/// <inheritdoc /> protected override NullableTimeQuoteChange Read(FastCsvReader reader, IMarketDataMetaInfo metaInfo) { var quote = new NullableTimeQuoteChange { ServerTime = reader.ReadTime(metaInfo.Date), }; var price = reader.ReadNullableDecimal(); var volume = reader.ReadNullableDecimal(); quote.Side = reader.ReadEnum <Sides>(); int?ordersCount = null; if ((reader.ColumnCurr + 1) < reader.ColumnCount) { ordersCount = reader.ReadNullableInt(); } QuoteConditions condition = default; if ((reader.ColumnCurr + 1) < reader.ColumnCount) { condition = reader.ReadNullableEnum <QuoteConditions>() ?? default; } if (price != null) { var qq = new QuoteChange { Price = price.Value, Volume = volume ?? 0, OrdersCount = ordersCount, Condition = condition, }; quote.Quote = qq; if ((reader.ColumnCurr + 1) < reader.ColumnCount) { qq.StartPosition = reader.ReadNullableInt(); qq.EndPosition = reader.ReadNullableInt(); qq.Action = reader.ReadNullableEnum <QuoteChangeActions>(); } } return(quote); }
protected override Security Read(FastCsvReader reader) { var id = reader.ReadString(); var security = new LiteSecurity { Name = reader.ReadString(), Code = reader.ReadString(), Class = reader.ReadString(), ShortName = reader.ReadString(), Board = reader.ReadString(), UnderlyingSecurityId = reader.ReadString(), PriceStep = reader.ReadNullableDecimal(), VolumeStep = reader.ReadNullableDecimal(), Multiplier = reader.ReadNullableDecimal(), Decimals = reader.ReadNullableInt(), Type = reader.ReadNullableEnum <SecurityTypes>(), ExpiryDate = ReadNullableDateTime(reader), SettlementDate = ReadNullableDateTime(reader), Strike = reader.ReadNullableDecimal(), OptionType = reader.ReadNullableEnum <OptionTypes>(), Currency = reader.ReadNullableEnum <CurrencyTypes>(), ExternalId = new SecurityExternalId { Sedol = reader.ReadString(), Cusip = reader.ReadString(), Isin = reader.ReadString(), Ric = reader.ReadString(), Bloomberg = reader.ReadString(), IQFeed = reader.ReadString(), InteractiveBrokers = reader.ReadNullableInt(), Plaza = reader.ReadString() }, //ExtensionInfo = Deserialize<Dictionary<object, object>>(reader.ReadString()) }; _cache.Add(id, security); return(security.ToSecurity(this, id)); }
protected override Security Read(FastCsvReader reader) { var security = new Security { Id = reader.ReadString(), Name = reader.ReadString(), Code = reader.ReadString(), Class = reader.ReadString(), ShortName = reader.ReadString(), Board = Registry.ExchangeBoards.ReadById(reader.ReadString()), UnderlyingSecurityId = reader.ReadString(), PriceStep = reader.ReadNullableDecimal(), VolumeStep = reader.ReadNullableDecimal(), Multiplier = reader.ReadNullableDecimal(), Decimals = reader.ReadNullableInt(), Type = reader.ReadNullableEnum <SecurityTypes>(), ExpiryDate = reader.ReadNullableDateTime(_dateTimeFormat), SettlementDate = reader.ReadNullableDateTime(_dateTimeFormat), Strike = reader.ReadNullableDecimal(), OptionType = reader.ReadNullableEnum <OptionTypes>(), Currency = reader.ReadNullableEnum <CurrencyTypes>(), ExternalId = new SecurityExternalId { Sedol = reader.ReadString(), Cusip = reader.ReadString(), Isin = reader.ReadString(), Ric = reader.ReadString(), Bloomberg = reader.ReadString(), IQFeed = reader.ReadString(), InteractiveBrokers = reader.ReadNullableInt(), Plaza = reader.ReadString() }, ExtensionInfo = Deserialize <Dictionary <object, object> >(reader.ReadString()) }; return(security); }
/// <inheritdoc /> protected override Security Read(FastCsvReader reader) { var id = reader.ReadString(); var security = CreateSecurity(reader.ReadString()); var secId = id.ToSecurityId(); security.Id = id; security.Code = secId.SecurityCode; security.Board = Registry.GetBoard(secId.BoardCode); security.Decimals = reader.ReadNullableInt(); security.PriceStep = reader.ReadNullableDecimal(); security.VolumeStep = reader.ReadNullableDecimal(); return(security); }
