// mika
// debug code for check build algo
//private readonly Dictionary<long, decimal> _pendingMatch = new Dictionary<long, decimal>();
//private readonly Dictionary<long, Tuple<Sides, decimal, decimal>> _activeOrders = new Dictionary<long, Tuple<Sides, decimal, decimal>>();
//private QuoteChangeMessage BuildDepth()
//{
// var bids = new SortedDictionary<decimal, QuoteChange>(new BackwardComparer<decimal>());
// var asks = new SortedDictionary<decimal, QuoteChange>();
// foreach (var pair in _activeOrders)
// {
// var quotes = pair.Value.Item1 == Sides.Buy ? bids : asks;
// var quote = quotes.TryGetValue(pair.Value.Item2);
// if (quote == null)
// {
// quote = new QuoteChange(pair.Value.Item1, pair.Value.Item2, pair.Value.Item3);
// quotes.Add(pair.Value.Item2, quote);
// }
// else
// quote.Volume += pair.Value.Item3;
// }
// return new QuoteChangeMessage
// {
// Bids = bids.Values.ToArray(),
// Asks = asks.Values.ToArray()
// };
//}
/// <summary>
/// Добавить новую строчку из лога заявок к стакану.
/// </summary>
/// <param name="item">Строчка лога заявок.</param>
/// <returns>Был ли изменен стакан.</returns>
public bool Update(ExecutionMessage item)
{
if (item == null)
throw new ArgumentNullException("item");
if (item.ExecutionType != ExecutionTypes.OrderLog)
throw new ArgumentException("item");
// mika
// debug code for check build algo
//var orderId = item.OrderId.Value;
//var orderVol = item.Volume.Value;
//if (item.IsOrderLogRegistered())
//{
// var vol = _pendingMatch.TryGetValue2(orderId);
// if (vol != null)
// vol -= orderVol;
// else
// vol = orderVol;
// if (vol > 0)
// _activeOrders.Add(orderId, Tuple.Create(item.Side, item.Price, vol.Value));
//}
//else if (item.IsOrderLogMatched())
//{
// var t = _activeOrders.TryGetValue(orderId);
// if (t != null)
// {
// var vol = t.Item3;
// vol -= orderVol;
// if (vol < 0)
// throw new Exception();
// if (vol == 0)
// _activeOrders.Remove(orderId);
// else
// _activeOrders[orderId] = Tuple.Create(item.Side, item.Price, vol);
// }
// else
// {
// var vol = _pendingMatch.TryGetValue2(orderId);
// if (vol == null)
// vol = orderVol;
// else
// vol += orderVol;
// _pendingMatch[orderId] = vol.Value;
// }
//}
//else if (item.IsOrderLogCanceled())
// _activeOrders.Remove(orderId);
var volume = item.GetVolume();
var changed = false;
try
{
// Очистить стакан в вечерний клиринг
if (item.ServerTime.TimeOfDay >= _clearingBeginTime)
{
// Garic - переделал
// Очищаем только в рабочие дни поскольку в субботу/воскресенье допустима отмена заявок
if (_lastUpdateTime != null && _lastUpdateTime.Value.TimeOfDay < _clearingBeginTime && _exchange.WorkingTime.IsTradeDate(item.ServerTime.LocalDateTime, true))
{
_depth.ServerTime = item.ServerTime;
_depth.Bids = Enumerable.Empty<QuoteChange>();
_depth.Asks = Enumerable.Empty<QuoteChange>();
_matchingOrder = null;
changed = true;
}
}
_lastUpdateTime = item.ServerTime.LocalDateTime;
if (item.IsSystem == false || item.TradePrice != null || item.Price == 0 /* нулевая цена может появится при поставке опционов */)
return changed;
if (item.IsOrderLogRegistered())
{
changed = TryApplyTrades(null);
if (
