private void ProcessLevel1Depth(Level1ChangeMessage message, decimal bestBidPrice, decimal bestBidVolume, decimal bestAskPrice, decimal bestAskVolume, List <ExecutionMessage> retVal)
{
if (message.LocalTime.Date == _lastDepthDate)
{
return;
}
QuoteChange ask = null;
QuoteChange bid = null;
if (bestAskPrice != 0 && bestAskVolume != 0)
{
ask = new QuoteChange(Sides.Sell, bestAskPrice, bestAskVolume);
}
if (bestBidPrice != 0 && bestBidVolume != 0)
{
bid = new QuoteChange(Sides.Buy, bestBidPrice, bestBidVolume);
}
if (ask == null && bid == null)
{
return;
}
retVal.AddRange(ProcessQuoteChange(message.LocalTime,
bid != null ? new[] { bid } : ArrayHelper <QuoteChange> .EmptyArray,
ask != null ? new[] { ask } : ArrayHelper <QuoteChange> .EmptyArray));
}
private void AddExecMsg(List <ExecutionMessage> diff, DateTime time, QuoteChange quote, decimal volume, bool isSpread)
{
if (volume > 0)
{
diff.Add(CreateMessage(time, quote.Side, quote.Price, volume));
}
else
{
volume = volume.Abs();
// matching only top orders (spread)
if (isSpread && volume > 1 && _isMatch.Next())
{
var tradeVolume = (int)volume / 2;
diff.Add(new ExecutionMessage
{
Side = quote.Side,
Volume = tradeVolume,
ExecutionType = ExecutionTypes.Tick,
SecurityId = SecurityId,
LocalTime = time,
TradePrice = quote.Price,
});
// that tick will not affect on order book
//volume -= tradeVolume;
}
diff.Add(CreateMessage(time, quote.Side, quote.Price, volume, true));
}
}
private static QuoteChange[] DeserializeQuotes(BitArrayReader reader, QuoteMetaInfo metaInfo, Sides side, bool useLong, bool nonAdjustPrice)
{
if (reader == null)
{
throw new ArgumentNullException(nameof(reader));
}
if (metaInfo == null)
{
throw new ArgumentNullException(nameof(metaInfo));
}
var deltaCount = reader.ReadInt();
if (deltaCount == 0)
{
return(ArrayHelper.Empty <QuoteChange>());
}
var quotes = new QuoteChange[deltaCount];
for (var i = 0; i < deltaCount; i++)
{
var prevPrice = metaInfo.FirstPrice;
var price = reader.ReadPrice(ref prevPrice, metaInfo, useLong, nonAdjustPrice);
metaInfo.FirstPrice = prevPrice;
var volume = reader.ReadVolume(metaInfo);
quotes[i] = new QuoteChange(side, price, volume);
}
return(quotes);
}
/// <summary>
/// Initializes a new instance of the <see cref="TimeQuoteChange"/>.
/// </summary>
/// <param name="quote">The quote, from which changes will be copied.</param>
/// <param name="message">The message with quotes.</param>
public TimeQuoteChange(QuoteChange quote, QuoteChangeMessage message)
{
if (quote == null)
throw new ArgumentNullException("quote");
SecurityId = message.SecurityId;
ServerTime = message.ServerTime;
LocalTime = message.LocalTime;
Price = quote.Price;
Volume = quote.Volume;
Side = quote.Side;
}
private void OnProcessQuotes(string where, string[] quotes)
{
// paper_no нужно парсить из условия where, так как в поле paper_no передается всегда 0
var paperNo = where.Split('=')[1].Trim().To <int>();
var f = Wrapper.FieldsDepth;
var bids = new List <QuoteChange>();
var asks = new List <QuoteChange>();
foreach (var quoteStr in quotes)
{
var cols = quoteStr.ToColumns();
var sellQty = f.SellQty.GetValue(cols);
var price = f.Price.GetValue(cols);
var buyQty = f.BuyQty.GetValue(cols);
if (sellQty == 0 && buyQty == 0)
{
// If the sellQty and buyQty are 0 - that is our limit order
// which is not a part of the market depth. Just skip it.
continue;
}
QuoteChange quote;
if (sellQty == 0)
{
quote = new QuoteChange(Sides.Buy, price, buyQty);
bids.Insert(0, quote);
}
else
{
quote = new QuoteChange(Sides.Sell, price, sellQty);
asks.Add(quote);
}
}
if (bids.Count > 0 || asks.Count > 0)
{
SendOutMessage(new QuoteChangeMessage
{
Bids = bids,
Asks = asks,
SecurityId = new SecurityId {
Native = paperNo
},
IsSorted = true,
ServerTime = CurrentTime.Convert(TimeHelper.Moscow),
});
}
}
/// <summary>
/// Initializes a new instance of the <see cref="TimeQuoteChange"/>.
