/// <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();
}
if ((reader.ColumnCurr + 1) < reader.ColumnCount)
{
execMsg.SeqNum = reader.ReadNullableLong() ?? 0L;
}
return(execMsg);
}
public virtual byte[] Serialize(IEnumerable <TData> data, IMarketDataMetaInfo metaInfo)
{
return(CultureInfo.InvariantCulture.DoInCulture(() =>
{
var sb = new StringBuilder();
var appendLine = metaInfo.Count > 0;
foreach (var item in data)
{
if (appendLine)
{
sb.AppendLine();
}
else
{
appendLine = true;
}
sb.Append(_format.PutEx(item));
}
return _encoding.GetBytes(sb.ToString());
}));
}
/// <summary>
/// Write data to the specified writer.
/// </summary>
/// <param name="writer">CSV writer.</param>
/// <param name="data">Data.</param>
/// <param name="metaInfo">Meta-information on data for one day.</param>
protected override void Write(CsvFileWriter writer, ExecutionMessage data, IMarketDataMetaInfo metaInfo)
{
var row = new[]
{
data.ServerTime.WriteTimeMls(),
data.ServerTime.ToString("zzz"),
data.TransactionId.ToString(),
data.OriginalTransactionId.ToString(),
data.OrderId.ToString(),
data.OrderStringId,
data.OrderBoardId,
data.UserOrderId,
data.OrderPrice.ToString(),
data.OrderVolume.ToString(),
data.Balance.ToString(),
data.VisibleVolume.ToString(),
data.Side.ToString(),
data.OriginSide.ToString(),
data.OrderState.ToString(),
data.OrderType.ToString(),
data.TimeInForce.ToString(),
data.TradeId.ToString(),
data.TradeStringId,
data.TradePrice.ToString(),
data.TradeVolume.ToString(),
data.PortfolioName,
data.ClientCode,
data.BrokerCode,
data.DepoName,
data.IsSystem.ToString(),
data.HasOrderInfo.ToString(),
data.HasTradeInfo.ToString(),
data.Commission.ToString(),
data.Currency.ToString(),
data.Comment,
data.SystemComment,
data.DerivedOrderId.ToString(),
data.DerivedOrderStringId,
data.IsUpTick.ToString(),
data.IsCancelled.ToString(),
data.OpenInterest.ToString(),
data.PnL.ToString(),
data.Position.ToString(),
data.Slippage.ToString(),
data.TradeStatus.ToString(),
data.OrderStatus.ToString(),
data.Latency?.Ticks.ToString(),
data.Error?.Message,
data.ExpiryDate?.WriteDate(),
data.ExpiryDate?.WriteTimeMls(),
data.ExpiryDate?.ToString("zzz"),
data.LocalTime.WriteTimeMls(),
data.LocalTime.ToString("zzz"),
};
writer.WriteRow(row);
metaInfo.LastTime = data.ServerTime.UtcDateTime;
}
public byte[] Serialize(IEnumerable <TData> data, IMarketDataMetaInfo metaInfo)
{
var writer = new BitArrayWriter(DataSize * data.Count() * 2);
OnSave(writer, data, (TMetaInfo)metaInfo);
return(writer.GetBytes());
}
/// <inheritdoc />
protected override NewsMessage Read(FastCsvReader reader, IMarketDataMetaInfo metaInfo)
{
var news = new NewsMessage
{
ServerTime = reader.ReadTime(metaInfo.Date),
Headline = reader.ReadString(),
Source = reader.ReadString(),
Url = reader.ReadString(),
Id = reader.ReadString(),
BoardCode = reader.ReadString(),
};
var secCode = reader.ReadString();
if (!secCode.IsEmpty())
{
news.SecurityId = new SecurityId {
SecurityCode = secCode
}
}
;
if ((reader.ColumnCurr + 1) < reader.ColumnCount)
{
news.Priority = reader.ReadNullableEnum <NewsPriorities>();
}
if ((reader.ColumnCurr + 1) < reader.ColumnCount)
{
news.Language = reader.ReadString();
