internal static void SetLastTradePrice(this ExecutionMessage order, decimal price)
{
order.AddValue(_lastTradePrice, price);
}
internal static void SetWhyHeld(this ExecutionMessage order, string whyHeld)
{
order.AddValue(_whyHeld, whyHeld);
}
internal static void SetEvRule(this ExecutionMessage trade, string rule)
{
trade.AddValue(_evRule, rule);
}
internal static void SetEvMultiplier(this ExecutionMessage trade, decimal multiplier)
{
trade.AddValue(_evMultiplier, multiplier);
}
internal static void SetAveragePrice(this ExecutionMessage trade, decimal price)
{
trade.AddValue(_averagePrice, price);
}
internal static void SetOrderRef(this ExecutionMessage trade, string orderRef)
{
trade.AddValue(_orderRef, orderRef);
}
internal static void SetCumulativeQuantity(this ExecutionMessage trade, int cummVolume)
{
trade.AddValue(_cumulativeQuantity, cummVolume);
}
//public static int GetPermId(this MyTrade trade)
//{
// return trade.GetValue<int>(_permId);
//}
internal static void SetPermId(this ExecutionMessage trade, int permId)
{
trade.AddValue(_permId, permId);
}
internal static void SetLiquidation(this ExecutionMessage trade, int liquidation)
{
trade.AddValue(_liquidation, liquidation);
}
internal static void SetClientId(this ExecutionMessage trade, int clientId)
{
trade.AddValue(_clientId, clientId);
}
/// <summary>
/// Send message.
/// </summary>
/// <param name="message">Message.</param>
protected override void OnSendInMessage(Message message)
{
switch (message.Type)
{
case MessageTypes.Reset:
{
if (_client != null)
{
DisposeClient();
}
try
{
Connection.Close();
Connection.ClearCache();
}
catch (Exception ex)
{
SendOutError(ex);
}
Connection.StatusChange -= ConnectionOnStatusChange;
SendOutMessage(new ResetMessage());
break;
}
case MessageTypes.Connect:
{
if (_client != null)
{
throw new InvalidOperationException(LocalizedStrings.Str3378);
}
var doc = XDocument.Load("http://www.ddfplus.com/getusersettings.php?username={0}&password={1}".Put(Login, Password.To <string>()));
var loginElem = doc.Element("usersettings").Elements("login").First();
if (loginElem.GetAttributeValue <string>("status") != "ok")
{
throw new InvalidOperationException(LocalizedStrings.UnknownServerError);
}
if (loginElem.GetAttributeValue <string>("credentials") != "ok")
{
throw new InvalidOperationException(LocalizedStrings.Str3350);
}
foreach (var elem in doc.Element("usersettings").Element("servers").Elements())
{
switch (elem.GetAttributeValue <string>("type"))
{
case "stream":
_streamAddress = elem.GetAttributeValue <string>("primary");
break;
case "historicalv2":
_historicalAddress = elem.GetAttributeValue <string>("primary");
break;
case "extras":
_extrasAddress = elem.GetAttributeValue <string>("primary");
break;
case "news":
_newsAddress = elem.GetAttributeValue <string>("primary");
break;
}
}
SendOutMessage(new ConnectMessage());
Connection.StatusChange += ConnectionOnStatusChange;
Connection.Properties["streamingversion"] = "3";
_client = new Client();
_client.Error += ClientOnError;
_client.NewBookQuote += ClientOnNewBookQuote;
_client.NewOHLCQuote += ClientOnNewOhlcQuote;
_client.NewQuote += ClientOnNewQuote;
Connection.Username = Login;
Connection.Password = Password.To <string>();
Connection.Mode = ConnectionMode.TCPClient;
break;
}
case MessageTypes.Disconnect:
{
if (_client == null)
{
throw new InvalidOperationException(LocalizedStrings.Str1856);
}
DisposeClient();
Connection.Close();
break;
}
case MessageTypes.SecurityLookup:
{
var lookupMsg = (SecurityLookupMessage)message;
XDocument doc = null;
if (!lookupMsg.SecurityId.SecurityCode.IsEmpty())
{
doc = XDocument.Load("{0}/instruments/?lookup={1}".Put(_extrasAddress, lookupMsg.SecurityId.SecurityCode));
}
else if (!lookupMsg.SecurityId.BoardCode.IsEmpty())
{
doc = XDocument.Load("{0}/instruments/?exchange={1}".Put(_extrasAddress, lookupMsg.SecurityId.BoardCode));
}
if (doc != null)
{
foreach (var element in doc.Element("instruments").Elements())
{
SendOutMessage(new SecurityMessage
{
SecurityId = new SecurityId
{
SecurityCode = element.GetAttributeValue <string>("guid"),
BoardCode = element.GetAttributeValue <string>("exchange"),
},