/// </summary>
/// <param name="side">Direction (buy or sell).</param>
/// <param name="quote">The quote, from which changes will be copied.</param>
/// <param name="message">The message with quotes.</param>
public TimeQuoteChange(Sides side, QuoteChange quote, QuoteChangeMessage message)
{
if (message is null)
{
throw new ArgumentNullException(nameof(message));
}
SecurityId = message.SecurityId;
ServerTime = message.ServerTime;
LocalTime = message.LocalTime;
Quote = quote;
Side = side;
}
public NullableTimeQuoteChange(QuoteChange quote, QuoteChangeMessage message)
{
if (quote == null)
{
throw new ArgumentNullException(nameof(quote));
}
ServerTime = message.ServerTime;
LocalTime = message.LocalTime;
Price = quote.Price;
Volume = quote.Volume;
Side = quote.Side;
}
private void SessionOnStil2Update(ref structSTIL2Update structL2Update)
{
var depth = _depths[structL2Update.bstrSymbol];
var quote = new QuoteChange(structL2Update.bstrSide.ToSide(), (decimal)structL2Update.fPrice, structL2Update.nQty);
var quotes = quote.Side == Sides.Sell ? depth.Item1 : depth.Item2;
switch (structL2Update.bstrAction)
{
case "A": // add
{
quotes.Add(quote);
break;
}
case "C": // change
{
quotes.RemoveWhere(q => q.Price == quote.Price && q.BoardCode == quote.BoardCode);
quotes.Add(quote);
break;
}
case "D": // delete
{
quotes.RemoveWhere(q => q.Price == quote.Price && q.BoardCode == quote.BoardCode);
break;
}
}
var board = structL2Update.bstrMaker;
if (board.IsEmpty())
{
board = AssociatedBoardCode;
}
var message = new QuoteChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = structL2Update.bstrSymbol,
BoardCode = board,
},
Asks = depth.Item1.ToArray(),
Bids = depth.Item2.ToArray(),
ServerTime = structL2Update.bstrTime.StrToTime(),
};
SendOutMessage(message);
}
/// <summary>
/// Создать <see cref="TimeQuoteChange"/>.
/// </summary>
/// <param name="quote">Котировка, из которой будут скопированы изменения.</param>
/// <param name="message">Сообщение с котировками.</param>
public TimeQuoteChange(QuoteChange quote, QuoteChangeMessage message)
{
if (quote == null)
{
throw new ArgumentNullException("quote");
}
SecurityId = message.SecurityId;
ServerTime = message.ServerTime;
LocalTime = message.LocalTime;
Price = quote.Price;
Volume = quote.Volume;
Side = quote.Side;
}
public static Quote ToQuote(this QuoteChange change, Sides side, Security security, Func <SecurityId, Security> getSecurity = null)
{
if (!change.BoardCode.IsEmpty() && getSecurity != null)
{
security = getSecurity(new SecurityId {
SecurityCode = security.Code, BoardCode = change.BoardCode
});
}
var quote = new Quote(security, change.Price, change.Volume, side, change.OrdersCount, change.Condition);
change.CopyExtensionInfo(quote);
return(quote);
}
private NullableTimeQuoteChange ToNullQuote(Sides side, QuoteChange quote, QuoteChangeMessage message)
{
if (message is null)
{
throw new ArgumentNullException(nameof(message));
}
return(new NullableTimeQuoteChange
{
ServerTime = message.ServerTime,
LocalTime = message.LocalTime,
Side = side,
Quote = quote,
});
}
public NullableTimeQuoteChange(Sides side, QuoteChange quote, QuoteChangeMessage message)
{
if (quote == null)
{
throw new ArgumentNullException(nameof(quote));
}
ServerTime = message.ServerTime;
LocalTime = message.LocalTime;
Price = quote.Price;
Volume = quote.Volume;
Side = side;
OrdersCount = quote.OrdersCount;
Condition = quote.Condition;
}
/// <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);
}
private NullableTimeQuoteChange ToNullQuote(Sides side, QuoteChange quote, QuoteChangeMessage message)
{
if (message is null)
{
throw new ArgumentNullException(nameof(message));
}
return(new NullableTimeQuoteChange
{
ServerTime = message.ServerTime,
LocalTime = message.LocalTime,
Side = side,
State = message.State,
Quote = quote,
BuildFrom = message.BuildFrom,
SeqNum = message.SeqNum.DefaultAsNull(),
});
}
private static QuoteChange[] DeserializeQuotes(BitArrayReader reader, QuoteMetaInfo metaInfo, bool useLong, bool nonAdjustPrice)
{
if (reader == null)
{
throw new ArgumentNullException(nameof(reader));
}
if (metaInfo == null)
{
throw new ArgumentNullException(nameof(metaInfo));
}
var deltaCount = reader.ReadInt();
if (deltaCount == 0)
{
return(ArrayHelper.Empty <QuoteChange>());
}
var quotes = new QuoteChange[deltaCount];
for (var i = 0; i < deltaCount; i++)
{
var prevPrice = metaInfo.FirstPrice;
var price = reader.ReadPrice(ref prevPrice, metaInfo, useLong, nonAdjustPrice);
metaInfo.FirstPrice = prevPrice;
var volume = reader.ReadVolume(metaInfo);
var ordersCount = metaInfo.Version >= MarketDataVersions.Version56
? reader.ReadNullableInt()
: null;
