protected override void OnSave(BitArrayWriter writer, IEnumerable <NewsMessage> messages, NewsMetaInfo metaInfo)
{
var isMetaEmpty = metaInfo.IsEmpty();
writer.WriteInt(messages.Count());
var allowDiffOffsets = metaInfo.Version >= MarketDataVersions.Version46;
var isTickPrecision = metaInfo.Version >= MarketDataVersions.Version47;
foreach (var news in messages)
{
if (isMetaEmpty)
{
metaInfo.ServerOffset = news.ServerTime.Offset;
isMetaEmpty = false;
}
writer.WriteStringEx(news.Id);
writer.WriteString(news.Headline);
writer.WriteStringEx(news.Story);
writer.WriteStringEx(news.Source);
writer.WriteStringEx(news.BoardCode);
writer.WriteStringEx(news.SecurityId?.SecurityCode);
writer.WriteStringEx(news.Url);
var lastOffset = metaInfo.LastServerOffset;
metaInfo.LastTime = writer.WriteTime(news.ServerTime, metaInfo.LastTime, LocalizedStrings.News, true, true, metaInfo.ServerOffset, allowDiffOffsets, isTickPrecision, ref lastOffset);
metaInfo.LastServerOffset = lastOffset;
if (metaInfo.Version < MarketDataVersions.Version48)
{
continue;
}
writer.Write(news.Priority != null);
if (news.Priority != null)
{
writer.WriteInt((int)news.Priority.Value);
}
if (metaInfo.Version < MarketDataVersions.Version49)
{
continue;
}
writer.WriteStringEx(news.Language);
if (metaInfo.Version < MarketDataVersions.Version50)
{
continue;
}
writer.Write(news.ExpiryDate != null);
if (news.ExpiryDate != null)
{
writer.WriteLong(news.ExpiryDate.Value.To <long>());
}
writer.WriteStringEx(news.SecurityId?.BoardCode);
}
}
protected override void OnSave(BitArrayWriter writer, IEnumerable <ExecutionMessage> messages, TransactionSerializerMetaInfo metaInfo)
{
if (metaInfo.IsEmpty())
{
var msg = messages.First();
metaInfo.FirstOrderId = metaInfo.LastOrderId = msg.OrderId ?? 0;
metaInfo.FirstTradeId = metaInfo.LastTradeId = msg.TradeId ?? 0;
metaInfo.FirstTransactionId = metaInfo.LastTransactionId = msg.TransactionId;
metaInfo.FirstOriginalTransactionId = metaInfo.LastOriginalTransactionId = msg.OriginalTransactionId;
metaInfo.FirstCommission = metaInfo.LastCommission = msg.Commission ?? 0;
metaInfo.ServerOffset = msg.ServerTime.Offset;
}
writer.WriteInt(messages.Count());
var allowNonOrdered = metaInfo.Version >= MarketDataVersions.Version48;
var isUtc = metaInfo.Version >= MarketDataVersions.Version51;
var allowDiffOffsets = metaInfo.Version >= MarketDataVersions.Version56;
foreach (var msg in messages)
{
var isTrade = msg.ExecutionType == ExecutionTypes.Trade;
if (msg.ExecutionType != ExecutionTypes.Order && msg.ExecutionType != ExecutionTypes.Trade)
{
throw new ArgumentOutOfRangeException(nameof(messages), msg.ExecutionType, LocalizedStrings.Str1695Params.Put(msg.OrderId ?? msg.TradeId));
}
// нулевой номер заявки возможен при сохранении в момент регистрации
if (msg.OrderId < 0)
{
throw new ArgumentOutOfRangeException(nameof(messages), msg.OrderId, LocalizedStrings.Str925);
}
// нулевая цена возможна, если идет "рыночная" продажа по инструменту без планок
if (msg.OrderPrice < 0)
{
throw new ArgumentOutOfRangeException(nameof(messages), msg.OrderPrice, LocalizedStrings.Str926Params.Put(msg.OrderId == null ? msg.OrderStringId : msg.OrderId.To <string>()));
}
var volume = msg.Volume;
if (volume < 0)
{
throw new ArgumentOutOfRangeException(nameof(messages), volume, LocalizedStrings.Str927Params.Put(msg.OrderId == null ? msg.OrderStringId : msg.OrderId.To <string>()));
