private void ProcessOrderRegister(OrderRegisterMessage regMsg)
{
var reply = _client.MakeOrder(
regMsg.SecurityId.SecurityCode.Replace('/', '_').ToLowerInvariant(),
regMsg.Side.ToBtce(),
regMsg.Price,
regMsg.Volume
);
_orderInfo.Add(reply.Command.OrderId, RefTuple.Create(regMsg.TransactionId, regMsg.Volume));
SendOutMessage(new ExecutionMessage
{
OriginalTransactionId = regMsg.TransactionId,
OrderId = reply.Command.OrderId,
Balance = (decimal)reply.Command.Remains,
OrderState = OrderStates.Active,
ExecutionType = ExecutionTypes.Transaction,
HasOrderInfo = true,
});
ProcessFunds(reply.Command.Funds);
_hasActiveOrders = true;
}
/// <summary>
/// Создать <see cref="QuikSessionHolder"/>.
/// </summary>
/// <param name="transactionIdGenerator">Генератор идентификаторов транзакций.</param>
public QuikSessionHolder(IdGenerator transactionIdGenerator)
: base(transactionIdGenerator)
{
CreateTables();
IsAsyncMode = true;
Path = QuikTerminal.GetDefaultPath();
SecurityClassInfo.Add("SPBOPT", RefTuple.Create(SecurityTypes.Option, ExchangeBoard.Forts.Code));
SecurityClassInfo.Add("SPBFUT", RefTuple.Create(SecurityTypes.Future, ExchangeBoard.Forts.Code));
// http://stocksharp.com/forum/yaf_postsm11628_Pozitsii-po-dierivativam.aspx#post11628
SecurityClassInfo.Add("OPTUX", RefTuple.Create(SecurityTypes.Option, ExchangeBoard.Ux.Code));
SecurityClassInfo.Add("FUTUX", RefTuple.Create(SecurityTypes.Future, ExchangeBoard.Ux.Code));
//SecurityClassInfo.Add("GTS", RefTuple.Create(SecurityTypes.Stock, ExchangeBoard.UxStock.Code));
// http://groups.google.ru/group/stocksharp/msg/28518b814c925521
SecurityClassInfo.Add("RTSST", RefTuple.Create(SecurityTypes.Stock, ExchangeBoard.Forts.Code));
SecurityClassInfo.Add("QJSIM", RefTuple.Create(SecurityTypes.Stock, ExchangeBoard.MicexJunior.Code));
SecurityClassInfo.Add("RTSIDX", RefTuple.Create(SecurityTypes.Index, ExchangeBoard.Forts.Code));
UtcOffset = TimeHelper.Moscow.BaseUtcOffset;
IsTransactionEnabled = true;
IsMarketDataEnabled = true;
}
/// <summary>
/// To get historical ticks.
/// </summary>
/// <param name="securityId">The instrument identifier for which you need to get all trades.</param>
/// <param name="from">Begin period.</param>
/// <param name="to">End period.</param>
/// <param name="isSuccess">Whether all data were obtained successfully or the download process has been interrupted.</param>
/// <returns>Historical ticks.</returns>
public IEnumerable <Level1ChangeMessage> GetHistoricalLevel1(SecurityId securityId, DateTimeOffset from, DateTimeOffset to, out bool isSuccess)
{
this.AddInfoLog(LocalizedStrings.Str2145Params, securityId, from, to);
var transactionId = TransactionIdGenerator.GetNextId();
var info = RefTuple.Create(new List <Level1ChangeMessage>(), new SyncObject(), false, securityId, false);
_level1Info.Add(transactionId, info);
SendInMessage(new MarketDataMessage
{
SecurityId = securityId,
DataType = MarketDataTypes.Level1,
From = from,
To = to,
IsSubscribe = true,
TransactionId = transactionId,
});
lock (info.Second)
{
if (!info.Third)
{
info.Second.Wait();
}
}
isSuccess = info.Fifth;
return(info.First);
}
/// <summary>
/// Создать <see cref="SmartComMessageAdapter"/>.