var condition = metaInfo.Version >= MarketDataVersions.Version57
? reader.Read() ? (QuoteConditions)reader.ReadInt() : default
: default;
quotes[i] = new QuoteChange(price, volume, ordersCount, condition);
}
return(quotes);
}
public void ShowWarningQuoteChanged(string username, decimal quote, OrderType orderType)
{
if (messagesTextBox.InvokeRequired) //randomly chosen component from ui thread
{
QuoteChange del = new QuoteChange(ShowWarningQuoteChanged);
messagesTextBox.BeginInvoke(del, new object[] { username, quote, orderType });
}
else
{
if (username != this.username)
{
int numOrders = 0;
if (orderType == OrderType.BUYING)
{
numOrders = coordinator.GetAmountBuyingOrders(this.username);
}
else
{
numOrders = coordinator.GetAmountSellingOrders(this.username);
}
if (numOrders > 0)
{
string message = username + " changed the diginote quote to\n" + quote.ToString() + "\nDo you want to keep your pending orders? If you don't answer in 30s, your orders will be kept.";
DialogResult result = MessageBoxEx.Show(message, "Quote Change", MessageBoxButtons.YesNo, MessageBoxIcon.Information, 30000);
if (result == DialogResult.No)
{
if (orderType == OrderType.BUYING)
{
coordinator.CancelPurchasingOrders(numOrders, this.username);
}
else
{
coordinator.CancelSellingOrders(numOrders, this.username);
}
}
}
}
updateInfo();
}
}
private void OnSecurityChanged(string smartId, Tuple<decimal, decimal, DateTime> lastTrade, decimal open, decimal high, decimal low, decimal close, decimal volume, QuoteChange bid, QuoteChange ask,
decimal openInt, Tuple<decimal, decimal> goBuySell, Tuple<decimal, decimal> goBase, Tuple<decimal, decimal> limits, int tradingStatus, Tuple<decimal, decimal> volatTheorPrice)
{
var secId = new SecurityId { Native = smartId };
var message = new Level1ChangeMessage
{
SecurityId = secId,
ExtensionInfo = new Dictionary<object, object>
{
{ SmartComExtensionInfoHelper.SecurityOptionsMargin, goBase.Item1 },
{ SmartComExtensionInfoHelper.SecurityOptionsSyntheticMargin, goBase.Item2 }
},
ServerTime = CurrentTime.Convert(TimeHelper.Moscow),
};
message.TryAdd(Level1Fields.LastTradePrice, lastTrade.Item1);
message.TryAdd(Level1Fields.LastTradeVolume, lastTrade.Item2);
message.Add(Level1Fields.LastTradeTime, lastTrade.Item3.ApplyTimeZone(TimeHelper.Moscow));
var prevQuotes = _bestQuotes.TryGetValue(secId);
if (bid.Price != 0)
{
message.Add(Level1Fields.BestBidPrice, bid.Price);
if (prevQuotes != null && prevQuotes.First != null && prevQuotes.First.Item1 == bid.Price)
message.Add(Level1Fields.BestBidVolume, prevQuotes.First.Item2);
}
if (ask.Price != 0)
{
message.Add(Level1Fields.BestAskPrice, ask.Price);
if (prevQuotes != null && prevQuotes.Second != null && prevQuotes.Second.Item1 == ask.Price)
message.Add(Level1Fields.BestAskVolume, prevQuotes.Second.Item2);
}
message.TryAdd(Level1Fields.BidsVolume, bid.Volume);
message.TryAdd(Level1Fields.AsksVolume, ask.Volume);
message.TryAdd(Level1Fields.OpenPrice, open);
message.TryAdd(Level1Fields.LowPrice, low);
message.TryAdd(Level1Fields.HighPrice, high);
message.TryAdd(Level1Fields.ClosePrice, close);
message.TryAdd(Level1Fields.MinPrice, limits.Item1);
message.TryAdd(Level1Fields.MaxPrice, limits.Item2);
message.TryAdd(Level1Fields.MarginBuy, goBuySell.Item1);
message.TryAdd(Level1Fields.MarginSell, goBuySell.Item2);
message.TryAdd(Level1Fields.OpenInterest, openInt);
message.TryAdd(Level1Fields.ImpliedVolatility, volatTheorPrice.Item1);
message.TryAdd(Level1Fields.TheorPrice, volatTheorPrice.Item2);
message.TryAdd(Level1Fields.Volume, volume);
message.Add(Level1Fields.State, tradingStatus == 0 ? SecurityStates.Trading : SecurityStates.Stoped);
SendOutMessage(message);
}
private IEnumerable<ExecutionMessage> ProcessQuoteChange(DateTime time, QuoteChange[] newBids, QuoteChange[] newAsks)
{
var retVal = _bids.Select(p => p.Value.Second)
.GetDiff(newBids, Sides.Buy, true)
.Concat(_asks.Select(p => p.Value.Second).GetDiff(newAsks, Sides.Sell, true))
.Select(q => CreateMessage(time, q.Side, q.Price, q.Volume.Abs(), !(q.Volume > 0)));
var bestBidPrice = 0m;
foreach (var bid in newBids)
{
if (bid.Price > bestBidPrice)
bestBidPrice = bid.Price;
}
var bestAskPrice = 0m;
foreach (var ask in newAsks)
{
if (bestAskPrice == 0 || ask.Price < bestAskPrice)
bestAskPrice = ask.Price;
}
var spreadPrice = bestAskPrice == 0
? bestBidPrice
: (bestBidPrice == 0
? bestAskPrice
: (bestAskPrice - bestBidPrice) / 2 + bestBidPrice);
//при обновлении стакана необходимо учитывать направление сдвига, чтобы не было ложного исполнения при наложении бидов и асков.
//т.е. если цена сдвинулась вниз, то обновление стакана необходимо начинать с минимального бида.
