private void TrySubscribe(Security subscriber, MarketDataMessage message)
{
//Если уже выполняется поиск данного инструмента, то нет необходимости в повторном вызове OnRegisterXXX.
//Если на инструмент была подписка ранее, то просто вызываем событие SubscriptionSucceed.
var subscribersCount = GetSubscribers(message.DataType).ChangeSubscribers(subscriber, true);
//var securityId = _connector.GetSecurityId(subscriber);
if (subscribersCount == 1)
{
var lookupMessage = new SecurityLookupMessage
{
SecurityId = message.SecurityId,
SecurityType = message.SecurityType,
TransactionId = _connector.TransactionIdGenerator.GetNextId()
};
_lookupMessages.Add(lookupMessage.TransactionId, Tuple.Create(lookupMessage, (MarketDataMessage)message.Clone()));
_connector.LookupSecurities(lookupMessage);
}
else // if (subscribed == true)
{
var reply = new MarketDataMessage
{
OriginalTransactionId = message.TransactionId,
IsSubscribe = true,
};
_connector.SendOutMessage(reply);
}
}
private void ProcessSecurityLookupMessage(SecurityLookupMessage message)
{
var instruments = _restClient.GetInstruments(GetAccountId(),
message.SecurityId.IsDefault()
? ArrayHelper.Empty<string>()
: new[] { message.SecurityId.ToOanda() });
foreach (var instrument in instruments)
{
var secId = instrument.Code.ToSecurityId();
SendOutMessage(new SecurityMessage
{
OriginalTransactionId = message.TransactionId,
SecurityId = secId,
SecurityType = SecurityTypes.Currency,
Name = instrument.DisplayName,
PriceStep = 0.000001m
});
if (instrument.Halted)
{
SendOutMessage(new Level1ChangeMessage
{
ServerTime = CurrentTime.Convert(TimeZoneInfo.Utc),
SecurityId = secId,
}.Add(Level1Fields.State, SecurityStates.Stoped));
}
}
SendOutMessage(new SecurityLookupResultMessage { OriginalTransactionId = message.TransactionId });
}
private void ProcessSecurityLookupMessage(SecurityLookupMessage secMsg)
{
if (secMsg.SecurityId.IsDefault())
{
_client.Session.listExchanges(secMsg.TransactionId);
_client.Session.listTradeRoutes(secMsg.TransactionId);
}
var board = secMsg.SecurityId.BoardCode;
if (secMsg.SecurityType == null || secMsg.SecurityType == SecurityTypes.Option)
{
var expiration = secMsg.ExpiryDate == null ? null : secMsg.ExpiryDate.Value.ToString("yyyyMM");
_client.Session.getOptionList(board, secMsg.UnderlyingSecurityCode, expiration, secMsg.TransactionId);
_client.Session.getInstrumentByUnderlying(secMsg.UnderlyingSecurityCode, board, expiration, secMsg.TransactionId);
_client.Session.listBinaryContracts(board, secMsg.UnderlyingSecurityCode, secMsg.TransactionId);
}
if (secMsg.SecurityType != SecurityTypes.Option && !secMsg.SecurityId.SecurityCode.IsEmpty())
{
if (board.IsEmpty())
{
foreach (var b in _boards.Cache)
_client.Session.getRefData(b, secMsg.SecurityId.SecurityCode, secMsg.TransactionId);
}
else
_client.Session.getRefData(board, secMsg.SecurityId.SecurityCode, secMsg.TransactionId);
}
}
private void ProcessSecurityLookupMessage(SecurityLookupMessage secMsg)
{
if (secMsg.SecurityId.IsDefault())
{
_client.Session.listExchanges(secMsg.TransactionId);
_client.Session.listTradeRoutes(secMsg.TransactionId);
}
var board = secMsg.SecurityId.BoardCode;
if (secMsg.SecurityType == null || secMsg.SecurityType == SecurityTypes.Option)
{
var expiration = secMsg.ExpiryDate == null ? null : secMsg.ExpiryDate.Value.ToString("yyyyMM");
_client.Session.getOptionList(board, secMsg.UnderlyingSecurityCode, expiration, secMsg.TransactionId);
_client.Session.getInstrumentByUnderlying(secMsg.UnderlyingSecurityCode, board, expiration, secMsg.TransactionId);