(item.Side == Sides.Buy && (_depth.Asks.IsEmpty() || item.Price < _depth.Asks.First().Price)) ||
(item.Side == Sides.Sell && (_depth.Bids.IsEmpty() || item.Price > _depth.Bids.First().Price))
)
{
if (item.TimeInForce == TimeInForce.PutInQueue)
{
var quotes = (item.Side == Sides.Buy ? _bids : _asks);
var quote = quotes.TryGetValue(item.Price);
if (quote == null)
{
quote = new QuoteChange
{
Side = item.Side,
Price = item.Price,
Volume = volume,
};
quotes.Add(item.Price, quote);
if (item.Side == Sides.Buy)
_depth.Bids = GetArray(quotes);
else
_depth.Asks = GetArray(quotes);
}
else
quote.Volume += volume;
changed = true;
}
}
else
{
_matchingOrder = (ExecutionMessage)item.Clone();
// mika
// из-за того, что могут быть кросс-сделки, матчинг только по заявкам невозможен
// (сначала идет регистрация вглубь стакана, затем отмена по причине кросс-сделки)
// http://forum.rts.ru/viewtopic.asp?t=24197
//
}
}
else if (item.IsOrderLogCanceled())
{
var isSame = _matchingOrder != null && _matchingOrder.OrderId == item.OrderId;
changed = TryApplyTrades(item);
if (!isSame && item.TimeInForce == TimeInForce.PutInQueue)
{
// http://forum.rts.ru/viewtopic.asp?t=24197
if (item.GetOrderLogCancelReason() != OrderLogCancelReasons.CrossTrade)
{
var quotes = (item.Side == Sides.Buy ? _bids : _asks);
var quote = quotes.TryGetValue(item.Price);
if (quote != null)
{
quote.Volume -= volume;
if (quote.Volume <= 0)
{
quotes.Remove(item.Price);
if (item.Side == Sides.Buy)
_depth.Bids = GetArray(quotes);
else
_depth.Asks = GetArray(quotes);
}
}
}
changed = true;
}
}
else
{
throw new ArgumentException(LocalizedStrings.Str943Params.Put(item), "item");
// для одной сделки соответствуют две строчки в ОЛ
//_trades[item.Trade.Id] = item;
}
}
finally
{
if (changed)
_depth.ServerTime = item.ServerTime;
}
return changed;
}
bool IOrderLogMarketDepthBuilder.Update(ExecutionMessage item)
{
if (item == null)
{
throw new ArgumentNullException(nameof(item));
}
if (item.ExecutionType != ExecutionTypes.OrderLog)
{
throw new ArgumentException(nameof(item));
}
if (item.OrderPrice == 0)
{
return(false);
}
var changed = false;
var quotes = item.Side == Sides.Buy ? _bids : _asks;
try
{
if (item.IsOrderLogRegistered())
{
if (item.OrderId != null)
{
var quote = quotes.SafeAdd(item.OrderPrice, key => new QuoteChange(item.Side, key, 0));
var id = item.OrderId.Value;
if (item.OrderVolume != null)
{
var volume = item.OrderVolume.Value;
if (_orders.TryGetValue(id, out var prevVolume))
{
quote.Volume += (volume - prevVolume);
_orders[id] = volume;
}
else
{
quote.Volume += volume;
_orders.Add(id, volume);
}
changed = true;
}
}
}
else if (item.IsOrderLogMatched())
{
if (item.OrderId != null)
{
var id = item.OrderId.Value;
var volume = item.TradeVolume ?? item.OrderVolume;
if (volume != null)
{
if (_orders.TryGetValue(id, out var prevVolume))
{
var quote = quotes.TryGetValue(item.OrderPrice);
if (quote != null)
{
quote.Volume -= volume.Value;
if (quote.Volume <= 0)
{
quotes.Remove(item.OrderPrice);
}
}
_orders[id] = prevVolume - volume.Value;
changed = true;
}
}
}
}
else if (item.IsOrderLogCanceled())
{
if (item.OrderId != null)
{
var id = item.OrderId.Value;
if (_orders.TryGetValue(id, out var prevVolume))
{
