public static NewStopOrderElement CreateStopLoss(TransaqOrderCondition cond)
{
if (cond == null)
throw new ArgumentNullException(nameof(cond));
return new NewStopOrderElement
{
ActivationPrice = cond.StopLossActivationPrice,
OrderPrice = cond.StopLossOrderPrice.To<string>(),
ByMarket = cond.StopLossByMarket,
Quantity = cond.StopLossVolume.To<string>(),
UseCredit = cond.StopLossUseCredit,
GuardTime = cond.StopLossProtectionTime,
BrokerRef = cond.StopLossComment
};
}
public static NewStopOrderElement CreateStopLoss(TransaqOrderCondition cond)
{
if (cond == null)
{
throw new ArgumentNullException("cond");
}
return(new NewStopOrderElement
{
ActivationPrice = cond.StopLossActivationPrice,
OrderPrice = cond.StopLossOrderPrice.To <string>(),
ByMarket = cond.StopLossByMarket,
Quantity = cond.StopLossVolume.To <string>(),
UseCredit = cond.StopLossUseCredit,
GuardTime = cond.StopLossProtectionTime,
BrokerRef = cond.StopLossComment
});
}
public static bool CheckConditionUnitType(this TransaqOrderCondition cond)
{
if (cond == null)
{
throw new ArgumentNullException("cond");
}
if ((cond.StopLossOrderPrice != null && cond.StopLossOrderPrice.Type != UnitTypes.Absolute & cond.StopLossOrderPrice.Type != UnitTypes.Percent) ||
(cond.StopLossVolume != null && cond.StopLossVolume.Type != UnitTypes.Absolute & cond.StopLossVolume.Type != UnitTypes.Percent) ||
(cond.TakeProfitVolume != null && cond.TakeProfitVolume.Type != UnitTypes.Absolute & cond.TakeProfitVolume.Type != UnitTypes.Percent) ||
(cond.TakeProfitCorrection != null && cond.TakeProfitCorrection.Type != UnitTypes.Absolute & cond.TakeProfitCorrection.Type != UnitTypes.Percent) ||
(cond.TakeProfitProtectionSpread != null && cond.TakeProfitProtectionSpread.Type != UnitTypes.Absolute & cond.TakeProfitProtectionSpread.Type != UnitTypes.Percent))
{
return(false);
}
return(true);
}
public static NewStopOrderElement CreateTakeProfit(TransaqOrderCondition cond)
{
if (cond == null)
{
throw new ArgumentNullException("cond");
}
return(new NewStopOrderElement
{
ActivationPrice = cond.TakeProfitActivationPrice,
ByMarket = cond.TakeProfitByMarket,
Quantity = cond.TakeProfitVolume.To <string>(),
UseCredit = cond.TakeProfitUseCredit,
GuardTime = cond.TakeProfitProtectionTime,
BrokerRef = cond.TakeProfitComment,
Correction = cond.TakeProfitCorrection.To <string>(),
Spread = cond.TakeProfitProtectionSpread.To <string>()
});
}
private void OnOrdersResponse(OrdersResponse response)
{
foreach (var order in response.Orders.Cast <TransaqBaseOrder>().Concat(response.StopOrders))
{
var stockSharpTransactionId = _orders.TryGetValue(order.TransactionId);
if (stockSharpTransactionId == 0)
{
stockSharpTransactionId = order.TransactionId;
// если заявка пришла от терминала, то просто идентификатор транзакции ассоциируем как стокшарповский
_orders.Add(order.TransactionId, order.TransactionId);
_ordersTypes.Add(order.TransactionId, order is TransaqStopOrder ? OrderTypes.Conditional : OrderTypes.Limit);
}
var execMsg = new ExecutionMessage
{
SecurityId = new SecurityId {
Native = order.SecId
},
Side = order.BuySell.FromTransaq(),
OriginalTransactionId = stockSharpTransactionId,
PortfolioName = order.Client,
ExpiryDate = order.ExpDate == null ? (DateTimeOffset?)null : order.ExpDate.Value.ApplyTimeZone(TimeHelper.Moscow),
ExecutionType = ExecutionTypes.Order,
};
var usualOrder = order as TransaqOrder;
if (usualOrder != null)
{
execMsg.OrderId = usualOrder.OrderNo;
execMsg.Balance = usualOrder.Balance;
execMsg.ServerTime = usualOrder.WithdrawTime ?? usualOrder.Time ?? usualOrder.AcceptTime ?? DateTimeOffset.MinValue;
execMsg.Comment = usualOrder.BrokerRef;
execMsg.SystemComment = usualOrder.Result;
execMsg.Price = usualOrder.Price;
execMsg.Volume = usualOrder.Quantity;
execMsg.OrderType = usualOrder.Price == 0 ? OrderTypes.Market : OrderTypes.Limit;