}
if (isTrade)
{
if ((msg.TradeId == null && msg.TradeStringId.IsEmpty()) || msg.TradeId <= 0)
{
throw new ArgumentOutOfRangeException(nameof(messages), msg.TradeId, LocalizedStrings.Str928Params.Put(msg.TransactionId));
}
if (msg.TradePrice == null || msg.TradePrice <= 0)
{
throw new ArgumentOutOfRangeException(nameof(messages), msg.TradePrice, LocalizedStrings.Str929Params.Put(msg.TradeId, msg.OrderId));
}
}
writer.WriteInt((int)msg.ExecutionType);
metaInfo.LastTransactionId = writer.SerializeId(msg.TransactionId, metaInfo.LastTransactionId);
metaInfo.LastOriginalTransactionId = writer.SerializeId(msg.OriginalTransactionId, metaInfo.LastOriginalTransactionId);
if (!isTrade)
{
if (metaInfo.Version < MarketDataVersions.Version50)
{
metaInfo.LastOrderId = writer.SerializeId(msg.OrderId ?? 0, metaInfo.LastOrderId);
}
else
{
writer.Write(msg.OrderId != null);
if (msg.OrderId != null)
{
metaInfo.LastOrderId = writer.SerializeId(msg.OrderId.Value, metaInfo.LastOrderId);
}
else
{
writer.Write(!msg.OrderStringId.IsEmpty());
if (!msg.OrderStringId.IsEmpty())
{
writer.WriteString(msg.OrderStringId);
}
}
writer.Write(!msg.OrderBoardId.IsEmpty());
if (!msg.OrderBoardId.IsEmpty())
{
writer.WriteString(msg.OrderBoardId);
}
}
}
else
{
if (metaInfo.Version < MarketDataVersions.Version50)
{
metaInfo.LastTradeId = writer.SerializeId(msg.TradeId ?? 0, metaInfo.LastTradeId);
}
else
{
writer.Write(msg.TradeId != null);
if (msg.TradeId != null)
{
metaInfo.LastTradeId = writer.SerializeId(msg.TradeId.Value, metaInfo.LastTradeId);
}
else
{
writer.Write(!msg.TradeStringId.IsEmpty());
if (!msg.TradeStringId.IsEmpty())
{
writer.WriteString(msg.TradeStringId);
}
}
}
}
writer.Write(msg.Side == Sides.Buy);
writer.WritePriceEx(!isTrade ? msg.OrderPrice : msg.GetTradePrice(), metaInfo, SecurityId);
if (metaInfo.Version < MarketDataVersions.Version57)
{
writer.WriteVolume(volume ?? 0, metaInfo, SecurityId);
}
else
{
writer.Write(volume != null);
if (volume != null)
{
writer.WriteVolume(volume.Value, metaInfo, SecurityId);
}
}
if (metaInfo.Version < MarketDataVersions.Version54)
{
writer.WriteVolume(msg.VisibleVolume ?? 0, metaInfo, SecurityId);
writer.WriteVolume(msg.Balance ?? 0, metaInfo, SecurityId);
}
else
{
writer.Write(msg.VisibleVolume != null);
if (msg.VisibleVolume != null)
{
writer.WriteVolume(msg.VisibleVolume.Value, metaInfo, SecurityId);
}
writer.Write(msg.Balance != null);
if (msg.Balance != null)
{
writer.WriteVolume(msg.Balance.Value, metaInfo, SecurityId);
}
}
var lastOffset = metaInfo.LastServerOffset;
metaInfo.LastTime = writer.WriteTime(msg.ServerTime, metaInfo.LastTime, LocalizedStrings.Str930, allowNonOrdered, isUtc, metaInfo.ServerOffset, allowDiffOffsets, ref lastOffset);
metaInfo.LastServerOffset = lastOffset;
writer.WriteInt((int)msg.OrderType);
writer.WriteNullableInt(msg.OrderState);
writer.WriteNullableInt(msg.OrderStatus);
if (metaInfo.Version < MarketDataVersions.Version52)
{
writer.WriteInt(msg.TradeStatus ?? 0);
}
else
{
writer.WriteNullableInt(msg.TradeStatus);
}
if (metaInfo.Version < MarketDataVersions.Version53)
{
writer.WriteInt((int)(msg.TimeInForce ?? TimeInForce.PutInQueue));
}
else
{
writer.Write(msg.TimeInForce != null);
if (msg.TimeInForce != null)
{
writer.WriteInt((int)msg.TimeInForce.Value);
}
}
if (metaInfo.Version < MarketDataVersions.Version52)
{