var quote = quotes.TryGetValue(item.OrderPrice);
if (quote != null)
{
quote.Volume -= prevVolume;
if (quote.Volume <= 0)
{
quotes.Remove(item.OrderPrice);
}
}
_orders.Remove(id);
changed = true;
}
}
}
}
finally
{
if (changed)
{
_depth.ServerTime = item.ServerTime;
_depth.LocalTime = item.LocalTime;
_depth.Bids = _bids.Values.ToArray();
_depth.Asks = _asks.Values.ToArray();
}
}
return(changed);
}
QuoteChangeMessage IOrderLogMarketDepthBuilder.Update(ExecutionMessage item)
{
if (item == null)
{
throw new ArgumentNullException(nameof(item));
}
if (item.ExecutionType != ExecutionTypes.OrderLog)
{
throw new ArgumentException(nameof(item));
}
if (item.OrderPrice == 0)
{
return(null);
}
_depth.ServerTime = item.ServerTime;
_depth.LocalTime = item.LocalTime;
QuoteChange?changedQuote = null;
var quotes = item.Side == Sides.Buy ? _bids : _asks;
if (item.IsOrderLogRegistered())
{
if (item.OrderVolume != null)
{
QuoteChange ProcessRegister <T>(T id, Dictionary <T, decimal> orders)
{
var quote = quotes.SafeAdd(item.OrderPrice, key => new QuoteChange(key, 0));
var volume = item.OrderVolume.Value;
if (orders.TryGetValue(id, out var prevVolume))
{
quote.Volume += (volume - prevVolume);
orders[id] = volume;
}
else
{
quote.Volume += volume;
orders.Add(id, volume);
}
quotes[item.OrderPrice] = quote;
return(quote);
}
if (item.OrderId != null)
{
changedQuote = ProcessRegister(item.OrderId.Value, _ordersByNum);
}
else if (!item.OrderStringId.IsEmpty())
{
changedQuote = ProcessRegister(item.OrderStringId, _ordersByString);
}
}
}
else if (item.IsOrderLogMatched())
{
var volume = item.TradeVolume ?? item.OrderVolume;
if (volume != null)
{
QuoteChange?ProcessMatched <T>(T id, Dictionary <T, decimal> orders)
{
if (orders.TryGetValue(id, out var prevVolume))
{
orders[id] = prevVolume - volume.Value;
if (quotes.TryGetValue(item.OrderPrice, out var quote))
{
quote.Volume -= volume.Value;
if (quote.Volume <= 0)
{
quotes.Remove(item.OrderPrice);
}
quotes[item.OrderPrice] = quote;
return(quote);
}
}
return(null);
}
if (item.OrderId != null)
{
changedQuote = ProcessMatched(item.OrderId.Value, _ordersByNum);
}
else if (!item.OrderStringId.IsEmpty())
{
changedQuote = ProcessMatched(item.OrderStringId, _ordersByString);
}
}
}
else if (item.IsOrderLogCanceled())
{
QuoteChange?ProcessCanceled <T>(T id, Dictionary <T, decimal> orders)
{
if (orders.TryGetAndRemove(id, out var prevVolume))
{
if (quotes.TryGetValue(item.OrderPrice, out var quote))
{
quote.Volume -= prevVolume;
if (quote.Volume <= 0)
{
quotes.Remove(item.OrderPrice);
}
quotes[item.OrderPrice] = quote;
return(quote);
}
}
return(null);
}
if (item.OrderId != null)
{
changedQuote = ProcessCanceled(item.OrderId.Value, _ordersByNum);
}
else if (!item.OrderStringId.IsEmpty())
{
changedQuote = ProcessCanceled(item.OrderStringId, _ordersByString);
}
}
if (changedQuote == null)
{
return(null);
}
var increment = new QuoteChangeMessage
{
ServerTime = item.ServerTime,
LocalTime = item.LocalTime,
SecurityId = _depth.SecurityId,
State = QuoteChangeStates.Increment,
};
var q = changedQuote.Value;
if (item.Side == Sides.Buy)
{
increment.Bids = new[] { q }
}
;
else
{
increment.Asks = new[] { q }
};
return(increment);
}
}
