protected override void OnSave(BitArrayWriter writer, IEnumerable <TCandleMessage> candles, CandleMetaInfo metaInfo)
{
if (metaInfo.IsEmpty())
{
var firstCandle = candles.First();
var low = firstCandle.LowPrice;
if ((low % metaInfo.PriceStep) == 0)
{
metaInfo.FirstPrice = metaInfo.LastPrice = low;
}
else
{
metaInfo.FirstFractionalPrice = metaInfo.LastFractionalPrice = low;
}
metaInfo.ServerOffset = firstCandle.OpenTime.Offset;
metaInfo.FirstSeqNum = metaInfo.PrevSeqNum = firstCandle.SeqNum;
}
writer.WriteInt(candles.Count());
var allowNonOrdered = metaInfo.Version >= MarketDataVersions.Version49;
var isUtc = metaInfo.Version >= MarketDataVersions.Version50;
var allowDiffOffsets = metaInfo.Version >= MarketDataVersions.Version53;
var useLevels = metaInfo.Version >= MarketDataVersions.Version54;
var bigRange = metaInfo.Version >= MarketDataVersions.Version57;
var isTickPrecision = bigRange;
var useLong = metaInfo.Version >= MarketDataVersions.Version58;
var buildFrom = metaInfo.Version >= MarketDataVersions.Version59;
var seqNum = metaInfo.Version >= MarketDataVersions.Version60;
foreach (var candle in candles)
{
if (candle.State == CandleStates.Active)
{
throw new ArgumentException(LocalizedStrings.CandleActiveNotSupport.Put(candle), nameof(candle));
}
writer.WriteVolume(candle.TotalVolume, metaInfo, SecurityId);
if (metaInfo.Version < MarketDataVersions.Version52)
{
writer.WriteVolume(candle.RelativeVolume ?? 0, metaInfo, SecurityId);
}
else
{
writer.Write(candle.RelativeVolume != null);
if (candle.RelativeVolume != null)
{
writer.WriteVolume(candle.RelativeVolume.Value, metaInfo, SecurityId);
}
}
if (metaInfo.Version < MarketDataVersions.Version56)
{
var prevPrice = metaInfo.LastPrice;
writer.WritePrice(candle.LowPrice, ref prevPrice, metaInfo, SecurityId);
metaInfo.LastPrice = prevPrice;
prevPrice = metaInfo.LastPrice;
writer.WritePrice(candle.OpenPrice, ref prevPrice, metaInfo, SecurityId);
prevPrice = metaInfo.LastPrice;
writer.WritePrice(candle.ClosePrice, ref prevPrice, metaInfo, SecurityId);
prevPrice = metaInfo.LastPrice;
writer.WritePrice(candle.HighPrice, ref prevPrice, metaInfo, SecurityId);
}
else
{
writer.WritePriceEx(candle.LowPrice, metaInfo, SecurityId, useLong);
if (candle.OpenPrice <= candle.ClosePrice)
{
writer.Write(true);
writer.WritePriceEx(candle.OpenPrice, metaInfo, SecurityId, useLong);
writer.WritePriceEx(candle.ClosePrice, metaInfo, SecurityId, useLong);
}
else
{
writer.Write(false);
writer.WritePriceEx(candle.ClosePrice, metaInfo, SecurityId, useLong);
writer.WritePriceEx(candle.OpenPrice, metaInfo, SecurityId, useLong);
}
writer.WritePriceEx(candle.HighPrice, metaInfo, SecurityId, useLong);
}
if (!candle.CloseTime.IsDefault() && candle.OpenTime > candle.CloseTime)
{
throw new ArgumentException(LocalizedStrings.MoreThanCloseTime.Put(candle.OpenTime, candle.CloseTime));
}
var lastOffset = metaInfo.LastServerOffset;
metaInfo.LastTime = writer.WriteTime(candle.OpenTime, metaInfo.LastTime, LocalizedStrings.Str998, allowNonOrdered, isUtc, metaInfo.ServerOffset, allowDiffOffsets, isTickPrecision, ref lastOffset);
metaInfo.LastServerOffset = lastOffset;
if (metaInfo.Version >= MarketDataVersions.Version46)
{
