private void Load()
{
if (!File.Exists(_file))
{
return;
}
var proxySet = _format
.Split(';')
.Select(s => MemberProxy.Create(typeof(Security), s.Substring(1, s.Length - 2)))
.ToArray();
CultureInfo.InvariantCulture.DoInCulture(() =>
{
foreach (var line in File.ReadAllLines(_file))
{
var security = new Security();
var cells = line.Split(';');
for (var i = 0; i < proxySet.Length; i++)
{
proxySet[i].SetValue(security, cells[i].To(proxySet[i].ReturnType));
}
var id = security.Id.ToSecurityId();
security.Code = id.SecurityCode;
security.Board = _parent.ExchangeInfoProvider.GetOrCreateBoard(id.BoardCode);
_securities.Add(security);
}
});
}
/// <summary>
/// Подписаться на получение свечек.
/// </summary>
/// <param name="series">Серия свечек.</param>
/// <param name="from">Начальная дата, с которой необходимо получать данные.</param>
/// <param name="to">Конечная дата, до которой необходимо получать данные.</param>
public void SubscribeCandles(CandleSeries series, DateTimeOffset from, DateTimeOffset to)
{
if (series == null)
{
throw new ArgumentNullException("series");
}
if (series.CandleType != typeof(TimeFrameCandle))
{
throw new ArgumentException(LocalizedStrings.NotSupportCandle.Put("SmartCOM", series.CandleType), "series");
}
if (!(series.Arg is TimeSpan))
{
throw new ArgumentException(LocalizedStrings.WrongCandleArg.Put(series.Arg), "series");
}
var timeFrame = (TimeSpan)series.Arg;
using (new Scope <CandleSeries>(series))
{
to = timeFrame.GetCandleBounds(series.Security.ToExchangeTime(CurrentTime)).Min;
if (from >= (to - timeFrame))
{
from = to - timeFrame;
}
RequestCandles(series.Security, timeFrame, new Range <DateTimeOffset>(from, to));
_realTimeSeries.Add(series);
}
}
private void ProcessMarketData(MarketDataMessage mdMsg)
{
switch (mdMsg.DataType)
{
case MarketDataTypes.Level1:
{
if (mdMsg.IsSubscribe)
{
_subscribedLevel1.Add(mdMsg.SecurityId);
}
else
{
_subscribedLevel1.Remove(mdMsg.SecurityId);
}
break;
}
case MarketDataTypes.MarketDepth:
{
if (mdMsg.IsSubscribe)
{
_subscribedDepths.Add(mdMsg.SecurityId, mdMsg.MaxDepth ?? MarketDataMessage.DefaultMaxDepth);
}
else
{
_subscribedDepths.Remove(mdMsg.SecurityId);
}
break;
}
case MarketDataTypes.Trades:
{
if (mdMsg.IsSubscribe)
{
_subscribedTicks.Add(mdMsg.SecurityId);
}
else
{
_subscribedTicks.Remove(mdMsg.SecurityId);
}
break;
}
default:
{
SendOutMarketDataNotSupported(mdMsg.TransactionId);
return;
}
}
var reply = (MarketDataMessage)mdMsg.Clone();
reply.OriginalTransactionId = mdMsg.OriginalTransactionId;
SendOutMessage(reply);
}
/// <inheritdoc />
protected override bool OnSendInMessage(Message message)
{
switch (message.Type)
{
case MessageTypes.PortfolioLookup:
{
var lookupMsg = (PortfolioLookupMessage)message;
if (lookupMsg.IsSubscribe)
{
if (lookupMsg.To == null)
{
this.AddDebugLog("Subscription {0} added.", lookupMsg.TransactionId);
_subscriptions.Add(lookupMsg.TransactionId);
lock (_sync)
_positionManager.ProcessMessage(message);
}
if (IsEmulate)
{
RaiseNewOutMessage(lookupMsg.CreateResult());
return(true);
}
}
else
{
if (_subscriptions.Remove(lookupMsg.OriginalTransactionId))
{
this.AddDebugLog("Subscription {0} removed.", lookupMsg.OriginalTransactionId);
lock (_sync)
_positionManager.ProcessMessage(message);
}
if (IsEmulate)
{
//RaiseNewOutMessage(lookupMsg.CreateResponse());
return(true);
}
}
break;
}
default:
{
lock (_sync)
_positionManager.ProcessMessage(message);
break;
}
}
return(base.OnSendInMessage(message));
}
/// <summary>
/// Добавить новое подключение к базе данных.