}
if ((reader.ColumnCurr + 1) < reader.ColumnCount)
{
var boardCode = reader.ReadString();
if (news.SecurityId != null)
{
var secId = news.SecurityId.Value;
secId.BoardCode = boardCode;
news.SecurityId = secId;
}
}
if ((reader.ColumnCurr + 1) < reader.ColumnCount)
{
news.ExpiryDate = reader.ReadString().TryToDateTimeOffset(_expiryFormat);
}
if ((reader.ColumnCurr + 1) < reader.ColumnCount)
{
news.SeqNum = reader.ReadNullableLong() ?? 0L;
}
return(news);
}
}
public void Serialize(Stream stream, IEnumerable <TData> data, IMarketDataMetaInfo metaInfo)
{
//var temp = new MemoryStream { Capacity = DataSize * data.Count() * 2 };
using (var writer = new BitArrayWriter(stream))
OnSave(writer, data, (TMetaInfo)metaInfo);
//return stream.To<byte[]>();
}
public IEnumerable <TData> Deserialize(Stream stream, IMarketDataMetaInfo metaInfo)
{
var data = new MemoryStream();
stream.CopyTo(data);
stream.Dispose();
return(new SimpleEnumerable <TData>(() => new MarketDataEnumerator(this, new BitArrayReader(data), (TMetaInfo)metaInfo)));
}
/// <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.ReadString().To <TPlusLimits?>(),
};
foreach (var type in _types)
{
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;
}
default:
{
var value = reader.ReadNullableDecimal();
if (value != null)
{
posMsg.Changes.Add(type, value);
}
break;
}
}
}
return(posMsg);
}
public IEnumerableEx <TData> Deserialize(Stream stream, IMarketDataMetaInfo metaInfo)
{
// TODO сделать BitArrayReader работающим с потоком
var data = stream.ReadBuffer();
stream.Dispose();
return(new SimpleEnumerable <TData>(() => new MarketDataEnumerator(this, new BitArrayReader(data), (TMetaInfo)metaInfo))
.ToEx(metaInfo.Count));
}
/// <summary>
/// Read data from the specified reader.
/// </summary>
/// <param name="reader">CSV reader.</param>
/// <param name="metaInfo">Meta-information on data for one day.</param>
/// <returns>Data.</returns>
protected override NullableTimeQuoteChange Read(FastCsvReader reader, IMarketDataMetaInfo metaInfo)
{
return(new NullableTimeQuoteChange
{
ServerTime = reader.ReadTime(metaInfo.Date),
Price = reader.ReadNullableDecimal(),
Volume = reader.ReadDecimal(),
Side = reader.ReadEnum <Sides>()
});
}
public byte[] Serialize(IEnumerable <TData> data, IMarketDataMetaInfo metaInfo)
{
var stream = new MemoryStream {
Capacity = DataSize * data.Count() * 2
};
using (var writer = new BitArrayWriter(stream))
OnSave(writer, data, (TMetaInfo)metaInfo);
return(stream.To <byte[]>());
}
/// <inheritdoc />
protected override BoardStateMessage Read(FastCsvReader reader, IMarketDataMetaInfo metaInfo)
{
var state = new BoardStateMessage
{
ServerTime = reader.ReadTime(metaInfo.Date),
BoardCode = reader.ReadString(),
State = reader.ReadEnum <SessionStates>()
};
return(state);
}
/// <inheritdoc />
protected override void Write(CsvFileWriter writer, BoardStateMessage data, IMarketDataMetaInfo metaInfo)
{
writer.WriteRow(new[]
{
data.ServerTime.WriteTimeMls(),
data.ServerTime.ToString("zzz"),
data.BoardCode,
((int)data.State).To <string>(),
});
metaInfo.LastTime = data.ServerTime.UtcDateTime;
}
/// <summary>
/// Write data to the specified writer.