/// </summary>
/// <param name="transactionIdGenerator">Генератор идентификаторов транзакций.</param>
public SmartComMessageAdapter(IdGenerator transactionIdGenerator)
: base(transactionIdGenerator)
{
Version = SmartComVersions.V3;
SecurityClassInfo.Add("OPT", RefTuple.Create(SecurityTypes.Option, ExchangeBoard.Forts.Code));
SecurityClassInfo.Add("OPTM", RefTuple.Create(SecurityTypes.Option, ExchangeBoard.Forts.Code));
SecurityClassInfo.Add("FUT", RefTuple.Create(SecurityTypes.Future, ExchangeBoard.Forts.Code));
SecurityClassInfo.Add("FXMFD", RefTuple.Create(SecurityTypes.Currency, ExchangeBoard.Mfd.Code));
SecurityClassInfo.Add("WFMFD", RefTuple.Create(SecurityTypes.Index, ExchangeBoard.Mfd.Code));
SecurityClassInfo.Add("WIMFD", RefTuple.Create(SecurityTypes.Index, ExchangeBoard.Mfd.Code));
SecurityClassInfo.Add("EQBR", RefTuple.Create(SecurityTypes.Stock, ExchangeBoard.MicexEqbr.Code));
SecurityClassInfo.Add("TQBR", RefTuple.Create(SecurityTypes.Stock, ExchangeBoard.MicexTqbr.Code));
SecurityClassInfo.Add("TQNE", RefTuple.Create(SecurityTypes.Stock, ExchangeBoard.MicexTqne.Code));
SecurityClassInfo.Add("EQNE", RefTuple.Create(SecurityTypes.Stock, ExchangeBoard.MicexEqne.Code));
SecurityClassInfo.Add("EQOB", RefTuple.Create(SecurityTypes.Bond, ExchangeBoard.MicexEqob.Code));
SecurityClassInfo.Add("EQNB", RefTuple.Create(SecurityTypes.Bond, ExchangeBoard.MicexEqnb.Code));
SecurityClassInfo.Add("EQDB", RefTuple.Create(SecurityTypes.Bond, ExchangeBoard.MicexEqdb.Code));
SecurityClassInfo.Add("EQOS", RefTuple.Create(SecurityTypes.Bond, ExchangeBoard.MicexEqos.Code));
SecurityClassInfo.Add("TQOB", RefTuple.Create(SecurityTypes.Bond, ExchangeBoard.MicexTqob.Code));
SecurityClassInfo.Add("TQLV", RefTuple.Create(SecurityTypes.Stock, ExchangeBoard.MicexTqlv.Code));
PortfolioBoardCodes = new Dictionary <string, string>
{
{ "EQ", ExchangeBoard.MicexEqbr.Code },
{ "FOB", ExchangeBoard.MicexFbcb.Code },
{ "RTS_FUT", ExchangeBoard.Forts.Code },
};
UpdatePlatform();
this.AddMarketDataSupport();
this.AddTransactionalSupport();
this.RemoveSupportedMessage(MessageTypes.OrderStatus);
}
private void SetSource(ChartIndicatorElement element, CandleSeries candleSeries, IIndicator indicator)
{
RefPair <DateTimeOffset, IDictionary <IChartElement, object> >[] values = null;
lock (_syncRoot)
{
_indicators[element] = indicator;
var isNew = !_elementsBySeries.ContainsKey(candleSeries);
if (!isNew && CanProcess)
{
values = ProcessHistoryCandles(element, candleSeries);
}
else if (isNew)
{
SubscribeSeries(candleSeries);
}
var lastDate = values == null || values.IsEmpty() ? DateTimeOffset.MinValue : values.Last().First;
_elementsInfo.SafeAdd(element, e => RefTuple.Create(lastDate, candleSeries));
_elementsBySeries.SafeAdd(candleSeries).Add(element);
}
if (values != null && values.Length > 0)
{
new ChartDrawCommand(values).Process(this);
}
}
/// <inheritdoc />
protected override void OnSendInMessage(Message message)
{
switch (message.Type)
{
case MessageTypes.Reset:
_states.Clear();
break;
case MessageTypes.MarketData:
{
var mdMsg = (MarketDataMessage)message;
if (mdMsg.DataType == MarketDataTypes.MarketDepth)
{
if (mdMsg.IsSubscribe)
{
if (IsSupportOrderBookIncrements)
{
_states.Add(mdMsg.TransactionId, RefTuple.Create(new QuotesDict(new BackwardComparer <decimal>()), new QuotesDict(), _none));
}
}
else
{
_states.Remove(mdMsg.OriginalTransactionId);
}
}
break;
}
}
base.OnSendInMessage(message);
