private void SessionOnOrderConfirmed(OEC.API.Order order, int oldOrderId)
{
//if (oldOrderId > 0)
//{
// SendOutMessage(new ExecutionMessage
// {
// ExecutionType = ExecutionTypes.Order,
// OrderId = oldOrderId,
// OrderState = OrderStates.Done,
// });
//}
//SendOutMessage(new ExecutionMessage
//{
// ExecutionType = ExecutionTypes.Order,
// OrderId = order.ID,
// OrderStatus = OrderStatus.ReceiveByServer,
//});
}
private void SessionOnContractChanged(OEC.API.Contract contract)
{
}
private void SessionOnBarsReceived(Subscription subscription, OEC.API.Bar[] bars)
{
ProcessBars(subscription, bars, false);
}
private static string GetBoardCode(string exchange, OEC.API.Contract contract, string defaultBoardCode)
{
return exchange ?? contract.Exchange.Name ?? defaultBoardCode;
}
private void SessionOnContractsChanged(OEC.API.BaseContract contract)
{
}
private void SessionOnHistoryReceived(Subscription subscription, OEC.API.Bar[] bars)
{
ProcessBars(subscription, bars, true);
}
private void SessionOnDealQuoteUpdated(OEC.API.DealQuote quote)
{
}
private void SessionOnPriceTick(OEC.API.Contract contract, Price price)
{
ProcessContract(contract, 0);
}
private void SessionOnDomChanged(OEC.API.Contract contract)
{
ProcessContract(contract, 0);
var dom = contract.DOM;
var bids = new List<QuoteChange>();
var asks = new List<QuoteChange>();
var hasExchange = false;
for (var i = 0; i < dom.BidExchanges.Length; i++)
{
var boardCode = GetBoardCode(dom.BidExchanges[i], contract, null);
if (!hasExchange)
hasExchange = !boardCode.IsEmpty() && boardCode != contract.Exchange.Name;
bids.Add(new QuoteChange(Sides.Buy, contract.Cast(dom.BidLevels[i]) ?? 0, dom.BidSizes[i]) { BoardCode = boardCode });
}
for (var i = 0; i < dom.AskExchanges.Length; i++)
{
var boardCode = GetBoardCode(dom.AskExchanges[i], contract, null);
if (!hasExchange)
hasExchange = !boardCode.IsEmpty() && boardCode != contract.Exchange.Name;
asks.Add(new QuoteChange(Sides.Sell, contract.Cast(dom.AskLevels[i]) ?? 0, dom.AskSizes[i]) { BoardCode = boardCode });
}
SendOutMessage(new QuoteChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = contract.Symbol,
BoardCode = hasExchange ? AssociatedBoardCode : contract.Exchange.Name ?? AssociatedBoardCode
},
ServerTime = dom.LastUpdate.ApplyTimeZone(TimeHelper.Est),
Bids = bids,
Asks = asks,
});
}
private void ProcessContract(OEC.API.Contract contract, long originalTransactionId)
{
SendOutMessage(new SecurityMessage
{
SecurityId = contract.ToSecurityId(),
Name = contract.Name,
UnderlyingSecurityCode = contract.BaseSymbol,
Currency = contract.Currency.Name.ToCurrency(),
Strike = contract.Strike.ToDecimal(),
ExpiryDate = contract.HasExpiration ? contract.ExpirationDate.ApplyTimeZone(TimeHelper.Est) : (DateTimeOffset?)null,
PriceStep = contract.TickSize.ToDecimal(),
Decimals = contract.PriceFormat > 0 ? contract.PriceFormat : (int?)null,
OptionType = contract.IsOption ? (contract.Put ? OptionTypes.Put : OptionTypes.Call) : (OptionTypes?)null,
SecurityType = contract.GetSecurityType(),
OriginalTransactionId = originalTransactionId,
});
}
private void ProcessContract(OEC.API.Contract contract, Price currentPrice, long originalTransactionId)
{
ProcessContract(contract, originalTransactionId);
if (currentPrice == null)
return;
SendOutMessage(new Level1ChangeMessage
{
SecurityId = contract.ToSecurityId(),
ServerTime = currentPrice.LastDateTime.ApplyTimeZone(TimeHelper.Est),
}
.TryAdd(Level1Fields.LastTradePrice, contract.Cast(currentPrice.LastPrice))
.TryAdd(Level1Fields.BestAskPrice, contract.Cast(currentPrice.AskPrice))