/// <inheritdoc /> protected override ExecutionMessage Read(FastCsvReader reader, IMarketDataMetaInfo metaInfo) { var ol = new ExecutionMessage { SecurityId = SecurityId, ExecutionType = ExecutionTypes.OrderLog, ServerTime = reader.ReadTime(metaInfo.Date), TransactionId = reader.ReadLong(), OrderId = reader.ReadNullableLong(), OrderPrice = reader.ReadDecimal(), OrderVolume = reader.ReadDecimal(), Side = reader.ReadEnum <Sides>(), OrderState = reader.ReadEnum <OrderStates>(), TimeInForce = reader.ReadNullableEnum <TimeInForce>(), TradeId = reader.ReadNullableLong(), TradePrice = reader.ReadNullableDecimal(), PortfolioName = reader.ReadString(), IsSystem = reader.ReadNullableBool(), }; if ((reader.ColumnCurr + 1) < reader.ColumnCount) { ol.Balance = reader.ReadNullableDecimal(); } if ((reader.ColumnCurr + 1) < reader.ColumnCount) { ol.SeqNum = reader.ReadNullableLong() ?? 0L; } if ((reader.ColumnCurr + 1) < reader.ColumnCount) { ol.OrderStringId = reader.ReadString(); ol.TradeStringId = reader.ReadString(); ol.OrderBuyId = reader.ReadNullableLong(); ol.OrderSellId = reader.ReadNullableLong(); ol.IsUpTick = reader.ReadNullableBool(); ol.Yield = reader.ReadNullableDecimal(); ol.TradeStatus = reader.ReadNullableInt(); ol.OpenInterest = reader.ReadNullableDecimal(); ol.OriginSide = reader.ReadNullableEnum <Sides>(); } return(ol); }
/// <inheritdoc /> protected override NullableTimeQuoteChange Read(FastCsvReader reader, IMarketDataMetaInfo metaInfo) { var quote = new NullableTimeQuoteChange { ServerTime = reader.ReadTime(metaInfo.Date), Price = reader.ReadNullableDecimal(), Volume = reader.ReadDecimal(), Side = reader.ReadEnum <Sides>() }; if ((reader.ColumnCurr + 1) < reader.ColumnCount) { quote.OrdersCount = reader.ReadNullableInt(); } return(quote); }
/// <inheritdoc /> protected override ExecutionMessage Read(FastCsvReader reader, IMarketDataMetaInfo metaInfo) { var msg = new ExecutionMessage { SecurityId = SecurityId, ExecutionType = ExecutionTypes.Transaction, ServerTime = reader.ReadTime(metaInfo.Date), TransactionId = reader.ReadLong(), OriginalTransactionId = reader.ReadLong(), OrderId = reader.ReadNullableLong(), OrderStringId = reader.ReadString(), OrderBoardId = reader.ReadString(), UserOrderId = reader.ReadString(), OrderPrice = reader.ReadDecimal(), OrderVolume = reader.ReadNullableDecimal(), Balance = reader.ReadNullableDecimal(), VisibleVolume = reader.ReadNullableDecimal(), Side = reader.ReadEnum <Sides>(), OriginSide = reader.ReadNullableEnum <Sides>(), OrderState = reader.ReadNullableEnum <OrderStates>(), OrderType = reader.ReadNullableEnum <OrderTypes>(), TimeInForce = reader.ReadNullableEnum <TimeInForce>(), TradeId = reader.ReadNullableLong(), TradeStringId = reader.ReadString(), TradePrice = reader.ReadNullableDecimal(), TradeVolume = reader.ReadNullableDecimal(), PortfolioName = reader.ReadString(), ClientCode = reader.ReadString(), BrokerCode = reader.ReadString(), DepoName = reader.ReadString(), IsSystem = reader.ReadNullableBool(), HasOrderInfo = reader.ReadBool(), HasTradeInfo = reader.ReadBool(), Commission = reader.ReadNullableDecimal(), Currency = reader.ReadNullableEnum <CurrencyTypes>(), Comment = reader.ReadString(), SystemComment = reader.ReadString(), //DerivedOrderId = reader.ReadNullableLong(), //DerivedOrderStringId = reader.ReadString(), }; reader.ReadNullableLong(); reader.ReadString(); msg.IsUpTick = reader.ReadNullableBool(); msg.IsCancellation = reader.ReadBool(); msg.OpenInterest = reader.ReadNullableDecimal(); msg.PnL = reader.ReadNullableDecimal(); msg.Position = reader.ReadNullableDecimal(); msg.Slippage = reader.ReadNullableDecimal(); msg.TradeStatus = reader.ReadNullableInt(); msg.OrderStatus = reader.ReadNullableLong(); msg.Latency = reader.ReadNullableLong().To <TimeSpan?>(); var error = reader.ReadString(); if (!error.IsEmpty()) { msg.Error = new InvalidOperationException(error); } var dtStr = reader.ReadString(); if (dtStr != null) { msg.ExpiryDate = (dtStr.ToDateTime() + reader.ReadString().ToTimeMls()).ToDateTimeOffset(TimeSpan.Parse(reader.ReadString().Remove("+"))); } else { reader.Skip(2); } msg.LocalTime = reader.ReadTime(metaInfo.Date); msg.IsMarketMaker = reader.ReadNullableBool(); if ((reader.ColumnCurr + 1) < reader.ColumnCount) { msg.CommissionCurrency = reader.ReadString(); } if ((reader.ColumnCurr + 1) < reader.ColumnCount) { msg.IsMargin = reader.ReadNullableBool(); msg.IsManual = reader.ReadNullableBool(); } return(msg); }