_client.Session.listBinaryContracts(board, secMsg.UnderlyingSecurityCode, secMsg.TransactionId);
}
if (secMsg.SecurityType != SecurityTypes.Option && !secMsg.SecurityId.SecurityCode.IsEmpty())
{
if (board.IsEmpty())
{
foreach (var b in _boards.Cache)
{
_client.Session.getRefData(b, secMsg.SecurityId.SecurityCode, secMsg.TransactionId);
}
}
else
{
_client.Session.getRefData(board, secMsg.SecurityId.SecurityCode, secMsg.TransactionId);
}
}
}
private void ProcessSecurityLookupMessage(SecurityLookupMessage message)
{
var instruments = _restClient.GetInstruments(GetAccountId(),
message.SecurityId.IsDefault()
? ArrayHelper.Empty <string>()
: new[] { message.SecurityId.ToOanda() });
foreach (var instrument in instruments)
{
var secId = instrument.Code.ToSecurityId();
SendOutMessage(new SecurityMessage
{
OriginalTransactionId = message.TransactionId,
SecurityId = secId,
SecurityType = SecurityTypes.Currency,
Name = instrument.DisplayName,
PriceStep = 0.000001m
});
if (instrument.Halted)
{
SendOutMessage(new Level1ChangeMessage
{
ServerTime = CurrentTime.Convert(TimeZoneInfo.Utc),
SecurityId = secId,
}.Add(Level1Fields.State, SecurityStates.Stoped));
}
}
SendOutMessage(new SecurityLookupResultMessage {
OriginalTransactionId = message.TransactionId
});
}
/// <summary>
/// Найти инструменты, соответствующие фильтру <paramref name="criteria"/>.
/// Найденные инструменты будут переданы через событие <see cref="IConnector.LookupSecuritiesResult"/>.
/// </summary>
/// <param name="criteria">Критерий, поля которого будут использоваться в качестве фильтра.</param>
public override void LookupSecurities(SecurityLookupMessage criteria)
{
if (_ownTrader)
{
UnderlyingConnector.LookupSecurities(criteria);
}
}
private void ProcessSecurityLookup(SecurityLookupMessage lookupMsg)
{
var secTypes = lookupMsg.GetSecurityTypes();
foreach (var info in _httpClient.GetPairsInfo())
{
var secMsg = new SecurityMessage
{
SecurityId = info.Name.ToStockSharp(),
SecurityType = info.UrlSymbol == _eurusd ? SecurityTypes.Currency : SecurityTypes.CryptoCurrency,
MinVolume = info.MinimumOrder.Substring(0, info.MinimumOrder.IndexOf(' ')).To <decimal>(),
Decimals = info.BaseDecimals,
Name = info.Description,
VolumeStep = info.UrlSymbol == _eurusd ? 0.00001m : 0.00000001m,
OriginalTransactionId = lookupMsg.TransactionId,
};
if (!secMsg.IsMatch(lookupMsg, secTypes))
{
continue;
}
SendOutMessage(secMsg);
}
SendSubscriptionResult(lookupMsg);
}
public ICollection <SecurityMessage> LookupSecurities(SecurityLookupMessage criteria)
{
if (criteria == null)
{
throw new ArgumentNullException(nameof(criteria));
}
var existingSecurities = ServicesRegistry.TrySecurityProvider?.Lookup(criteria).Select(s => s.ToMessage()).Where(s => !s.SecurityId.IsAllSecurity()).ToArray() ?? Enumerable.Empty <SecurityMessage>();
var existingIds = existingSecurities.Select(s => s.SecurityId.ToStringId()).ToIgnoreCaseSet();
var securities = new List <SecurityMessage>();
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
});
}
private void ProcessSecurityLookupMessage(SecurityLookupMessage message)
{
if (_lookupSecuritiesId == 0)
{
_lookupSecuritiesId = message.TransactionId;
_wrapper.LookupSecurities();
}
else
{
SendOutError(LocalizedStrings.Str1854);
}
}
private void TrySubscribe(Security subscriber, MarketDataTypes type)
{
var subscribers = GetSubscribers(type);
//Если уже выполняется поиск данного инструмента, то нет необходимости в повторном вызове OnRegisterXXX.