/// </summary>
/// <param name="writer">CSV writer.</param>
/// <param name="data">Data.</param>
/// <param name="metaInfo">Meta-information on data for one day.</param>
protected override void Write(CsvFileWriter writer, TimeQuoteChange data, IMarketDataMetaInfo metaInfo)
{
writer.WriteRow(new[]
{
data.ServerTime.WriteTimeMls(),
data.ServerTime.ToString("zzz"),
data.Price.ToString(),
data.Volume.ToString(),
data.Side.ToString()
});
metaInfo.LastTime = data.ServerTime.UtcDateTime;
}
/// <summary>
/// Write data to the specified writer.
/// </summary>
/// <param name="writer">CSV writer.</param>
/// <param name="data">Data.</param>
/// <param name="metaInfo">Meta-information on data for one day.</param>
protected override void Write(CsvFileWriter writer, TCandleMessage data, IMarketDataMetaInfo metaInfo)
{
writer.WriteRow(new[]
{
data.OpenTime.WriteTimeMls(),
data.OpenTime.ToString("zzz"),
data.OpenPrice.ToString(),
data.HighPrice.ToString(),
data.LowPrice.ToString(),
data.ClosePrice.ToString(),
data.TotalVolume.ToString()
});
}
public virtual IEnumerableEx <TData> Deserialize(Stream stream, IMarketDataMetaInfo metaInfo)
{
// TODO (переделать в будущем)
var copy = new MemoryStream();
stream.CopyTo(copy);
copy.Position = 0;
stream.Dispose();
return(new SimpleEnumerable <TData>(() =>
new CsvReader(copy, _encoding, SecurityId, metaInfo.Date.Date, _executionType, _members))
.ToEx(metaInfo.Count));
}
public override byte[] Serialize(IEnumerable <QuoteChangeMessage> data, IMarketDataMetaInfo metaInfo)
{
var list = data.SelectMany(d =>
{
var items = new List <TimeQuoteChange>();
items.AddRange(d.Bids.OrderBy(q => q.Price).Select(q => new TimeQuoteChange(q, d)));
items.AddRange(d.Asks.OrderBy(q => q.Price).Select(q => new TimeQuoteChange(q, d)));
return(items);
});
return(_quoteSerializer.Serialize(list, metaInfo));
}
/// <inheritdoc />
protected override ExecutionMessage Read(FastCsvReader reader, IMarketDataMetaInfo metaInfo)
{
return(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(),
});
}
/// <summary>
/// Read data from the specified reader.
/// </summary>
/// <param name="reader">CSV reader.</param>
/// <param name="metaInfo">Meta-information on data for one day.</param>
/// <returns>Data.</returns>
protected override TCandleMessage Read(FastCsvReader reader, IMarketDataMetaInfo metaInfo)
{
return(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
});
}
/// <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;
}
if (price != null)
{
var qq = new QuoteChange
{
Price = price.Value,
Volume = volume ?? 0,
OrdersCount = ordersCount,
Condition = condition,
};
quote.Quote = qq;
if ((reader.ColumnCurr + 1) < reader.ColumnCount)
{
qq.StartPosition = reader.ReadNullableInt();
qq.EndPosition = reader.ReadNullableInt();
qq.Action = reader.ReadNullableEnum <QuoteChangeActions>();
}
}
return(quote);
}
/// <summary>
/// Создать <see cref="DataStorageReader{TData}"/>.
/// </summary>
/// <param name="stream">Поток.</param>
/// <param name="metaInfo">Мета-информация о данных за один день.</param>
/// <param name="serializer">Сериализатор.</param>
public DataStorageReader(Stream stream, IMarketDataMetaInfo metaInfo, IMarketDataSerializer <TData> serializer)
{
if (stream == null)
{
throw new ArgumentNullException("stream");
}
if (serializer == null)
{
throw new ArgumentNullException("serializer");
}
_stream = stream;
_metaInfo = metaInfo;
_serializer = serializer;
}
/// <summary>
/// Write data to the specified writer.
