private void InfoClient_OnInfoTrade(InfoTrade trade)
{
if (trade.acc_id == 0 || !mapAccountIdToAccount.ContainsKey(trade.acc_id))
{
return;
}
var code = trade.security + "|" + trade.board;
var instrument = connector.ResolveSymbolAsync(code).Result;
if (instrument == null)
{
Logger.Error().Print($"Unable to resolve instrument for {code}");
return;
}
var fill = new FillMessage
{
Account = mapAccountIdToAccount[trade.acc_id].code,
Instrument = instrument,
ExchangeId = trade.code,
Operation = trade.buy_sell == BuySell.BUY ? OrderOperation.Buy : OrderOperation.Sell,
Price = PriceHelper.ToPrice(trade.price),
Quantity = trade.qty,
DateTime = DateTime.FromFileTime((long)trade.trade_time),
ExchangeOrderId = trade.order_id
};
OnMessageReceived(fill);
}
private void InfoClient_OnInfoHolding(InfoHolding holding)
{
if (!accounts.ContainsKey(holding.account))
{
return;
}
var code = holding.security + "|BRD-NORMAL";
var instrument = connector.ResolveSymbolAsync(code).Result;
if (instrument == null)
{
Logger.Error().Print($"Unable to resolve instrument for {code}");
return;
}
if (!mapAccountIdToAccount.ContainsKey(holding.acc_id))
{
mapAccountIdToAccount.Add(holding.acc_id, accounts[holding.account]);
}
var position = new PositionMessage
{
Account = holding.account,
Instrument = instrument,
Quantity = (int)holding.trade_buy_qty - (int)holding.trade_sell_qty,
Price = PriceHelper.ToPrice(holding.settle_price)
};
OnMessageReceived(position);
}
public bool ProcessOrder(InfoOrder order)
{
var code = order.code;
var price = PriceHelper.ToPrice(order.price);
var sorted = order.buy_sell == BuySell.BUY ? bids : asks;
if (!mapOrders.TryGetValue(code, out var info))
{
//if (string.IsNullOrEmpty(order.security))
//{
// //Logger.DebugFormat("Получено обновление заявки с пустым полем security. OrderId: {0}", order.code);
// return false;
//}
if (order.qtyLeft == 0 ||
order.status == OrderStatus.CANCELED ||
order.status == OrderStatus.MATCHED)
{
// TODO Проверить частичное
return(false);
}
info = new ShortOrderInfo(code, price, order.buy_sell);
mapOrders[order.code] = info;
List <ShortOrderInfo> list;
if (!sorted.TryGetValue(price, out list))
{
sorted[price] = list = new List <ShortOrderInfo>();
}
list.Add(info);
}
info.Quantity = order.qtyLeft;
// Очищаем лишние заявки (в статусах Matched и Cancelled)
if (order.qtyLeft == 0 ||
order.status == OrderStatus.CANCELED ||
order.status == OrderStatus.MATCHED)
// TODO Проверить частичное
{
mapOrders.Remove(order.code);
if (sorted.TryGetValue(price, out var list))
{
list.Remove(info);
if (!list.Any())
{
sorted.Remove(price);
}
}
}
return(true);
}
private void InfoClient_OnInfoOrder(InfoOrder order)
{
if (!accounts.ContainsKey(order.account))
{
return;
}
var activeQuantity = order.qtyLeft;
OrderState state;
switch (order.status)
{
case OrderStatus.CANCELED:
state = !string.IsNullOrEmpty(order.res_code) && order.res_code != "ENF_CANC" // TODO Hardcode волшебной строки
? OrderState.Error
: OrderState.Cancelled;
activeQuantity = 0;
break;
case OrderStatus.MATCHED:
state = OrderState.Filled;
break;
case OrderStatus.FREEZED:
case OrderStatus.QUEUED:
state = order.qty_executed > 0 ? OrderState.PartiallyFilled : OrderState.Active;
break;
case OrderStatus.WAIT_APPROVAL:
default:
return;
}
//long filledQty = order.ActiveQty - (long)infoOrder.qtyLeft;
Guid.TryParseExact(order.trn, "N", out var trId);
var oscm = new OrderStateChangeMessage
{
TransactionId = trId,
OrderExchangeId = order.code,
Quantity = order.qty,