//Если на инструмент была подписка ранее, то просто вызываем событие SubscriptionSucceed.
bool?subscribed = false;
lock (subscribers.SyncRoot)
{
var value = subscribers.TryGetValue2(subscriber);
if (value == null)
{
subscribers[subscriber] = 0;
subscribed = null;
}
if (value > 0)
{
subscribers[subscriber] = (int)value + 1;
subscribed = true;
}
}
var securityId = _connector.GetSecurityId(subscriber);
if (subscribed == null)
{
var lookupMessage = new SecurityLookupMessage
{
SecurityId = securityId,
SecurityType = subscriber.Type,
TransactionId = _connector.TransactionIdGenerator.GetNextId()
};
_lookupMessages.Add(lookupMessage.TransactionId, Tuple.Create(lookupMessage, subscriber, type));
_connector.LookupSecurities(lookupMessage);
}
if (subscribed == true)
{
_connector.SendOutMessage(new MarketDataMessage
{
DataType = type,
IsSubscribe = true,
//SecurityId = securityId,
}.FillSecurityInfo(_connector, subscriber));
}
}
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 });
}
private bool ProcessSecurityLookup(SecurityLookupMessage msg)
{
if (msg == null)
{
throw new ArgumentNullException(nameof(msg));
}
if (msg.Adapter != null && msg.Adapter != this)
{
return(base.OnSendInMessage(msg));
}
foreach (var security in _securityStorage.Lookup(msg))
{
RaiseNewOutMessage(security.ToMessage(originalTransactionId: msg.TransactionId));
}
return(base.OnSendInMessage(msg));
}
public ICollection <SecurityMessage> LookupSecurities(SecurityLookupMessage criteria)
{
if (criteria == null)
{
throw new ArgumentNullException(nameof(criteria));
}
var existingSecurities = ServicesRegistry.TrySecurityProvider?.Lookup(criteria).Select(s => s.ToMessage()).Where(s => !s.SecurityId.IsAllSecurity()).ToArray() ?? Enumerable.Empty <SecurityMessage>();
var existingIds = existingSecurities.Select(s => s.SecurityId.ToStringId()).ToHashSet(StringComparer.InvariantCultureIgnoreCase);
var securities = new List <SecurityMessage>();
byte[] Send <T>(string method, string argName, T arg)
{
var request = new MemoryStream();
request.SerializeDataContract(arg);
using (var client = new WebClientEx {
Timeout = TimeSpan.FromMinutes(1)
})
{
var response = client.UploadData($"https://stocksharp.com/services/instrumentprovider.ashx?method={method}", request.To <byte[]>().DeflateTo());
return(response.DeflateFrom());
}
}
var ids = Send(nameof(IRemoteStorage.LookupSecurityIds), "criteria", criteria).UTF8().SplitByDotComma();
var newSecurityIds = ids.Where(id => !existingIds.Contains(id)).ToArray();
foreach (var b in newSecurityIds.Batch(RemoteStorage.DefaultMaxSecurityCount))
{
var batch = b.ToArray();
var response = Send(nameof(IRemoteStorage.GetSecurities), "securityIds", batch);
securities.AddRange(response.To <Stream>().DeserializeDataContract <SecurityMessage[]>());
}
securities.AddRange(existingSecurities);
return(securities);
}
private bool ProcessSecurityLookup(SecurityLookupMessage msg)
{
if (msg == null)
{
throw new ArgumentNullException(nameof(msg));
}
if (/*!msg.IsSubscribe || */ (msg.Adapter != null && msg.Adapter != this))
{
return(base.OnSendInMessage(msg));
}
var transId = msg.TransactionId;
foreach (var security in _securityStorage.Lookup(msg))
{
RaiseNewOutMessage(security.ToMessage(originalTransactionId: transId).SetSubscriptionIds(subscriptionId: transId));
}
return(base.OnSendInMessage(msg));
}
public ICollection <SecurityMessage> LookupSecurities(SecurityLookupMessage criteria)
{
if (criteria == null)
{
throw new ArgumentNullException(nameof(criteria));
}
var existingIds = ServicesRegistry.TrySecurityProvider?.LookupAll().Select(s => s.Id).ToHashSet(StringComparer.InvariantCultureIgnoreCase) ?? new HashSet <string>(StringComparer.InvariantCultureIgnoreCase);
