public void Create(UserId userId, SecurityId securityId)
{
if (_state.Version != 0)
throw new DomainError("User already has non-zero version");
Apply(new UserCreated(userId, securityId, DefaultLoginActivityThreshold));
}
public static IEnumerable<ISampleMessage> Create()
{
var security = new SecurityId(0);
yield return (new CreateSecurityAggregate(security));
yield return (new AddSecurityPassword(security, "Rinat Abdullin", "*****@*****.**", "password"));
yield return (new AddSecurityIdentity(security, "Rinat's Open ID", "http://abdullin.myopenid.org"));
yield return (new AddSecurityKey(security, "some key"));
}
IMarketDataStorageDrive IMarketDataDrive.GetStorageDrive(SecurityId securityId, Type dataType, object arg, StorageFormats format)
{
var drive = GetDrive();
var storageDrive = drive.GetStorageDrive(securityId, dataType, arg, format);
if (drive == _remoteDrive)
storageDrive = new CacheableMarketDataDrive(storageDrive, _cacheDrive.GetStorageDrive(securityId, dataType, arg, format));
return storageDrive;
}
/// <summary>
/// Initialize <see cref="MarketDepthGenerator"/>.
/// </summary>
/// <param name="securityId">The identifier of the instrument, for which data shall be generated.</param>
protected MarketDepthGenerator(SecurityId securityId)
: base(securityId)
{
UseTradeVolume = true;
MinSpreadStepCount = 1;
MaxSpreadStepCount = int.MaxValue;
MaxBidsDepth = 10;
MaxAsksDepth = 10;
MaxGenerations = 20;
}
private void ReplaceSecurityId(SecurityId securityId, Action<SecurityId> setSecurityId)
{
if (securityId.Native == null)
return;
SecurityId id;
if (!_securityIds.TryGetValue(securityId.Native, out id))
return;
setSecurityId(new SecurityId { SecurityCode = id.SecurityCode, BoardCode = id.BoardCode, Native = securityId.Native });
}
/// <summary>
/// Создать <see cref="OrderLogGenerator"/>.
/// </summary>
/// <param name="securityId">Идентификатор инструмента, для которого необходимо генерировать данные.</param>
/// <param name="tradeGenerator">Генератор тиковых сделок случайным методом.</param>
public OrderLogGenerator(SecurityId securityId, TradeGenerator tradeGenerator)
: base(securityId)
{
if (tradeGenerator == null)
throw new ArgumentNullException("tradeGenerator");
//_lastOrderPrice = startPrice;
TradeGenerator = tradeGenerator;
IdGenerator = new IncrementalIdGenerator();
}
/// <summary>
/// Создать <see cref="PositionChangeMessage"/>.
/// </summary>
/// <param name="adapter">Апаптер к торговой системе.</param>
/// <param name="pfName">Название портфеля.</param>
/// <param name="securityId">Идентификатор инструмента.</param>
/// <returns>Сообщение об изменении позиции.</returns>
public static PositionChangeMessage CreatePositionChangeMessage(this IMessageAdapter adapter, string pfName, SecurityId securityId)
{
if (adapter == null)
throw new ArgumentNullException("adapter");
var time = adapter.CurrentTime;
return new PositionChangeMessage
{
PortfolioName = pfName,
SecurityId = securityId,
LocalTime = time.LocalDateTime,
ServerTime = time,
};
}
private void ProcessSecurityLookup(SecurityLookupMessage lookupMsg)
{
var reply = _client.GetInstruments();
foreach (var info in reply.Items.Values)
{
var secId = new SecurityId
{
SecurityCode = info.Name.ToStockSharpCode(),
BoardCode = _boardCode,
};
// NOTE сейчас BTCE транслирует для данного тикера
// кол-во знаков после запятой 3 и мин цена 0.0001
if (secId.SecurityCode.CompareIgnoreCase("ltc/eur"))
info.MinPrice = 0.001;
// NOTE сейчас BTCE транслирует для данного тикера
// кол-во знаков после запятой 2, но цены содержат 5 знаков
if (secId.SecurityCode.CompareIgnoreCase("btc/cnh"))
info.DecimalDigits = 5;
if (secId.SecurityCode.CompareIgnoreCase("btc/usd"))
info.DecimalDigits = 5;
SendOutMessage(new SecurityMessage
{
SecurityId = secId,
Decimals = info.DecimalDigits,
VolumeStep = (decimal)info.MinVolume,
SecurityType = SecurityTypes.CryptoCurrency,
OriginalTransactionId = lookupMsg.TransactionId,
});
SendOutMessage(new Level1ChangeMessage
{
SecurityId = secId,
ServerTime = reply.Timestamp.ApplyTimeZone(TimeHelper.Moscow)
}
.TryAdd(Level1Fields.MinPrice, (decimal)info.MinPrice)
.TryAdd(Level1Fields.MaxPrice, (decimal)info.MaxPrice)
.Add(Level1Fields.State, info.IsHidden ? SecurityStates.Stoped : SecurityStates.Trading));
}
SendOutMessage(new SecurityLookupResultMessage { OriginalTransactionId = lookupMsg.TransactionId });
}
public ExecutionLogConverter(SecurityId securityId,
SortedDictionary<decimal, RefPair<List<ExecutionMessage>, QuoteChange>> bids,
SortedDictionary<decimal, RefPair<List<ExecutionMessage>, QuoteChange>> asks,
MarketEmulatorSettings settings)
{
if (bids == null)
throw new ArgumentNullException("bids");
if (asks == null)
throw new ArgumentNullException("asks");
if (settings == null)
throw new ArgumentNullException("settings");
_bids = bids;
_asks = asks;
_settings = settings;
SecurityId = securityId;
}
private void Ok_Click(object sender, RoutedEventArgs e)
{
var secId = new SecurityId();
//{
// SecurityCode = SecCode.Text,
//};
if (!BoardName.Text.IsEmpty())
secId.BoardCode = BoardName.Text;
if (!ContractId.Text.IsEmpty())
secId.Native = ContractId.Text.To<int>();
MainWindow.Instance.Trader.LookupSecurities(new SecurityLookupMessage
{
SecurityId = secId,
Name = SecCode.Text,
Currency = CurrencyTypes.USD,
SecurityType = SecType.GetSelectedValue<SecurityTypes>() ?? default(SecurityTypes),
TransactionId = MainWindow.Instance.Trader.TransactionIdGenerator.GetNextId(),
});
DialogResult = true;
}
public ExecutionLogConverter(SecurityId securityId,
SortedDictionary<decimal, RefPair<List<ExecutionMessage>, QuoteChange>> bids,
SortedDictionary<decimal, RefPair<List<ExecutionMessage>, QuoteChange>> asks,
MarketEmulatorSettings settings, Func<DateTime, DateTimeOffset> getServerTime)
{
if (bids == null)
throw new ArgumentNullException(nameof(bids));
if (asks == null)
throw new ArgumentNullException(nameof(asks));
if (settings == null)
throw new ArgumentNullException(nameof(settings));
if (getServerTime == null)
throw new ArgumentNullException(nameof(getServerTime));
_bids = bids;
_asks = asks;
_settings = settings;
_getServerTime = getServerTime;
SecurityId = securityId;
}
/// <summary>Коллбэк результата поиска инструментов.</summary>
/// <param name="lookupTransId">Номер транзакции операции Lookup.</param>
/// <param name="data">Список инструментов, удовлетворяющих условию поиска.</param>
/// <param name="ex">Ошибка поиска.</param>
private void ClientOnProductLookupResult(long lookupTransId, IEnumerable<ProductInfo> data, Exception ex)
{
if (ex != null)
{
SendOutError(new ETradeException(LocalizedStrings.Str3363, ex));
if (lookupTransId > 0)
SendOutMessage(new SecurityLookupResultMessage { OriginalTransactionId = lookupTransId });
return;
}
foreach(var info in data.Where(info => info.securityType == "EQ"))
{
var secId = new SecurityId
{
SecurityCode = info.symbol,
BoardCode = AssociatedBoardCode,
};
var msg = new SecurityMessage
{
SecurityId = secId,
Name = info.companyName,
ShortName = info.companyName,
SecurityType = SecurityTypes.Stock,
PriceStep = 0.01m,
Currency = CurrencyTypes.USD,
};
SendOutMessage(msg);
}
if (lookupTransId > 0)
SendOutMessage(new SecurityLookupResultMessage { OriginalTransactionId = lookupTransId });
}
/// <summary>
/// Нужно ли обрабатывать маркет-данные.