/// </summary>
/// <param name="connection">Новое подключение.</param>
public void AddConnection(DatabaseConnectionPair connection)
{
if (connection == null)
{
throw new ArgumentNullException(nameof(connection));
}
_connections.Add(connection);
NewConnectionCreated.SafeInvoke(connection);
}
private void ProcessMarketData(MarketDataMessage mdMsg)
{
switch (mdMsg.DataType)
{
case MarketDataTypes.Level1:
{
if (mdMsg.IsSubscribe)
{
_subscribedLevel1.Add(mdMsg.SecurityId);
}
else
{
_subscribedLevel1.Remove(mdMsg.SecurityId);
}
break;
}
case MarketDataTypes.MarketDepth:
{
if (mdMsg.IsSubscribe)
{
_subscribedDepths.Add(mdMsg.SecurityId, mdMsg.MaxDepth);
}
else
{
_subscribedDepths.Remove(mdMsg.SecurityId);
}
break;
}
case MarketDataTypes.Trades:
{
if (mdMsg.IsSubscribe)
{
_subscribedTicks.Add(mdMsg.SecurityId);
}
else
{
_subscribedTicks.Remove(mdMsg.SecurityId);
}
break;
}
default:
throw new ArgumentOutOfRangeException("mdMsg", mdMsg.DataType, LocalizedStrings.Str1618);
}
var reply = (MarketDataMessage)mdMsg.Clone();
reply.OriginalTransactionId = mdMsg.OriginalTransactionId;
SendOutMessage(reply);
}
private bool AddOrder(Order o)
{
if (_chartOrders.Contains(o))
{
return(false);
}
_chartOrders.Add(o);
Orders.Add(o);
return(true);
}
/// <summary>
/// Отправить заявку на присоединение.
/// </summary>
/// <param name="join">Заявка.</param>
public void Join(ChatJoin join)
{
if (join == null)
{
throw new ArgumentNullException("join");
}
join.Id = Invoke(f => f.Join(SessionId, join));
if (join.Id != 0)
{
_myJoins.Add(join.Id, join);
}
//для открытых комнат событие JoinAccepted не вызывается
//поэтому сразу добавляем ее в доступные комнаты
if (_rooms[join.RoomId].IsEveryOne)
{
_accessedRooms.Add(join.RoomId);
}
}
private void ProcessExchanges(IEnumerable <string> exchanges)
{
foreach (var exchange in exchanges)
{
_boards.Add(exchange);
SendOutMessage(new BoardMessage
{
Code = exchange,
ExchangeCode = exchange,
});
}
}
/// <summary>
/// Подписаться на получение свечек.
/// </summary>
/// <param name="series">Серия свечек.</param>
/// <param name="from">Начальная дата, с которой необходимо получать данные.</param>
/// <param name="to">Конечная дата, до которой необходимо получать данные.</param>
public void SubscribeCandles(CandleSeries series, DateTimeOffset from, DateTimeOffset to)
{
if (series == null)
{
throw new ArgumentNullException("series");
}
var timeFrame = series.Arg.To <TimeSpan>();
var transactionId = TransactionIdGenerator.GetNextId();
_series[transactionId] = series;
_realTimeSeries.Add(series);
RequestCandles(series.Security, timeFrame, from, to, transactionId);
}
public void RegisterPortfolio(Portfolio portfolio)
{
if (portfolio == null)
{
throw new ArgumentNullException(nameof(portfolio));
}
if (portfolio is BasketPortfolio basketPortfolio)
{
basketPortfolio.InnerPortfolios.ForEach(_connector.RegisterPortfolio);
}
else
{
_registeredPortfolios.Add(portfolio);
_connector.OnRegisterPortfolio(portfolio);
}
}
private void ProcessConnectMessage(IMessageAdapter innerAdapter, ConnectMessage message)
{
if (message.Error != null)
{
this.AddErrorLog(LocalizedStrings.Str625Params, innerAdapter.GetType().Name, message.Error);
}
else
{
var adapter = _hearbeatAdapters[innerAdapter];
foreach (var supportedMessage in adapter.SupportedMessages)
{
_messageTypeAdapters.SafeAdd(supportedMessage).Add(adapter);