writer.Write(msg.IsSystem ?? true);
}
else
{
writer.Write(msg.IsSystem != null);
if (msg.IsSystem != null)
{
writer.Write(msg.IsSystem.Value);
}
}
writer.WriteLong(msg.ExpiryDate != null ? msg.ExpiryDate.Value.Ticks : 0L);
WriteCommission(writer, metaInfo, msg.Commission);
WriteString(writer, metaInfo.Portfolios, msg.PortfolioName);
WriteString(writer, metaInfo.StrategyIds, msg.UserOrderId);
WriteString(writer, metaInfo.Comments, msg.Comment);
WriteString(writer, metaInfo.Errors, msg.Error != null ? msg.Error.Message : null);
if (metaInfo.Version < MarketDataVersions.Version55)
{
continue;
}
writer.Write(msg.Currency != null);
if (msg.Currency != null)
{
writer.WriteInt((int)msg.Currency.Value);
}
}
}
protected override void OnSave(BitArrayWriter writer, IEnumerable <NewsMessage> messages, NewsMetaInfo metaInfo)
{
var isMetaEmpty = metaInfo.IsEmpty();
writer.WriteInt(messages.Count());
var allowDiffOffsets = metaInfo.Version >= MarketDataVersions.Version46;
var isTickPrecision = metaInfo.Version >= MarketDataVersions.Version47;
foreach (var news in messages)
{
if (isMetaEmpty)
{
metaInfo.ServerOffset = news.ServerTime.Offset;
isMetaEmpty = false;
}
if (news.Id.IsEmpty())
{
writer.Write(false);
}
else
{
writer.Write(true);
writer.WriteString(news.Id);
}
writer.WriteString(news.Headline);
if (news.Story.IsEmpty())
{
writer.Write(false);
}
else
{
writer.Write(true);
writer.WriteString(news.Story);
}
if (news.Source.IsEmpty())
{
writer.Write(false);
}
else
{
writer.Write(true);
writer.WriteString(news.Source);
}
if (news.BoardCode.IsEmpty())
{
writer.Write(false);
}
else
{
writer.Write(true);
writer.WriteString(news.BoardCode);
}
if (news.SecurityId == null)
{
writer.Write(false);
}
else
{
writer.Write(true);
writer.WriteString(news.SecurityId.Value.SecurityCode);
}
if (news.Url == null)
{
writer.Write(false);
}
else
{
writer.Write(true);
writer.WriteString(news.Url.To <string>());
}
var lastOffset = metaInfo.LastServerOffset;
metaInfo.LastTime = writer.WriteTime(news.ServerTime, metaInfo.LastTime, LocalizedStrings.News, true, true, metaInfo.ServerOffset, allowDiffOffsets, isTickPrecision, ref lastOffset);
metaInfo.LastServerOffset = lastOffset;
}
}
protected override void OnSave(BitArrayWriter writer, IEnumerable <ExecutionMessage> messages, TransactionSerializerMetaInfo metaInfo)
{
if (metaInfo.IsEmpty())
{
var msg = messages.First();
metaInfo.FirstOrderId = metaInfo.LastOrderId = msg.OrderId ?? 0;
metaInfo.FirstTradeId = metaInfo.LastTradeId = msg.TradeId ?? 0;
metaInfo.FirstTransactionId = metaInfo.LastTransactionId = msg.TransactionId;
metaInfo.FirstOriginalTransactionId = metaInfo.LastOriginalTransactionId = msg.OriginalTransactionId;
metaInfo.FirstCommission = metaInfo.LastCommission = msg.Commission ?? 0;
metaInfo.FirstPnL = metaInfo.LastPnL = msg.PnL ?? 0;
metaInfo.FirstPosition = metaInfo.LastPosition = msg.Position ?? 0;
metaInfo.FirstSlippage = metaInfo.LastSlippage = msg.Slippage ?? 0;
metaInfo.FirstItemLocalTime = metaInfo.LastItemLocalTime = msg.LocalTime.UtcDateTime;
metaInfo.FirstItemLocalOffset = metaInfo.LastItemLocalOffset = msg.LocalTime.Offset;
metaInfo.ServerOffset = msg.ServerTime.Offset;
}
writer.WriteInt(messages.Count());
var allowNonOrdered = metaInfo.Version >= MarketDataVersions.Version48;
var isUtc = metaInfo.Version >= MarketDataVersions.Version51;
