/// <summary>
/// Initializes a new instance of the <see cref="DepthCandleBuilderSourceValue"/>.
/// </summary>
/// <param name="message">Messages containing quotes.</param>
/// <param name="type">Type of candle depth based data.</param>
public QuoteCandleBuilderSourceValue(QuoteChangeMessage message, DepthCandleSourceTypes type)
{
QuoteChange = message;
Type = type;
switch (Type)
{
case DepthCandleSourceTypes.BestBid:
{
var bid = message.GetBestBid();
if (bid != null)
{
_price = bid.Price;
_volume = bid.Volume;
}
break;
}
case DepthCandleSourceTypes.BestAsk:
{
var ask = message.GetBestAsk();
if (ask != null)
{
_price = ask.Price;
_volume = ask.Volume;
}
break;
}
case DepthCandleSourceTypes.Middle:
{
var bid = message.GetBestBid();
var ask = message.GetBestAsk();
if (bid != null && ask != null)
{
_price = (ask.Price + bid.Price) / 2;
//_volume = pair.Bid.Volume;
}
break;
}
default:
throw new ArgumentOutOfRangeException();
}
}
/// <summary>
/// To convert quotes.
/// </summary>
/// <param name="message">Quotes.</param>
/// <returns>Stream <see cref="ExecutionMessage"/>.</returns>
public IEnumerable <ExecutionMessage> ToExecutionLog(QuoteChangeMessage message)
{
if (message == null)
{
throw new ArgumentNullException("message");
}
if (!_priceStepUpdated || !_volumeStepUpdated)
{
var quote = message.GetBestBid() ?? message.GetBestAsk();
if (quote != null)
{
_securityDefinition.PriceStep = quote.Price.GetDecimalInfo().EffectiveScale.GetPriceStep();
_securityDefinition.VolumeStep = quote.Volume.GetDecimalInfo().EffectiveScale.GetPriceStep();
_priceStepUpdated = true;
_volumeStepUpdated = true;
}
}
_lastDepthDate = message.LocalTime.Date;
// чтобы склонировать внутренние котировки
//message = (QuoteChangeMessage)message.Clone();
// TODO для ускорения идет shallow copy котировок
var newBids = message.IsSorted ? message.Bids : message.Bids.OrderByDescending(q => q.Price);
var newAsks = message.IsSorted ? message.Asks : message.Asks.OrderBy(q => q.Price);
return(ProcessQuoteChange(message.LocalTime, message.ServerTime, newBids.ToArray(), newAsks.ToArray()));
}
/// <summary>
/// To process the message, containing data on order book.
/// </summary>
/// <param name="quoteMsg">The message, containing data on order book.</param>
public void ProcessQuotes(QuoteChangeMessage quoteMsg)
{
AskPrice = quoteMsg.GetBestAsk()?.Price;
BidPrice = quoteMsg.GetBestBid()?.Price;
_recalcUnrealizedPnL = true;
}
/// <summary>
/// To convert quotes.
/// </summary>
/// <param name="message">Quotes.</param>
/// <returns>Stream <see cref="ExecutionMessage"/>.</returns>
public IEnumerable <ExecutionMessage> ToExecutionLog(QuoteChangeMessage message)
{
if (message == null)
{
throw new ArgumentNullException(nameof(message));
}
if (!_priceStepUpdated || !_volumeStepUpdated)
{
var quote = message.GetBestBid() ?? message.GetBestAsk();
if (quote != null)
{
var v = quote.Value;
if (!_priceStepUpdated)
{
_securityDefinition.PriceStep = v.Price.GetDecimalInfo().EffectiveScale.GetPriceStep();
_priceStepUpdated = true;
}
if (!_volumeStepUpdated)
{
_securityDefinition.VolumeStep = v.Volume.GetDecimalInfo().EffectiveScale.GetPriceStep();
_volumeStepUpdated = true;
}
}
}
_lastDepthDate = message.LocalTime.Date;
return(ProcessQuoteChange(message.LocalTime, message.ServerTime, message.Bids.ToArray(), message.Asks.ToArray()));
}
/// <summary>
/// To process the message, containing data on order book.
