protected override void OnSave(BitArrayWriter writer, IEnumerable <ExecutionMessage> messages, TickMetaInfo metaInfo)
{
if (metaInfo.IsEmpty())
{
var first = messages.First();
metaInfo.FirstId = metaInfo.PrevId = first.GetTradeId();
metaInfo.ServerOffset = first.ServerTime.Offset;
}
writer.WriteInt(messages.Count());
var allowNonOrdered = metaInfo.Version >= MarketDataVersions.Version48;
var isUtc = metaInfo.Version >= MarketDataVersions.Version50;
var allowDiffOffsets = metaInfo.Version >= MarketDataVersions.Version54;
foreach (var msg in messages)
{
if (msg.ExecutionType != ExecutionTypes.Tick)
{
throw new ArgumentOutOfRangeException(nameof(messages), msg.ExecutionType, LocalizedStrings.Str1695Params.Put(msg.TradeId));
}
var tradeId = msg.GetTradeId();
// сделки для индексов имеют нулевой номер
if (tradeId < 0)
{
throw new ArgumentOutOfRangeException(nameof(messages), tradeId, LocalizedStrings.Str1020);
}
// execution ticks (like option execution) may be a zero cost
// ticks for spreads may be a zero cost or less than zero
//if (msg.TradePrice < 0)
// throw new ArgumentOutOfRangeException("messages", msg.TradePrice, LocalizedStrings.Str1021Params.Put(msg.TradeId));
metaInfo.PrevId = writer.SerializeId(tradeId, metaInfo.PrevId);
// pyhta4og.
// http://stocksharp.com/forum/yaf_postsm6450_Oshibka-pri-importie-instrumientov-s-Finama.aspx#post6450
var volume = msg.Volume;
if (metaInfo.Version < MarketDataVersions.Version53)
{
if (volume == null)
{
throw new ArgumentException(LocalizedStrings.Str1022Params.Put((object)msg.TradeId ?? msg.TradeStringId), nameof(messages));
}
if (volume < 0)
{
throw new ArgumentOutOfRangeException(nameof(messages), volume, LocalizedStrings.Str1022Params.Put(msg.TradeId));
}
writer.WriteVolume(volume.Value, metaInfo, SecurityId);
}
else
{
writer.Write(volume != null);
if (volume != null)
{
if (volume < 0)
{
throw new ArgumentOutOfRangeException(nameof(messages), volume, LocalizedStrings.Str1022Params.Put(msg.TradeId));
}
writer.WriteVolume(volume.Value, metaInfo, SecurityId);
}
}
writer.WritePriceEx(msg.GetTradePrice(), metaInfo, SecurityId);
writer.WriteSide(msg.OriginSide);
var lastOffset = metaInfo.LastServerOffset;
metaInfo.LastTime = writer.WriteTime(msg.ServerTime, metaInfo.LastTime, LocalizedStrings.Str985, allowNonOrdered, isUtc, metaInfo.ServerOffset, allowDiffOffsets, ref lastOffset);
metaInfo.LastServerOffset = lastOffset;
if (metaInfo.Version < MarketDataVersions.Version40)
{
continue;
}
if (metaInfo.Version < MarketDataVersions.Version47)
{
writer.WriteLong(SecurityId.GetLatency(msg.ServerTime, msg.LocalTime).Ticks);
}
else
{
var hasLocalTime = true;
if (metaInfo.Version >= MarketDataVersions.Version49)
{
hasLocalTime = !msg.LocalTime.IsDefault() && msg.LocalTime != msg.ServerTime;
writer.Write(hasLocalTime);
}
if (hasLocalTime)
{
lastOffset = metaInfo.LastLocalOffset;
metaInfo.LastLocalTime = writer.WriteTime(msg.LocalTime, metaInfo.LastLocalTime, LocalizedStrings.Str1024, allowNonOrdered, isUtc, metaInfo.LocalOffset, allowDiffOffsets, ref lastOffset);
metaInfo.LastLocalOffset = lastOffset;
}
}
if (metaInfo.Version < MarketDataVersions.Version42)
{
continue;
}
if (metaInfo.Version >= MarketDataVersions.Version51)
{
writer.Write(msg.IsSystem != null);
if (msg.IsSystem != null)
{
writer.Write(msg.IsSystem.Value);
}
}
else
{
writer.Write(msg.IsSystem ?? true);
}
if (msg.IsSystem == false)
{
if (metaInfo.Version >= MarketDataVersions.Version51)
{