execMsg.Commission = usualOrder.MaxCommission;
if (usualOrder.ConditionType != TransaqAlgoOrderConditionTypes.None)
{
execMsg.OrderType = OrderTypes.Conditional;
execMsg.Condition = new TransaqOrderCondition
{
AlgoType = usualOrder.ConditionType,
AlgoValue = usualOrder.ConditionValue.To <decimal>(),
AlgoValidAfter = usualOrder.ValidAfter,
AlgoValidBefore = usualOrder.ValidBefore,
};
}
}
else
{
var stopOrder = (TransaqStopOrder)order;
execMsg.OrderId = stopOrder.ActiveOrderNo;
execMsg.OrderType = OrderTypes.Conditional;
execMsg.ServerTime = stopOrder.AcceptTime == null
? DateTimeOffset.MinValue
: stopOrder.AcceptTime.Value.ApplyTimeZone(TimeHelper.Moscow);
var stopCond = new TransaqOrderCondition
{
Type = stopOrder.StopLoss != null && stopOrder.TakeProfit != null ? TransaqOrderConditionTypes.TakeProfitStopLoss : (stopOrder.StopLoss != null ? TransaqOrderConditionTypes.StopLoss : TransaqOrderConditionTypes.TakeProfit),
ValidFor = stopOrder.ValidBefore,
LinkedOrderId = stopOrder.LinkedOrderNo,
};
if (stopOrder.StopLoss != null)
{
stopCond.StopLossActivationPrice = stopOrder.StopLoss.ActivationPrice;
stopCond.StopLossOrderPrice = stopOrder.StopLoss.OrderPrice;
stopCond.StopLossByMarket = stopOrder.StopLoss.OrderPrice == null;
stopCond.StopLossVolume = stopOrder.StopLoss.Quantity;
//stopCond.StopLossUseCredit = stopOrder.StopLoss.UseCredit.To<bool>();
if (stopOrder.StopLoss.GuardTime != null)
{
stopCond.StopLossProtectionTime = (int)stopOrder.StopLoss.GuardTime.Value.TimeOfDay.TotalMinutes;
}
stopCond.StopLossComment = stopOrder.StopLoss.BrokerRef;
}
if (stopOrder.TakeProfit != null)
{
stopCond.TakeProfitActivationPrice = stopOrder.TakeProfit.ActivationPrice;
stopCond.TakeProfitByMarket = stopOrder.TakeProfit.GuardSpread == null;
stopCond.TakeProfitVolume = stopOrder.TakeProfit.Quantity;
//stopCond.TakeProfitUseCredit = stopOrder.TakeProfit.UseCredit.To<bool>();
if (stopOrder.TakeProfit.GuardTime != null)
{
stopCond.TakeProfitProtectionTime = (int)stopOrder.TakeProfit.GuardTime.Value.TimeOfDay.TotalMinutes;
}
stopCond.TakeProfitComment = stopOrder.TakeProfit.BrokerRef;
stopCond.TakeProfitCorrection = stopOrder.TakeProfit.Correction;
stopCond.TakeProfitProtectionSpread = stopOrder.TakeProfit.GuardSpread;
}
}
execMsg.OrderState = order.Status.ToStockSharpState();
//execMsg.OrderStatus = order2.Status.ToStockSharpStatus();
if (order.Status != TransaqOrderStatus.cancelled)
{
if (execMsg.OrderState == OrderStates.Failed && usualOrder != null)
{
execMsg.Error = new InvalidOperationException(usualOrder.Result);
}
}
SendOutMessage(execMsg);
//if (order.Condition != null && order.DerivedOrder == null && order2.ConditionType != TransaqAlgoOrderConditionTypes.None && order2.OrderNo != 0)
// AddDerivedOrder(security, order2.OrderNo, order, (stopOrder, limitOrder) => stopOrder.DerivedOrder = limitOrder);
}
}
private void OnOrdersResponse(OrdersResponse response)
{
foreach (var order in response.Orders.Cast<TransaqBaseOrder>().Concat(response.StopOrders))
{
var stockSharpTransactionId = _orders.TryGetValue(order.TransactionId);
if (stockSharpTransactionId == 0)
{
stockSharpTransactionId = order.TransactionId;
// если заявка пришла от терминала, то просто идентификатор транзакции ассоциируем как стокшарповский
_orders.Add(order.TransactionId, order.TransactionId);
_ordersTypes.Add(order.TransactionId, order is TransaqStopOrder ? OrderTypes.Conditional : OrderTypes.Limit);
}
var execMsg = new ExecutionMessage
{
SecurityId = new SecurityId { Native = order.SecId },
Side = order.BuySell.FromTransaq(),
OriginalTransactionId = stockSharpTransactionId,
PortfolioName = order.Client,
ExpiryDate = order.ExpDate?.ApplyTimeZone(TimeHelper.Moscow),
ExecutionType = ExecutionTypes.Transaction,
};
var usualOrder = order as TransaqOrder;