retVal = (spreadPrice < _currSpreadPrice)
? retVal.OrderBy(m => m.Price)
: retVal.OrderByDescending(m => m.Price);
_currSpreadPrice = spreadPrice;
return retVal.ToArray();
}
private void AddExecMsg(List<ExecutionMessage> diff, DateTime time, DateTimeOffset serverTime, QuoteChange quote, decimal volume, bool isSpread)
{
if (volume > 0)
diff.Add(CreateMessage(time, serverTime, quote.Side, quote.Price, volume));
else
{
volume = volume.Abs();
// matching only top orders (spread)
if (isSpread && volume > 1 && _isMatch.Next())
{
var tradeVolume = (int)volume / 2;
diff.Add(new ExecutionMessage
{
Side = quote.Side,
Volume = tradeVolume,
ExecutionType = ExecutionTypes.Tick,
SecurityId = SecurityId,
LocalTime = time,
ServerTime = serverTime,
TradePrice = quote.Price,
});
// that tick will not affect on order book
//volume -= tradeVolume;
}
diff.Add(CreateMessage(time, serverTime, quote.Side, quote.Price, volume, true));
}
}
private bool TryApplyTrades(ExecutionMessage item)
{
if (_matchingOrder == null)
return false;
try
{
var volume = _matchingOrder.GetVolume();
if (item != null && _matchingOrder.OrderId == item.OrderId)
volume -= item.GetVolume();
// если заявка была вся отменена. например, по причине http://forum.rts.ru/viewtopic.asp?t=24197
if (volume == 0)
return false;
var removingQuotes = new List<Tuple<QuoteChange, decimal>>();
foreach (var quote in (_matchingOrder.Side == Sides.Buy ? _depth.Asks : _depth.Bids))
{
if ((_matchingOrder.Side == Sides.Buy && _matchingOrder.Price < quote.Price) || (_matchingOrder.Side == Sides.Sell && _matchingOrder.Price > quote.Price))
break;
if (volume >= quote.Volume)
{
removingQuotes.Add(Tuple.Create(quote, quote.Volume));
volume -= quote.Volume;
if (volume == 0)
break;
}
else
{
removingQuotes.Add(Tuple.Create(quote, volume));
volume = 0;
break;
}
}
// в текущей момент Плаза не транслирует признак MatchOrCancel через ОЛ, поэтому сделано на будущее
if (_matchingOrder.TimeInForce == TimeInForce.MatchOrCancel && volume > 0)
return false;
foreach (var removingQuote in removingQuotes)
{
var quotes = (_matchingOrder.Side.Invert() == Sides.Buy ? _bids : _asks);
var quote = quotes.TryGetValue(removingQuote.Item1.Price);
if (quote != null)
{
quote.Volume -= removingQuote.Item2;
if (quote.Volume <= 0)
{
quotes.Remove(removingQuote.Item1.Price);
}
}
}
if (volume > 0)
{
if (_matchingOrder.TimeInForce == TimeInForce.PutInQueue)
{
var quote = new QuoteChange
{
Side = _matchingOrder.Side,
Price = _matchingOrder.Price,
Volume = volume,
};
(quote.Side == Sides.Buy ? _bids : _asks).Add(quote.Price, quote);
}
}
_depth.Bids = GetArray(_bids);
_depth.Asks = GetArray(_asks);
return true;
}
finally
{
_matchingOrder = null;
}
}
private void OnSecurityChanged(string smartId, Tuple <decimal?, decimal?, DateTime> lastTrade, decimal?open, decimal?high, decimal?low, decimal?close, decimal?volume, QuoteChange bid, QuoteChange ask,
decimal?openInt, Tuple <decimal?, decimal?> goBuySell, Tuple <decimal?, decimal?> goBase, Tuple <decimal?, decimal?> limits, int tradingStatus, Tuple <decimal?, decimal?> volatTheorPrice)
{
var secId = new SecurityId {
Native = smartId
};
var message = new Level1ChangeMessage
{
SecurityId = secId,
ExtensionInfo = new Dictionary <object, object>
{
{ SmartComExtensionInfoHelper.SecurityOptionsMargin, goBase.Item1 },
{ SmartComExtensionInfoHelper.SecurityOptionsSyntheticMargin, goBase.Item2 }
},
ServerTime = CurrentTime.Convert(TimeHelper.Moscow),
};
message.TryAdd(Level1Fields.LastTradePrice, lastTrade.Item1);
message.TryAdd(Level1Fields.LastTradeVolume, lastTrade.Item2);
message.Add(Level1Fields.LastTradeTime, lastTrade.Item3.ApplyTimeZone(TimeHelper.Moscow));
var prevQuotes = _bestQuotes.TryGetValue(secId);
if (bid.Price != 0)
{
message.Add(Level1Fields.BestBidPrice, bid.Price);
if (prevQuotes != null && prevQuotes.First != null && prevQuotes.First.Item1 == bid.Price)
{
message.Add(Level1Fields.BestBidVolume, prevQuotes.First.Item2);
}
}
if (ask.Price != 0)
{
message.Add(Level1Fields.BestAskPrice, ask.Price);
if (prevQuotes != null && prevQuotes.Second != null && prevQuotes.Second.Item1 == ask.Price)
{
message.Add(Level1Fields.BestAskVolume, prevQuotes.Second.Item2);
}
}
message.TryAdd(Level1Fields.BidsVolume, bid.Volume);
message.TryAdd(Level1Fields.AsksVolume, ask.Volume);
message.TryAdd(Level1Fields.OpenPrice, open);
message.TryAdd(Level1Fields.LowPrice, low);
message.TryAdd(Level1Fields.HighPrice, high);
message.TryAdd(Level1Fields.ClosePrice, close);
