/// <inheritdoc /> protected override ExecutionMessage Read(FastCsvReader reader, IMarketDataMetaInfo metaInfo) { var execMsg = new ExecutionMessage { SecurityId = SecurityId, ExecutionType = ExecutionTypes.Tick, ServerTime = reader.ReadTime(metaInfo.Date), TradeId = reader.ReadNullableLong(), TradePrice = reader.ReadNullableDecimal(), TradeVolume = reader.ReadNullableDecimal(), OriginSide = reader.ReadNullableEnum <Sides>(), OpenInterest = reader.ReadNullableDecimal(), IsSystem = reader.ReadNullableBool(), }; if ((reader.ColumnCurr + 1) < reader.ColumnCount) { execMsg.IsUpTick = reader.ReadNullableBool(); execMsg.TradeStringId = reader.ReadString(); execMsg.Currency = reader.ReadNullableEnum <CurrencyTypes>(); } if ((reader.ColumnCurr + 1) < reader.ColumnCount) { execMsg.BuildFrom = reader.ReadBuildFrom(); } return(execMsg); }
/// <inheritdoc /> protected override TCandleMessage Read(FastCsvReader reader, IMarketDataMetaInfo metaInfo) { var message = new TCandleMessage { SecurityId = SecurityId, Arg = Arg, OpenTime = reader.ReadTime(metaInfo.Date), OpenPrice = reader.ReadDecimal(), HighPrice = reader.ReadDecimal(), LowPrice = reader.ReadDecimal(), ClosePrice = reader.ReadDecimal(), TotalVolume = reader.ReadDecimal(), State = CandleStates.Finished }; if ((reader.ColumnCurr + 1) < reader.ColumnCount) { message.BuildFrom = reader.ReadBuildFrom(); } if ((reader.ColumnCurr + 1) < reader.ColumnCount) { message.SeqNum = reader.ReadNullableLong() ?? 0L; } return(message); }
/// <inheritdoc /> protected override ExecutionMessage Read(FastCsvReader reader, IMarketDataMetaInfo metaInfo) { var msg = new ExecutionMessage { SecurityId = SecurityId, ExecutionType = ExecutionTypes.Transaction, ServerTime = reader.ReadTime(metaInfo.Date), TransactionId = reader.ReadLong(), OriginalTransactionId = reader.ReadLong(), OrderId = reader.ReadNullableLong(), OrderStringId = reader.ReadString(), OrderBoardId = reader.ReadString(), UserOrderId = reader.ReadString(), OrderPrice = reader.ReadDecimal(), OrderVolume = reader.ReadNullableDecimal(), Balance = reader.ReadNullableDecimal(), VisibleVolume = reader.ReadNullableDecimal(), Side = reader.ReadEnum <Sides>(), OriginSide = reader.ReadNullableEnum <Sides>(), OrderState = reader.ReadNullableEnum <OrderStates>(), OrderType = reader.ReadNullableEnum <OrderTypes>(), TimeInForce = reader.ReadNullableEnum <TimeInForce>(), TradeId = reader.ReadNullableLong(), TradeStringId = reader.ReadString(), TradePrice = reader.ReadNullableDecimal(), TradeVolume = reader.ReadNullableDecimal(), PortfolioName = reader.ReadString(), ClientCode = reader.ReadString(), BrokerCode = reader.ReadString(), DepoName = reader.ReadString(), IsSystem = reader.ReadNullableBool(), HasOrderInfo = reader.ReadBool(), HasTradeInfo = reader.ReadBool(), Commission = reader.ReadNullableDecimal(), Currency = reader.ReadNullableEnum <CurrencyTypes>(), Comment = reader.ReadString(), SystemComment = reader.ReadString(), //DerivedOrderId = reader.ReadNullableLong(), //DerivedOrderStringId = reader.ReadString(), }; reader.ReadNullableLong(); reader.ReadString(); msg.IsUpTick = reader.ReadNullableBool(); /*msg.IsCancellation = */ reader.Skip(); msg.OpenInterest = reader.ReadNullableDecimal(); msg.PnL = reader.ReadNullableDecimal(); msg.Position = reader.ReadNullableDecimal(); msg.Slippage = reader.ReadNullableDecimal(); msg.TradeStatus = reader.ReadNullableInt(); msg.OrderStatus = reader.ReadNullableLong(); msg.Latency = reader.ReadNullableLong().To <TimeSpan?>(); var error = reader.ReadString(); if (!error.IsEmpty()) { msg.Error = new InvalidOperationException(error); } var dtStr = reader.ReadString(); if (dtStr != null) { msg.ExpiryDate = (dtStr.ToDateTime() + reader.ReadString().ToTimeMls()).ToDateTimeOffset(TimeSpan.Parse(reader.ReadString().Remove("+"))); } else { reader.Skip(2); } msg.LocalTime = reader.ReadTime(metaInfo.Date); msg.IsMarketMaker = reader.ReadNullableBool(); if ((reader.ColumnCurr + 1) < reader.ColumnCount) { msg.CommissionCurrency = reader.ReadString(); } if ((reader.ColumnCurr + 1) < reader.ColumnCount) { msg.IsMargin = reader.ReadNullableBool(); msg.IsManual = reader.ReadNullableBool(); } if ((reader.ColumnCurr + 1) < reader.ColumnCount) { msg.MinVolume = reader.ReadNullableDecimal(); msg.PositionEffect = reader.ReadNullableEnum <OrderPositionEffects>(); msg.PostOnly = reader.ReadNullableBool(); msg.Initiator = reader.ReadNullableBool(); } if ((reader.ColumnCurr + 1) < reader.ColumnCount) { msg.SeqNum = reader.ReadLong(); msg.StrategyId = reader.ReadString(); } if ((reader.ColumnCurr + 1) < reader.ColumnCount) { msg.BuildFrom = reader.ReadBuildFrom(); } return(msg); }