/// </summary>
/// <param name="dataType">Тип маркет-данных.</param>
/// <param name="securityId">Идентификатор инструмента.</param>
/// <returns>Нужно ли обрабатывать маркет-данные.</returns>
public bool NeedProcess(MarketDataTypes dataType, SecurityId securityId)
{
return _fixServer.HasSubscriptions(dataType, new SecurityId
{
SecurityCode = securityId.SecurityCode,
BoardCode = GetBoardCode(securityId.BoardCode)
});
}
public static void WriteVolume <T>(this BitArrayWriter writer, decimal volume, BinaryMetaInfo <T> info, SecurityId securityId)
where T : BinaryMetaInfo <T>
{
if (info.Version < MarketDataVersions.Version44)
{
var intVolume = volume.Truncate();
if (intVolume == volume) // объем целочисленный
{
writer.Write(true);
writer.WriteLong((long)intVolume);
}
else
{
writer.Write(false);
throw new NotSupportedException(LocalizedStrings.Str1010Params.Put(volume));
}
}
else
{
var isAligned = (volume % info.VolumeStep) == 0;
writer.Write(isAligned);
if (isAligned)
{
writer.WriteLong((long)(volume / info.VolumeStep));
}
else
{
if (info.FirstFractionalVolume == 0)
{
info.FirstFractionalVolume = info.LastFractionalVolume = volume;
}
info.LastFractionalVolume = writer.WriteDecimal(volume, info.LastFractionalVolume);
}
}
}
private Security InitSecurity(SecurityId securityId)
{
var id = securityId.ToStringId();
var security = _entityRegistry.Securities.ReadById(id);
if (security != null)
return security;
security = new Security
{
Id = id,
ExtensionInfo = new Dictionary<object, object>(),
Code = securityId.SecurityCode,
Board = ExchangeBoard.GetOrCreateBoard(securityId.SecurityCode),
Type = securityId.SecurityType,
};
_entityRegistry.Securities.Save(security);
_logManager.Application.AddInfoLog(LocalizedStrings.Str2871Params.Put(id));
return security;
}
protected ConvertableStorage(StorageRegistry parent, Security security, SecurityId securityId, object arg, Func <TMessage, DateTimeOffset> getTime, Func <TMessage, SecurityId> getSecurity, Func <TMessage, TId> getId, IMarketDataSerializer <TMessage> serializer, IMarketDataStorageDrive drive)
: base(security, securityId, arg, getTime, getSecurity, getId, serializer, drive)
{
_parent = parent;
}
public TransactionStorage(Security security, SecurityId securityId, IMarketDataStorageDrive drive, IMarketDataSerializer <ExecutionMessage> serializer)
: base(security, securityId, ExecutionTypes.Transaction, msg => msg.ServerTime, msg => msg.SecurityId, msg => msg.TransactionId, serializer, drive)
{
AppendOnlyNew = false;
}
public CandleStorage(Security security, SecurityId securityId, object arg, IMarketDataStorageDrive drive, IMarketDataSerializer <TCandleMessage> serializer)
: base(security, securityId, arg, drive, serializer)
{
}
private SecurityId GetSecurityId(SecurityId securityId) => IsSupportSubscriptionBySecurity ? securityId : default;
private void ProcessMessage <TMessage>(SecurityId securityId, TMessage message, bool throwIfSecIdEmpty, Func <TMessage, TMessage, TMessage> processSuspend)
where TMessage : Message
{
var native = securityId.Native;
if (native != null)
{
SecurityId?fullSecurityId;
lock (_syncRoot)
fullSecurityId = _securityIds.TryGetValue2(native);
if (fullSecurityId == null)
{
lock (_syncRoot)
{
var tuple = _suspendedOutMessages.SafeAdd(securityId, key => RefTuple.Create((List <Message>)null, (Dictionary <MessageTypes, Message>)null));
var clone = message.Clone();
if (processSuspend == null)
{
if (tuple.First == null)
{
tuple.First = new List <Message>();
}
tuple.First.Add(clone);
}
else
{
if (tuple.Second == null)
{
tuple.Second = new Dictionary <MessageTypes, Message>();
}
var prev = tuple.Second.TryGetValue(clone.Type);
tuple.Second[clone.Type] = prev == null
? clone
: processSuspend((TMessage)prev, (TMessage)clone);
}
}
return;
}
message.ReplaceSecurityId(fullSecurityId.Value);
}
else
{
var securityCode = securityId.SecurityCode;
var boardCode = securityId.BoardCode;
var isSecCodeEmpty = securityCode.IsEmpty();
if (isSecCodeEmpty && throwIfSecIdEmpty)
{
throw new InvalidOperationException();
}
if (!isSecCodeEmpty && boardCode.IsEmpty())
{
SecurityId?foundId = null;
lock (_syncRoot)
{
foreach (var id in _securityIds.Values)
{
if (!id.SecurityCode.CompareIgnoreCase(securityCode))
{
continue;
}
if (securityId.SecurityType != null && securityId.SecurityType != id.SecurityType)
{
continue;
}
foundId = id;
}
if (foundId == null)
{
var tuple = _suspendedOutMessages.SafeAdd(securityId, key => RefTuple.Create(new List <Message>(), (Dictionary <MessageTypes, Message>)null));
tuple.First.Add(message.Clone());
return;
}
}
message.ReplaceSecurityId(foundId.Value);
//// если указан код и тип инструмента, то пытаемся найти инструмент по ним
//if (securityId.SecurityType != null)
//{
//}
//else
// throw new ArgumentException(nameof(securityId), LocalizedStrings.Str682Params.Put(securityCode, securityId.SecurityType));
}
}
base.OnInnerAdapterNewOutMessage(message);
}
/// <inheritdoc /> public abstract IEnumerable <DataType> GetAvailableDataTypes(SecurityId securityId, StorageFormats format);
/// <summary>
/// Initializes a new instance of the <see cref="TickCsvSerializer"/>.