message.TryAdd(Level1Fields.MinPrice, limits.Item1);
message.TryAdd(Level1Fields.MaxPrice, limits.Item2);
message.TryAdd(Level1Fields.MarginBuy, goBuySell.Item1);
message.TryAdd(Level1Fields.MarginSell, goBuySell.Item2);
message.TryAdd(Level1Fields.OpenInterest, openInt);
message.TryAdd(Level1Fields.ImpliedVolatility, volatTheorPrice.Item1);
message.TryAdd(Level1Fields.TheorPrice, volatTheorPrice.Item2);
message.TryAdd(Level1Fields.Volume, volume);
message.Add(Level1Fields.State, tradingStatus == 0 ? SecurityStates.Trading : SecurityStates.Stoped);
SendOutMessage(message);
}
private void GetDiff(List <ExecutionMessage> diff, DateTimeOffset time, DateTimeOffset serverTime, SortedDictionary <decimal, RefPair <LevelQuotes, QuoteChange> > from, IEnumerable <QuoteChange> to, Sides side, out decimal newBestPrice)
{
newBestPrice = 0;
var canProcessFrom = true;
var canProcessTo = true;
QuoteChange currFrom = null;
QuoteChange currTo = null;
// TODO
//List<ExecutionMessage> currOrders = null;
var mult = side == Sides.Buy ? -1 : 1;
bool?isSpread = null;
using (var fromEnum = from.GetEnumerator())
using (var toEnum = to.GetEnumerator())
{
while (true)
{
if (canProcessFrom && currFrom == null)
{
if (!fromEnum.MoveNext())
{
canProcessFrom = false;
}
else
{
currFrom = fromEnum.Current.Value.Second;
isSpread = isSpread == null;
}
}
if (canProcessTo && currTo == null)
{
if (!toEnum.MoveNext())
{
canProcessTo = false;
}
else
{
currTo = toEnum.Current;
if (newBestPrice == 0)
{
newBestPrice = currTo.Price;
}
}
}
if (currFrom == null)
{
if (currTo == null)
{
break;
}
else
{
AddExecMsg(diff, time, serverTime, currTo, currTo.Volume, side, false);
currTo = null;
}
}
else
{
if (currTo == null)
{
AddExecMsg(diff, time, serverTime, currFrom, -currFrom.Volume, side, isSpread.Value);
currFrom = null;
}
else
{
if (currFrom.Price == currTo.Price)
{
if (currFrom.Volume != currTo.Volume)
{
AddExecMsg(diff, time, serverTime, currTo, currTo.Volume - currFrom.Volume, side, isSpread.Value);
}
currFrom = currTo = null;
}
else if (currFrom.Price * mult > currTo.Price * mult)
{
AddExecMsg(diff, time, serverTime, currTo, currTo.Volume, side, isSpread.Value);
currTo = null;
}
else
{
AddExecMsg(diff, time, serverTime, currFrom, -currFrom.Volume, side, isSpread.Value);
currFrom = null;
}
}
}
}
}
}
private void OnProcessQuotes(string where, string[] quotes)
{
// paper_no нужно парсить из условия where, так как в поле paper_no передается всегда 0
var paperNo = where.Split('=')[1].Trim().To<int>();
var f = Wrapper.FieldsDepth;
var bids = new List<QuoteChange>();
var asks = new List<QuoteChange>();
foreach (var quoteStr in quotes)
{
var cols = quoteStr.ToColumns();
var sellQty = f.SellQty.GetValue(cols);
var price = f.Price.GetValue(cols);
var buyQty = f.BuyQty.GetValue(cols);
if (sellQty == 0 && buyQty == 0)
{
// If the sellQty and buyQty are 0 - that is our limit order
// which is not a part of the market depth. Just skip it.
continue;
}
QuoteChange quote;
if (sellQty == 0)
{
quote = new QuoteChange(Sides.Buy, price, buyQty);
bids.Insert(0, quote);
}
else
{
quote = new QuoteChange(Sides.Sell, price, sellQty);
asks.Add(quote);
}
}
if (bids.Count > 0 || asks.Count > 0)
{
SendOutMessage(new QuoteChangeMessage
{
Bids = bids,
Asks = asks,
SecurityId = new SecurityId { Native = paperNo },
IsSorted = true,
ServerTime = CurrentTime.Convert(TimeHelper.Moscow),
});
}
}
private void SessionOnStil2Update(ref structSTIL2Update structL2Update)
{
var asksUpdate = _depths[structL2Update.bstrSymbol].Item1;
var bidsUpdate = _depths[structL2Update.bstrSymbol].Item2;
var quote = new QuoteChange(structL2Update.bstrSide.ToSide(), (decimal) structL2Update.fPrice, structL2Update.nQty) {BoardCode = structL2Update.bstrMaker};
switch (structL2Update.bstrSide.ToSide())
{
case Sides.Buy:
{
switch (structL2Update.bstrAction)
{
case "A": // add
{
bidsUpdate.Add(quote);
break;
}
case "C": // change
{
bidsUpdate.RemoveWhere(q => q.Price == quote.Price && q.BoardCode == quote.BoardCode);
bidsUpdate.Add(quote);
break;
}
case "D": // delete
{
bidsUpdate.RemoveWhere(q => q.Price == quote.Price && q.BoardCode == quote.BoardCode);
break;
}
}
break;
}
case Sides.Sell:
{
switch (structL2Update.bstrAction)
{
case "A": // add
{
asksUpdate.Add(quote);
break;
}
case "C": // change
{
asksUpdate.RemoveWhere(q => q.Price == quote.Price && q.BoardCode == quote.BoardCode);
asksUpdate.Add(quote);
break;
}
case "D": // delete
{
asksUpdate.RemoveWhere(q => q.Price == quote.Price && q.BoardCode == quote.BoardCode);