var isAll = !candle.HighTime.IsDefault() && !candle.LowTime.IsDefault();
DateTimeOffset first;
DateTimeOffset second;
writer.Write(isAll);
if (isAll)
{
var isOrdered = candle.HighTime <= candle.LowTime;
writer.Write(isOrdered);
first = isOrdered ? candle.HighTime : candle.LowTime;
second = isOrdered ? candle.LowTime : candle.HighTime;
}
else
{
writer.Write(!candle.HighTime.IsDefault());
writer.Write(!candle.LowTime.IsDefault());
first = candle.HighTime.IsDefault() ? candle.LowTime : candle.HighTime;
second = default;
}
if (!first.IsDefault())
{
if (first.Offset != lastOffset && !allowDiffOffsets)
{
throw new ArgumentException(LocalizedStrings.WrongTimeOffset.Put(first, lastOffset));
}
if (!candle.CloseTime.IsDefault() && first > candle.CloseTime)
{
throw new ArgumentException(LocalizedStrings.MoreThanCloseTime.Put(first, candle.CloseTime));
}
metaInfo.LastTime = writer.WriteTime(first, metaInfo.LastTime, LocalizedStrings.Str999, allowNonOrdered, isUtc, metaInfo.ServerOffset, allowDiffOffsets, isTickPrecision, ref lastOffset, bigRange);
}
if (!second.IsDefault())
{
if (second.Offset != lastOffset && !allowDiffOffsets)
{
throw new ArgumentException(LocalizedStrings.WrongTimeOffset.Put(second, lastOffset));
}
if (!candle.CloseTime.IsDefault() && second > candle.CloseTime)
{
throw new ArgumentException(LocalizedStrings.MoreThanCloseTime.Put(second, candle.CloseTime));
}
metaInfo.LastTime = writer.WriteTime(second, metaInfo.LastTime, LocalizedStrings.Str1000, allowNonOrdered, isUtc, metaInfo.ServerOffset, allowDiffOffsets, isTickPrecision, ref lastOffset, bigRange);
}
}
if (metaInfo.Version >= MarketDataVersions.Version47)
{
writer.Write(!candle.CloseTime.IsDefault());
if (!candle.CloseTime.IsDefault())
{
if (candle.CloseTime.Offset != lastOffset && !allowDiffOffsets)
{
throw new ArgumentException(LocalizedStrings.WrongTimeOffset.Put(candle.CloseTime, lastOffset));
}
metaInfo.LastTime = writer.WriteTime(candle.CloseTime, metaInfo.LastTime, LocalizedStrings.Str1001, allowNonOrdered, isUtc, metaInfo.ServerOffset, allowDiffOffsets, isTickPrecision, ref lastOffset, bigRange);
}
}
else
{
var time = writer.WriteTime(candle.CloseTime, metaInfo.LastTime, LocalizedStrings.Str1001, allowNonOrdered, isUtc, metaInfo.ServerOffset, allowDiffOffsets, false, ref lastOffset);
if (metaInfo.Version >= MarketDataVersions.Version41)
{
metaInfo.LastTime = time;
}
}
if (metaInfo.Version >= MarketDataVersions.Version46)
{
if (metaInfo.Version < MarketDataVersions.Version51)
{
writer.WriteVolume(candle.OpenVolume ?? 0m, metaInfo, SecurityId);
writer.WriteVolume(candle.HighVolume ?? 0m, metaInfo, SecurityId);
writer.WriteVolume(candle.LowVolume ?? 0m, metaInfo, SecurityId);
writer.WriteVolume(candle.CloseVolume ?? 0m, metaInfo, SecurityId);
}
else
{
if (candle.OpenVolume == null)
{
writer.Write(false);
}
else
{
writer.Write(true);
writer.WriteVolume(candle.OpenVolume.Value, metaInfo, SecurityId);
}
if (candle.HighVolume == null)
{
writer.Write(false);
}
else
{
writer.Write(true);
writer.WriteVolume(candle.HighVolume.Value, metaInfo, SecurityId);
}
if (candle.LowVolume == null)
{
writer.Write(false);
}
else
{
writer.Write(true);
writer.WriteVolume(candle.LowVolume.Value, metaInfo, SecurityId);