/// </summary>
/// <param name="securityId">Security ID.</param>
/// <param name="encoding">Encoding.</param>
public TickCsvSerializer(SecurityId securityId, Encoding encoding = null)
: base(securityId, encoding)
{
}
private IMarketDataStorage <TMessage> GetStorage <TMessage>(SecurityId securityId, object arg)
where TMessage : Message
{
return((IMarketDataStorage <TMessage>)GetStorage(securityId, typeof(TMessage), arg));
}
public static void WritePriceEx <T>(this BitArrayWriter writer, decimal price, BinaryMetaInfo <T> info, SecurityId securityId)
where T : BinaryMetaInfo <T>
{
if (info.Version < MarketDataVersions.Version41)
{
writer.WritePrice(price, info.LastPrice, info, securityId);
info.LastPrice = price;
}
else
{
var isAligned = (price % info.PriceStep) == 0;
writer.Write(isAligned);
if (isAligned)
{
if (info.FirstPrice == 0)
{
info.FirstPrice = info.LastPrice = price;
}
writer.WritePrice(price, info.LastPrice, info, securityId);
info.LastPrice = price;
}
else
{
if (info.FirstNonSystemPrice == 0)
{
info.FirstNonSystemPrice = info.LastNonSystemPrice = price;
}
info.LastNonSystemPrice = writer.WriteDecimal(price, info.LastNonSystemPrice);
}
}
}
public static void WritePrice <T>(this BitArrayWriter writer, decimal price, decimal prevPrice, MetaInfo <T> info, SecurityId securityId, bool useLong = false)
where T : MetaInfo <T>
{
if ((price % info.PriceStep) != 0)
{
throw new ArgumentException(LocalizedStrings.Str1007Params.Put(info.PriceStep, securityId, price), "info");
}
try
{
var stepCount = (long)((price - prevPrice) / info.PriceStep);
// ОЛ может содержать заявки с произвольно большими ценами
if (useLong)
{
writer.WriteLong(stepCount);
}
else
{
writer.WriteInt((int)stepCount);
}
}
catch (OverflowException ex)
{
throw new ArgumentException(LocalizedStrings.Str1008Params.Put(price, prevPrice, info.PriceStep, useLong), ex);
}
}
public static TimeSpan GetTimeZone <TMetaInfo>(this BinaryMetaInfo <TMetaInfo> metaInfo, bool isUtc, SecurityId securityId)
where TMetaInfo : BinaryMetaInfo <TMetaInfo>
{
if (isUtc)
{
return(metaInfo.ServerOffset);
}
var board = ExchangeBoard.GetBoard(securityId.BoardCode);
return(board == null ? metaInfo.LocalOffset : board.Exchange.TimeZoneInfo.BaseUtcOffset);
}
private void ReadMyTrade(IBSocket socket, ServerVersions version)
{
/* requestId */
if (version >= ServerVersions.V7)
socket.ReadInt();
// http://www.interactivebrokers.com/en/software/api/apiguide/java/execution.htm
var transactionId = socket.ReadInt();
//Handle the 2^31-1 == 0 bug
if (transactionId == int.MaxValue)
transactionId = 0;
//Read Contract Fields
var contractId = version >= ServerVersions.V5 ? socket.ReadInt() : -1;
var secName = socket.ReadStr();
var type = socket.ReadSecurityType();
var expiryDate = socket.ReadExpiry();
var strike = socket.ReadDecimal();
var optionType = socket.ReadOptionType();
var multiplier = version >= ServerVersions.V9 ? socket.ReadMultiplier() : null;
var boardCode = socket.ReadBoardCode();
var currency = socket.ReadCurrency();
var secCode = socket.ReadLocalCode(secName);
var secClass = (version >= ServerVersions.V10) ? socket.ReadStr() : null;
var tradeId = socket.ReadStr();
var time = socket.ReadDateTime("yyyyMMdd HH:mm:ss");
var portfolio = socket.ReadStr();
/* exchange */
socket.ReadStr();
var side = socket.ReadTradeSide();
var volume = socket.ReadDecimal();
var price = socket.ReadDecimal();
var permId = version >= ServerVersions.V2 ? socket.ReadInt() : (int?)null;
var clientId = version >= ServerVersions.V3 ? socket.ReadInt() : (int?)null;
var liquidation = version >= ServerVersions.V4 ? socket.ReadInt() : (int?)null;
var cumulativeQuantity = version >= ServerVersions.V6 ? socket.ReadInt() : (int?)null;
var averagePrice = version >= ServerVersions.V6 ? socket.ReadDecimal() : (decimal?)null;
var orderRef = version >= ServerVersions.V8 ? socket.ReadStr() : null;
var evRule = version >= ServerVersions.V9 ? socket.ReadStr() : null;
var evMultiplier = version >= ServerVersions.V9 ? socket.ReadDecimal() : (decimal?)null;
var secId = new SecurityId
{
SecurityCode = secCode,
BoardCode = GetBoardCode(boardCode),
InteractiveBrokers = contractId,
};
SendOutMessage(new SecurityMessage
{
SecurityId = secId,
Name = secName,
SecurityType = type,
ExpiryDate = expiryDate,
Strike = strike,
OptionType = optionType,
Currency = currency,
Multiplier = multiplier ?? 0,
Class = secClass
});
// заявка была создана руками
if (transactionId == 0)
return;
_secIdByTradeIds[tradeId] = secId;
var execMsg = new ExecutionMessage
{
ExecutionType = ExecutionTypes.Transaction,
OriginalTransactionId = transactionId,
TradeStringId = tradeId,
OriginSide = side,
TradePrice = price,
TradeVolume = volume,
PortfolioName = portfolio,
ServerTime = time,
SecurityId = secId,
HasTradeInfo = true,
};
if (permId != null)
execMsg.SetPermId(permId.Value);
if (clientId != null)
execMsg.SetClientId(clientId.Value);
if (liquidation != null)
execMsg.SetLiquidation(liquidation.Value);
if (cumulativeQuantity != null)
execMsg.SetCumulativeQuantity(cumulativeQuantity.Value);
if (averagePrice != null)
execMsg.SetAveragePrice(averagePrice.Value);
if (orderRef != null)
execMsg.SetOrderRef(orderRef);
if (evRule != null)
execMsg.SetEvRule(evRule);
if (evMultiplier != null)
execMsg.SetEvMultiplier(evMultiplier.Value);
SendOutMessage(execMsg);
}
/// <summary>
/// Получить путь к папке с маркет-данными для инструмента.