writer.WriteNullableInt(msg.TradeStatus);
}
else
{
writer.WriteInt(msg.TradeStatus ?? 0);
}
}
var oi = msg.OpenInterest;
if (metaInfo.Version < MarketDataVersions.Version46)
{
writer.WriteVolume(oi ?? 0m, metaInfo, SecurityId);
}
else
{
writer.Write(oi != null);
if (oi != null)
{
writer.WriteVolume(oi.Value, metaInfo, SecurityId);
}
}
if (metaInfo.Version < MarketDataVersions.Version45)
{
continue;
}
writer.Write(msg.IsUpTick != null);
if (msg.IsUpTick != null)
{
writer.Write(msg.IsUpTick.Value);
}
if (metaInfo.Version < MarketDataVersions.Version52)
{
continue;
}
writer.Write(msg.Currency != null);
if (msg.Currency != null)
{
writer.WriteInt((int)msg.Currency.Value);
}
}
}
protected override void OnSave(BitArrayWriter writer, IEnumerable <QuoteChangeMessage> messages, QuoteMetaInfo metaInfo)
{
if (metaInfo.IsEmpty())
{
var firstDepth = messages.FirstOrDefault(d => !d.Bids.IsEmpty() || !d.Asks.IsEmpty());
if (firstDepth == null)
{
throw new ArgumentException(LocalizedStrings.Str931, "messages");
}
metaInfo.LastPrice = metaInfo.FirstPrice = GetDepthPrice(firstDepth);
//pyh: будет баг если первый стакан пустой и с другим временем.
//metaInfo.FirstTime = firstDepth.LastChangeTime;
metaInfo.ServerOffset = firstDepth.ServerTime.Offset;
}
writer.WriteInt(messages.Count());
QuoteChangeMessage prevQuoteMsg = null;
var allowNonOrdered = metaInfo.Version >= MarketDataVersions.Version47;
var isUtc = metaInfo.Version >= MarketDataVersions.Version50;
foreach (var quoteMsg in messages)
{
//if (depth.IsFullEmpty())
// throw new ArgumentException("Переданный стакан является пустым.", "depths");
var bid = quoteMsg.GetBestBid();
var ask = quoteMsg.GetBestAsk();
// у LMAX бид и оффер могут быть равны
if (bid != null && ask != null && bid.Price > ask.Price)
{
throw new ArgumentException(LocalizedStrings.Str932Params.Put(bid.Price, ask.Price, quoteMsg.ServerTime), "messages");
}
metaInfo.LastTime = writer.WriteTime(quoteMsg.ServerTime, metaInfo.LastTime, LocalizedStrings.MarketDepth, allowNonOrdered, isUtc, metaInfo.ServerOffset);
var isFull = prevQuoteMsg == null;
writer.Write(isFull); // пишем, полный ли стакан или это дельта
var delta = isFull ? quoteMsg : prevQuoteMsg.GetDelta(quoteMsg);
prevQuoteMsg = quoteMsg;
SerializeQuotes(writer, delta.Bids, metaInfo /*, isFull*/);
SerializeQuotes(writer, delta.Asks, metaInfo /*, isFull*/);
metaInfo.LastPrice = GetDepthPrice(quoteMsg);
if (metaInfo.Version < MarketDataVersions.Version40)
{
continue;
}
if (metaInfo.Version < MarketDataVersions.Version46)
{
writer.WriteLong(SecurityId.GetLatency(quoteMsg.ServerTime, quoteMsg.LocalTime).Ticks);
}
else
{
var hasLocalTime = true;
if (metaInfo.Version >= MarketDataVersions.Version49)
{
hasLocalTime = !quoteMsg.LocalTime.IsDefault() && quoteMsg.LocalTime != quoteMsg.ServerTime;
writer.Write(hasLocalTime);
}
if (hasLocalTime)
{
metaInfo.LastLocalTime = writer.WriteTime(quoteMsg.LocalTime, metaInfo.LastLocalTime, LocalizedStrings.Str934, allowNonOrdered, isUtc, metaInfo.LocalOffset);
}
}
}
}
protected override void OnSave(BitArrayWriter writer, IEnumerable <QuoteChangeMessage> messages, QuoteMetaInfo metaInfo)
{
if (metaInfo.IsEmpty())
{
var firstDepth = messages.FirstOrDefault(d => !d.Bids.IsEmpty() || !d.Asks.IsEmpty());
if (firstDepth == null)
{
throw new ArgumentException(LocalizedStrings.Str931, "messages");
}
metaInfo.LastPrice = metaInfo.FirstPrice = GetDepthPrice(firstDepth);
//pyh: будет баг если первый стакан пустой и с другим временем.