}
if (candle.CloseVolume == null)
{
writer.Write(false);
}
else
{
writer.Write(true);
writer.WriteVolume(candle.CloseVolume.Value, metaInfo, SecurityId);
}
}
}
writer.WriteInt((int)candle.State);
if (metaInfo.Version < MarketDataVersions.Version45)
{
continue;
}
var oi = candle.OpenInterest;
if (metaInfo.Version < MarketDataVersions.Version48)
{
writer.WriteVolume(oi ?? 0m, metaInfo, SecurityId);
}
else
{
writer.Write(oi != null);
if (oi != null)
{
writer.WriteVolume(oi.Value, metaInfo, SecurityId);
}
}
if (metaInfo.Version < MarketDataVersions.Version52)
{
continue;
}
writer.Write(candle.DownTicks != null);
if (candle.DownTicks != null)
{
writer.WriteInt(candle.DownTicks.Value);
}
writer.Write(candle.UpTicks != null);
if (candle.UpTicks != null)
{
writer.WriteInt(candle.UpTicks.Value);
}
writer.Write(candle.TotalTicks != null);
if (candle.TotalTicks != null)
{
writer.WriteInt(candle.TotalTicks.Value);
}
if (!useLevels)
{
continue;
}
var priceLevels = candle.PriceLevels;
writer.Write(priceLevels != null);
if (priceLevels != null)
{
priceLevels = priceLevels.ToArray();
writer.WriteInt(priceLevels.Count());
foreach (var level in priceLevels)
{
if (metaInfo.Version < MarketDataVersions.Version56)
{
var prevPrice = metaInfo.LastPrice;
writer.WritePrice(level.Price, ref prevPrice, metaInfo, SecurityId);
metaInfo.LastPrice = prevPrice;
}
else
{
writer.WritePriceEx(level.Price, metaInfo, SecurityId);
}
writer.WriteInt(level.BuyCount);
writer.WriteInt(level.SellCount);
writer.WriteVolume(level.BuyVolume, metaInfo, SecurityId);
writer.WriteVolume(level.SellVolume, metaInfo, SecurityId);
if (metaInfo.Version >= MarketDataVersions.Version55)
{
writer.WriteVolume(level.TotalVolume, metaInfo, SecurityId);
}
var volumes = level.BuyVolumes;
if (volumes == null)
{
writer.Write(false);
}
else
{
writer.Write(true);
volumes = volumes.ToArray();
writer.WriteInt(volumes.Count());
foreach (var volume in volumes)
{
writer.WriteVolume(volume, metaInfo, SecurityId);
}
}
volumes = level.SellVolumes;
if (volumes == null)
{
writer.Write(false);
}
else
{
writer.Write(true);
volumes = volumes.ToArray();
writer.WriteInt(volumes.Count());
foreach (var volume in volumes)
{
writer.WriteVolume(volume, metaInfo, SecurityId);
}
}
}
}
if (!buildFrom)
{
continue;
}
writer.WriteBuildFrom(candle.BuildFrom);
if (!seqNum)
{
continue;
}
writer.WriteSeqNum(candle, metaInfo);
}
}
protected override void OnSave(BitArrayWriter writer, IEnumerable <TCandleMessage> candles, CandleMetaInfo metaInfo)
{
if (metaInfo.IsEmpty())
{
var firstCandle = candles.First();
metaInfo.FirstPrice = firstCandle.LowPrice;
metaInfo.LastPrice = firstCandle.LowPrice;
metaInfo.ServerOffset = firstCandle.OpenTime.Offset;
}
writer.WriteInt(candles.Count());
var allowNonOrdered = metaInfo.Version >= MarketDataVersions.Version49;
var isUtc = metaInfo.Version >= MarketDataVersions.Version50;
var allowDiffOffsets = metaInfo.Version >= MarketDataVersions.Version53;
foreach (var candle in candles)
{
writer.WriteVolume(candle.TotalVolume, metaInfo, SecurityId);
if (metaInfo.Version < MarketDataVersions.Version52)
{
writer.WriteVolume(candle.RelativeVolume ?? 0, metaInfo, SecurityId);
}
else
{