/// </summary>
/// <param name="securityId">Идентификатор инструмента.</param>
/// <returns>Путь к папке с маркет-данными.</returns>
public string GetSecurityPath(SecurityId securityId)
{
if (securityId.IsDefault())
throw new ArgumentNullException("securityId");
var id = securityId.SecurityCode + "@" + securityId.BoardCode;
var folderName = id.SecurityIdToFolderName();
return UseAlphabeticPath
? IOPath.Combine(Path, id.Substring(0, 1), folderName)
: IOPath.Combine(Path, folderName);
}
private void ReadPortfolioPosition(IBSocket socket, ServerVersions version)
{
var contractId = version >= ServerVersions.V6 ? socket.ReadInt() : -1;
var secName = socket.ReadStr();
var type = socket.ReadSecurityType();
var expiryDate = socket.ReadExpiry();
var strike = socket.ReadDecimal();
var optionType = socket.ReadOptionType();
var multiplier = version >= ServerVersions.V7 ? socket.ReadMultiplier() : null;
var boardCode = version >= ServerVersions.V7 ? socket.ReadBoardCode() : null;
var currency = socket.ReadCurrency();
var secCode = (version >= ServerVersions.V2) ? socket.ReadStr() : secName;
var secClass = (version >= ServerVersions.V8) ? socket.ReadStr() : null;
var position = socket.ReadDecimal();
var marketPrice = socket.ReadDecimal();
var marketValue = socket.ReadDecimal();
var averagePrice = 0m;
var unrealizedPnL = 0m;
var realizedPnL = 0m;
if (version >= ServerVersions.V3)
{
averagePrice = socket.ReadDecimal();
unrealizedPnL = socket.ReadDecimal();
realizedPnL = socket.ReadDecimal();
}
var portfolio = version >= ServerVersions.V4 ? socket.ReadStr() : null;
if (version == ServerVersions.V6 && socket.ServerVersion == ServerVersions.V39)
boardCode = socket.ReadBoardCode();
var secId = new SecurityId
{
SecurityCode = secCode,
BoardCode = GetBoardCode(boardCode),
InteractiveBrokers = contractId,
};
SendOutMessage(new SecurityMessage
{
SecurityId = secId,
Name = secName,
SecurityType = type,
ExpiryDate = expiryDate,
Strike = strike,
OptionType = optionType,
Currency = currency,
Multiplier = multiplier ?? 0,
Class = secClass
});
if (portfolio.IsEmpty())
return;
SendOutMessage(
this
.CreatePositionChangeMessage(portfolio, secId)
.Add(PositionChangeTypes.CurrentValue, position)
.Add(PositionChangeTypes.CurrentPrice, marketPrice)
.Add(PositionChangeTypes.AveragePrice, averagePrice)
.Add(PositionChangeTypes.UnrealizedPnL, unrealizedPnL)
.Add(PositionChangeTypes.RealizedPnL, realizedPnL));
// TODO
//pos.SetMarketValue(marketValue);
}
/// <summary>
/// Создать построитель стакана из лога заявок.
/// </summary>
/// <param name="builder">Тип построителя.</param>
/// <param name="securityId">Идентификатор инструмента.</param>
/// <returns>Построитель стакана из лога заявок.</returns>
public static IOrderLogMarketDepthBuilder CreateBuilder(this OrderLogBuilders builder, SecurityId securityId)
{
switch (builder)
{
case OrderLogBuilders.Plaza2:
return new PlazaOrderLogMarketDepthBuilder(securityId);
case OrderLogBuilders.ITCH:
return new ItchOrderLogMarketDepthBuilder(securityId);
default:
throw new ArgumentOutOfRangeException(nameof(builder), builder, null);
}
}
/// <summary>
/// Создать <see cref="LuaFixServer"/>.
/// </summary>
public LuaFixServer()
{
_requests.Close();
_securityClassInfo.FillDefault();
_fixServer = new FixServerEx((l, p) =>
{
if (Login.IsEmpty() || (l.CompareIgnoreCase(Login) && p == Password))
{
_prevLevel1.Clear();
return(Tuple.Create(TimeSpan.FromMilliseconds(100), FixClientRoles.Admin));
}
return(null);
});
_fixServer.NewOutMessage += message =>
{
_fixServer.AddDebugLog("In. {0}", message);
switch (message.Type)
{
case MessageTypes.CandlePnF:
case MessageTypes.CandleRange:
case MessageTypes.CandleRenko:
case MessageTypes.CandleTick:
case MessageTypes.CandleTimeFrame:
case MessageTypes.CandleVolume:
throw new NotSupportedException();
case MessageTypes.MarketData:
{
var mdMsg = (MarketDataMessage)message;
ProcessMarketDataMessage(mdMsg);
break;
}
case MessageTypes.SecurityLookup:
{
var secMsg = (SecurityLookupMessage)message;
var securityId = new SecurityId
{
SecurityCode = secMsg.SecurityId.SecurityCode,
BoardCode = !secMsg.SecurityId.BoardCode.IsEmpty()
? _securityClassInfo.GetSecurityClass(secMsg.SecurityId)
: null
};
_requests.Enqueue(new LuaRequest
{
MessageType = MessageTypes.SecurityLookup,
TransactionId = secMsg.TransactionId,
SecurityId = securityId,
Value = secMsg.UnderlyingSecurityCode
});
break;
}
case MessageTypes.OrderPairReplace:
case MessageTypes.Portfolio:
case MessageTypes.Position:
throw new NotSupportedException();
case MessageTypes.PortfolioLookup:
var pfMsg = (PortfolioLookupMessage)message;
_requests.Enqueue(new LuaRequest
{
MessageType = MessageTypes.PortfolioLookup,
TransactionId = pfMsg.TransactionId
});
break;
case MessageTypes.OrderStatus:
var statusMsg = (OrderStatusMessage)message;
_requests.Enqueue(new LuaRequest
{
MessageType = MessageTypes.OrderStatus,
TransactionId = statusMsg.TransactionId
});
break;
case MessageTypes.OrderRegister:
case MessageTypes.OrderReplace:
case MessageTypes.OrderCancel:
case MessageTypes.OrderGroupCancel:
var orderMsg = (OrderMessage)message;
ProcessOrderMessage(orderMsg);
break;
default:
throw new ArgumentOutOfRangeException();
}
};
_fixServer.TransactionSession.TimeZone = TimeHelper.Moscow;
_fixServer.MarketDataSession.TimeZone = TimeHelper.Moscow;
_logManager.Application = new QuikNativeApp();
_logManager.Sources.Add(_fixServer);
LogFile = "StockSharp.QuikLua.log";
}
/// <summary>
/// Initialize <see cref="TradeGenerator"/>.