break;
}
}
break;
}
}
var message = new QuoteChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = structL2Update.bstrSymbol,
BoardCode = "All",
},
Asks = asksUpdate,
Bids = bidsUpdate,
ServerTime = structL2Update.bstrTime.StrToTime(),
};
SendOutMessage(message);
}
/// <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");
}
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 || item.TradePrice != 0 || 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 = item.Volume,
};
quotes.Add(item.Price, quote);
if (item.Side == Sides.Buy)
{
_depth.Bids = GetArray(quotes);
}
else
{
_depth.Asks = GetArray(quotes);
}
}
else
{
quote.Volume += item.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 -= item.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);
}
private bool TryApplyTrades(ExecutionMessage item)
{
if (_matchingOrder == null)
{
return(false);
}
try
{
var volume = _matchingOrder.Volume;
if (item != null && _matchingOrder.OrderId == item.OrderId)
{
volume -= item.Volume;
}
// если заявка была вся отменена. например, по причине http://forum.rts.ru/viewtopic.asp?t=24197
if (volume == 0)
{
return(false);
}
var removingQuotes = new List <Tuple <QuoteChange, decimal> >();
foreach (var quote in (_matchingOrder.Side == Sides.Buy ? _depth.Asks : _depth.Bids))
{
if ((_matchingOrder.Side == Sides.Buy && _matchingOrder.Price < quote.Price) || (_matchingOrder.Side == Sides.Sell && _matchingOrder.Price > quote.Price))
{
break;
}
if (volume >= quote.Volume)
{
removingQuotes.Add(Tuple.Create(quote, quote.Volume));
volume -= quote.Volume;
if (volume == 0)
{
break;
}
}
else
{
removingQuotes.Add(Tuple.Create(quote, volume));
volume = 0;
break;
}
}
// в текущей момент Плаза не транслирует признак MatchOrCancel через ОЛ, поэтому сделано на будущее
if (_matchingOrder.TimeInForce == TimeInForce.MatchOrCancel && volume > 0)
{
return(false);
}
foreach (var removingQuote in removingQuotes)
{
var quotes = (_matchingOrder.Side.Invert() == Sides.Buy ? _bids : _asks);
var quote = quotes.TryGetValue(removingQuote.Item1.Price);
if (quote != null)
{
quote.Volume -= removingQuote.Item2;
if (quote.Volume <= 0)
{
quotes.Remove(removingQuote.Item1.Price);
}
}
}
if (volume > 0)
{
if (_matchingOrder.TimeInForce == TimeInForce.PutInQueue)
{
var quote = new QuoteChange
{
Side = _matchingOrder.Side,
Price = _matchingOrder.Price,
Volume = volume,
};
(quote.Side == Sides.Buy ? _bids : _asks).Add(quote.Price, quote);
}
}
_depth.Bids = GetArray(_bids);
_depth.Asks = GetArray(_asks);
return(true);
}
finally
{
_matchingOrder = null;
}
}
private IEnumerable<ExecutionMessage> ProcessQuoteChange(DateTime time, QuoteChange[] newBids, QuoteChange[] newAsks)
{
decimal bestBidPrice;
decimal bestAskPrice;
var retVal =
GetDiff(time, _bids, newBids, Sides.Buy, out bestBidPrice)
.Concat(GetDiff(time, _asks, newAsks, Sides.Sell, out bestAskPrice));
var spreadPrice = bestAskPrice == 0
? bestBidPrice
: (bestBidPrice == 0
? bestAskPrice
: (bestAskPrice - bestBidPrice) / 2 + bestBidPrice);
//при обновлении стакана необходимо учитывать направление сдвига, чтобы не было ложного исполнения при наложении бидов и асков.
//т.е. если цена сдвинулась вниз, то обновление стакана необходимо начинать с минимального бида.
retVal = (spreadPrice < _currSpreadPrice)
? retVal.OrderBy(m => m.Price)
: retVal.OrderByDescending(m => m.Price);
_currSpreadPrice = spreadPrice;
return retVal.ToArray();
}
private void SessionOnStil2Update(ref structSTIL2Update structL2Update)
{
var depth = _depths[structL2Update.bstrSymbol];
var quote = new QuoteChange(structL2Update.bstrSide.ToSide(), (decimal)structL2Update.fPrice, structL2Update.nQty);
var quotes = quote.Side == Sides.Sell ? depth.Item1 : depth.Item2;
switch (structL2Update.bstrAction)
{
case "A": // add
{
quotes.Add(quote);
break;
}
case "C": // change
{
quotes.RemoveWhere(q => q.Price == quote.Price && q.BoardCode == quote.BoardCode);
quotes.Add(quote);
break;
}
case "D": // delete
{
quotes.RemoveWhere(q => q.Price == quote.Price && q.BoardCode == quote.BoardCode);
break;
}
}
var board = structL2Update.bstrMaker;
if (board.IsEmpty())
board = AssociatedBoardCode;
var message = new QuoteChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = structL2Update.bstrSymbol,
BoardCode = board,
},
Asks = depth.Item1.ToArray(),
Bids = depth.Item2.ToArray(),
ServerTime = structL2Update.bstrTime.StrToTime(),
};
SendOutMessage(message);
}
/// <summary>
/// Вычислить приращение между котировками.
