/// <inheritdoc />
protected override void OnInnerAdapterNewOutMessage(Message message)
{
PositionChangeMessage change = null;
if (message.Type != MessageTypes.Reset &&
message.Type != MessageTypes.Connect &&
message.Type != MessageTypes.Disconnect)
{
lock (_sync)
change = _positionManager.ProcessMessage(message);
}
base.OnInnerAdapterNewOutMessage(message);
if (change != null)
{
var subscriptions = change.StrategyId.IsEmpty() ? _subscriptions.Cache : _strategySubscriptions.TryGetValue(change.StrategyId)?.Cache;
if (subscriptions?.Length > 0)
{
change.SetSubscriptionIds(subscriptions);
}
base.OnInnerAdapterNewOutMessage(change);
}
}
private void ProcessPositionChange(PositionChangeMessage message)
{
if (message.StrategyId != EnsureGetId())
{
return;
}
var connector = SafeGetConnector();
var security = connector.LookupById(message.SecurityId);
var portfolio = connector.LookupByPortfolioName(message.PortfolioName);
var position = _positions.SafeAdd(CreateKey(security, portfolio), k => new Position
{
Security = security,
Portfolio = portfolio,
StrategyId = message.StrategyId,
}, out var isNew);
position.ApplyChanges(message);
if (isNew)
{
_newPosition?.Invoke(position);
}
else
{
_positionChanged?.Invoke(position);
}
RaisePositionChanged();
}
private static string PositionToString(PositionChangeMessage position)
{
return(string.Format("{0};{1};{2};{3};{4}",
position.SecurityId.SecurityCode,
position.PortfolioName,
position.Changes[PositionChangeTypes.BeginValue],
position.Changes[PositionChangeTypes.CurrentValue],
position.Changes[PositionChangeTypes.AveragePrice]));
}
private void ProcessPositionChangeMessage(PositionChangeMessage message)
{
if (Connector.KeepStrategiesPositions)
{
return;
}
if (message.StrategyId == EnsureGetId())
{
ProcessPositionChangeMessageImpl(message);
}
}
private void ProcessPortfolioLookupMessage(PortfolioLookupMessage message)
{
var portfolios = _client.GetPortfolios();
foreach (var portfolio in portfolios)
{
SendOutMessage(new PortfolioMessage
{
PortfolioName = portfolio.bstrAcct,
State = PortfolioStates.Active, // ???
OriginalTransactionId = message.TransactionId,
});
}
var pos = _client.GetPositions();
foreach (var position in pos)
{
var m = new PositionMessage
{
PortfolioName = position.bstrAcct,
SecurityId = new SecurityId {
SecurityCode = position.bstrSym, BoardCode = "All", SecurityType = position.bstrInstrument.ToSecurityType()
},
OriginalTransactionId = message.TransactionId,
};
SendOutMessage(m);
var changeMsg = new PositionChangeMessage
{
PortfolioName = position.bstrAcct,
SecurityId = new SecurityId {
SecurityCode = position.bstrSym, BoardCode = "All", SecurityType = position.bstrInstrument.ToSecurityType()
},
ServerTime = CurrentTime
};
changeMsg.TryAdd(PositionChangeTypes.RealizedPnL, (decimal)position.fReal);
changeMsg.TryAdd(PositionChangeTypes.BeginValue, (decimal)position.nOpeningPosition);
changeMsg.TryAdd(PositionChangeTypes.CurrentValue, (decimal)(position.nOpeningPosition + (position.nSharesBot - position.nSharesSld)));
changeMsg.TryAdd(PositionChangeTypes.Commission, (decimal)position.fPositionCost);
SendOutMessage(message);
}
SendOutMessage(new PortfolioLookupResultMessage {
OriginalTransactionId = message.TransactionId
});
}
private void SessionOnStiPositionUpdate(ref structSTIPositionUpdate msg)
{
var message = new PositionChangeMessage
{
PortfolioName = msg.bstrAcct,
SecurityId = new SecurityId {
SecurityCode = msg.bstrSym, BoardCode = "All"
},
};
message.TryAdd(PositionChangeTypes.RealizedPnL, (decimal)msg.fReal);