Name = element.GetAttributeValue <string>("symbol_description"),
OriginalTransactionId = lookupMsg.TransactionId,
SecurityType = TraderHelper.FromIso10962(element.GetAttributeValue <string>("symbol_cfi")),
PriceStep = element.GetAttributeValue <decimal?>("tick_increment"),
Multiplier = element.GetAttributeValue <decimal?>("point_value"),
Currency = element.GetAttributeValue <CurrencyTypes?>("currency")
});
}
}
SendOutMessage(new SecurityLookupResultMessage
{
OriginalTransactionId = lookupMsg.TransactionId,
});
break;
}
case MessageTypes.MarketData:
{
var mdMsg = (MarketDataMessage)message;
switch (mdMsg.DataType)
{
case MarketDataTypes.Level1:
break;
case MarketDataTypes.MarketDepth:
break;
case MarketDataTypes.Trades:
{
if (mdMsg.Count != null || mdMsg.From != null || mdMsg.To != null)
{
var url = new Url("{0}/queryticks.ashx".Put(_historicalAddress));
url.QueryString
.Append("username", Login)
.Append("password", Password.To <string>())
.Append("symbol", mdMsg.SecurityId.SecurityCode)
.Append("order", "asc");
if (mdMsg.Count != null)
{
url.QueryString.Append("maxrecords", mdMsg.Count.Value);
}
if (mdMsg.From != null)
{
url.QueryString.Append("start", mdMsg.From.Value.FromDateTimeOffset(_defaultTimeFormatRequest));
}
if (mdMsg.To != null)
{
url.QueryString.Append("end", mdMsg.To.Value.FromDateTimeOffset(_defaultTimeFormatRequest));
}
using (var client = new WebClient())
{
var lines = client.DownloadString(url)
.Split("\n")
.Where(l => l != "\r")
.ToArray();
var i = 0;
foreach (var line in lines)
{
var columns = line.Split(',');
try
{
var msg = new ExecutionMessage
{
SecurityId = mdMsg.SecurityId,
OriginalTransactionId = mdMsg.TransactionId,
ExecutionType = ExecutionTypes.Tick,
ServerTime = columns[0].ToDateTime("yyyy-MM-dd HH:mm:ss.fff"),
TradePrice = columns[3].To <decimal>(),
Volume = columns[4].To <decimal>(),
};
msg.AddValue("IsFinished", ++i == lines.Length);
SendOutMessage(msg);
}
catch (Exception ex)
{
throw new InvalidOperationException(LocalizedStrings.Str2141Params.Put(line), ex);
}
}
}
}
break;
}
case MarketDataTypes.News:
break;
case MarketDataTypes.CandleTimeFrame:
{
var tf = (TimeSpan)mdMsg.Arg;
string serviceName;
string timeFormatRequest = _defaultTimeFormatRequest;
string timeFormatResponse = "yyyy-MM-dd";
if (tf == TimeSpan.FromMinutes(1))
{
serviceName = "queryminutes";
timeFormatResponse = "yyyy-MM-dd HH:mm";
}
else if (tf == TimeSpan.FromDays(1))
{
serviceName = "queryeod";
timeFormatRequest = "yyyyMMdd";
}
else
{
throw new InvalidOperationException(LocalizedStrings.Str2102);
}
var url = new Url("{0}/{1}.ashx".Put(_historicalAddress, serviceName));
url.QueryString
.Append("username", Login)
.Append("password", Password.To <string>())
.Append("symbol", mdMsg.SecurityId.SecurityCode)
.Append("order", "asc");
if (mdMsg.Count != null)
{
url.QueryString.Append("maxrecords", mdMsg.Count.Value);
}
if (mdMsg.From != null)
{
url.QueryString.Append("start", mdMsg.From.Value.FromDateTimeOffset(timeFormatRequest));
}
if (mdMsg.To != null)
{
url.QueryString.Append("end", mdMsg.To.Value.FromDateTimeOffset(timeFormatRequest));
}
using (var client = new WebClient())
{
var lines = client.DownloadString(url)
.Split("\n")
.Where(l => l != "\r")
.ToArray();
var i = 0;
foreach (var line in lines)
{
var columns = line.Split(',');
try
{
SendOutMessage(new TimeFrameCandleMessage
{
SecurityId = mdMsg.SecurityId,
OriginalTransactionId = mdMsg.TransactionId,
OpenTime = columns[tf == TimeSpan.FromMinutes(1) ? 0 : 1].ToDateTime(timeFormatResponse).ApplyTimeZone(TimeHelper.Est),
OpenPrice = columns[2].To <decimal>(),
HighPrice = columns[3].To <decimal>(),
LowPrice = columns[4].To <decimal>(),
ClosePrice = columns[5].To <decimal>(),
TotalVolume = columns[6].To <decimal>(),
OpenInterest = columns.Length > 7 ? columns[7].To <decimal>() : (decimal?)null,
IsFinished = ++i == lines.Length
});
}
catch (Exception ex)
{
throw new InvalidOperationException(LocalizedStrings.Str2141Params.Put(line), ex);
}
}
}
break;
}
default:
{
SendOutMarketDataNotSupported(mdMsg.TransactionId);
return;
}
}
SendOutMessage(new MarketDataMessage {
OriginalTransactionId = mdMsg.TransactionId
});
break;
}
}
}