactory.CreateOrder(security, orderType, vercopy.ID);
ord.Id = id;
// TODO
//_connector.InitNewOrder(ord);
return(ord);
}, ord =>
{
ord.Portfolio = portfolio;
ord.Security = security;
ord.CopyFromOECOrderVersion(vercopy);
return(true);
});
++countNew;
BindOrderToOecOrderVersion(order, ver);
processedOrders.Add(order);
}
}
catch (Exception ex)
{
var msg = "Ошибка загрузки заявки #{0} ({1}): {2}".Put(ver.ID, ver, ex);
_connector.AddErrorLog(msg);
_connector.TransactionAdapter.SendOutMessage(new ErrorMessage {
Error = ex
});
}
}
}
var countFailed = 0;
// incomplete local orders which weren't found in OEC
var otherIncompleteOrders = _connector.Orders.Except(processedOrders).Where(order => !order.IsInFinalState());
foreach (var order in otherIncompleteOrders)
{
++countFailed;
var ordercopy = order;
_connector.GetOrder(order.Security, order.Type, order.TransactionId, id => ordercopy, o =>
{
o.Id = 0;
o.State = OrderStates.Done;
o.Status = OrderStatus.NotDone;
_connector.RaiseOrderFailed(o, new OECException("После переподключения заявка была не найдена среди заявок OEC."));
return(true);
});
}
_connector.AddInfoLog("{0} заявок OEC связано с существующими заявками S#; {1} новых заявок загружено из OEC; {2} незавершенных заявок OEC были завершены с ошибкой.", countOld, countNew, countFailed);
}