/// <summary>
/// Initializes a new instance of the <see cref="OrderLogGenerator"/>.
/// </summary>
/// <param name="securityId">The identifier of the instrument, for which data shall be generated.</param>
/// <param name="tradeGenerator">Tick trades generator using random method.</param>
public OrderLogGenerator(SecurityId securityId, TradeGenerator tradeGenerator)
: base(securityId)
{
//_lastOrderPrice = startPrice;
TradeGenerator = tradeGenerator ?? throw new ArgumentNullException(nameof(tradeGenerator));
IdGenerator = new IncrementalIdGenerator();
}
/// <summary>
/// Создать копию генератора.
/// </summary>
/// <returns>Копия.</returns>
public override MarketDataGenerator Clone()
{
return(new OrderLogGenerator(SecurityId, (TradeGenerator)TradeGenerator.Clone())
{
_lastOrderPrice = _lastOrderPrice,
IdGenerator = IdGenerator
});
}
/// <summary>
/// Обработать сообщение.
/// </summary>
/// <param name="message">Сообщение.</param>
/// <returns>Результат обработки. Если будет возрвщено <see langword="null"/>,
/// то генератору пока недостаточно данных для генерации нового сообщения.</returns>
public override Message Process(Message message)
{
if (message.Type == MessageTypes.Security)
{
TradeGenerator.Process(message);
}
return(base.Process(message));
}
/// <summary>
/// Удалить генератор сделок, ранее зарегистрированный через <see cref="RegisterTrades"/>.
/// </summary>
/// <param name="generator">Генератор сделок.</param>
public void UnRegisterTrades(TradeGenerator generator)
{
if (generator == null)
{
throw new ArgumentNullException("generator");
}
_marketDataAdapter.TradeGenerators.Remove(generator.SecurityId);
UnRegisterTrades(FindSecurity(generator.SecurityId));
}
/// <summary>
/// Создать <see cref="OrderLogGenerator"/>.
/// </summary>
/// <param name="securityId">Идентификатор инструмента, для которого необходимо генерировать данные.</param>
/// <param name="tradeGenerator">Генератор тиковых сделок случайным методом.</param>
public OrderLogGenerator(SecurityId securityId, TradeGenerator tradeGenerator)
: base(securityId)
{
if (tradeGenerator == null)
throw new ArgumentNullException("tradeGenerator");
//_lastOrderPrice = startPrice;
TradeGenerator = tradeGenerator;
IdGenerator = new IncrementalIdGenerator();
}
/// <summary>
/// Создать <see cref="OrderLogGenerator"/>.
/// </summary>
/// <param name="securityId">Идентификатор инструмента, для которого необходимо генерировать данные.</param>
/// <param name="tradeGenerator">Генератор тиковых сделок случайным методом.</param>
public OrderLogGenerator(SecurityId securityId, TradeGenerator tradeGenerator)
: base(securityId)
{
if (tradeGenerator == null)
{
throw new ArgumentNullException("tradeGenerator");
}
//_lastOrderPrice = startPrice;
TradeGenerator = tradeGenerator;
IdGenerator = new IncrementalIdGenerator();
}
/// <summary>
/// Инициализировать состояние генератора.
/// </summary>
public override void Init()
{
TradeGenerator.Init();
base.Init();
}
/// <summary>
/// Обработать сообщение.