var securities = new List <SecurityMessage>();
byte[] Send <T>(string method, string argName, T arg)
{
var request = new MemoryStream();
request.SerializeDataContract(arg);
using (var client = new WebClientEx {
Timeout = TimeSpan.FromMinutes(1)
})
{
client.Headers[HttpRequestHeader.ContentType] = "application/x-www-form-urlencoded";
var response = client.UploadString("https://stocksharp.com/services/instrumentprovider.ashx", $"method={method}&{argName}={request.To<byte[]>().DeflateTo().UTF8()}");
return(client.Encoding.GetBytes(response).DeflateFrom());
}
}
var ids = Send(nameof(IRemoteStorage.LookupSecurityIds), "criteria", criteria).UTF8().Split(";");
var newSecurityIds = ids.Where(id => !existingIds.Contains(id)).ToArray();
foreach (var b in newSecurityIds.Batch(RemoteStorage.DefaultMaxSecurityCount))
{
var batch = b.ToArray();
var response = Send(nameof(IRemoteStorage.GetSecurities), "securityIds", batch);
securities.AddRange(response.To <Stream>().DeserializeDataContract <SecurityMessage[]>());
}
return(securities);
}
/// <inheritdoc />
public IEnumerable <Security> Lookup(SecurityLookupMessage criteria)
{
if (criteria == null)
{
throw new ArgumentNullException(nameof(criteria));
}
var secId = criteria.SecurityId.ToStringId(nullIfEmpty: true);
var filter = secId.IsEmpty()
? (criteria.IsLookupAll() ? string.Empty : criteria.SecurityId.SecurityCode)
: secId;
var securities = _trie.Retrieve(filter);
if (!secId.IsEmpty())
{
securities = securities.Where(s => s.Id.CompareIgnoreCase(secId));
}
return(securities.Filter(criteria));
}
private void ProcessSecurityLookup(SecurityLookupMessage message)
{
SendOutMessage(new SecurityMessage
{
OriginalTransactionId = message.TransactionId,
SecurityId = _btcUsd,
SecurityType = SecurityTypes.CryptoCurrency,
VolumeStep = 0.00000001m,
PriceStep = 0.01m,
});
SendOutMessage(new SecurityMessage
{
OriginalTransactionId = message.TransactionId,
SecurityId = _eurUsd,
SecurityType = SecurityTypes.Currency,
PriceStep = 0.0001m,
});
SendOutMessage(new SecurityLookupResultMessage {
OriginalTransactionId = message.TransactionId
});
}
/// <inheritdoc />
public void DeleteBy(SecurityLookupMessage criteria)
{
if (criteria.IsLookupAll())
{
_inner.Clear();
Cleared?.Invoke();
return;
}
Security[] toDelete;
lock (_inner.SyncRoot)
{
toDelete = _inner.Values.Filter(criteria).ToArray();
foreach (var security in toDelete)
{
_inner.Remove(security.ToSecurityId());
}
}
Removed?.Invoke(toDelete);
}
private void ProcessSecurityLookup(SecurityLookupMessage message)
{
var criteria = new OEC.API.SymbolLookupCriteria
{
SearchText = message.SecurityId.SecurityCode,
ContractType = ContractType.Electronic,
Mode = SymbolLookupMode.AnyInclusion,
};
if (!message.SecurityId.BoardCode.IsEmpty())
{
var exchange = _client.Exchanges[message.SecurityId.BoardCode];
if (exchange != null)
criteria.Exchange = exchange;
}
if (!message.UnderlyingSecurityCode.IsEmpty())
{
var contract = _client.BaseContracts[message.UnderlyingSecurityCode];
if (contract != null)
criteria.BaseContract = contract;
}
switch (message.SecurityType)
{
case SecurityTypes.Index:
criteria.ContractKinds.AddRange(new[] { ContractKind.EquityIndex, ContractKind.Continuous, ContractKind.CustomCompound, ContractKind.FutureCompound, ContractKind.GenericCompound, ContractKind.OptionsCompound });
break;
case SecurityTypes.Stock:
criteria.ContractKinds.AddRange(new[] { ContractKind.Equity });
break;
case SecurityTypes.Bond:
criteria.ContractKinds.AddRange(new[] { ContractKind.Bond });
break;