message.TryAdd(PositionChangeTypes.BeginValue, (decimal)msg.nOpeningPosition);
message.TryAdd(PositionChangeTypes.CurrentValue, (decimal)(msg.nOpeningPosition + (msg.nSharesBot - msg.nSharesSld)));
message.TryAdd(PositionChangeTypes.Commission, (decimal)msg.fPositionCost);
SendOutMessage(message);
}
/// <inheritdoc />
protected override void OnInnerAdapterNewOutMessage(Message message)
{
PositionChangeMessage change = null;
if (message.Type != MessageTypes.Reset)
{
change = _positionManager.ProcessMessage(message);
}
base.OnInnerAdapterNewOutMessage(message);
if (change != null)
{
_buffer?.ProcessOutMessage(change);
base.OnInnerAdapterNewOutMessage(change);
}
}
private void ProcessPositionChangeMessage(PositionChangeMessage message)
{
if (Connector.KeepStrategiesPositions)
{
return;
}
if (message.StrategyId != EnsureGetId())
{
return;
}
var connector = SafeGetConnector();
var security = connector.LookupById(message.SecurityId);
var portfolio = connector.LookupByPortfolioName(message.PortfolioName);
var position = _positions.SafeAdd(CreateKey(security, portfolio), k => new Position
{
Security = security,
Portfolio = portfolio,
StrategyId = message.StrategyId,
}, out var isNew);
position.ApplyChanges(message);
if (isNew)
{
_newPosition?.Invoke(position);
}
else
{
_positionChanged?.Invoke(position);
}
RaisePositionChanged();
foreach (var id in message.GetSubscriptionIds())
{
if (_subscriptionsById.TryGetValue(id, out var subscription))
{
PositionReceived?.Invoke(subscription, position);
}
}
}
private void BroadcastPositionChangeToRelevantPlayers()
{
if (m_RelChecker.RelevantTo.Count == 0)
{
return;
}
var msg = new PositionChangeMessage
{
Pos = m_LastPos,
TargetNetID = netId
};
foreach (var nc in m_RelChecker.RelevantTo)
{
nc.Send(MessageType.PositionChange, msg);
}
}
/// <inheritdoc />
public void Update(PositionChangeMessage posMsg, Action <Message> result)
{
var beginValue = posMsg.TryGetDecimal(PositionChangeTypes.BeginValue);
if (posMsg.IsMoney())
{
if (beginValue == null)
{
return;
}
_currentMoney = _beginMoney = (decimal)beginValue;
RequestPortfolioState(posMsg.ServerTime, result);
return;
}
var info = GetPosition(posMsg.SecurityId);
var prevPrice = info.PositionPrice;
info.PositionBeginValue = beginValue ?? 0L;
info.PositionAveragePrice = posMsg.TryGetDecimal(PositionChangeTypes.AveragePrice) ?? info.PositionAveragePrice;
//if (beginValue == 0m)
// return;
result(posMsg.Clone());
_totalBlockedMoney = _totalBlockedMoney - prevPrice + info.PositionPrice;
result(
new PositionChangeMessage
{
SecurityId = SecurityId.Money,
ServerTime = posMsg.ServerTime,
LocalTime = posMsg.LocalTime,
PortfolioName = _portfolioName,
}.Add(PositionChangeTypes.BlockedValue, _totalBlockedMoney)
);
}
private void ProcessPositionChangeMessage(PositionChangeMessage message)
{
var security = LookupSecurity(message.SecurityId);
var portfolio = GetPortfolio(message.PortfolioName);
var valueInLots = message.Changes.TryGetValue(PositionChangeTypes.CurrentValueInLots);
if (valueInLots != null)
{
if (!message.Changes.ContainsKey(PositionChangeTypes.CurrentValue))
{
var currValue = (decimal)valueInLots / (security.VolumeStep ?? 1);
message.Add(PositionChangeTypes.CurrentValue, currValue);
}
message.Changes.Remove(PositionChangeTypes.CurrentValueInLots);
}
var position = GetPosition(portfolio, security, message.ClientCode, message.DepoName, message.LimitType, message.Description);
position.ApplyChanges(message);
RaisePositionChanged(position);
}
private void ProcessPositionChange(PositionChangeMessage message)
{
if (message.StrategyId != EnsureGetId())