/// </summary>
/// <param name="securityId">The identifier of the instrument, for which data shall be generated.</param>
protected TradeGenerator(SecurityId securityId)
: base(securityId)
{
IdGenerator = new IncrementalIdGenerator();
}
public TradeStorage(StorageRegistry parent, Security security, SecurityId securityId, IMarketDataStorageDrive drive, IMarketDataSerializer <ExecutionMessage> serializer)
: base(parent, security, securityId, ExecutionTypes.Tick, trade => trade.ServerTime, trade => trade.SecurityId, trade => trade.ServerTime.StorageTruncate(serializer.TimePrecision), serializer, drive)
{
}
public PositionStorage(Security security, SecurityId securityId, IMarketDataStorageDrive drive, IMarketDataSerializer <PositionChangeMessage> serializer)
: base(security, securityId, null, value => value.ServerTime, value => value.SecurityId, value => value.ServerTime.StorageTruncate(serializer.TimePrecision), serializer, drive)
{
}
public BoardStateStorage(StorageRegistry parent, Security security, SecurityId securityId, IMarketDataSerializer <BoardStateMessage> serializer, IMarketDataStorageDrive drive)
: base(parent, security, securityId, null, m => m.ServerTime, m => default, m => null, serializer, drive)
{
}
public QuoteBinarySerializer(SecurityId securityId, IExchangeInfoProvider exchangeInfoProvider)
: base(securityId, 16 + 20 * 25, MarketDataVersions.Version55, exchangeInfoProvider)
{
}
/// <summary>
/// Initialize a new message <see cref="SecurityMessage"/> and pass it to the method <see cref="SendOutMessage"/>.
/// </summary>
/// <param name="securityId">Security ID.</param>
protected void SendOutSecurityMessage(SecurityId securityId)
{
SendOutMessage(new SecurityMessage { SecurityId = securityId });
}
/// <summary>
/// Создать <see cref="TrendMarketDepthGenerator"/>.
/// </summary>
/// <param name="securityId">Идентификатор инструмента, для которого необходимо генерировать данные.</param>
public TrendMarketDepthGenerator(SecurityId securityId)
: base(securityId)
{
Interval = TimeSpan.FromMilliseconds(50);
}
private void ProcessSuspendedSecurityMessages(SecurityId securityId)
{
var noNativeId = securityId.Native == null ? (SecurityId?)null : securityId;
if (noNativeId != null)
{
var t = noNativeId.Value;
t.Native = null;
noNativeId = t;
}
List <Message> msgs = null;
lock (_syncRoot)
{
var tuple = _suspendedOutMessages.TryGetValue(securityId);
if (tuple != null)
{
msgs = GetMessages(tuple);
_suspendedOutMessages.Remove(securityId);
}
if (noNativeId != null)
{
tuple = _suspendedOutMessages.TryGetValue(noNativeId.Value);
if (tuple != null)
{
if (msgs == null)
{
msgs = GetMessages(tuple);
}
else
{
msgs.AddRange(GetMessages(tuple));
}
_suspendedOutMessages.Remove(noNativeId.Value);
}
}
// find association by code and code + type
var pair = _suspendedOutMessages
.FirstOrDefault(p =>
p.Key.SecurityCode.CompareIgnoreCase(securityId.SecurityCode) &&
p.Key.BoardCode.IsEmpty() &&
(securityId.SecurityType == null || p.Key.SecurityType == securityId.SecurityType));
var value = pair.Value;
if (value != null)
{
_suspendedOutMessages.Remove(pair.Key);
if (msgs == null)
{
msgs = GetMessages(value);
}
else
{
msgs.AddRange(GetMessages(value));
}
}
var inMsgs = _suspendedInMessages.TryGetValue(securityId);
if (inMsgs != null)
{
if (msgs == null)
{
msgs = inMsgs;
}
else
{
msgs.AddRange(inMsgs);
}
_suspendedInMessages.Remove(securityId);
}
if (noNativeId != null)
{
inMsgs = _suspendedInMessages.TryGetValue(noNativeId.Value);
if (inMsgs != null)
{
if (msgs == null)
{
msgs = inMsgs;
}
else
{
msgs.AddRange(inMsgs);
}
_suspendedInMessages.Remove(noNativeId.Value);
}
}
}
if (msgs == null)
{
return;
}
// external code shouldn't receive native ids
securityId.Native = null;
foreach (var msg in msgs)
{
msg.ReplaceSecurityId(securityId);
base.OnInnerAdapterNewOutMessage(msg);
}
}
/// <inheritdoc /> public abstract IMarketDataStorageDrive GetStorageDrive(SecurityId securityId, Type dataType, object arg, StorageFormats format);
/// <summary>
/// Создать хранилище для <see cref="IMarketDataStorage"/>.
/// </summary>
/// <param name="securityId">Идентификатор инструмента.</param>
/// <param name="dataType">Тип маркет-данных.</param>
/// <param name="arg">Параметр, ассоциированный с типом <paramref name="dataType"/>. Например, <see cref="CandleMessage.Arg"/>.</param>
/// <param name="format">Тип формата.</param>
/// <returns>Хранилище для <see cref="IMarketDataStorage"/>.</returns>
public override IMarketDataStorageDrive GetStorageDrive(SecurityId securityId, Type dataType, object arg, StorageFormats format)
{
if (securityId.IsDefault())
throw new ArgumentNullException("securityId");
return _drives.SafeAdd(Tuple.Create(securityId, dataType, arg, format),
key => new LocalMarketDataStorageDrive(CreateFileName(dataType, arg), GetSecurityPath(securityId), format, this));
}
/// <summary>
/// Create market depth builder.
/// </summary>
/// <param name="securityId">Security ID.</param>
/// <returns>Order log to market depth builder.</returns>
public override IOrderLogMarketDepthBuilder CreateOrderLogMarketDepthBuilder(SecurityId securityId)
{
return(OrderLogMarketDepthBuilders[securityId]);
}
public void CreateSecurityAggregate(SecurityId securityId)
{
Apply(new SecurityAggregateCreated(securityId));
}
private SecurityId GetSecurityId(SecurityId securityId)
{
return(InnerAdapter.IsSecurityRequired(DataType.OrderLog)
? securityId
: default);
private static Transaction SetOtherSecurity(this Transaction transaction, SecurityId securityId, IDictionary<string, RefPair<SecurityTypes, string>> securityClassInfo)
{
var secClass = securityClassInfo.GetSecurityClass(securityId);
return transaction.SetOtherSecurity(securityId.SecurityCode, secClass);
}
private Level1DepthBuilder GetBuilder(SecurityId securityId)
{
return(_level1DepthBuilders.SafeAdd(securityId, c => new Level1DepthBuilder(c)));
}
/// <summary>
/// Initializes a new instance of the <see cref="RandomWalkTradeGenerator"/>.
/// </summary>
/// <param name="securityId">The identifier of the instrument, for which data shall be generated.</param>
public RandomWalkTradeGenerator(SecurityId securityId)
: base(securityId)
{
Interval = TimeSpan.FromMilliseconds(50);
}
public Level1DepthBuilder(SecurityId securityId)
{
_securityId = securityId;
}
/// <summary>
/// Create market depth builder.