/// </summary>
/// <param name="writer">CSV writer.</param>
/// <param name="data">Data.</param>
/// <param name="metaInfo">Meta-information on data for one day.</param>
protected override void Write(CsvFileWriter writer, NewsMessage data, IMarketDataMetaInfo metaInfo)
{
writer.WriteRow(new[]
{
data.ServerTime.WriteTimeMls(),
data.ServerTime.ToString("zzz"),
data.Headline,
data.Source,
data.Url?.ToString(),
data.Id,
data.BoardCode,
data.SecurityId?.SecurityCode
});
metaInfo.LastTime = data.ServerTime.UtcDateTime;
}
/// <inheritdoc />
protected override ExecutionMessage Read(FastCsvReader reader, IMarketDataMetaInfo metaInfo)
{
var ol = new ExecutionMessage
{
SecurityId = SecurityId,
ExecutionType = ExecutionTypes.OrderLog,
ServerTime = reader.ReadTime(metaInfo.Date),
TransactionId = reader.ReadLong(),
OrderId = reader.ReadNullableLong(),
OrderPrice = reader.ReadDecimal(),
OrderVolume = reader.ReadDecimal(),
Side = reader.ReadEnum <Sides>(),
OrderState = reader.ReadEnum <OrderStates>(),
TimeInForce = reader.ReadNullableEnum <TimeInForce>(),
TradeId = reader.ReadNullableLong(),
TradePrice = reader.ReadNullableDecimal(),
PortfolioName = reader.ReadString(),
IsSystem = reader.ReadNullableBool(),
};
if ((reader.ColumnCurr + 1) < reader.ColumnCount)
{
ol.Balance = reader.ReadNullableDecimal();
}
if ((reader.ColumnCurr + 1) < reader.ColumnCount)
{
ol.SeqNum = reader.ReadNullableLong() ?? 0L;
}
if ((reader.ColumnCurr + 1) < reader.ColumnCount)
{
ol.OrderStringId = reader.ReadString();
ol.TradeStringId = reader.ReadString();
ol.OrderBuyId = reader.ReadNullableLong();
ol.OrderSellId = reader.ReadNullableLong();
ol.IsUpTick = reader.ReadNullableBool();
ol.Yield = reader.ReadNullableDecimal();
ol.TradeStatus = reader.ReadNullableInt();
ol.OpenInterest = reader.ReadNullableDecimal();
ol.OriginSide = reader.ReadNullableEnum <Sides>();
}
return(ol);
}
/// <inheritdoc />
protected override NullableTimeQuoteChange Read(FastCsvReader reader, IMarketDataMetaInfo metaInfo)
{
var quote = new NullableTimeQuoteChange
{
ServerTime = reader.ReadTime(metaInfo.Date),
Price = reader.ReadNullableDecimal(),
Volume = reader.ReadDecimal(),
Side = reader.ReadEnum <Sides>()
};
if ((reader.ColumnCurr + 1) < reader.ColumnCount)
{
quote.OrdersCount = reader.ReadNullableInt();
}
return(quote);
}
/// <summary>
/// Write data to the specified writer.