var allowDiffOffsets = metaInfo.Version >= MarketDataVersions.Version56;
var isTickPrecision = metaInfo.Version >= MarketDataVersions.Version60;
foreach (var msg in messages)
{
if (msg.ExecutionType != ExecutionTypes.Transaction)
{
throw new ArgumentOutOfRangeException(nameof(messages), msg.ExecutionType, LocalizedStrings.Str1695Params.Put(msg));
}
// нулевой номер заявки возможен при сохранении в момент регистрации
if (msg.OrderId < 0)
{
throw new ArgumentOutOfRangeException(nameof(messages), msg.OrderId, LocalizedStrings.Str925);
}
// нулевая цена возможна, если идет "рыночная" продажа по инструменту без планок
if (msg.OrderPrice < 0)
{
throw new ArgumentOutOfRangeException(nameof(messages), msg.OrderPrice, LocalizedStrings.Str926Params.Put(msg.OrderId == null ? msg.OrderStringId : msg.OrderId.To <string>()));
}
//var volume = msg.Volume;
//if (volume < 0)
// throw new ArgumentOutOfRangeException(nameof(messages), volume, LocalizedStrings.Str927Params.Put(msg.OrderId == null ? msg.OrderStringId : msg.OrderId.To<string>()));
if (msg.HasTradeInfo())
{
//if ((msg.TradeId == null && msg.TradeStringId.IsEmpty()) || msg.TradeId <= 0)
// throw new ArgumentOutOfRangeException(nameof(messages), msg.TradeId, LocalizedStrings.Str928Params.Put(msg.TransactionId));
if (msg.TradePrice == null || msg.TradePrice <= 0)
{
throw new ArgumentOutOfRangeException(nameof(messages), msg.TradePrice, LocalizedStrings.Str929Params.Put(msg.TradeId, msg.OrderId));
}
}
metaInfo.LastTransactionId = writer.SerializeId(msg.TransactionId, metaInfo.LastTransactionId);
metaInfo.LastOriginalTransactionId = writer.SerializeId(msg.OriginalTransactionId, metaInfo.LastOriginalTransactionId);
writer.Write(msg.HasOrderInfo);
writer.Write(msg.HasTradeInfo);
writer.Write(msg.OrderId != null);
if (msg.OrderId != null)
{
metaInfo.LastOrderId = writer.SerializeId(msg.OrderId.Value, metaInfo.LastOrderId);
}
else
{
writer.Write(!msg.OrderStringId.IsEmpty());
if (!msg.OrderStringId.IsEmpty())
{
writer.WriteString(msg.OrderStringId);
}
}
writer.Write(!msg.OrderBoardId.IsEmpty());
if (!msg.OrderBoardId.IsEmpty())
{
writer.WriteString(msg.OrderBoardId);
}
writer.Write(msg.TradeId != null);
if (msg.TradeId != null)
{
metaInfo.LastTradeId = writer.SerializeId(msg.TradeId.Value, metaInfo.LastTradeId);
}
else
{
writer.Write(!msg.TradeStringId.IsEmpty());
if (!msg.TradeStringId.IsEmpty())
{
writer.WriteString(msg.TradeStringId);
}
}
if (msg.OrderPrice != 0)
{
writer.Write(true);
writer.WritePriceEx(msg.OrderPrice, metaInfo, SecurityId);
}
else
{
writer.Write(false);
}
if (msg.TradePrice != null)
{
writer.Write(true);
writer.WritePriceEx(msg.TradePrice.Value, metaInfo, SecurityId);
}
else
{
writer.Write(false);
}
writer.Write(msg.Side == Sides.Buy);
writer.Write(msg.OrderVolume != null);
if (msg.OrderVolume != null)
{
writer.WriteVolume(msg.OrderVolume.Value, metaInfo, SecurityId);
}
writer.Write(msg.TradeVolume != null);
if (msg.TradeVolume != null)
{
writer.WriteVolume(msg.TradeVolume.Value, metaInfo, SecurityId);
}
writer.Write(msg.VisibleVolume != null);
if (msg.VisibleVolume != null)
{
writer.WriteVolume(msg.VisibleVolume.Value, metaInfo, SecurityId);
}
writer.Write(msg.Balance != null);
if (msg.Balance != null)
{
writer.WriteVolume(msg.Balance.Value, metaInfo, SecurityId);
}
var lastOffset = metaInfo.LastServerOffset;