/// </summary>
/// <param name="securityId">Security ID.</param>
/// <returns>Order log to market depth builder.</returns>
public virtual IOrderLogMarketDepthBuilder CreateOrderLogMarketDepthBuilder(SecurityId securityId)
{
throw new NotSupportedException();
}
public BookInfo(SecurityId securityId, ILogReceiver logs) => Builder = new OrderBookIncrementBuilder(securityId, logs);
private static Level1ChangeMessage ToLevel1(string str, SecurityId securityId)
{
var parts = str.SplitByComma();
return new Level1ChangeMessage
{
SecurityId = securityId,
ServerTime = parts[0].ToDateTime("yyyy-MM-dd HH:mm:ss.fff").ApplyTimeZone(TimeHelper.Est),
}
.TryAdd(Level1Fields.LastTradeId, parts[6].IsEmpty() ? 0 : parts[6].To<long>())
.TryAdd(Level1Fields.LastTradePrice, parts[1].To<decimal?>())
.TryAdd(Level1Fields.LastTradeVolume, parts[2].To<decimal?>())
.TryAdd(Level1Fields.BestBidPrice, parts[4].To<decimal?>())
.TryAdd(Level1Fields.BestAskPrice, parts[5].To<decimal?>());
}
private bool SecurityIdEqual(SecurityId securityId)
{
return(securityId.SecurityCode.CompareIgnoreCase(SecurityId.SecurityCode) && securityId.BoardCode.CompareIgnoreCase(SecurityId.BoardCode));
}
/// <summary>
/// Создать <see cref="LuaFixServer"/>.
/// </summary>
public LuaFixServer()
{
_requests.Close();
_securityClassInfo.FillDefault();
_fixServer = new FixServerEx((l, p) =>
{
if (Login.IsEmpty() || (l.CompareIgnoreCase(Login) && p == Password))
{
_prevLevel1.Clear();
return Tuple.Create(TimeSpan.FromMilliseconds(100), FixClientRoles.Admin);
}
return null;
});
_fixServer.NewOutMessage += message =>
{
_fixServer.AddDebugLog("In. {0}", message);
switch (message.Type)
{
case MessageTypes.CandlePnF:
case MessageTypes.CandleRange:
case MessageTypes.CandleRenko:
case MessageTypes.CandleTick:
case MessageTypes.CandleTimeFrame:
case MessageTypes.CandleVolume:
throw new NotSupportedException();
case MessageTypes.MarketData:
{
var mdMsg = (MarketDataMessage)message;
ProcessMarketDataMessage(mdMsg);
break;
}
case MessageTypes.SecurityLookup:
{
var secMsg = (SecurityLookupMessage)message;
var securityId = new SecurityId
{
SecurityCode = secMsg.SecurityId.SecurityCode,
BoardCode = !secMsg.SecurityId.BoardCode.IsEmpty()
? _securityClassInfo.GetSecurityClass(secMsg.SecurityId)
: null
};
_requests.Enqueue(new LuaRequest
{
MessageType = MessageTypes.SecurityLookup,
TransactionId = secMsg.TransactionId,
SecurityId = securityId,
Value = secMsg.UnderlyingSecurityCode
});
break;
}
case MessageTypes.OrderPairReplace:
case MessageTypes.Portfolio:
case MessageTypes.Position:
throw new NotSupportedException();
case MessageTypes.PortfolioLookup:
var pfMsg = (PortfolioLookupMessage)message;
_requests.Enqueue(new LuaRequest
{
MessageType = MessageTypes.PortfolioLookup,
TransactionId = pfMsg.TransactionId
});
break;
case MessageTypes.OrderStatus:
var statusMsg = (OrderStatusMessage)message;
_requests.Enqueue(new LuaRequest
{
MessageType = MessageTypes.OrderStatus,
TransactionId = statusMsg.TransactionId
});
break;
case MessageTypes.OrderRegister:
case MessageTypes.OrderReplace:
case MessageTypes.OrderCancel:
case MessageTypes.OrderGroupCancel:
var orderMsg = (OrderMessage)message;
ProcessOrderMessage(orderMsg);
break;
default:
throw new ArgumentOutOfRangeException();
}
};
_fixServer.TransactionSession.TimeZone = TimeHelper.Moscow;
_logManager.Application = new QuikNativeApp();
_logManager.Sources.Add(_fixServer);
LogFile = "StockSharp.QuikLua.log";
}
/// <summary>
/// Update filter with new subscription.
/// </summary>
/// <param name="securityId">Security ID.</param>
/// <param name="dataType">Data type info.</param>
/// <returns>If subscription was just created, return <see langword="true" />, otherwise <see langword="false" />.</returns>
public bool Subscribe(SecurityId securityId, DataType dataType)
{
return(_subscriptions.TryAdd(Tuple.Create(securityId, dataType)));
}
private void ReplaceSecurityId(SecurityId securityId, Action<SecurityId> setSecurityId)
{
if (setSecurityId == null)
throw new ArgumentNullException(nameof(setSecurityId));
ReplaceBoardCode(securityId.BoardCode, boardCode => setSecurityId(new SecurityId { SecurityCode = securityId.SecurityCode, BoardCode = boardCode }));
}
/// <summary>
/// Update filter with remove a subscription.
/// </summary>
/// <param name="securityId">Security ID.</param>
/// <param name="dataType">Data type info.</param>
/// <returns>If subscription was just removed, return <see langword="true" />, otherwise <see langword="false" />.</returns>
public bool UnSubscribe(SecurityId securityId, DataType dataType)
{
return(_subscriptions.Remove(Tuple.Create(securityId, dataType)));
}
private void ReadPosition(IBSocket socket, ServerVersions version)
{
var account = socket.ReadStr();
var contractId = socket.ReadInt();
var secName = socket.ReadStr();
var type = socket.ReadSecurityType();
var expiryDate = socket.ReadExpiry();
var strike = socket.ReadDecimal();
var optionType = socket.ReadOptionType();
var multiplier = socket.ReadMultiplier();
var boardCode = socket.ReadBoardCode();
var currency = socket.ReadCurrency();
var secCode = socket.ReadLocalCode(secName);
var secClass = (version >= ServerVersions.V2) ? socket.ReadStr() : null;
var pos = socket.ReadDecimal();
var avgCost = 0m;
if (version >= ServerVersions.V3)
avgCost = socket.ReadDecimal();
var secId = new SecurityId
{
SecurityCode = secCode,
BoardCode = GetBoardCode(boardCode),
InteractiveBrokers = contractId,
};
SendOutMessage(new SecurityMessage
{
SecurityId = secId,
Name = secName,
SecurityType = type,
ExpiryDate = expiryDate,
Strike = strike,
OptionType = optionType,
Currency = currency,
Multiplier = multiplier ?? 0,
Class = secClass
});
SendOutMessage(this
.CreatePositionChangeMessage(account, secId)
.Add(PositionChangeTypes.CurrentValue, pos)
.Add(PositionChangeTypes.AveragePrice, avgCost));