ActiveQuantity = activeQuantity,
FilledQuantity = order.qty_executed, // TODO
Price = PriceHelper.ToPrice(order.price),
ChangeTime = DateTime.Now, // TODO
State = state
};
OnMessageReceived(oscm);
}
private InstrumentParams CreateParams(InfoSecboard secboard)
{
var instrument = connector.ResolveSymbolAsync(secboard.code).Result;
if (instrument == null)
{
return(null);
}
var security = securitiesMap[secboard.security];
return(new InstrumentParams
{
Instrument = instrument,
//ExpirationDate = security.execution_day,
PriceStep = PriceHelper.ToPrice(security.price_step),
LotSize = security.lot_size
});
}
private void InfoClient_OnInfoSecboard(InfoSecboard secboard)
{
using (allInstrumentLock.WriteLock())
{
var code = secboard.code;
InstrumentParams ip;
if (!instrumentsParams.TryGetValue(code, out ip))
{
allInstruments.Add(code);
ip = CreateParams(secboard);
if (ip == null)
{
return;
}
instrumentsParams[code] = ip;
}
ip.TopPriceLimit = PriceHelper.ToPrice(secboard.price_max);
ip.BottomPriceLimit = PriceHelper.ToPrice(secboard.price_min);
ip.Settlement = PriceHelper.ToPrice(secboard.market_price);
ip.PreviousSettlement = PriceHelper.ToPrice(secboard.prev_market_price);
ip.LastPrice = PriceHelper.ToPrice(secboard.last_trade_price);
//ip.SessionEndTime = secboard.finish_trade_time;
ip.BestBidPrice = PriceHelper.ToPrice(secboard.best_buy);
ip.BestOfferPrice = PriceHelper.ToPrice(secboard.best_sell);
if (subscribedInstruments.Contains(code))
{
OnMessageReceived(ip);
}
}
}
public async void Visit(NewOrderTransaction transaction)
{
try
{
//internal async Task<string> ResolveInstrumentAsync(Instrument instrument)
//{
// var data = await instrumentConverter.ResolveInstrumentAsync(this, instrument);
// return data?.Symbol;
//}
var data = await connector.ResolveInstrumentDataAsync(transaction.Instrument);
if (data == null)
{
OnMessageReceived(TransactionReply.Rejected(transaction, $"Unable to get symbol of {transaction.Instrument}"));
return;
}
if (!accounts.TryGetValue(transaction.Account, out var account))
{
OnMessageReceived(TransactionReply.Rejected(transaction, $"Не найден счет {transaction.Account}"));
return;
}
var order = new SpimexAdapter.FTE.Order
{
account = account.code,
firm = account.firm,
client = account.client,
security = data.Symbol,
board = data.Board,
@type = transaction.GetOrderType(),
@params = transaction.GetOrderParams(),
buy_sell = transaction.GetOperation(),
price = PriceHelper.FromPrice(transaction.Price),
qty = transaction.Quantity,
trn = transaction.TransactionId.ToString("N"),
isMarketMaker = transaction.IsMarketMakerOrder,
comment = transaction.Comment,
};
var reply = await transClient.SendOrder(order);
OnMessageReceived(TransactionReply.Accepted(transaction, reply.code));
OrderState?state = null;
switch (reply.status)
{
case OrderStatus.CANCELED:
state = OrderState.Cancelled;
break;
case OrderStatus.MATCHED:
state = OrderState.Filled;
break;
case OrderStatus.FREEZED:
case OrderStatus.QUEUED:
state = reply.qty_executed > 0 ? OrderState.PartiallyFilled : OrderState.Active;
break;
}
var oscm = new OrderStateChangeMessage
{
TransactionId = transaction.TransactionId,
OrderExchangeId = reply.code,
Quantity = order.qty,
ActiveQuantity = reply.qtyLeft,
FilledQuantity = reply.qty_executed,
Price = PriceHelper.ToPrice(order.price),
ChangeTime = DateTime.Now,
State = state
};
OnMessageReceived(oscm);
}
catch (FTEException e)
{
OnMessageReceived(TransactionReply.Rejected(transaction, e.Message));
}
}