writer.Write(candle.RelativeVolume != null);
if (candle.RelativeVolume != null)
{
writer.WriteVolume(candle.RelativeVolume.Value, metaInfo, SecurityId);
}
}
if (metaInfo.Version < MarketDataVersions.Version56)
{
writer.WritePrice(candle.LowPrice, metaInfo.LastPrice, metaInfo, SecurityId);
metaInfo.LastPrice = candle.LowPrice;
writer.WritePrice(candle.OpenPrice, metaInfo.LastPrice, metaInfo, SecurityId);
writer.WritePrice(candle.ClosePrice, metaInfo.LastPrice, metaInfo, SecurityId);
writer.WritePrice(candle.HighPrice, metaInfo.LastPrice, metaInfo, SecurityId);
}
else
{
writer.WritePriceEx(candle.LowPrice, metaInfo, SecurityId);
if (candle.OpenPrice <= candle.ClosePrice)
{
writer.Write(true);
writer.WritePriceEx(candle.OpenPrice, metaInfo, SecurityId);
writer.WritePriceEx(candle.ClosePrice, metaInfo, SecurityId);
}
else
{
writer.Write(false);
writer.WritePriceEx(candle.ClosePrice, metaInfo, SecurityId);
writer.WritePriceEx(candle.OpenPrice, metaInfo, SecurityId);
}
writer.WritePriceEx(candle.HighPrice, metaInfo, SecurityId);
}
var lastOffset = metaInfo.LastServerOffset;
metaInfo.LastTime = writer.WriteTime(candle.OpenTime, metaInfo.LastTime, LocalizedStrings.Str998, allowNonOrdered, isUtc, metaInfo.ServerOffset, allowDiffOffsets, ref lastOffset);
metaInfo.LastServerOffset = lastOffset;
if (metaInfo.Version >= MarketDataVersions.Version46)
{
var isAll = !candle.HighTime.IsDefault() && !candle.LowTime.IsDefault();
DateTimeOffset first;
DateTimeOffset second;
writer.Write(isAll);
if (isAll)
{
var isOrdered = candle.HighTime <= candle.LowTime;
writer.Write(isOrdered);
first = isOrdered ? candle.HighTime : candle.LowTime;
second = isOrdered ? candle.LowTime : candle.HighTime;
}
else
{
writer.Write(!candle.HighTime.IsDefault());
writer.Write(!candle.LowTime.IsDefault());
if (candle.HighTime.IsDefault())
{
first = candle.LowTime;
second = default(DateTimeOffset);
}
else
{
first = candle.HighTime;
second = default(DateTimeOffset);
}
}
if (!first.IsDefault())
{
if (first.Offset != lastOffset)
{
throw new ArgumentException(LocalizedStrings.WrongTimeOffset.Put(first, lastOffset));
}
metaInfo.LastTime = writer.WriteTime(first, metaInfo.LastTime, LocalizedStrings.Str999, allowNonOrdered, isUtc, metaInfo.ServerOffset, allowDiffOffsets, ref lastOffset);
}
if (!second.IsDefault())
{
if (second.Offset != lastOffset)
{
throw new ArgumentException(LocalizedStrings.WrongTimeOffset.Put(second, lastOffset));
}
metaInfo.LastTime = writer.WriteTime(second, metaInfo.LastTime, LocalizedStrings.Str1000, allowNonOrdered, isUtc, metaInfo.ServerOffset, allowDiffOffsets, ref lastOffset);
}
}
if (metaInfo.Version >= MarketDataVersions.Version47)
{
writer.Write(!candle.CloseTime.IsDefault());
if (!candle.CloseTime.IsDefault())
{
if (candle.CloseTime.Offset != lastOffset)
{
throw new ArgumentException(LocalizedStrings.WrongTimeOffset.Put(candle.CloseTime, lastOffset));
}
metaInfo.LastTime = writer.WriteTime(candle.CloseTime, metaInfo.LastTime, LocalizedStrings.Str1001, allowNonOrdered, isUtc, metaInfo.ServerOffset, allowDiffOffsets, ref lastOffset);
}
}
else
{
var time = writer.WriteTime(candle.CloseTime, metaInfo.LastTime, LocalizedStrings.Str1001, allowNonOrdered, isUtc, metaInfo.ServerOffset, allowDiffOffsets, ref lastOffset);