/// </summary>
/// <param name="time"></param>
/// <param name="from">Первые котировки.</param>
/// <param name="to">Вторые котировки.</param>
/// <param name="side">Направление, показывающее тип котировок.</param>
/// <param name="newBestPrice"></param>
/// <returns>Изменения.</returns>
private IEnumerable <ExecutionMessage> GetDiff(DateTime time, IEnumerable <QuoteChange> from, IEnumerable <QuoteChange> to, Sides side, out decimal newBestPrice)
{
//if (!isSorted)
//{
// if (side == Sides.Sell)
// {
// from = from.OrderBy(q => q.Price);
// to = to.OrderBy(q => q.Price);
// }
// else
// {
// from = from.OrderByDescending(q => q.Price);
// to = to.OrderByDescending(q => q.Price);
// }
//}
newBestPrice = 0;
var diff = new List <ExecutionMessage>();
var canProcessFrom = true;
var canProcessTo = true;
QuoteChange currFrom = null;
QuoteChange currTo = null;
var mult = side == Sides.Buy ? -1 : 1;
using (var fromEnum = from.GetEnumerator())
using (var toEnum = to.GetEnumerator())
{
while (true)
{
if (canProcessFrom && currFrom == null)
{
if (!fromEnum.MoveNext())
{
canProcessFrom = false;
}
else
{
currFrom = fromEnum.Current;
}
}
if (canProcessTo && currTo == null)
{
if (!toEnum.MoveNext())
{
canProcessTo = false;
}
else
{
currTo = toEnum.Current;
if (newBestPrice == 0)
{
newBestPrice = currTo.Price;
}
}
}
if (currFrom == null)
{
if (currTo == null)
{
break;
}
else
{
//diff.Add(currTo.Clone());
AddExecMsg(diff, time, currTo, currTo.Volume);
currTo = null;
}
}
else
{
if (currTo == null)
{
//var clone = currFrom.Clone();
//clone.Volume = -clone.Volume;
//diff.Add(clone);
AddExecMsg(diff, time, currFrom, -currFrom.Volume);
currFrom = null;
}
else
{
if (currFrom.Price == currTo.Price)
{
if (currFrom.Volume != currTo.Volume)
{
//var clone = currTo.Clone();
//clone.Volume -= currFrom.Volume;
//diff.Add(clone);
AddExecMsg(diff, time, currTo, currTo.Volume - currFrom.Volume);
}
currFrom = currTo = null;
}
else if (currFrom.Price * mult > currTo.Price * mult)
{
//diff.Add(currTo.Clone());
AddExecMsg(diff, time, currTo, currTo.Volume);
currTo = null;
}
else
{
//var clone = currFrom.Clone();
//clone.Volume = -clone.Volume;
//diff.Add(clone);
AddExecMsg(diff, time, currFrom, -currFrom.Volume);
currFrom = null;
}
}
}
}
}
return(diff);
}
private static QuoteChange[] DeserializeQuotes(BitArrayReader reader, QuoteMetaInfo metaInfo, bool useLong, bool nonAdjustPrice)
{
if (reader == null)
{
throw new ArgumentNullException(nameof(reader));
}
if (metaInfo == null)
{
throw new ArgumentNullException(nameof(metaInfo));
}
var count = reader.ReadInt();
if (count == 0)
{
return(ArrayHelper.Empty <QuoteChange>());
}
var is56 = metaInfo.Version >= MarketDataVersions.Version56;
var is57 = metaInfo.Version >= MarketDataVersions.Version57;
var is58 = metaInfo.Version >= MarketDataVersions.Version58;
var quotes = new QuoteChange[count];
for (var i = 0; i < count; i++)
{
var prevPrice = metaInfo.FirstPrice;
var price = reader.ReadPrice(ref prevPrice, metaInfo, useLong, nonAdjustPrice);
metaInfo.FirstPrice = prevPrice;
var volume = reader.ReadVolume(metaInfo);
var ordersCount = is56
? reader.ReadNullableInt()
: null;
var condition = is57
? (QuoteConditions)(reader.ReadNullableInt() ?? 0)
: default;
var quote = new QuoteChange(price, volume, ordersCount, condition);
if (is58)
{
if (reader.Read())
{
quote.Action = (QuoteChangeActions)reader.ReadInt();
}
if (reader.Read())
{
quote.StartPosition = reader.ReadInt();
}
if (reader.Read())
{
quote.EndPosition = reader.ReadInt();
}
}
quotes[i] = quote;
}
return(quotes);
}
/// <summary>
/// Try create full book.
/// </summary>
/// <param name="change">Book change.</param>
/// <returns>Full book.</returns>
public QuoteChangeMessage TryApply(QuoteChangeMessage change)
{
if (change is null)
{
throw new ArgumentNullException(nameof(change));
}
if (change.State == null)
{
throw new ArgumentException(nameof(change));
}
var currState = _state;
var newState = change.State.Value;
void CheckSwitch()
{
switch (currState)
{
case _none:
case QuoteChangeStates.SnapshotStarted:
{
if (newState != QuoteChangeStates.SnapshotBuilding && newState != QuoteChangeStates.SnapshotComplete)
{
_logs.AddDebugLog($"{currState}->{newState}");
}
break;
}
case QuoteChangeStates.SnapshotBuilding:
{
if (newState != QuoteChangeStates.SnapshotBuilding && newState != QuoteChangeStates.SnapshotComplete)
{
_logs.AddDebugLog($"{currState}->{newState}");
}
break;
}
case QuoteChangeStates.SnapshotComplete:
case QuoteChangeStates.Increment:
{
if (newState == QuoteChangeStates.SnapshotBuilding)
{
_logs.AddDebugLog($"{currState}->{newState}");
}
break;
}
}
}
if (currState != newState || newState == QuoteChangeStates.SnapshotComplete)
{
CheckSwitch();
if (newState == QuoteChangeStates.SnapshotStarted)
{
_bids.Clear();
_asks.Clear();
}
switch (currState)
{
case _none:
{
_bids.Clear();
_asks.Clear();
break;
}
case QuoteChangeStates.SnapshotStarted:
break;
case QuoteChangeStates.SnapshotBuilding:
break;
case QuoteChangeStates.SnapshotComplete:
{
if (newState == QuoteChangeStates.SnapshotComplete)
{
_bids.Clear();
_asks.Clear();