/// </summary>
/// <param name="writer">CSV writer.</param>
/// <param name="data">Data.</param>
/// <param name="metaInfo">Meta-information on data for one day.</param>
protected override void Write(CsvFileWriter writer, ExecutionMessage data, IMarketDataMetaInfo metaInfo)
{
writer.WriteRow(new[]
{
data.ServerTime.WriteTimeMls(),
data.ServerTime.ToString("zzz"),
data.TradeId.ToString(),
data.TradePrice.ToString(),
data.TradeVolume.ToString(),
data.OriginSide.ToString(),
data.OpenInterest.ToString(),
data.IsSystem.ToString()
});
metaInfo.LastTime = data.ServerTime.UtcDateTime;
metaInfo.LastId = data.GetTradeId();
}
/// <inheritdoc />
protected override void Write(CsvFileWriter writer, TCandleMessage data, IMarketDataMetaInfo metaInfo)
{
if (data.State == CandleStates.Active)
{
throw new ArgumentException(LocalizedStrings.CandleActiveNotSupport.Put(data), nameof(data));
}
writer.WriteRow(new[]
{
data.OpenTime.WriteTimeMls(),
data.OpenTime.ToString("zzz"),
data.OpenPrice.ToString(),
data.HighPrice.ToString(),
data.LowPrice.ToString(),
data.ClosePrice.ToString(),
data.TotalVolume.ToString()
}.Concat(data.BuildFrom.ToCsv()));
}
/// <summary>
/// Cast data into stream.
/// </summary>
/// <param name="stream">Data stream.</param>
/// <param name="data">Data.</param>
/// <param name="metaInfo">Meta-information on data for one day.</param>
public virtual void Serialize(Stream stream, IEnumerable <TData> data, IMarketDataMetaInfo metaInfo)
{
CultureInfo.InvariantCulture.DoInCulture(() =>
{
var writer = new CsvFileWriter(stream, Encoding);
try
{
foreach (var item in data)
{
Write(writer, item, metaInfo);
}
}
finally
{
writer.Writer.Flush();
}
});
}
/// <inheritdoc />
protected override void Write(CsvFileWriter writer, ExecutionMessage data, IMarketDataMetaInfo metaInfo)
{
writer.WriteRow(new[]
{
data.ServerTime.WriteTimeMls(),
data.ServerTime.ToString("zzz"),
data.TradeId.ToString(),
data.TradePrice.ToString(),
data.TradeVolume.ToString(),
data.OriginSide.ToString(),
data.OpenInterest.ToString(),
data.IsSystem.ToString(),
data.IsUpTick.ToString(),
data.TradeStringId,
data.Currency.ToString(),
}.Concat(data.BuildFrom.ToCsv()));
metaInfo.LastTime = data.ServerTime.UtcDateTime;
metaInfo.LastId = data.TradeId;
}
/// <inheritdoc />
protected override void Write(CsvFileWriter writer, NewsMessage data, IMarketDataMetaInfo metaInfo)
{
writer.WriteRow(new[]
{
data.ServerTime.WriteTimeMls(),
data.ServerTime.ToString("zzz"),
data.Headline,
data.Source,
data.Url,
data.Id,
data.BoardCode,
data.SecurityId?.SecurityCode,
data.Priority?.To <string>(),
data.Language,
data.SecurityId?.BoardCode,
data.ExpiryDate?.ToString(_expiryFormat),
});
metaInfo.LastTime = data.ServerTime.UtcDateTime;
}
/// <summary>
/// Read data from the specified reader.
/// </summary>
/// <param name="reader">CSV reader.</param>
/// <param name="metaInfo">Meta-information on data for one day.</param>
/// <returns>Data.</returns>
protected override ExecutionMessage Read(FastCsvReader reader, IMarketDataMetaInfo metaInfo)
{
return(new ExecutionMessage
{
SecurityId = SecurityId,
ExecutionType = ExecutionTypes.OrderLog,
ServerTime = reader.ReadTime(metaInfo.Date),
TransactionId = reader.ReadLong(),
OrderId = reader.ReadLong(),
OrderPrice = reader.ReadDecimal(),
OrderVolume = reader.ReadDecimal(),
Side = reader.ReadEnum <Sides>(),
OrderState = reader.ReadEnum <OrderStates>(),
TimeInForce = reader.ReadNullableEnum <TimeInForce>(),
TradeId = reader.ReadNullableLong(),
TradePrice = reader.ReadNullableDecimal(),
PortfolioName = reader.ReadString(),
IsSystem = reader.ReadNullableBool(),
});
}