}
_connectedAdapters.Add(adapter);
}
SendOutMessage(message);
}
private void ProcessMarketData(MarketDataMessage mdMsg)
{
var secCode = mdMsg.SecurityId.SecurityCode;
var boardCode = mdMsg.SecurityId.BoardCode;
switch (mdMsg.DataType)
{
case MarketDataTypes.Level1:
{
if (mdMsg.IsSubscribe)
{
_client.SubscribeQuote(secCode, boardCode);
}
else
{
_client.UnsubsribeQuote(secCode, boardCode);
}
break;
}
case MarketDataTypes.MarketDepth:
{
if (mdMsg.IsSubscribe)
{
_client.SubscribeLevel2(secCode, boardCode);
}
else
{
_client.UnsubsribeLevel2(secCode, boardCode);
}
break;
}
case MarketDataTypes.Trades:
{
if (mdMsg.IsSubscribe)
{
_subscribedSecuritiesToTrade.Add(secCode);
_client.SubscribeQuote(secCode, boardCode);
}
else
{
_subscribedSecuritiesToTrade.Remove(secCode);
_client.UnsubsribeQuote(secCode, boardCode);
}
break;
}
case MarketDataTypes.News:
{
if (mdMsg.IsSubscribe)
{
_client.SubscribeNews();
}
else
{
_client.UnsubscribeNews();
}
break;
}
default:
{
SendOutMarketDataNotSupported(mdMsg.TransactionId);
return;
}
}
var reply = (MarketDataMessage)mdMsg.Clone();
reply.OriginalTransactionId = mdMsg.TransactionId;
SendOutMessage(reply);
}
/// <inheritdoc />
protected override bool OnSendInMessage(Message message)
{
switch (message.Type)
{
case MessageTypes.Reset:
{
lock (_syncObject)
{
_byId.Clear();
_online.Clear();
_passThrough.Clear();
_allSecSubscriptions.Clear();
_allSecSubscriptionsPassThrough.Clear();
}
break;
}
case MessageTypes.MarketData:
{
var mdMsg = (MarketDataMessage)message;
if (mdMsg.IsSubscribe)
{
if (mdMsg.DataType2 == DataType.MarketDepth)
{
var transId = mdMsg.TransactionId;
lock (_syncObject)
{
if (mdMsg.SecurityId == default)
{
if (mdMsg.DoNotBuildOrderBookInrement)
{
_allSecSubscriptionsPassThrough.Add(transId);
}
else
{
_allSecSubscriptions.Add(transId);
}
break;
}
if (mdMsg.DoNotBuildOrderBookInrement)
{
_passThrough.Add(transId);
break;
}
var info = new BookInfo(mdMsg.SecurityId)
{
Builder = { Parent = this }
};
info.SubscriptionIds.Add(transId);
_byId.Add(transId, info);
}
this.AddInfoLog("OB incr subscribed {0}/{1}.", mdMsg.SecurityId, transId);
}
}
else
{
RemoveSubscription(mdMsg.OriginalTransactionId);
}
break;
}
}
return(base.OnSendInMessage(message));
}
private void ProcessMarketData(MarketDataMessage mdMsg)
{
var secCode = mdMsg.SecurityId.SecurityCode;
var boardCode = mdMsg.SecurityId.BoardCode;
switch (mdMsg.DataType)
{
case MarketDataTypes.Level1:
{
if (mdMsg.IsSubscribe)
{
SessionHolder.Session.SubscribeQuote(secCode, boardCode);
}
else
{
SessionHolder.Session.UnsubsribeQuote(secCode, boardCode);
}
break;
}
case MarketDataTypes.MarketDepth:
{
if (mdMsg.IsSubscribe)
{
SessionHolder.Session.SubscribeLevel2(secCode, boardCode);
}
else
{
SessionHolder.Session.UnsubsribeLevel2(secCode, boardCode);
}
break;
}
case MarketDataTypes.Trades:
{
if (mdMsg.IsSubscribe)
{
_subscribedSecuritiesToTrade.Add(secCode);
SessionHolder.Session.SubscribeQuote(secCode, boardCode);
}
else
{
_subscribedSecuritiesToTrade.Remove(secCode);
SessionHolder.Session.UnsubsribeQuote(secCode, boardCode);
}
break;
}
case MarketDataTypes.News:
{
if (mdMsg.IsSubscribe)
{
SessionHolder.Session.SubscribeNews();
}
else
{
SessionHolder.Session.UnsubscribeNews();
}
break;
}
default:
throw new ArgumentOutOfRangeException("message", mdMsg.DataType, LocalizedStrings.Str1618);