{
return;
}
var security = SafeGetConnector().LookupById(message.SecurityId);
var pf = SafeGetConnector().LookupByPortfolioName(message.PortfolioName);
var position = GetPosition(security, pf, out var isNew);
position.ApplyChanges(message);
if (isNew)
{
_newPosition?.Invoke(position);
}
else
{
_positionChanged?.Invoke(position);
}
}
/// <inheritdoc />
protected override void OnInnerAdapterNewOutMessage(Message message)
{
PositionChangeMessage change = null;
if (message.Type != MessageTypes.Reset)
{
change = _positionManager.ProcessMessage(message);
}
base.OnInnerAdapterNewOutMessage(message);
if (change != null)
{
var subscriptions = _subscriptions.Cache;
if (subscriptions.Length > 0)
{
change.SetSubscriptionIds(subscriptions);
}
base.OnInnerAdapterNewOutMessage(change);
}
}
private void ProcessPositionMessage(PositionMessage posMsg)
{
if (posMsg.ExtensionInfo != null && posMsg.ExtensionInfo.ContainsKey("GetPositions"))
{
var pos = SessionHolder.Session.GetPositions();
foreach (var position in pos)
{
var m = new PositionMessage
{
PortfolioName = position.bstrAcct,
SecurityId = new SecurityId {
SecurityCode = position.bstrSym, BoardCode = "All", SecurityType = position.bstrInstrument.ToSecurityType()
},
};
SendOutMessage(m);
var message = new PositionChangeMessage
{
PortfolioName = position.bstrAcct,
SecurityId = new SecurityId {
SecurityCode = position.bstrSym, BoardCode = "All", SecurityType = position.bstrInstrument.ToSecurityType()
},
ServerTime = SessionHolder.CurrentTime
};
message.Changes.TryAdd(new KeyValuePair <PositionChangeTypes, object>(PositionChangeTypes.RealizedPnL, (decimal)position.fReal));
message.Changes.TryAdd(new KeyValuePair <PositionChangeTypes, object>(PositionChangeTypes.BeginValue, (decimal)position.nOpeningPosition));
message.Changes.TryAdd(new KeyValuePair <PositionChangeTypes, object>(PositionChangeTypes.CurrentValue, (decimal)(position.nOpeningPosition + (position.nSharesBot - position.nSharesSld))));
message.Changes.TryAdd(new KeyValuePair <PositionChangeTypes, object>(PositionChangeTypes.Commission, (decimal)position.fPositionCost));
SendOutMessage(message);
}
}
}
private static string PositionToString(PositionChangeMessage position)
{
return($"{position.SecurityId.SecurityCode};{position.PortfolioName};{position.Changes[PositionChangeTypes.BeginValue]};{position.Changes[PositionChangeTypes.CurrentValue]};{position.Changes[PositionChangeTypes.AveragePrice]}");
}
/// <inheritdoc />
protected override bool?OnRead(IFixReader reader, string msgType, Action <Message> messageHandler)
{
switch (msgType)
{
// reading custom CFH message (not compatible with FIX standard)
case CfhFixMessages.AccountInfo:
{
string account = null;
var sendingTime = default(DateTimeOffset);
decimal? closedPnL = null;
decimal? openPnL = null;
decimal? balance = null;
CurrencyTypes?currency = null;
var isOk = reader.ReadMessage(tag =>
{
switch (tag)
{
case FixTags.Account:
account = reader.ReadString();
return(true);
case FixTags.SendingTime:
sendingTime = reader.ReadUtc(TimeStampParser);
return(true);
case CfhFixTags.ClosedPnL:
closedPnL = reader.ReadDecimal();
return(true);
case CfhFixTags.OpenPnL:
openPnL = reader.ReadDecimal();
return(true);
case CfhFixTags.Balance:
balance = reader.ReadDecimal();
return(true);
case FixTags.Currency:
currency = reader.ReadString().FromMicexCurrencyName(this.AddErrorLog);
return(true);
default:
return(false);
}
});
if (!isOk)
{
return(null);
}
var msg = new PositionChangeMessage
{
SecurityId = SecurityId.Money,
PortfolioName = account,