.TryAdd(Level1Fields.BestAskVolume, (decimal)currentPrice.AskVol)
.TryAdd(Level1Fields.BestBidPrice, contract.Cast(currentPrice.BidPrice))
.TryAdd(Level1Fields.BestBidVolume, (decimal)currentPrice.BidVol)
.TryAdd(Level1Fields.Change, contract.Cast(currentPrice.Change))
.TryAdd(Level1Fields.OpenInterest, (decimal)currentPrice.OpenInterest)
.TryAdd(Level1Fields.OpenPrice, contract.Cast(currentPrice.OpenPrice))
.TryAdd(Level1Fields.HighPrice, contract.Cast(currentPrice.HighPrice))
.TryAdd(Level1Fields.LowPrice, contract.Cast(currentPrice.LowPrice))
.TryAdd(Level1Fields.LastTradeVolume, (decimal)currentPrice.LastVol)
.TryAdd(Level1Fields.SettlementPrice, contract.Cast(currentPrice.Settlement))
.TryAdd(Level1Fields.Volume, (decimal)currentPrice.TotalVol)
.TryAdd(Level1Fields.StepPrice, (decimal)contract.ContractSize)
.Add(Level1Fields.State, contract.GetSecurityState()));
}
private void SessionOnSymbolLookupReceived(OEC.API.SymbolLookupCriteria criteria, ContractList contracts)
{
var transId = _lookups.TryGetValue(criteria);
foreach (var contract in contracts)
{
ProcessContract(contract, contract.CurrentPrice, transId);
}
SendOutMessage(new SecurityLookupResultMessage { OriginalTransactionId = transId });
}
private void SessionOnCommandUpdated(OEC.API.Order order, Command command)
{
//var msg = "Команда обновилась: #{0}, {1}-{2}, order #{3}".Put(command.ID, command.Type, command.State, oecOrder.OrderString());
//this.AddInfoLog(msg);
////ProcessEvents(() =>
////{
//var currentOrder = _orderMap.GetLocalOrder(oecOrder);
//if (currentOrder == null)
// throw new OECException("CommandUpdated: Локальная заявка для OEC заявки '{0}' не найдена.".Put(oecOrder.OrderString()));
//if (!(command.Type == CommandType.Modify || command.State == CommandState.Failed))
//{
// // при необходимости будет обработано при получении OrderStateChanged
// currentOrder.Messages.Add(msg);
// return;
//}
//switch (command.State)
//{
// case CommandState.Sent:
// {
// // Type == Modify
// var newOrder = _orderMap.GetLocalOrder(command.Version);
// if (newOrder == null)
// throw new OECException("CommandUpdated2: Локальная заявка для версии '{0}' не найдена.".Put(command.Version));
// if (command.ID > 0 && newOrder.Id <= 0)
// {
// var updatemsg = "OecCbOnCommandUpdated: Команда на модификацию (oldId={0}) принята сервером. newId={1}".Put(newOrder.Id, command.ID);
// this.AddInfoLog(updatemsg);
// GetOrder(newOrder.Security, newOrder.Type, command.ID, id => newOrder, order =>
// {
// _orderMap.BindOrderToOecOrderVersion(order, command.Version);
// order.Messages.Add(updatemsg);
// order.Status = OrderStatus.ReceiveByServer;
// return true;
// });
// }
// break;
// }
// case CommandState.Executed:
// {
// // Type == Modify
// var prevOecOrderVersion = oecOrder.Versions.Current.GetPreviousExecutedVersion();
// if (prevOecOrderVersion == null)
// {
// var errmsg = "Предыдущая версия заявки '{0}' не найдена.".Put(oecOrder.OrderString());
// this.AddErrorLog(errmsg);
// throw new OECException(errmsg);
// }
// var oldOrder = _orderMap.GetLocalOrder(prevOecOrderVersion);
// if (oldOrder == null)
// throw new OECException("CommandUpdated3: Локальная заявка для версии '{0}' не найдена.".Put(prevOecOrderVersion));
// OnModifyCommandExecuted(oldOrder, currentOrder, oecOrder);
// break;
// }
// case CommandState.Failed:
// {
// switch (command.Type)
// {
// case CommandType.Create:
// // will be handled in OnOrderChanged
// this.AddWarningLog("Команда Create вернула ошибку: {0}", command.ResultComments);
// break;
// case CommandType.Modify:
// var newOrder = _orderMap.GetLocalOrder(command.Version);
// if (newOrder == null)
// throw new OECException("CommandUpdated4: Локальная заявка для версии '{0}' не найдена.".Put(command.Version));
// newOrder.Id = 0;
// newOrder.State = OrderStates.Done;
// newOrder.Status = OrderStatus.NotValidated;
// newOrder.LastChangeTime = command.ResultTimestamp;
// RaiseOrderFailed(newOrder, new OECException("Команда Modify завершилась неудачно, комментарий='{0}'".Put(command.ResultComments)));
// break;
// case CommandType.Cancel:
// RaiseOrderFailed(currentOrder, new OECException("Команда Cancel завершилась неудачно, комментарий='{0}'".Put(command.ResultComments)));
// break;
// }
// break;
// }
//}
//});
}
private void SessionOnCompoundPositionGroupChanged(OEC.API.CompoundPositionGroup group, OEC.API.CompoundLegPosition position)
{
}
private void SessionOnPriceChanged(OEC.API.Contract contract, Price price)
{
ProcessContract(contract, price, 0);
}
private void SessionOnSymbolLookupReceived(OEC.API.SymbolLookupCriteria criteria, ContractList contracts)
{
foreach (var contract in contracts)
{
ProcessContract(contract, contract.CurrentPrice, 0);
}
SendOutMessage(new SecurityLookupResultMessage());
}
private void SessionOnIndexComponentsReceived(OEC.API.Contract contract)
{
ProcessContract(contract, contract.CurrentPrice, 0);
}
private void ProcessContract(OEC.API.Contract contract, Price currentPrice, long originalTransactionId)
{
var secId = contract.ToSecurityId();
SendOutMessage(new SecurityMessage
{
SecurityId = secId,
Name = contract.Name,
UnderlyingSecurityCode = contract.BaseSymbol,
Currency = contract.Currency.Name.ToCurrency(),
Strike = contract.Strike.ToDecimal(),
ExpiryDate = contract.HasExpiration ? contract.ExpirationDate.ApplyTimeZone(TimeHelper.Est) : (DateTimeOffset?)null,
PriceStep = contract.TickSize.ToDecimal(),
Decimals = contract.PriceFormat > 0 ? contract.PriceFormat : (int?)null,
OptionType = contract.IsOption ? (contract.Put ? OptionTypes.Put : OptionTypes.Call) : (OptionTypes?)null,
SecurityType = contract.GetSecurityType(),
OriginalTransactionId = originalTransactionId,
});
if (currentPrice == null)
return;
SendOutMessage(new Level1ChangeMessage
{
SecurityId = secId,
ServerTime = currentPrice.LastDateTime.ApplyTimeZone(TimeHelper.Est),
}
.TryAdd(Level1Fields.LastTradePrice, contract.Cast(currentPrice.LastPrice))
.TryAdd(Level1Fields.BestAskPrice, contract.Cast(currentPrice.AskPrice))
.TryAdd(Level1Fields.BestAskVolume, (decimal)currentPrice.AskVol)
.TryAdd(Level1Fields.BestBidPrice, contract.Cast(currentPrice.BidPrice))
.TryAdd(Level1Fields.BestBidVolume, (decimal)currentPrice.BidVol)
.TryAdd(Level1Fields.Change, contract.Cast(currentPrice.Change))
.TryAdd(Level1Fields.OpenInterest, (decimal)currentPrice.OpenInterest)
.TryAdd(Level1Fields.OpenPrice, contract.Cast(currentPrice.OpenPrice))
.TryAdd(Level1Fields.HighPrice, contract.Cast(currentPrice.HighPrice))
.TryAdd(Level1Fields.LowPrice, contract.Cast(currentPrice.LowPrice))
.TryAdd(Level1Fields.LastTradeVolume, (decimal)currentPrice.LastVol)
.TryAdd(Level1Fields.SettlementPrice, contract.Cast(currentPrice.Settlement))
.TryAdd(Level1Fields.Volume, (decimal)currentPrice.TotalVol)
.TryAdd(Level1Fields.StepPrice, (decimal)contract.ContractSize)
.Add(Level1Fields.State, contract.GetSecurityState()));
}
private void SessionOnHistogramReceived(Subscription subscription, OEC.API.Histogram hist)
{
}
private void SessionOnTicksReceived(Subscription subscription, OEC.API.Ticks ticks)
{
var contract = subscription.Contract;
for (var i = 0; i < ticks.Exchanges.Length; i++)