}
private bool CanStore <TMessage>(SecurityId securityId, object arg = null)
where TMessage : Message
{
return(CanStore(securityId, typeof(TMessage), arg));
}
private void ReadOpenOrder(IBSocket socket, ServerVersions version)
{
var transactionId = socket.ReadInt();
var contractId = version >= ServerVersions.V17 ? socket.ReadInt() : -1;
var secCode = socket.ReadStr();
var type = socket.ReadSecurityType();
var expiryDate = socket.ReadExpiry();
var strike = socket.ReadDecimal();
var optionType = socket.ReadOptionType();
var multiplier = version >= ServerVersions.V32 ? socket.ReadMultiplier() : null;
var boardCode = socket.ReadBoardCode();
var currency = socket.ReadCurrency();
secCode = version >= ServerVersions.V2 ? socket.ReadLocalCode(secCode) : null;
var secClass = (version >= ServerVersions.V32) ? socket.ReadStr() : null;
var ibCon = new IBOrderCondition();
// read order fields
var direction = socket.ReadOrderSide();
var volume = socket.ReadDecimal();
OrderTypes orderType;
IBOrderCondition.ExtendedOrderTypes? extendedType;
socket.ReadOrderType(out orderType, out extendedType);
ibCon.ExtendedType = extendedType;
var price = socket.ReadDecimal();
ibCon.StopPrice = socket.ReadDecimal();
var expiration = socket.ReadStr();
ibCon.Oca.Group = socket.ReadStr();
var portfolio = socket.ReadStr();
ibCon.IsOpenOrClose = socket.ReadStr() == "O";
ibCon.Origin = (IBOrderCondition.OrderOrigins)socket.ReadInt();
var comment = socket.ReadStr();
var clientId = version >= ServerVersions.V3 ? socket.ReadInt() : (int?)null;
int? permId = null;
if (version >= ServerVersions.V4)
{
permId = socket.ReadInt();
if (version < ServerVersions.V18)
{
// will never happen
/* order.m_ignoreRth = */
socket.ReadBool();
}
else
ibCon.OutsideRth = socket.ReadBool();
ibCon.Hidden = socket.ReadBool();
ibCon.SmartRouting.DiscretionaryAmount = socket.ReadDecimal();
}
if (version >= ServerVersions.V5)
ibCon.GoodAfterTime = socket.ReadNullDateTime(IBSocketHelper.TimeFormat);
if (version >= ServerVersions.V6)
{
// skip deprecated sharesAllocation field
socket.ReadStr();
}
if (version >= ServerVersions.V7)
{
ibCon.FinancialAdvisor.Group = socket.ReadStr();
ibCon.FinancialAdvisor.Allocation = socket.ReadFinancialAdvisor();
ibCon.FinancialAdvisor.Percentage = socket.ReadStr();
ibCon.FinancialAdvisor.Profile = socket.ReadStr();
}
var orderExpiryDate = version >= ServerVersions.V8 ? socket.ReadNullDateTime(IBSocketHelper.TimeFormat) : null;
var visibleVolume = volume;
if (version >= ServerVersions.V9)
{
ibCon.Agent = socket.ReadAgent();
ibCon.PercentOffset = socket.ReadDecimal();
ibCon.Clearing.SettlingFirm = socket.ReadStr();
ibCon.ShortSale.Slot = (IBOrderCondition.ShortSaleSlots)socket.ReadInt();
ibCon.ShortSale.Location = socket.ReadStr();
if (socket.ServerVersion == ServerVersions.V51)
socket.ReadInt(); //exempt code
else if (version >= ServerVersions.V23)
ibCon.ShortSale.ExemptCode = socket.ReadInt();
ibCon.AuctionStrategy = (IBOrderCondition.AuctionStrategies)socket.ReadInt();
ibCon.StartingPrice = socket.ReadDecimal();
ibCon.StockRefPrice = socket.ReadDecimal();
ibCon.Delta = socket.ReadDecimal();
ibCon.StockRangeLower = socket.ReadDecimal();
ibCon.StockRangeUpper = socket.ReadDecimal();
visibleVolume = socket.ReadInt();
if (version < ServerVersions.V18)
{
// will never happen
/* order.m_rthOnly = */
socket.ReadBool();
}
ibCon.BlockOrder = socket.ReadBool();
ibCon.SweepToFill = socket.ReadBool();
ibCon.AllOrNone = socket.ReadBool();
ibCon.MinVolume = socket.ReadInt();
ibCon.Oca.Type = (IBOrderCondition.OcaTypes)socket.ReadInt();
ibCon.SmartRouting.ETradeOnly = socket.ReadBool();
ibCon.SmartRouting.FirmQuoteOnly = socket.ReadBool();
ibCon.SmartRouting.NbboPriceCap = socket.ReadDecimal();
}
if (version >= ServerVersions.V10)
{
ibCon.ParentId = socket.ReadInt();
ibCon.TriggerMethod = (IBOrderCondition.TriggerMethods)socket.ReadInt();
}
if (version >= ServerVersions.V11)
{
ibCon.Volatility.Volatility = socket.ReadDecimal();
ibCon.Volatility.VolatilityTimeFrame = socket.ReadVolatilityType();
if (version == ServerVersions.V11)
{
if (!socket.ReadBool())
ibCon.Volatility.ExtendedOrderType = IBOrderCondition.ExtendedOrderTypes.Empty;
else
ibCon.Volatility.OrderType = OrderTypes.Market;
}
else
{
OrderTypes volOrdertype;
IBOrderCondition.ExtendedOrderTypes? volExtendedType;
socket.ReadOrderType(out volOrdertype, out volExtendedType);
ibCon.Volatility.OrderType = volOrdertype;
ibCon.Volatility.ExtendedOrderType = volExtendedType;
ibCon.Volatility.StopPrice = socket.ReadDecimal();
if (volExtendedType != IBOrderCondition.ExtendedOrderTypes.Empty)
{
if (version >= ServerVersions.V27)
{
ibCon.Volatility.ConId = socket.ReadInt();
ibCon.Volatility.SettlingFirm = socket.ReadStr();
var portfolioName = socket.ReadStr();
if (!portfolioName.IsEmpty())
ibCon.Volatility.ClearingPortfolio = portfolioName;
ibCon.Volatility.ClearingIntent = socket.ReadStr();
}
if (version >= ServerVersions.V31)
{
var isOpenOrCloseStr = socket.ReadStr();
ibCon.Volatility.ShortSale.IsOpenOrClose = isOpenOrCloseStr == "?" ? (bool?)null : isOpenOrCloseStr.To<int>() == 1;
ibCon.Volatility.IsShortSale = socket.ReadBool();
ibCon.Volatility.ShortSale.Slot = (IBOrderCondition.ShortSaleSlots)socket.ReadInt();
ibCon.Volatility.ShortSale.Location = socket.ReadStr();
}
}
}
ibCon.Volatility.ContinuousUpdate = socket.ReadBool();
if (socket.ServerVersion == ServerVersions.V26)
{
ibCon.StockRangeLower = socket.ReadDecimal();
ibCon.StockRangeUpper = socket.ReadDecimal();
}
ibCon.Volatility.IsAverageBestPrice = socket.ReadBool();
}
if (version >= ServerVersions.V13)
ibCon.TrailStopPrice = socket.ReadDecimal();
if (version >= ServerVersions.V30)
ibCon.TrailStopVolumePercentage = socket.ReadNullDecimal();
if (version >= ServerVersions.V14)
{
ibCon.Combo.BasisPoints = socket.ReadDecimal();
ibCon.Combo.BasisPointsType = socket.ReadInt();