case SecurityTypes.Forward:
criteria.ContractKinds.AddRange(new[] { ContractKind.ForexForward });
break;
case SecurityTypes.Currency:
criteria.ContractKinds.AddRange(new[] { ContractKind.Forex, ContractKind.ForexForward });
break;
case SecurityTypes.Future:
criteria.ContractKinds.AddRange(new[] { ContractKind.Future, ContractKind.Continuous, ContractKind.FutureCompound });
break;
case SecurityTypes.Option:
criteria.OptionsRequired = true;
switch (message.OptionType)
{
case OptionTypes.Call:
criteria.OptionType = SymbolLookupCriteriaOptionType.Call;
break;
case OptionTypes.Put:
criteria.OptionType = SymbolLookupCriteriaOptionType.Put;
break;
case null:
criteria.OptionType = SymbolLookupCriteriaOptionType.All;
break;
default:
throw new ArgumentOutOfRangeException();
}
criteria.ContractKinds.AddRange(new[] { ContractKind.Option, ContractKind.EquityOption, ContractKind.OptionsCompound });
break;
case SecurityTypes.Fund:
criteria.ContractKinds.AddRange(new[] { ContractKind.MutualFund });
break;
case null:
criteria.OptionType = SymbolLookupCriteriaOptionType.All;
break;
default:
throw new ArgumentOutOfRangeException("message", message.SecurityType, LocalizedStrings.Str2117);
}
_client.SymbolLookup(criteria);
}
public override void LookupSecurities(SecurityLookupMessage criteria)
{
_realConnector.LookupSecurities(criteria);
}
private void ProcessSecurityLookup(SecurityLookupMessage message)
{
var criteria = new OEC.API.SymbolLookupCriteria
{
SearchText = message.SecurityId.SecurityCode,
ContractType = ContractType.Electronic,
Mode = SymbolLookupMode.AnyInclusion,
};
if (!message.SecurityId.BoardCode.IsEmpty())
{
var exchange = _client.Exchanges[message.SecurityId.BoardCode];
if (exchange != null)
{
criteria.Exchange = exchange;
}
}
if (!message.UnderlyingSecurityCode.IsEmpty())
{
var contract = _client.BaseContracts[message.UnderlyingSecurityCode];
if (contract != null)
{
criteria.BaseContract = contract;
}
}
switch (message.SecurityType)
{
case SecurityTypes.Index:
criteria.ContractKinds.AddRange(new[] { ContractKind.EquityIndex, ContractKind.Continuous, ContractKind.CustomCompound, ContractKind.FutureCompound, ContractKind.GenericCompound, ContractKind.OptionsCompound });
break;
case SecurityTypes.Stock:
criteria.ContractKinds.AddRange(new[] { ContractKind.Equity });
break;
case SecurityTypes.Bond:
criteria.ContractKinds.AddRange(new[] { ContractKind.Bond });
break;
case SecurityTypes.Forward:
criteria.ContractKinds.AddRange(new[] { ContractKind.ForexForward });
break;
case SecurityTypes.Currency:
criteria.ContractKinds.AddRange(new[] { ContractKind.Forex, ContractKind.ForexForward });
break;
case SecurityTypes.Future:
criteria.ContractKinds.AddRange(new[] { ContractKind.Future, ContractKind.Continuous, ContractKind.FutureCompound });
break;
case SecurityTypes.Option:
criteria.OptionsRequired = true;
switch (message.OptionType)
{
case OptionTypes.Call:
criteria.OptionType = SymbolLookupCriteriaOptionType.Call;
break;
case OptionTypes.Put:
criteria.OptionType = SymbolLookupCriteriaOptionType.Put;
break;
case null:
criteria.OptionType = SymbolLookupCriteriaOptionType.All;
break;
default:
throw new ArgumentOutOfRangeException();
}
criteria.ContractKinds.AddRange(new[] { ContractKind.Option, ContractKind.EquityOption, ContractKind.OptionsCompound });
break;
case SecurityTypes.Fund:
criteria.ContractKinds.AddRange(new[] { ContractKind.MutualFund });
break;
case null:
criteria.OptionType = SymbolLookupCriteriaOptionType.All;
break;
default:
throw new ArgumentOutOfRangeException(nameof(message), message.SecurityType, LocalizedStrings.Str2117);
}