/// </summary>
/// <param name="quoteMsg">The message, containing data on order book.</param>
public void ProcessQuotes(QuoteChangeMessage quoteMsg)
{
var ask = quoteMsg.GetBestAsk();
AskPrice = ask != null ? ask.Price : 0;
var bid = quoteMsg.GetBestBid();
BidPrice = bid != null ? bid.Price : 0;
_unrealizedPnL = null;
}
private void ProcessQuotesMessage(Security security, QuoteChangeMessage message, bool fromLevel1)
{
if (MarketDepthChanged != null || MarketDepthsChanged != null)
{
var marketDepth = GetMarketDepth(security);
message.ToMarketDepth(marketDepth, GetSecurity);
if (_subscriptionManager.IsFilteredMarketDepthRegistered(security))
GetFilteredMarketDepthInfo(security).Process(message);
RaiseMarketDepthChanged(marketDepth);
}
else
{
lock (_marketDepths.SyncRoot)
{
var info = _marketDepths.SafeAdd(security, key => new MarketDepthInfo(EntityFactory.CreateMarketDepth(security)));
info.First.LocalTime = message.LocalTime;
info.First.LastChangeTime = message.ServerTime;
info.Second = message.Bids;
info.Third = message.Asks;
}
}
var bestBid = message.GetBestBid();
var bestAsk = message.GetBestAsk();
if (!fromLevel1 && (bestBid != null || bestAsk != null))
{
var values = GetSecurityValues(security);
var changes = new List<KeyValuePair<Level1Fields, object>>(4);
lock (values.SyncRoot)
{
if (bestBid != null)
{
values[(int)Level1Fields.BestBidPrice] = bestBid.Price;
changes.Add(new KeyValuePair<Level1Fields, object>(Level1Fields.BestBidPrice, bestBid.Price));
if (bestBid.Volume != 0)
{
values[(int)Level1Fields.BestBidVolume] = bestBid.Volume;
changes.Add(new KeyValuePair<Level1Fields, object>(Level1Fields.BestBidVolume, bestBid.Volume));
}
}
if (bestAsk != null)
{
values[(int)Level1Fields.BestAskPrice] = bestAsk.Price;
changes.Add(new KeyValuePair<Level1Fields, object>(Level1Fields.BestAskPrice, bestAsk.Price));
if (bestAsk.Volume != 0)
{
values[(int)Level1Fields.BestAskVolume] = bestAsk.Volume;
changes.Add(new KeyValuePair<Level1Fields, object>(Level1Fields.BestAskVolume, bestAsk.Volume));
}
}
}
RaiseValuesChanged(security, changes, message.ServerTime, message.LocalTime);
}
if (UpdateSecurityLastQuotes)
{
var updated = false;
if (!fromLevel1 || bestBid != null)
{
updated = true;
security.BestBid = bestBid == null ? null : new Quote(security, bestBid.Price, bestBid.Volume, Sides.Buy);
}
if (!fromLevel1 || bestAsk != null)
{
updated = true;
security.BestAsk = bestAsk == null ? null : new Quote(security, bestAsk.Price, bestAsk.Volume, Sides.Sell);
}
if (updated)
{
security.LocalTime = message.LocalTime;
security.LastChangeTime = message.ServerTime;
RaiseSecurityChanged(security);
// стаканы по ALL обновляют BestXXX по конкретным инструментам
if (security.Board.Code == AssociatedBoardCode)
{
var changedSecurities = new Dictionary<Security, RefPair<bool, bool>>();
foreach (var bid in message.Bids)
{
if (bid.BoardCode.IsEmpty())
continue;
var innerSecurity = GetSecurity(new SecurityId
{
SecurityCode = security.Code,
BoardCode = bid.BoardCode
});
var info = changedSecurities.SafeAdd(innerSecurity);
if (info.First)
continue;
info.First = true;
innerSecurity.BestBid = new Quote(innerSecurity, bid.Price, bid.Volume, Sides.Buy);
innerSecurity.LocalTime = message.LocalTime;
innerSecurity.LastChangeTime = message.ServerTime;
}
foreach (var ask in message.Asks)
{
if (ask.BoardCode.IsEmpty())
continue;
var innerSecurity = GetSecurity(new SecurityId
{
SecurityCode = security.Code,
BoardCode = ask.BoardCode
});
var info = changedSecurities.SafeAdd(innerSecurity);
if (info.Second)
continue;
info.Second = true;
innerSecurity.BestAsk = new Quote(innerSecurity, ask.Price, ask.Volume, Sides.Sell);
innerSecurity.LocalTime = message.LocalTime;
innerSecurity.LastChangeTime = message.ServerTime;
}
RaiseSecuritiesChanged(changedSecurities.Keys.ToArray());
}
}
}
if (CreateDepthFromLevel1)
GetBuilder(message.SecurityId).HasDepth = true;
CreateAssociatedSecurityQuotes(message);
}