metaInfo.LastTime = writer.WriteTime(msg.ServerTime, metaInfo.LastTime, LocalizedStrings.Str930, allowNonOrdered, isUtc, metaInfo.ServerOffset, allowDiffOffsets, isTickPrecision, ref lastOffset);
metaInfo.LastServerOffset = lastOffset;
writer.WriteNullableInt((int?)msg.OrderType);
writer.WriteNullableInt((int?)msg.OrderState);
writer.WriteNullableLong(msg.OrderStatus);
writer.WriteNullableInt(msg.TradeStatus);
writer.WriteNullableInt((int?)msg.TimeInForce);
writer.Write(msg.IsSystem != null);
if (msg.IsSystem != null)
{
writer.Write(msg.IsSystem.Value);
}
writer.Write(msg.IsUpTick != null);
if (msg.IsUpTick != null)
{
writer.Write(msg.IsUpTick.Value);
}
writer.WriteDto(msg.ExpiryDate);
metaInfo.LastCommission = Write(writer, msg.Commission, metaInfo.LastCommission);
metaInfo.LastPnL = Write(writer, msg.PnL, metaInfo.LastPnL);
metaInfo.LastPosition = Write(writer, msg.Position, metaInfo.LastPosition);
metaInfo.LastSlippage = Write(writer, msg.Slippage, metaInfo.LastSlippage);
WriteString(writer, metaInfo.Portfolios, msg.PortfolioName);
WriteString(writer, metaInfo.ClientCodes, msg.ClientCode);
WriteString(writer, metaInfo.BrokerCodes, msg.BrokerCode);
WriteString(writer, metaInfo.DepoNames, msg.DepoName);
WriteString(writer, metaInfo.UserOrderIds, msg.UserOrderId);
WriteString(writer, metaInfo.Comments, msg.Comment);
WriteString(writer, metaInfo.SystemComments, msg.SystemComment);
WriteString(writer, metaInfo.Errors, msg.Error?.Message);
writer.WriteNullableInt((int?)msg.Currency);
writer.Write(msg.Latency != null);
if (msg.Latency != null)
{
writer.WriteLong(msg.Latency.Value.Ticks);
}
writer.Write(msg.OriginSide != null);
if (msg.OriginSide != null)
{
writer.Write(msg.OriginSide.Value == Sides.Buy);
}
if (metaInfo.Version < MarketDataVersions.Version59)
{
continue;
}
WriteItemLocalTime(writer, metaInfo, msg, isTickPrecision);
if (metaInfo.Version < MarketDataVersions.Version61)
{
continue;
}
writer.Write(msg.IsMarketMaker != null);
if (msg.IsMarketMaker != null)
{
writer.Write(msg.IsMarketMaker.Value);
}
if (metaInfo.Version < MarketDataVersions.Version62)
{
continue;
}
writer.Write(msg.IsMargin != null);
if (msg.IsMargin != null)
{
writer.Write(msg.IsMargin.Value);
}
}
}
protected override void OnSave(BitArrayWriter writer, IEnumerable <NewsMessage> messages, NewsMetaInfo metaInfo)
{
var isMetaEmpty = metaInfo.IsEmpty();
writer.WriteInt(messages.Count());
foreach (var news in messages)
{
if (isMetaEmpty)
{
metaInfo.ServerOffset = news.ServerTime.Offset;
isMetaEmpty = false;
}
if (news.Id.IsEmpty())
{
writer.Write(false);
}
else
{
writer.Write(true);
writer.WriteString(news.Id);
}
writer.WriteString(news.Headline);
if (news.Story.IsEmpty())
{
writer.Write(false);
}
else
{
writer.Write(true);
writer.WriteString(news.Story);
}
if (news.Source.IsEmpty())
{
writer.Write(false);
}
else
{
writer.Write(true);
writer.WriteString(news.Source);
}
if (news.BoardCode.IsEmpty())
{
writer.Write(false);
}
else
{
writer.Write(true);
writer.WriteString(news.BoardCode);
}
if (news.SecurityId == null)
{
writer.Write(false);
}
else
{
writer.Write(true);
writer.WriteString(news.SecurityId.Value.SecurityCode);
}
if (news.Url == null)
{
writer.Write(false);
}
else
{
writer.Write(true);
writer.WriteString(news.Url.To <string>());
}
metaInfo.LastTime = writer.WriteTime(news.ServerTime, metaInfo.LastTime, LocalizedStrings.News, true, true, metaInfo.ServerOffset);
}
}