_client.SymbolLookup(criteria);
}
/// <inheritdoc /> public abstract void LookupSecurities(SecurityLookupMessage criteria, ISecurityProvider securityProvider, Action <SecurityMessage> newSecurity, Func <bool> isCancelled, Action <int, int> updateProgress);
/// <inheritdoc />
public void LookupSecurities(SecurityLookupMessage criteria)
{
Subscribe(new Subscription(criteria));
}
private void ProcessSecurityLookupMessage(SecurityLookupMessage lookupMsg)
{
if (_isDownloadSecurityFromSite)
{
using (var client = new WebClient())
{
var rows = client.DownloadString("http://www.lmax.com/doc/LMAX-Instruments.csv").Split("\n");
foreach (var row in rows.Skip(1))
{
var cells = row.Split(',');
var secCode = cells[2];
// иногда файл с багами, и там есть пустая строчка с запятыми
if (cells[2].IsEmpty())
{
continue;
}
var secName = cells[0];
SecurityTypes securityType;
var volumeStep = 0m;
if (_indexCodes.Contains(secCode, StringComparer.InvariantCultureIgnoreCase))
{
securityType = SecurityTypes.Index;
}
else if (
secName.ContainsIgnoreCase("brent") ||
secName.ContainsIgnoreCase("gasoil") ||
secName.ContainsIgnoreCase("crude")
)
{
securityType = SecurityTypes.Commodity;
}
else
{
securityType = SecurityTypes.Currency;
if (!secCode.StartsWith("XA", StringComparison.InvariantCultureIgnoreCase))
{
volumeStep = 0.1m;
}
}
SendOutMessage(new SecurityMessage
{
SecurityId = new SecurityId
{
SecurityCode = secCode,
BoardCode = ExchangeBoard.Lmax.Code,
Native = cells[1].To <long>(),
},
SecurityType = securityType,
VolumeStep = volumeStep,
Name = secName,
Multiplier = cells[3].To <decimal?>(),
PriceStep = cells[4].To <decimal>(),
//security.MinStepPrice = cells[5].To<decimal>(),
Currency = cells[8].To <CurrencyTypes>(),
ExpiryDate = cells[7].IsEmpty() ? (DateTimeOffset?)null : cells[7].ToDateTime("dd/MM/yyyy HH:mm").ApplyTimeZone(TimeZoneInfo.Utc),
OriginalTransactionId = lookupMsg.TransactionId
});
}
}
_isDownloadSecurityFromSite = false;
}
else
{
SearchSecurities(lookupMsg.SecurityId.SecurityCode, lookupMsg.TransactionId, new List <Instrument>(), true);
}
}
public override void LookupSecurities(SecurityLookupMessage criteria)
{
_realConnector.LookupSecurities(criteria);
}
void IMarketDataProvider.LookupSecurities(SecurityLookupMessage criteria)
{
}
/// <summary>
/// To call the event <see cref="LookupSecuritiesResult"/>.
/// </summary>
/// <param name="message">Message.</param>
/// <param name="error">An error of lookup operation. The value will be <see langword="null"/> if operation complete successfully.</param>
/// <param name="securities">Found instruments.</param>
/// <param name="newSecurities">Newly created.</param>
private void RaiseLookupSecuritiesResult(SecurityLookupMessage message, Exception error, Security[] securities, Security[] newSecurities)
{
LookupSecuritiesResult?.Invoke(message, securities, error);
LookupSecuritiesResult2?.Invoke(message, securities, newSecurities, error);
}
/// <summary>
/// To call the event <see cref="LookupSecuritiesResult"/>.
/// </summary>
/// <param name="message">Message.</param>
/// <param name="error">An error of lookup operation. The value will be <see langword="null"/> if operation complete successfully.</param>
/// <param name="securities">Found instruments.</param>
private void RaiseLookupSecuritiesResult(SecurityLookupMessage message, Exception error, IEnumerable <Security> securities)
{
LookupSecuritiesResult?.Invoke(message, securities, error);
}
/// <summary>
/// Call this function to download all details for a particular underlying. the contract details will be received via the contractDetails() function on the EWrapper.