}
public static void Draw(this IChart chart, DateTimeOffset time, IDictionary <IChartElement, object> values)
{
if (chart == null)
{
throw new ArgumentNullException(nameof(chart));
}
chart.Draw(new[] { RefTuple.Create(time, values) });
}
public void AddOrder(OrderRegisterMessage message)
{
if (message is null)
{
throw new ArgumentNullException(nameof(message));
}
_ordersInfo[message.TransactionId] = RefTuple.Create(message.Side, message.Price, (decimal?)message.Volume);
}
private MarketDataMessage ProcessMarketDataRequest(MarketDataMessage message)
{
if (message.IsSubscribe)
{
if (!InnerAdapter.IsMarketDataTypeSupported(DataType.OrderLog))
{
return(message);
}
var isBuild = message.BuildMode == MarketDataBuildModes.Build && message.BuildFrom == DataType.OrderLog;
if (message.DataType2 == DataType.MarketDepth)
{
if (isBuild || !InnerAdapter.IsMarketDataTypeSupported(message.ToDataType()))
{
var secId = GetSecurityId(message.SecurityId);
IOrderLogMarketDepthBuilder builder = null;
if (InnerAdapter.IsSecurityRequired(DataType.OrderLog))
{
builder = message.DepthBuilder ?? InnerAdapter.CreateOrderLogMarketDepthBuilder(secId);
}
_subscriptionIds.Add(message.TransactionId, RefTuple.Create(true, builder, new SyncObject()));
message = message.TypedClone();
message.DataType2 = DataType.OrderLog;
this.AddInfoLog("OL->MD subscribed {0}/{1}.", secId, message.TransactionId);
}
}
else if (message.DataType2 == DataType.Ticks)
{
if (isBuild || !InnerAdapter.IsMarketDataTypeSupported(message.ToDataType()))
{
var secId = GetSecurityId(message.SecurityId);
_subscriptionIds.Add(message.TransactionId, RefTuple.Create(false, (IOrderLogMarketDepthBuilder)null, new SyncObject()));
message = message.TypedClone();
message.DataType2 = DataType.OrderLog;
this.AddInfoLog("OL->TICK subscribed {0}/{1}.", secId, message.TransactionId);
}
}
}
else
{
RemoveSubscription(message.OriginalTransactionId);
}
return(message);
}
private void ProcessOrderRegister(OrderRegisterMessage regMsg)
{
var condition = (BitStampOrderCondition)regMsg.Condition;
switch (regMsg.OrderType)
{
case null:
case OrderTypes.Limit:
case OrderTypes.Market:
break;
case OrderTypes.Conditional:
{
if (!condition.IsWithdraw)
{
break;
}
var withdrawId = _httpClient.Withdraw(regMsg.SecurityId.SecurityCode, regMsg.Volume, condition.WithdrawInfo);
SendOutMessage(new ExecutionMessage
{
ExecutionType = ExecutionTypes.Transaction,
OrderId = withdrawId,
ServerTime = CurrentTime.ConvertToUtc(),
OriginalTransactionId = regMsg.TransactionId,
OrderState = OrderStates.Done,
HasOrderInfo = true,
});
ProcessPortfolioLookup(null);
return;
}
default:
throw new NotSupportedException(LocalizedStrings.Str1601Params.Put(regMsg.OrderType, regMsg.TransactionId));
}
var price = regMsg.OrderType == OrderTypes.Market ? (decimal?)null : regMsg.Price;
var result = _httpClient.RegisterOrder(regMsg.SecurityId.ToCurrency(), regMsg.Side.ToString().ToLowerInvariant(), price, regMsg.Volume, condition?.StopPrice, regMsg.TillDate == DateTime.Today, regMsg.TimeInForce == TimeInForce.CancelBalance);
_orderInfo.Add(result.Id, RefTuple.Create(regMsg.TransactionId, regMsg.Volume));
SendOutMessage(new ExecutionMessage
{
ExecutionType = ExecutionTypes.Transaction,
OrderId = result.Id,
ServerTime = result.Time,
OriginalTransactionId = regMsg.TransactionId,
OrderState = OrderStates.Active,
HasOrderInfo = true,
});
}
/// <summary>
/// Создать <see cref="SmartComSessionHolder"/>.