ServerTime = sendingTime
}
.TryAdd(PositionChangeTypes.RealizedPnL, closedPnL, true)
.TryAdd(PositionChangeTypes.UnrealizedPnL, openPnL, true)
.TryAdd(PositionChangeTypes.CurrentValue, balance, true);
if (currency != null)
{
msg.Add(PositionChangeTypes.Currency, currency.Value);
}
messageHandler(msg);
return(true);
}
default:
return(base.OnRead(reader, msgType, messageHandler));
}
}
public void ReceivePositionChangeMessage(PositionChangeMessage msg)
{
m_SyncPos = msg.Pos;
}
private void SessionOnStiPositionUpdate(ref structSTIPositionUpdate msg)
{
var message = new PositionChangeMessage
{
PortfolioName = msg.bstrAcct,
SecurityId = new SecurityId { SecurityCode = msg.bstrSym, BoardCode = AssociatedBoardCode },
};
message.TryAdd(PositionChangeTypes.RealizedPnL, (decimal)msg.fReal);
message.TryAdd(PositionChangeTypes.BeginValue, (decimal)msg.nOpeningPosition);
message.TryAdd(PositionChangeTypes.CurrentValue, (decimal)(msg.nOpeningPosition + (msg.nSharesBot - msg.nSharesSld)));
message.TryAdd(PositionChangeTypes.Commission, (decimal)msg.fPositionCost);
SendOutMessage(message);
}
private void ProcessPortfolioLookupMessage(PortfolioLookupMessage message)
{
var portfolios = _client.GetPortfolios();
foreach (var portfolio in portfolios)
{
SendOutMessage(new PortfolioMessage
{
PortfolioName = portfolio.bstrAcct,
State = PortfolioStates.Active, // ???
OriginalTransactionId = message.TransactionId,
});
}
var pos = _client.GetPositions();
foreach (var position in pos)
{
var m = new PositionMessage
{
PortfolioName = position.bstrAcct,
SecurityId = new SecurityId { SecurityCode = position.bstrSym, BoardCode = AssociatedBoardCode, SecurityType = position.bstrInstrument.ToSecurityType() },
OriginalTransactionId = message.TransactionId,
};
SendOutMessage(m);
var changeMsg = new PositionChangeMessage
{
PortfolioName = position.bstrAcct,
SecurityId = new SecurityId { SecurityCode = position.bstrSym, BoardCode = AssociatedBoardCode, SecurityType = position.bstrInstrument.ToSecurityType() },
ServerTime = CurrentTime
};
changeMsg.TryAdd(PositionChangeTypes.RealizedPnL, (decimal)position.fReal);
changeMsg.TryAdd(PositionChangeTypes.BeginValue, (decimal)position.nOpeningPosition);
changeMsg.TryAdd(PositionChangeTypes.CurrentValue, (decimal)(position.nOpeningPosition + (position.nSharesBot - position.nSharesSld)));
changeMsg.TryAdd(PositionChangeTypes.Commission, (decimal)position.fPositionCost);
SendOutMessage(message);
}
SendOutMessage(new PortfolioLookupResultMessage { OriginalTransactionId = message.TransactionId });
}
/// <summary>
///
/// </summary>
/// <param name="message"></param>
public void SaveDirect(PositionChangeMessage message)
{
OnInnerAdapterNewOutMessage(message);
}
private static string PositionToString(PositionChangeMessage position)
{
return $"{position.SecurityId.SecurityCode};{position.PortfolioName};{position.Changes[PositionChangeTypes.BeginValue]};{position.Changes[PositionChangeTypes.CurrentValue]};{position.Changes[PositionChangeTypes.AveragePrice]}";
}
public static void WritePosition(this PositionChangeMessage position)
{
MemoryToFile(PositionToString(position), _positionsFilePath);
}
private static string PositionToString(PositionChangeMessage position)
{
return string.Format("{0};{1};{2};{3};{4}",
position.SecurityId.SecurityCode,
position.PortfolioName,
position.Changes[PositionChangeTypes.BeginValue],
position.Changes[PositionChangeTypes.CurrentValue],
position.Changes[PositionChangeTypes.AveragePrice]);
}
private void ProcessPositionChangeMessage(PositionChangeMessage posChgMsg)
{
}