/// <inheritdoc /> protected override Level1ChangeMessage Read(FastCsvReader reader, IMarketDataMetaInfo metaInfo) { var level1 = new Level1ChangeMessage { SecurityId = SecurityId, ServerTime = reader.ReadTime(metaInfo.Date), BuildFrom = reader.ReadBuildFrom(), SeqNum = reader.ReadNullableLong() ?? 0L, }; reader.Skip(_reserved.Length); var count = reader.ReadInt(); foreach (var pair in _level1Fields.Take(count)) { // backward compatibility if (reader.ColumnCurr == reader.ColumnCount) { break; } var field = pair.Key; if (pair.Value == typeof(DateTimeOffset)) { var dtStr = reader.ReadString(); if (dtStr != null) { level1.Changes.Add(field, (dtStr.ToDateTime() + reader.ReadString().ToTimeMls()).ToDateTimeOffset(TimeSpan.Parse(reader.ReadString().Remove("+")))); } else { reader.Skip(2); } } else if (pair.Value == typeof(int)) { var value = reader.ReadNullableInt(); if (value != null) { level1.Changes.Add(field, value.Value); } } else if (pair.Value == typeof(long)) { var value = reader.ReadNullableLong(); if (value != null) { level1.Changes.Add(field, value.Value); } } else if (pair.Value == typeof(bool)) { var value = reader.ReadNullableBool(); if (value != null) { level1.Changes.Add(field, value.Value); } } else if (pair.Value == typeof(SecurityStates)) { var value = reader.ReadNullableEnum <SecurityStates>(); if (value != null) { level1.Changes.Add(field, value.Value); } } else if (pair.Value == typeof(Sides)) { var value = reader.ReadNullableEnum <Sides>(); if (value != null) { level1.Changes.Add(field, value.Value); } } else { var value = reader.ReadNullableDecimal(); if (value != null) { level1.Changes.Add(field, value.Value); } } } return(level1); }
/// <inheritdoc /> protected override PositionChangeMessage Read(FastCsvReader reader, IMarketDataMetaInfo metaInfo) { var posMsg = new PositionChangeMessage { SecurityId = SecurityId, ServerTime = reader.ReadTime(metaInfo.Date), PortfolioName = reader.ReadString(), ClientCode = reader.ReadString(), DepoName = reader.ReadString(), LimitType = reader.ReadNullableEnum <TPlusLimits>(), Description = reader.ReadString(), StrategyId = reader.ReadString(), Side = reader.ReadNullableEnum <Sides>(), BuildFrom = reader.ReadBuildFrom(), }; reader.Skip(_reserved.Length); var count = reader.ReadInt(); foreach (var type in _types.Take(count)) { switch (type) { case PositionChangeTypes.Currency: { var currency = reader.ReadNullableEnum <CurrencyTypes>(); if (currency != null) { posMsg.Changes.Add(type, currency); } break; } case PositionChangeTypes.State: { var state = reader.ReadNullableEnum <PortfolioStates>(); if (state != null) { posMsg.Changes.Add(type, state); } break; } case PositionChangeTypes.ExpirationDate: { var dtStr = reader.ReadString(); if (dtStr != null) { posMsg.Changes.Add(type, (dtStr.ToDateTime() + reader.ReadString().ToTimeMls()).ToDateTimeOffset(TimeSpan.Parse(reader.ReadString().Remove("+")))); } else { reader.Skip(2); } break; } default: { var value = reader.ReadNullableDecimal(); if (value != null) { posMsg.Changes.Add(type, value); } break; } } } return(posMsg); }
/// <inheritdoc /> protected override NullableTimeQuoteChange Read(FastCsvReader reader, IMarketDataMetaInfo metaInfo) { var quote = new NullableTimeQuoteChange { ServerTime = reader.ReadTime(metaInfo.Date), }; var price = reader.ReadNullableDecimal(); var volume = reader.ReadNullableDecimal(); quote.Side = reader.ReadEnum <Sides>(); int?ordersCount = null; if ((reader.ColumnCurr + 1) < reader.ColumnCount) { ordersCount = reader.ReadNullableInt(); } QuoteConditions condition = default; if ((reader.ColumnCurr + 1) < reader.ColumnCount) { condition = reader.ReadNullableEnum <QuoteConditions>() ?? default; } QuoteChange?qq = null; if (price != null) { qq = quote.Quote = new QuoteChange { Price = price.Value, Volume = volume ?? 0, OrdersCount = ordersCount, Condition = condition, }; } if ((reader.ColumnCurr + 1) < reader.ColumnCount) { var startPosition = reader.ReadNullableInt(); var endPosition = reader.ReadNullableInt(); var action = reader.ReadNullableEnum <QuoteChangeActions>(); if (qq != null) { var temp = qq.Value; temp.StartPosition = startPosition; temp.EndPosition = endPosition; temp.Action = action; quote.Quote = temp; } } if ((reader.ColumnCurr + 1) < reader.ColumnCount) { quote.State = reader.ReadNullableEnum <QuoteChangeStates>(); quote.SeqNum = reader.ReadNullableLong(); quote.BuildFrom = reader.ReadBuildFrom(); } return(quote); }