/// </summary>
/// <param name="criteria">summary description of the contract being looked up.</param>
private void RequestSecurityInfo(SecurityLookupMessage criteria)
{
if (criteria == null)
throw new ArgumentNullException("criteria");
ProcessRequest(RequestMessages.RequestContractData, ServerVersions.V4, ServerVersions.V7, socket =>
{
//MIN_SERVER_VER_CONTRACT_DATA_CHAIN = 40
if (socket.ServerVersion >= ServerVersions.V40)
{
socket.Send(criteria.TransactionId);
}
if (socket.ServerVersion >= ServerVersions.V37)
{
socket.SendContractId(criteria.SecurityId);
}
socket
.SendSecurity(criteria, socket.ServerVersion >= ServerVersions.V70, socket.ServerVersion >= ServerVersions.V75)
.SendIf(ServerVersions.V68, s => socket.Send(criteria.Class))
.SendIncludeExpired(criteria.ExpiryDate)
.SendSecurityId(criteria.SecurityId);
});
}
private void ProcessSecurityLookup(SecurityLookupMessage message)
{
SendOutMessage(new SecurityMessage
{
OriginalTransactionId = message.TransactionId,
SecurityId = _btcUsd,
SecurityType = SecurityTypes.CryptoCurrency,
VolumeStep = 0.00000001m,
PriceStep = 0.01m,
});
SendOutMessage(new SecurityMessage
{
OriginalTransactionId = message.TransactionId,
SecurityId = _eurUsd,
SecurityType = SecurityTypes.Currency,
PriceStep = 0.0001m,
});
SendOutMessage(new SecurityLookupResultMessage { OriginalTransactionId = message.TransactionId });
}
/// <summary>
/// Найти инструменты, соответствующие фильтру <paramref name="criteria"/>.
/// Найденные инструменты будут переданы через событие <see cref="IConnector.LookupSecuritiesResult"/>.
/// </summary>
/// <param name="criteria">Критерий, поля которого будут использоваться в качестве фильтра.</param>
public void LookupSecurities(SecurityLookupMessage criteria)
{
Connector.LookupSecurities(criteria);
}
/// <inheritdoc />
public IEnumerable <Security> Lookup(SecurityLookupMessage criteria)
{
return(_inner.SyncGet(d => d.Values.Filter(criteria).ToArray()).Concat(_underlying.Lookup(criteria)).Distinct());
}
private void ProcessSecurityLookupMessage(SecurityLookupMessage message)
{
ProcessInSubscriptionMessage(message, DataType.Securities);
}
private void ProcessSecurityLookupMessage(SecurityLookupMessage lookupMsg)
{
if (_isDownloadSecurityFromSite)
{
using (var client = new WebClient())
{
var rows = client.DownloadString("http://www.lmax.com/doc/LMAX-Instruments.csv").Split("\n");
foreach (var row in rows.Skip(1))
{
var cells = row.Split(',');
var secCode = cells[2];
// иногда файл с багами, и там есть пустая строчка с запятыми
if (cells[2].IsEmpty())
continue;
var secName = cells[0];
SecurityTypes securityType;
var volumeStep = 0m;
if (_indexCodes.Contains(secCode, StringComparer.InvariantCultureIgnoreCase))
securityType = SecurityTypes.Index;
else if (
secName.ContainsIgnoreCase("brent") ||
secName.ContainsIgnoreCase("gasoil") ||
secName.ContainsIgnoreCase("crude")
)
securityType = SecurityTypes.Commodity;
else
{
securityType = SecurityTypes.Currency;
if (!secCode.StartsWith("XA", StringComparison.InvariantCultureIgnoreCase))
volumeStep = 0.1m;
}
SendOutMessage(new SecurityMessage
{
SecurityId = new SecurityId
{
SecurityCode = secCode,
BoardCode = ExchangeBoard.Lmax.Code,
Native = cells[1].To<long>(),
},
SecurityType = securityType,
VolumeStep = volumeStep,
Name = secName,
Multiplier = cells[3].To<decimal?>(),
PriceStep = cells[4].To<decimal>(),
//security.MinStepPrice = cells[5].To<decimal>(),
Currency = cells[8].To<CurrencyTypes>(),
ExpiryDate = cells[7].IsEmpty() ? (DateTimeOffset?)null : cells[7].ToDateTime("dd/MM/yyyy HH:mm").ApplyTimeZone(TimeZoneInfo.Utc),
OriginalTransactionId = lookupMsg.TransactionId
});
}
}
_isDownloadSecurityFromSite = false;
}
else
SearchSecurities(lookupMsg.SecurityId.SecurityCode, lookupMsg.TransactionId, new List<Instrument>(), true);
}
private void ProcessSecurityLookupMessage(SecurityLookupMessage message)
{
if (_lookupSecuritiesId == 0)
{
_lookupSecuritiesId = message.TransactionId;
_wrapper.LookupSecurities();
}
else
SendOutError(LocalizedStrings.Str1854);
}