{
SendOutMessage(new Level1ChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = contract.Symbol,
BoardCode = GetBoardCode(ticks.Exchanges[i], contract, AssociatedBoardCode),
},
ServerTime = ticks.Timestamps[i].ApplyTimeZone(TimeHelper.Est)
}
.TryAdd(Level1Fields.LastTradePrice, contract.Cast(ticks.Prices[i]))
.TryAdd(Level1Fields.LastTradeVolume, (decimal)ticks.Volumes32[i])
.TryAdd(Level1Fields.BestBidPrice, contract.Cast(ticks.BidPrices[i]))
.TryAdd(Level1Fields.BestAskPrice, contract.Cast(ticks.AskPrices[i])));
}
}
private void SessionOnDomChanged(OEC.API.Contract contract)
{
var dom = contract.DOM;
var bids = new List<QuoteChange>();
var asks = new List<QuoteChange>();
for (var i = 0; i < dom.BidExchanges.Length; i++)
bids.Add(new QuoteChange(Sides.Buy, contract.Cast(dom.BidLevels[i]) ?? 0, dom.BidSizes[i]) { BoardCode = GetBoardCode(dom.BidExchanges[i], contract, null) });
for (var i = 0; i < dom.AskExchanges.Length; i++)
asks.Add(new QuoteChange(Sides.Sell, contract.Cast(dom.AskLevels[i]) ?? 0, dom.AskSizes[i]) { BoardCode = GetBoardCode(dom.AskExchanges[i], contract, null) });
SendOutMessage(new QuoteChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = contract.Symbol,
BoardCode = AssociatedBoardCode
},
ServerTime = dom.LastUpdate.ApplyTimeZone(TimeHelper.Est),
Bids = bids,
Asks = asks,
});
}
private void SessionOnUserStatusChanged(OEC.API.User status)
{
}
private void SessionOnCurrencyPriceChanged(OEC.API.Currency currency, Price price)
{
}
private void SessionOnUserMessage(OEC.API.User user, string message)
{
SendOutMessage(new Messages.NewsMessage
{
Source = user.Name,
Headline = message,
ServerTime = CurrentTime.Convert(TimeHelper.Est)
});
}
private void SessionOnContractCreated(int requestId, OEC.API.Contract contract)
{
}
private void SessionOnQuoteDetailsChanged(OEC.API.Contract contract)
{
}
private void SessionOnContinuousContractRuleChanged(int requestId, OEC.API.ContinuousContractRule rule)
{
}
private void SessionOnProductCalendarUpdated(OEC.API.BaseContract baseContract)
{
}
private void ProcessBars(Subscription subscription, OEC.API.Bar[] bars, bool setFinished)
{
var key = _subscriptions.TryGetKey(subscription);
var candleType = key == null ? typeof(TimeFrameCandleMessage) : GetCandleMessageType(key.Item2);
var contract = subscription.Contract;
foreach (var bar in bars)
{
var msg = candleType.CreateInstance<CandleMessage>();
msg.SecurityId = new SecurityId
{
SecurityCode = contract.Symbol,
BoardCode = contract.Exchange.Name,
};
msg.OpenTime = bar.Timestamp.ApplyTimeZone(TimeHelper.Est);
msg.CloseTime = bar.CloseTimestamp.ApplyTimeZone(TimeHelper.Est);
msg.OpenPrice = contract.Cast(bar.Open) ?? 0;
msg.HighPrice = contract.Cast(bar.High) ?? 0;
msg.LowPrice = contract.Cast(bar.Low) ?? 0;
msg.ClosePrice = contract.Cast(bar.Close) ?? 0;
msg.TotalVolume = bar.Volume64;
msg.TotalTicks = bar.Ticks;
msg.UpTicks = (int)bar.UpTicks;
msg.DownTicks = (int)bar.DownTicks;
msg.IsFinished = setFinished && bar == bars.Last();
msg.State = CandleStates.Finished;
SendOutMessage(msg);
}
}
private void SessionOnOrderFilled(OEC.API.Order order, OEC.API.Fill fill)
{
if (!fill.Active)
return;
SendOutMessage(new ExecutionMessage
{
ExecutionType = ExecutionTypes.Transaction,
OriginalTransactionId = _orderTransactions.TryGetValue2(order) ?? 0,
OrderId = order.ID,
TradeId = fill.ID,
TradePrice = order.Contract.Cast(fill.Price),
ServerTime = fill.Timestamp.ApplyTimeZone(TimeHelper.Est),
TradeVolume = fill.Quantity,
SystemComment = fill.Comments,
Commission = fill.Commission.ToDecimal(),
});
}