/// <summary> /// Load data from the specified reader. /// </summary> /// <param name="reader">CSV reader.</param> /// <param name="date">Date.</param> /// <returns>Data.</returns> protected override ExecutionMessage Read(FastCsvReader reader, DateTime date) { var msg = new ExecutionMessage { SecurityId = SecurityId, ExecutionType = ExecutionTypes.Transaction, ServerTime = reader.ReadTime(date), TransactionId = reader.ReadLong(), OriginalTransactionId = reader.ReadLong(), OrderId = reader.ReadNullableLong(), OrderStringId = reader.ReadString(), OrderBoardId = reader.ReadString(), UserOrderId = reader.ReadString(), OrderPrice = reader.ReadDecimal(), OrderVolume = reader.ReadNullableDecimal(), Balance = reader.ReadNullableDecimal(), VisibleVolume = reader.ReadNullableDecimal(), Side = reader.ReadEnum <Sides>(), OriginSide = reader.ReadNullableEnum <Sides>(), OrderState = reader.ReadNullableEnum <OrderStates>(), OrderType = reader.ReadNullableEnum <OrderTypes>(), TimeInForce = reader.ReadNullableEnum <TimeInForce>(), TradeId = reader.ReadNullableLong(), TradeStringId = reader.ReadString(), TradePrice = reader.ReadNullableDecimal(), TradeVolume = reader.ReadNullableDecimal(), PortfolioName = reader.ReadString(), ClientCode = reader.ReadString(), BrokerCode = reader.ReadString(), DepoName = reader.ReadString(), IsSystem = reader.ReadNullableBool(), HasOrderInfo = reader.ReadBool(), HasTradeInfo = reader.ReadBool(), Commission = reader.ReadNullableDecimal(), Currency = reader.ReadNullableEnum <CurrencyTypes>(), Comment = reader.ReadString(), SystemComment = reader.ReadString(), DerivedOrderId = reader.ReadNullableLong(), DerivedOrderStringId = reader.ReadString(), IsUpTick = reader.ReadNullableBool(), IsCancelled = reader.ReadBool(), OpenInterest = reader.ReadNullableDecimal(), PnL = reader.ReadNullableDecimal(), Position = reader.ReadNullableDecimal(), Slippage = reader.ReadNullableDecimal(), TradeStatus = reader.ReadNullableInt(), OrderStatus = reader.ReadNullableEnum <OrderStatus>(), Latency = reader.ReadNullableLong().To <TimeSpan?>(), }; var error = reader.ReadString(); if (!error.IsEmpty()) { msg.Error = new InvalidOperationException(error); } var dt = reader.ReadNullableDateTime(DateFormat); if (dt != null) { msg.ExpiryDate = (dt.Value + reader.ReadDateTime(TimeFormat).TimeOfDay).ToDateTimeOffset(TimeSpan.Parse(reader.ReadString().Replace("+", string.Empty))); } return(msg); }
/// <inheritdoc /> protected override Level1ChangeMessage Read(FastCsvReader reader, IMarketDataMetaInfo metaInfo) { var level1 = new Level1ChangeMessage { SecurityId = SecurityId, ServerTime = reader.ReadTime(metaInfo.Date), }; foreach (var pair in _level1Fields) { // backward compatibility if (reader.ColumnCurr == reader.ColumnCount) { break; } var field = pair.Key; if (pair.Value == typeof(DateTimeOffset)) { var dtStr = reader.ReadString(); if (dtStr != null) { level1.Changes.Add(field, (dtStr.ToDateTime() + reader.ReadString().ToTimeMls()).ToDateTimeOffset(TimeSpan.Parse(reader.ReadString().Remove("+")))); } else { reader.Skip(2); } } else if (pair.Value == typeof(int)) { var value = reader.ReadNullableInt(); if (value != null) { level1.Changes.Add(field, value.Value); } } else if (pair.Value == typeof(long)) { var value = reader.ReadNullableLong(); if (value != null) { level1.Changes.Add(field, value.Value); } } else if (pair.Value == typeof(bool)) { var value = reader.ReadNullableBool(); if (value != null) { level1.Changes.Add(field, value.Value); } } else if (pair.Value == typeof(SecurityStates)) { var value = reader.ReadNullableEnum <SecurityStates>(); if (value != null) { level1.Changes.Add(field, value.Value); } } else if (pair.Value == typeof(Sides)) { var value = reader.ReadNullableEnum <Sides>(); if (value != null) { level1.Changes.Add(field, value.Value); } } else { var value = reader.ReadNullableDecimal(); if (value != null) { level1.Changes.Add(field, value.Value); } } } return(level1); }
/// <summary> /// Read data from the specified reader. /// </summary> /// <param name="reader">CSV reader.</param> /// <param name="metaInfo">Meta-information on data for one day.</param> /// <returns>Data.</returns> protected override Level1ChangeMessage Read(FastCsvReader reader, IMarketDataMetaInfo metaInfo) { var level1 = new Level1ChangeMessage { SecurityId = SecurityId, ServerTime = reader.ReadTime(metaInfo.Date), }; foreach (var field in _level1Fields) { // backward compatibility if (reader.ColumnCurr == reader.ColumnCount) { break; } switch (field) { case Level1Fields.BestAskTime: case Level1Fields.BestBidTime: case Level1Fields.LastTradeTime: case Level1Fields.BuyBackDate: var dtStr = reader.ReadString(); if (dtStr != null) { level1.Changes.Add(field, (dtStr.ToDateTime() + reader.ReadString().ToTimeMls()).ToDateTimeOffset(TimeSpan.Parse(reader.ReadString().Remove("+")))); } else { reader.Skip(2); } break; case Level1Fields.LastTradeId: var id = reader.ReadNullableLong(); if (id != null) { level1.Changes.Add(field, id.Value); } break; case Level1Fields.AsksCount: case Level1Fields.BidsCount: case Level1Fields.TradesCount: case Level1Fields.Decimals: var count = reader.ReadNullableInt(); if (count != null) { level1.Changes.Add(field, count.Value); } break; case Level1Fields.LastTradeUpDown: case Level1Fields.IsSystem: var flag = reader.ReadNullableBool(); if (flag != null) { level1.Changes.Add(field, flag.Value); } break; case Level1Fields.State: var state = reader.ReadNullableEnum <SecurityStates>(); if (state != null) { level1.Changes.Add(field, state.Value); } break; case Level1Fields.LastTradeOrigin: var side = reader.ReadNullableEnum <Sides>(); if (side != null) { level1.Changes.Add(field, side.Value); } break; default: var value = reader.ReadNullableDecimal(); if (value != null) { level1.Changes.Add(field, value.Value); } break; } } return(level1); }
/// <inheritdoc /> protected override NullableTimeQuoteChange Read(FastCsvReader reader, IMarketDataMetaInfo metaInfo) { var quote = new NullableTimeQuoteChange { ServerTime = reader.ReadTime(metaInfo.Date), }; var price = reader.ReadNullableDecimal(); var volume = reader.ReadNullableDecimal(); quote.Side = reader.ReadEnum <Sides>(); int?ordersCount = null; if ((reader.ColumnCurr + 1) < reader.ColumnCount) { ordersCount = reader.ReadNullableInt(); } QuoteConditions condition = default; if ((reader.ColumnCurr + 1) < reader.ColumnCount) { condition = reader.ReadNullableEnum <QuoteConditions>() ?? default; } QuoteChange?qq = null; if (price != null) { qq = quote.Quote = new QuoteChange { Price = price.Value, Volume = volume ?? 0, OrdersCount = ordersCount, Condition = condition, }; } if ((reader.ColumnCurr + 1) < reader.ColumnCount) { var startPosition = reader.ReadNullableInt(); var endPosition = reader.ReadNullableInt(); var action = reader.ReadNullableEnum <QuoteChangeActions>(); if (qq != null) { var temp = qq.Value; temp.StartPosition = startPosition; temp.EndPosition = endPosition; temp.Action = action; quote.Quote = temp; } } if ((reader.ColumnCurr + 1) < reader.ColumnCount) { quote.State = reader.ReadNullableEnum <QuoteChangeStates>(); quote.SeqNum = reader.ReadNullableLong(); quote.BuildFrom = reader.ReadBuildFrom(); } return(quote); }