//metaInfo.FirstTime = firstDepth.LastChangeTime;
metaInfo.ServerOffset = firstDepth.ServerTime.Offset;
}
writer.WriteInt(messages.Count());
QuoteChangeMessage prevQuoteMsg = null;
var allowNonOrdered = metaInfo.Version >= MarketDataVersions.Version47;
var isUtc = metaInfo.Version >= MarketDataVersions.Version50;
var allowDiffOffsets = metaInfo.Version >= MarketDataVersions.Version52;
foreach (var m in messages)
{
var quoteMsg = m;
//if (depth.IsFullEmpty())
// throw new ArgumentException("Переданный стакан является пустым.", "depths");
if (!quoteMsg.IsSorted)
{
quoteMsg = (QuoteChangeMessage)quoteMsg.Clone();
quoteMsg.Bids = quoteMsg.Bids.OrderByDescending(q => q.Price).ToArray();
quoteMsg.Asks = quoteMsg.Asks.OrderBy(q => q.Price).ToArray();
}
var bid = quoteMsg.GetBestBid();
var ask = quoteMsg.GetBestAsk();
// LMAX has equals best bid and ask
if (bid != null && ask != null && bid.Price > ask.Price)
{
throw new ArgumentException(LocalizedStrings.Str932Params.Put(bid.Price, ask.Price, quoteMsg.ServerTime), "messages");
}
var lastOffset = metaInfo.LastServerOffset;
metaInfo.LastTime = writer.WriteTime(quoteMsg.ServerTime, metaInfo.LastTime, LocalizedStrings.MarketDepth, allowNonOrdered, isUtc, metaInfo.ServerOffset, allowDiffOffsets, ref lastOffset);
metaInfo.LastServerOffset = lastOffset;
var isFull = prevQuoteMsg == null;
writer.Write(isFull);
var delta = isFull ? quoteMsg : prevQuoteMsg.GetDelta(quoteMsg);
prevQuoteMsg = quoteMsg;
SerializeQuotes(writer, delta.Bids, metaInfo /*, isFull*/);
SerializeQuotes(writer, delta.Asks, metaInfo /*, isFull*/);
metaInfo.LastPrice = GetDepthPrice(quoteMsg);
if (metaInfo.Version < MarketDataVersions.Version40)
{
continue;
}
if (metaInfo.Version < MarketDataVersions.Version46)
{
writer.WriteLong(SecurityId.GetLatency(quoteMsg.ServerTime, quoteMsg.LocalTime).Ticks);
}
else
{
var hasLocalTime = true;
if (metaInfo.Version >= MarketDataVersions.Version49)
{
hasLocalTime = !quoteMsg.LocalTime.IsDefault() && quoteMsg.LocalTime != quoteMsg.ServerTime;
writer.Write(hasLocalTime);
}
if (hasLocalTime)
{
lastOffset = metaInfo.LastLocalOffset;
metaInfo.LastLocalTime = writer.WriteTime(quoteMsg.LocalTime, metaInfo.LastLocalTime, LocalizedStrings.Str934, allowNonOrdered, isUtc, metaInfo.LocalOffset, allowDiffOffsets, ref lastOffset);
metaInfo.LastLocalOffset = lastOffset;
}
}
if (metaInfo.Version < MarketDataVersions.Version51)
{
continue;
}
writer.Write(quoteMsg.Currency != null);
if (quoteMsg.Currency != null)
{
writer.WriteInt((int)quoteMsg.Currency.Value);
}
}
}