/// </summary>
/// <param name="transactionIdGenerator">Генератор идентификаторов транзакций.</param>
public SmartComSessionHolder(IdGenerator transactionIdGenerator)
: base(transactionIdGenerator)
{
Version = SmartComVersions.V3;
IsTransactionEnabled = true;
IsMarketDataEnabled = true;
SecurityClassInfo.Add("OPT", RefTuple.Create(SecurityTypes.Option, ExchangeBoard.Forts.Code));
SecurityClassInfo.Add("OPTM", RefTuple.Create(SecurityTypes.Option, ExchangeBoard.Forts.Code));
SecurityClassInfo.Add("FUT", RefTuple.Create(SecurityTypes.Future, ExchangeBoard.Forts.Code));
}
/// <summary>
/// Создать <see cref="AlfaDirectSessionHolder"/>.
/// </summary>
/// <param name="transactionIdGenerator">Генератор идентификаторов транзакций.</param>
public AlfaDirectSessionHolder(IdGenerator transactionIdGenerator)
: base(transactionIdGenerator)
{
SecurityClassInfo.Add("FORTS", RefTuple.Create(SecurityTypes.Stock, ExchangeBoard.Forts.Code));
SecurityClassInfo.Add("INDEX", RefTuple.Create(SecurityTypes.Index, ExchangeBoard.Micex.Code));
SecurityClassInfo.Add("INDEX2", RefTuple.Create(SecurityTypes.Index, "INDEX"));
SecurityClassInfo.Add("MICEX_SHR_T", RefTuple.Create(SecurityTypes.Stock, ExchangeBoard.Micex.Code));
SecurityClassInfo.Add("RTS_STANDARD", RefTuple.Create(SecurityTypes.Stock, ExchangeBoard.Forts.Code));
IsTransactionEnabled = true;
IsMarketDataEnabled = true;
}
public void Process(ExecutionMessage message)
{
if (message == null)
{
throw new ArgumentNullException(nameof(message));
}
var key = Tuple.Create(message.Side, message.OrderPrice);
switch (message.OrderState)
{
case OrderStates.Done:
case OrderStates.Failed:
{
var pair = _executions.TryGetValue(key);
if (pair == null)
{
break;
}
var balance = pair.First.TryGetAndRemove(message.OriginalTransactionId);
if (pair.First.Count == 0)
{
_executions.Remove(key);
}
else
{
pair.Second -= balance;
}
break;
}
case OrderStates.Active:
{
var balance = message.Balance;
if (balance != null)
{
var pair = _executions.SafeAdd(key, k => RefTuple.Create(new Dictionary <long, decimal>(), 0M));
var prev = pair.First.TryGetValue(message.OriginalTransactionId);
pair.First[message.OriginalTransactionId] = balance.Value;
pair.Second += balance.Value - prev;
}
break;
}
}
}
/// <summary>
/// Создать <see cref="AlfaDirectMessageAdapter"/>.