}
break;
}
case QuoteChangeStates.Increment:
break;
default:
throw new ArgumentOutOfRangeException(currState.ToString());
}
_state = currState = newState;
}
void Apply(IEnumerable <QuoteChange> from, SortedList <decimal, QuoteChange> to)
{
foreach (var quote in from)
{
if (quote.Volume == 0)
{
to.Remove(quote.Price);
}
else
{
to[quote.Price] = quote;
}
}
}
void ApplyByPos(IEnumerable <QuoteChange> from, List <QuoteChange> to)
{
foreach (var quote in from)
{
var startPos = quote.StartPosition.Value;
switch (quote.Action)
{
case QuoteChangeActions.New:
{
var tuple = new QuoteChange(quote.Price, quote.Volume, quote.OrdersCount, quote.Condition);
if (startPos > to.Count)
{
throw new InvalidOperationException($"Pos={startPos}>Count={to.Count}");
}
else if (startPos == to.Count)
{
to.Add(tuple);
}
else
{
to.Insert(startPos, tuple);
}
break;
}
case QuoteChangeActions.Update:
{
to[startPos] = new QuoteChange(quote.Price, quote.Volume, quote.OrdersCount, quote.Condition);
break;
}
case QuoteChangeActions.Delete:
{
if (quote.EndPosition == null)
{
to.RemoveAt(startPos);
}
else
{
to.RemoveRange(startPos, (quote.EndPosition.Value - startPos) + 1);
}
break;
}
default:
throw new ArgumentOutOfRangeException(nameof(from), quote.Action, LocalizedStrings.Str1219);
}
}
}
if (change.HasPositions)
{
ApplyByPos(change.Bids, _bidsByPos);
ApplyByPos(change.Asks, _asksByPos);
}
else
{
Apply(change.Bids, _bids);
Apply(change.Asks, _asks);
}
if (currState == QuoteChangeStates.SnapshotStarted || currState == QuoteChangeStates.SnapshotBuilding)
{
return(null);
}
QuoteChange[] bids;
QuoteChange[] asks;
if (change.HasPositions)
{
bids = _bidsByPos.ToArray();
asks = _asksByPos.ToArray();
}
else
{
bids = _bids.Values.ToArray();
asks = _asks.Values.ToArray();
}
return(new QuoteChangeMessage
{
SecurityId = SecurityId,
Bids = bids,
Asks = asks,
ServerTime = change.ServerTime,
OriginalTransactionId = change.OriginalTransactionId,
});
}
private void SessionOnStil2Update(ref structSTIL2Update structL2Update)
{
var asksUpdate = _depths[structL2Update.bstrSymbol].Item1;
var bidsUpdate = _depths[structL2Update.bstrSymbol].Item2;
var quote = new QuoteChange(structL2Update.bstrSide.ToSide(), (decimal)structL2Update.fPrice, structL2Update.nQty)
{
BoardCode = structL2Update.bstrMaker
};
switch (structL2Update.bstrSide.ToSide())
{
case Sides.Buy:
{
switch (structL2Update.bstrAction)
{
case "A": // add
{
bidsUpdate.Add(quote);
break;
}
case "C": // change
{
bidsUpdate.RemoveWhere(q => q.Price == quote.Price && q.BoardCode == quote.BoardCode);
bidsUpdate.Add(quote);
break;
}
case "D": // delete
{
bidsUpdate.RemoveWhere(q => q.Price == quote.Price && q.BoardCode == quote.BoardCode);
break;
}
}
break;
}
case Sides.Sell:
{
switch (structL2Update.bstrAction)
{
case "A": // add
{
asksUpdate.Add(quote);
break;
}
case "C": // change
{
asksUpdate.RemoveWhere(q => q.Price == quote.Price && q.BoardCode == quote.BoardCode);
asksUpdate.Add(quote);
break;
}
case "D": // delete
{
asksUpdate.RemoveWhere(q => q.Price == quote.Price && q.BoardCode == quote.BoardCode);
break;
}
}
break;
}
}
var message = new QuoteChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = structL2Update.bstrSymbol,
BoardCode = "All",
},
Asks = asksUpdate,
Bids = bidsUpdate,
ServerTime = structL2Update.bstrTime.StrToTime(),
};
SendOutMessage(message);
}
private IEnumerable<ExecutionMessage> ProcessQuoteChange(DateTime time, DateTimeOffset serverTime, QuoteChange[] newBids, QuoteChange[] newAsks)
{
decimal bestBidPrice;
decimal bestAskPrice;
var diff = new List<ExecutionMessage>();
GetDiff(diff, time, serverTime, _bids, newBids, Sides.Buy, out bestBidPrice);
GetDiff(diff, time, serverTime, _asks, newAsks, Sides.Sell, out bestAskPrice);
var spreadPrice = bestAskPrice == 0
? bestBidPrice
: (bestBidPrice == 0
? bestAskPrice
: (bestAskPrice - bestBidPrice) / 2 + bestBidPrice);
try
{
//при обновлении стакана необходимо учитывать направление сдвига, чтобы не было ложного исполнения при наложении бидов и асков.
//т.е. если цена сдвинулась вниз, то обновление стакана необходимо начинать с минимального бида.
return (spreadPrice < _currSpreadPrice)
? diff.OrderBy(m => m.OrderPrice)
: diff.OrderByDescending(m => m.OrderPrice);
}
finally
{
_currSpreadPrice = spreadPrice;
}
}
private void ProcessLevel1Depth(Level1ChangeMessage message, decimal bestBidPrice, decimal bestBidVolume, decimal bestAskPrice, decimal bestAskVolume, List<ExecutionMessage> retVal)
{
if (message.LocalTime.Date == _lastDepthDate)
return;
QuoteChange ask = null;
QuoteChange bid = null;
if (bestAskPrice != 0 && bestAskVolume != 0)
ask = new QuoteChange(Sides.Sell, bestAskPrice, bestAskVolume);
if (bestBidPrice != 0 && bestBidVolume != 0)
bid = new QuoteChange(Sides.Buy, bestBidPrice, bestBidVolume);
if (ask == null && bid == null)
return;
retVal.AddRange(ProcessQuoteChange(message.LocalTime, message.ServerTime,
bid != null ? new[] { bid } : ArrayHelper.Empty<QuoteChange>(),
ask != null ? new[] { ask } : ArrayHelper.Empty<QuoteChange>()));
}
// 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;
}