ibCon.Combo.LegsDescription = socket.ReadStr();
}
if (version >= ServerVersions.V29)
{
var comboLegsCount = socket.ReadInt();
if (comboLegsCount > 0)
{
//contract.m_comboLegs = new Vector(comboLegsCount);
for (var i = 0; i < comboLegsCount; ++i)
{
//int conId =
socket.ReadInt();
//int ratio =
socket.ReadInt();
//String action =
socket.ReadStr();
//String exchange =
socket.ReadStr();
//int openClose =
socket.ReadInt();
//int shortSaleSlot =
socket.ReadInt();
//String designatedLocation =
socket.ReadStr();
//int exemptCode =
socket.ReadInt();
//ComboLeg comboLeg = new ComboLeg(conId, ratio, action, exchange, openClose,
// shortSaleSlot, designatedLocation, exemptCode);
//contract.m_comboLegs.add(comboLeg);
}
}
var orderComboLegsCount = socket.ReadInt();
if (orderComboLegsCount > 0)
{
//order.m_orderComboLegs = new Vector(orderComboLegsCount);
for (var i = 0; i < orderComboLegsCount; ++i)
{
//var comboPrice =
socket.ReadNullDecimal();
//OrderComboLeg orderComboLeg = new OrderComboLeg(comboPrice);
//order.m_orderComboLegs.add(orderComboLeg);
}
}
}
if (version >= ServerVersions.V26)
{
var smartComboRoutingParamsCount = socket.ReadInt();
if (smartComboRoutingParamsCount > 0)
{
var @params = new List<Tuple<string, string>>();
for (var i = 0; i < smartComboRoutingParamsCount; ++i)
@params.Add(Tuple.Create(socket.ReadStr(), socket.ReadStr()));
ibCon.SmartRouting.ComboParams = @params;
}
}
if (version >= ServerVersions.V15)
{
if (version >= ServerVersions.V20)
{
ibCon.Scale.InitLevelSize = socket.ReadNullInt();
ibCon.Scale.SubsLevelSize = socket.ReadNullInt();
}
else
{
/* int notSuppScaleNumComponents = */
socket.ReadNullInt();
ibCon.Scale.InitLevelSize = socket.ReadNullInt();
}
ibCon.Scale.PriceIncrement = socket.ReadNullDecimal();
}
if (version >= ServerVersions.V28 && ibCon.Scale.PriceIncrement > 0)
{
ibCon.Scale.PriceAdjustValue = socket.ReadNullDecimal();
ibCon.Scale.PriceAdjustInterval = socket.ReadInt();
ibCon.Scale.ProfitOffset = socket.ReadNullDecimal();
ibCon.Scale.AutoReset = socket.ReadBool();
ibCon.Scale.InitPosition = socket.ReadNullInt();
ibCon.Scale.InitFillQty = socket.ReadNullInt();
ibCon.Scale.RandomPercent = socket.ReadBool();
}
if (version >= ServerVersions.V24)
socket.ReadHedge(ibCon);
if (version >= ServerVersions.V25)
ibCon.SmartRouting.OptOutSmartRouting = socket.ReadBool();
if (version >= ServerVersions.V19)
{
var portfolioName = socket.ReadStr();
if (!portfolioName.IsEmpty())
ibCon.Clearing.ClearingPortfolio = portfolioName;
ibCon.Clearing.Intent = socket.ReadIntent();
}
if (version >= ServerVersions.V22)
ibCon.SmartRouting.NotHeld = socket.ReadBool();
if (version >= ServerVersions.V20)
{
if (socket.ReadBool())
{
//UnderlyingComponent underComp = new UnderlyingComponent();
//underComp.ContractId =
socket.ReadInt();
//underComp.Delta =
socket.ReadDecimal();
//underComp.Price =
socket.ReadDecimal();
//contract.UnderlyingComponent = underComp;
}
}
if (version >= ServerVersions.V21)
{
ibCon.Algo.Strategy = socket.ReadStr();
if (!ibCon.Algo.Strategy.IsEmpty())
{
var algoParamsCount = socket.ReadInt();
if (algoParamsCount > 0)
{
var algoParams = new List<Tuple<string, string>>();
for (var i = 0; i < algoParamsCount; i++)
algoParams.Add(Tuple.Create(socket.ReadStr(), socket.ReadStr()));
ibCon.Algo.Params = algoParams;
}
}
}
//OrderState orderState = new OrderState();
OrderStatus? status = null;
if (version >= ServerVersions.V16)
{
socket.ReadStr();
//order.WhatIf = !(string.IsNullOrEmpty(rstr) || rstr == "0");
status = socket.ReadOrderStatus();
//orderState.InitMargin =
socket.ReadStr();
//orderState.MaintMargin =
socket.ReadStr();
//orderState.EquityWithLoan =
socket.ReadStr();
//orderState.IbCommission =
socket.ReadNullDecimal();
//orderState.MinCommission =
socket.ReadNullDecimal();
//orderState.MaxCommission =
socket.ReadNullDecimal();
//orderState.CommissionCurrency =
socket.ReadStr();
//orderState.WarningText =
socket.ReadStr();
}
var secId = new SecurityId
{
SecurityCode = secCode,
BoardCode = GetBoardCode(boardCode),
InteractiveBrokers = contractId,
};
SendOutMessage(new SecurityMessage
{
SecurityId = secId,
ExpiryDate = expiryDate,
Strike = strike,
OptionType = optionType,
Class = secClass,
SecurityType = type,
Currency = currency,
Multiplier = multiplier ?? 0,
});
var orderMsg = new ExecutionMessage
{
ExecutionType = ExecutionTypes.Transaction,
SecurityId = secId,
OriginalTransactionId = transactionId,
OrderType = orderType,
Side = direction,
OrderVolume = volume,
OrderPrice = price,
Condition = ibCon,
ExpiryDate = orderExpiryDate,
VisibleVolume = visibleVolume,
PortfolioName = portfolio,
Comment = comment,
OrderStatus = status,
OrderState = status?.ToOrderState(),
HasOrderInfo = true,
};
if (orderMsg.OrderState == OrderStates.Active || orderMsg.OrderState == OrderStates.Done)
orderMsg.OrderId = transactionId;
switch (expiration)
{
case "DAY":
orderMsg.TimeInForce = TimeInForce.PutInQueue;
break;
case "GTC":
//orderMsg.ExpiryDate = DateTimeOffset.MaxValue;
break;
case "IOC":
orderMsg.TimeInForce = TimeInForce.CancelBalance;
break;
case "FOK":
orderMsg.TimeInForce = TimeInForce.MatchOrCancel;
break;
case "GTD":
break;
case "OPG":
ibCon.IsMarketOnOpen = true;
break;
default:
throw new InvalidOperationException(LocalizedStrings.Str2515Params.Put(expiration));
}
if (clientId != null)
orderMsg.SetClientId(clientId.Value);
if (permId != null)
orderMsg.SetPermId(permId.Value);
SendOutMessage(orderMsg);
}
protected CandleMessageStorage(Security security, SecurityId securityId, object arg, IMarketDataStorageDrive drive, IMarketDataSerializer <TCandleMessage> serializer)
: base(security, securityId, arg, candle => candle.OpenTime, candle => candle.SecurityId, candle => candle.OpenTime.StorageTruncate(serializer.TimePrecision), serializer, drive)
{
_serializer = new CandleSerializer(Serializer);
}