/// </summary>
/// <param name="message">Сообщение.</param>
/// <returns>Результат обработки. Если будет возрвщено <see langword="null"/>,
/// то генератору пока недостаточно данных для генерации нового сообщения.</returns>
protected override Message OnProcess(Message message)
{
DateTimeOffset time;
switch (message.Type)
{
case MessageTypes.Level1Change:
{
var l1Msg = (Level1ChangeMessage)message;
var value = l1Msg.Changes.TryGetValue(Level1Fields.LastTradePrice);
if (value != null)
{
_lastOrderPrice = (decimal)value;
}
TradeGenerator.Process(message);
time = l1Msg.ServerTime;
break;
}
case MessageTypes.Execution:
{
var execMsg = (ExecutionMessage)message;
switch (execMsg.ExecutionType)
{
case ExecutionTypes.Tick:
_lastOrderPrice = execMsg.GetTradePrice();
break;
default:
return(null);
}
time = execMsg.ServerTime;
break;
}
case MessageTypes.Time:
{
var timeMsg = (TimeMessage)message;
time = timeMsg.ServerTime;
break;
}
default:
return(null);
}
if (!IsTimeToGenerate(time))
{
return(null);
}
// TODO более реалистичную генерацию, так как сейчас объемы, цены и сделки c потолка
var action = RandomGen.GetInt(0, 5);
var isNew = action < 3 || _activeOrders.IsEmpty();
ExecutionMessage item;
if (isNew)
{
var priceStep = SecurityDefinition.PriceStep ?? 0.01m;
_lastOrderPrice += RandomGen.GetInt(-MaxPriceStepCount, MaxPriceStepCount) * priceStep;
if (_lastOrderPrice <= 0)
{
_lastOrderPrice = priceStep;
}
item = new ExecutionMessage
{
OrderId = IdGenerator.GetNextId(),
SecurityId = SecurityId,
ServerTime = time,
OrderState = OrderStates.Active,
Volume = Volumes.Next(),
Side = RandomGen.GetEnum <Sides>(),
Price = _lastOrderPrice,
ExecutionType = ExecutionTypes.OrderLog,
};
_activeOrders.Enqueue((ExecutionMessage)item.Clone());
}
else
{
var activeOrder = _activeOrders.Peek();
item = (ExecutionMessage)activeOrder.Clone();
item.ServerTime = time;
var isMatched = action == 5;
ExecutionMessage trade = null;
if (isMatched)
{
trade = (ExecutionMessage)TradeGenerator.Process(message);
}
if (isMatched && trade != null)
{
item.Volume = RandomGen.GetInt(1, (int)activeOrder.GetVolume());
item.TradeId = trade.TradeId;
item.TradePrice = trade.TradePrice;
item.TradeStatus = trade.TradeStatus;
// TODO
//quote.Trade = TradeGenerator.Generate(time);
//item.Volume = activeOrder.Volume;
//if (item.Side == Sides.Buy && quote.Trade.Price > quote.Order.Price)
// item.TradePrice = item.Price;
//else if (item.Side == Sides.Sell && quote.Trade.Price < quote.Order.Price)
// item.TradePrice = item.Price;
activeOrder.Volume -= item.Volume;
if (activeOrder.Volume == 0)
{
item.OrderState = OrderStates.Done;
_activeOrders.Dequeue();
}
else
{
item.OrderState = OrderStates.Active;
}
}
else
{
item.OrderState = OrderStates.Done;
item.IsCancelled = true;
_activeOrders.Dequeue();
}
}
LastGenerationTime = time;
return(item);
}
/// <summary>
/// Удалить генератор сделок, ранее зарегистрированный через <see cref="RegisterTrades"/>.
/// </summary>
/// <param name="generator">Генератор сделок.</param>
public void UnRegisterTrades(TradeGenerator generator)
{
SendInGeneratorMessage(generator, false);
}
/// <summary>
/// Зарегистрировать генератор сделок.
/// </summary>
/// <param name="generator">Генератор сделок.</param>
public void RegisterTrades(TradeGenerator generator)
{
SendInGeneratorMessage(generator, true);
}
/// <summary>
/// To delete the trades generator, registered earlier through <see cref="RegisterTrades"/>.
/// </summary>
/// <param name="generator">The trades generator.</param>
public void UnRegisterTrades(TradeGenerator generator)
{
SendInGeneratorMessage(generator, false);
}
/// <summary>
/// To register the trades generator.
/// </summary>
/// <param name="generator">The trades generator.</param>
public void RegisterTrades(TradeGenerator generator)
{
SendInGeneratorMessage(generator, true);
}
public void UnRegisterTrades(TradeGenerator generator) => UnSubscribeGenerator(generator);
/// <summary>
/// To register the trades generator.
/// </summary>
/// <param name="generator">The trades generator.</param>
/// <returns>Subscription.</returns>
//[Obsolete("Uses custom adapter implementation.")]
public Subscription RegisterTrades(TradeGenerator generator)
=> SubscribeGenerator(generator);