if (metaInfo.Version >= MarketDataVersions.Version41)
{
metaInfo.LastTime = time;
}
}
if (metaInfo.Version >= MarketDataVersions.Version46)
{
if (metaInfo.Version < MarketDataVersions.Version51)
{
writer.WriteVolume(candle.OpenVolume ?? 0m, metaInfo, SecurityId);
writer.WriteVolume(candle.HighVolume ?? 0m, metaInfo, SecurityId);
writer.WriteVolume(candle.LowVolume ?? 0m, metaInfo, SecurityId);
writer.WriteVolume(candle.CloseVolume ?? 0m, metaInfo, SecurityId);
}
else
{
if (candle.OpenVolume == null)
{
writer.Write(false);
}
else
{
writer.Write(true);
writer.WriteVolume(candle.OpenVolume.Value, metaInfo, SecurityId);
}
if (candle.HighVolume == null)
{
writer.Write(false);
}
else
{
writer.Write(true);
writer.WriteVolume(candle.HighVolume.Value, metaInfo, SecurityId);
}
if (candle.LowVolume == null)
{
writer.Write(false);
}
else
{
writer.Write(true);
writer.WriteVolume(candle.LowVolume.Value, metaInfo, SecurityId);
}
if (candle.CloseVolume == null)
{
writer.Write(false);
}
else
{
writer.Write(true);
writer.WriteVolume(candle.CloseVolume.Value, metaInfo, SecurityId);
}
}
}
writer.WriteInt((int)candle.State);
if (metaInfo.Version < MarketDataVersions.Version45)
{
continue;
}
var oi = candle.OpenInterest;
if (metaInfo.Version < MarketDataVersions.Version48)
{
writer.WriteVolume(oi ?? 0m, metaInfo, SecurityId);
}
else
{
writer.Write(oi != null);
if (oi != null)
{
writer.WriteVolume(oi.Value, metaInfo, SecurityId);
}
}
if (metaInfo.Version < MarketDataVersions.Version52)
{
continue;
}
writer.Write(candle.DownTicks != null);
if (candle.DownTicks != null)
{
writer.WriteInt(candle.DownTicks.Value);
}
writer.Write(candle.UpTicks != null);
if (candle.UpTicks != null)
{
writer.WriteInt(candle.UpTicks.Value);
}
writer.Write(candle.TotalTicks != null);
if (candle.TotalTicks != null)
{
writer.WriteInt(candle.TotalTicks.Value);
}
if (metaInfo.Version < MarketDataVersions.Version54)
{
continue;
}
var priceLevels = candle.PriceLevels;
writer.Write(priceLevels != null);
if (priceLevels == null)
{
continue;
}
priceLevels = priceLevels.ToArray();
writer.WriteInt(priceLevels.Count());
foreach (var level in priceLevels)
{
if (metaInfo.Version < MarketDataVersions.Version56)
{
writer.WritePrice(level.Price, metaInfo.LastPrice, metaInfo, SecurityId);
}
else
{
writer.WritePriceEx(level.Price, metaInfo, SecurityId);
}
writer.WriteInt(level.BuyCount);
writer.WriteInt(level.SellCount);
writer.WriteVolume(level.BuyVolume, metaInfo, SecurityId);
writer.WriteVolume(level.SellVolume, metaInfo, SecurityId);
if (metaInfo.Version >= MarketDataVersions.Version55)
{
writer.WriteVolume(level.TotalVolume, metaInfo, SecurityId);
}
var volumes = level.BuyVolumes;
if (volumes == null)
{
writer.Write(false);
}
else
{
writer.Write(true);
volumes = volumes.ToArray();
writer.WriteInt(volumes.Count());
foreach (var volume in volumes)
{
writer.WriteVolume(volume, metaInfo, SecurityId);
}
}
volumes = level.SellVolumes;
if (volumes == null)
{
writer.Write(false);
}
else
{
writer.Write(true);
volumes = volumes.ToArray();
writer.WriteInt(volumes.Count());
foreach (var volume in volumes)
{
writer.WriteVolume(volume, metaInfo, SecurityId);
}
}
}
}
}