if (usualOrder != null)
{
execMsg.OrderId = usualOrder.OrderNo;
execMsg.Balance = usualOrder.Balance;
execMsg.ServerTime = (usualOrder.WithdrawTime ?? usualOrder.Time ?? usualOrder.AcceptTime ?? DateTime.MinValue).ToDto();
execMsg.Comment = usualOrder.BrokerRef;
execMsg.SystemComment = usualOrder.Result;
execMsg.OrderPrice = usualOrder.Price;
execMsg.OrderVolume = usualOrder.Quantity;
execMsg.OrderType = usualOrder.Price == 0 ? OrderTypes.Market : OrderTypes.Limit;
execMsg.Commission = usualOrder.MaxCommission;
if (usualOrder.ConditionType != TransaqAlgoOrderConditionTypes.None)
{
execMsg.OrderType = OrderTypes.Conditional;
execMsg.Condition = new TransaqOrderCondition
{
AlgoType = usualOrder.ConditionType,
AlgoValue = usualOrder.ConditionValue.To<decimal>(),
AlgoValidAfter = usualOrder.ValidAfter.ToDto(),
AlgoValidBefore = usualOrder.ValidBefore.ToDto(),
};
}
}
else
{
var stopOrder = (TransaqStopOrder)order;
execMsg.OrderId = stopOrder.ActiveOrderNo;
execMsg.OrderType = OrderTypes.Conditional;
execMsg.ServerTime = stopOrder.AcceptTime?.ToDto() ?? DateTimeOffset.MinValue;
var stopCond = new TransaqOrderCondition
{
Type = stopOrder.StopLoss != null && stopOrder.TakeProfit != null ? TransaqOrderConditionTypes.TakeProfitStopLoss : (stopOrder.StopLoss != null ? TransaqOrderConditionTypes.StopLoss : TransaqOrderConditionTypes.TakeProfit),
ValidFor = stopOrder.ValidBefore.ToDto(),
LinkedOrderId = stopOrder.LinkedOrderNo,
};
if (stopOrder.StopLoss != null)
{
stopCond.StopLossActivationPrice = stopOrder.StopLoss.ActivationPrice;
stopCond.StopLossOrderPrice = stopOrder.StopLoss.OrderPrice;
stopCond.StopLossByMarket = stopOrder.StopLoss.OrderPrice == null;
stopCond.StopLossVolume = stopOrder.StopLoss.Quantity;
//stopCond.StopLossUseCredit = stopOrder.StopLoss.UseCredit.To<bool>();
if (stopOrder.StopLoss.GuardTime != null)
stopCond.StopLossProtectionTime = (int)stopOrder.StopLoss.GuardTime.Value.TimeOfDay.TotalMinutes;
stopCond.StopLossComment = stopOrder.StopLoss.BrokerRef;
}
if (stopOrder.TakeProfit != null)
{
stopCond.TakeProfitActivationPrice = stopOrder.TakeProfit.ActivationPrice;
stopCond.TakeProfitByMarket = stopOrder.TakeProfit.GuardSpread == null;
stopCond.TakeProfitVolume = stopOrder.TakeProfit.Quantity;
//stopCond.TakeProfitUseCredit = stopOrder.TakeProfit.UseCredit.To<bool>();
if (stopOrder.TakeProfit.GuardTime != null)
stopCond.TakeProfitProtectionTime = (int)stopOrder.TakeProfit.GuardTime.Value.TimeOfDay.TotalMinutes;
stopCond.TakeProfitComment = stopOrder.TakeProfit.BrokerRef;
stopCond.TakeProfitCorrection = stopOrder.TakeProfit.Correction;
stopCond.TakeProfitProtectionSpread = stopOrder.TakeProfit.GuardSpread;
}
}
execMsg.OrderState = order.Status.ToStockSharpState();
//execMsg.OrderStatus = order2.Status.ToStockSharpStatus();
if (order.Status != TransaqOrderStatus.cancelled)
{
if (execMsg.OrderState == OrderStates.Failed && usualOrder != null)
execMsg.Error = new InvalidOperationException(usualOrder.Result);
}
SendOutMessage(execMsg);
//if (order.Condition != null && order.DerivedOrder == null && order2.ConditionType != TransaqAlgoOrderConditionTypes.None && order2.OrderNo != 0)
// AddDerivedOrder(security, order2.OrderNo, order, (stopOrder, limitOrder) => stopOrder.DerivedOrder = limitOrder);
}
}
public static NewStopOrderElement CreateTakeProfit(TransaqOrderCondition cond)
{
if (cond == null)
throw new ArgumentNullException(nameof(cond));
return new NewStopOrderElement
{
ActivationPrice = cond.TakeProfitActivationPrice,
ByMarket = cond.TakeProfitByMarket,
Quantity = cond.TakeProfitVolume.To<string>(),
UseCredit = cond.TakeProfitUseCredit,
GuardTime = cond.TakeProfitProtectionTime,
BrokerRef = cond.TakeProfitComment,
Correction = cond.TakeProfitCorrection.To<string>(),
Spread = cond.TakeProfitProtectionSpread.To<string>()
};
}