}
var reply = (MarketDataMessage)mdMsg.Clone();
reply.OriginalTransactionId = mdMsg.TransactionId;
SendOutMessage(reply);
}
private void ProcessMarketData(MarketDataMessage mdMsg)
{
switch (mdMsg.DataType)
{
case MarketDataTypes.Level1:
{
//if (mdMsg.IsSubscribe)
// _subscribedLevel1.Add(secCode);
//else
// _subscribedLevel1.Remove(secCode);
break;
}
case MarketDataTypes.MarketDepth:
{
if (mdMsg.IsSubscribe)
{
_subscribedDepths.Add(mdMsg.SecurityId);
if (_subscribedDepths.Count == 1)
{
_pusherClient.SubscribeDepths();
}
}
else
{
_subscribedDepths.Remove(mdMsg.SecurityId);
if (_subscribedDepths.Count == 0)
{
_pusherClient.UnSubscribeDepths();
}
}
break;
}
case MarketDataTypes.Trades:
{
if (mdMsg.IsSubscribe)
{
if (mdMsg.From != null && mdMsg.From.Value.DateTime == DateTime.Today)
{
_httpClient.RequestTransactions().Select(t => new ExecutionMessage
{
ExecutionType = ExecutionTypes.Tick,
SecurityId = _btcUsd,
TradeId = t.Id,
TradePrice = (decimal)t.Price,
TradeVolume = (decimal)t.Amount,
ServerTime = t.Time.ApplyTimeZone(TimeZoneInfo.Utc)
}).ForEach(SendOutMessage);
}
_subscribedTicks.Add(mdMsg.SecurityId);
if (_subscribedTicks.Count == 1)
{
_pusherClient.SubscribeTrades();
}
}
else
{
_subscribedTicks.Remove(mdMsg.SecurityId);
if (_subscribedTicks.Count == 0)
{
_pusherClient.UnSubscribeTrades();
}
}
break;
}
default:
{
SendOutMarketDataNotSupported(mdMsg.TransactionId);
return;
}
}
var reply = (MarketDataMessage)mdMsg.Clone();
reply.OriginalTransactionId = mdMsg.OriginalTransactionId;
SendOutMessage(reply);
}
/// <inheritdoc />
protected override bool OnSendInMessage(Message message)
{
switch (message.Type)
{
case MessageTypes.Reset:
{
_subscriptions.Clear();
_strategyIdMap.Clear();
_strategySubscriptions.Clear();
lock (_sync)
_positionManager.ProcessMessage(message);
break;
}
case MessageTypes.PortfolioLookup:
{
var lookupMsg = (PortfolioLookupMessage)message;
if (lookupMsg.IsSubscribe)
{
if (!lookupMsg.StrategyId.IsEmpty())
{
this.AddDebugLog("Subscription (strategy='{1}') {0} added.", lookupMsg.TransactionId, lookupMsg.StrategyId);
_strategyIdMap.Add(lookupMsg.TransactionId, lookupMsg.StrategyId);
_strategySubscriptions.SafeAdd(lookupMsg.StrategyId).Add(lookupMsg.TransactionId);
RaiseNewOutMessage(lookupMsg.CreateResult());
return(true);
}
if (lookupMsg.To == null)
{
this.AddDebugLog("Subscription {0} added.", lookupMsg.TransactionId);
_subscriptions.Add(lookupMsg.TransactionId);
lock (_sync)
_positionManager.ProcessMessage(message);
}
if (IsEmulate)
{
RaiseNewOutMessage(lookupMsg.CreateResult());
return(true);
}
}
else
{
if (_subscriptions.Remove(lookupMsg.OriginalTransactionId))
{
this.AddDebugLog("Subscription {0} removed.", lookupMsg.OriginalTransactionId);
lock (_sync)
_positionManager.ProcessMessage(message);
}
else if (_strategyIdMap.TryGetAndRemove(lookupMsg.OriginalTransactionId, out var strategyId))
{
_strategySubscriptions.TryGetValue(strategyId)?.Remove(lookupMsg.OriginalTransactionId);
this.AddDebugLog("Subscription (strategy='{1}') {0} removed.", lookupMsg.OriginalTransactionId, strategyId);
return(true);
}
if (IsEmulate)
{
//RaiseNewOutMessage(lookupMsg.CreateResponse());
return(true);
}
}
break;
}
default:
{
lock (_sync)
_positionManager.ProcessMessage(message);
break;
}
}
return(base.OnSendInMessage(message));
}