/// </summary>
/// <param name="transactionIdGenerator">Генератор идентификаторов транзакций.</param>
public AlfaDirectMessageAdapter(IdGenerator transactionIdGenerator)
: base(transactionIdGenerator)
{
Platform = Platforms.x86;
this.AddMarketDataSupport();
this.AddTransactionalSupport();
SecurityClassInfo.Add("FORTS", RefTuple.Create(SecurityTypes.Stock, ExchangeBoard.Forts.Code));
SecurityClassInfo.Add("INDEX", RefTuple.Create(SecurityTypes.Index, ExchangeBoard.Micex.Code));
SecurityClassInfo.Add("INDEX2", RefTuple.Create(SecurityTypes.Index, "INDEX"));
SecurityClassInfo.Add("MICEX_SHR_T", RefTuple.Create(SecurityTypes.Stock, ExchangeBoard.Micex.Code));
SecurityClassInfo.Add("RTS_STANDARD", RefTuple.Create(SecurityTypes.Stock, ExchangeBoard.Forts.Code));
}
private void ProcessInPortfolioMessage(PortfolioMessage message)
{
var sendIn = false;
var pfName = message.PortfolioName;
RefPair <PortfolioMessage, int> pair;
lock (_sync)
{
pair = _pfSubscribers.TryGetValue(pfName) ?? RefTuple.Create((PortfolioMessage)message.Clone(), 0);
var subscribersCount = pair.Second;
if (message.IsSubscribe)
{
subscribersCount++;
sendIn = subscribersCount == 1;
}
else
{
if (subscribersCount > 0)
{
subscribersCount--;
sendIn = subscribersCount == 0;
}
//else
// sendOutMsg = NonExist(message);
}
if (subscribersCount > 0)
{
pair.Second = subscribersCount;
_pfSubscribers[pfName] = pair;
}
else
{
_pfSubscribers.Remove(pfName);
}
}
if (sendIn)
{
if (!message.IsSubscribe && message.OriginalTransactionId == 0)
{
message.OriginalTransactionId = pair.First.TransactionId;
}
base.SendInMessage(message);
}
}
private void SetSource(ChartCandleElement element, CandleSeries candleSeries)
{
lock (_syncRoot)
{
var isNew = !_elementsBySeries.ContainsKey(candleSeries);
if ((isNew || !CanProcess) && isNew)
{
SubscribeSeries(candleSeries);
}
_elementsInfo.SafeAdd(element, e => RefTuple.Create(DateTimeOffset.MinValue, candleSeries));
_elementsBySeries.SafeAdd(candleSeries).Add(element);
}
}
private void ProcessInnerAdapterConnectMessage(IMessageAdapter innerAdapter, ConnectMessage message)
{
if (message.Error != null)
{
SessionHolder.AddErrorLog(LocalizedStrings.Str625Params, innerAdapter.GetType().Name, message.Error);
}
Exception error = null;
var canProcess = _innerAdapters.SyncGet(c =>
{
var connected = message.Error == null;
_adapterStates[innerAdapter] = RefTuple.Create(connected, message.Error);
if (_canRaiseConnected && connected)
{
_canRaiseConnected = false;
_canRaiseDisconnected = true;
ResetConnectionErrors();
return(true);
}
if (_adapterStates.Count == c.Count)
{
// произошла ошибка и нет ни одного подключенного коннектора
if (_adapterStates.Values.All(p => !p.First))
{
error = new AggregateException(LocalizedStrings.Str626, _adapterStates.Values.Select(p => p.Second));
return(true);
}
ResetConnectionErrors();
}
return(false);
});
if (canProcess)
{
SendOutMessage(new ConnectMessage {
Error = error
});
}
}
public static void FillDefault(this IDictionary <string, RefPair <SecurityTypes, string> > securityClassInfo)
{
securityClassInfo.Add("SPBOPT", RefTuple.Create(SecurityTypes.Option, ExchangeBoard.Forts.Code));
securityClassInfo.Add("SPBFUT", RefTuple.Create(SecurityTypes.Future, ExchangeBoard.Forts.Code));
// http://stocksharp.com/forum/yaf_postsm11628_Pozitsii-po-dierivativam.aspx#post11628
securityClassInfo.Add("OPTUX", RefTuple.Create(SecurityTypes.Option, ExchangeBoard.Ux.Code));
securityClassInfo.Add("FUTUX", RefTuple.Create(SecurityTypes.Future, ExchangeBoard.Ux.Code));
//securityClassInfo.Add("GTS", RefTuple.Create(SecurityTypes.Stock, ExchangeBoard.UxStock.Code));
// http://groups.google.ru/group/stocksharp/msg/28518b814c925521
securityClassInfo.Add("RTSST", RefTuple.Create(SecurityTypes.Stock, ExchangeBoard.Forts.Code));
securityClassInfo.Add("QJSIM", RefTuple.Create(SecurityTypes.Stock, ExchangeBoard.MicexJunior.Code));
securityClassInfo.Add("RTSIDX", RefTuple.Create(SecurityTypes.Index, ExchangeBoard.Forts.Code));
}
/// <summary>
/// To get historical candles.
/// </summary>
/// <param name="security">The instrument for which you need to get candles.</param>
/// <param name="candleMessageType">The candle message type.</param>
/// <param name="arg">The candle parameter (for example, time-frame).</param>
/// <param name="count">Maximum ticks count.</param>
/// <param name="isSuccess">Whether all data were obtained successfully or the download process has been interrupted.</param>
/// <returns>Historical candles.</returns>
public IEnumerable <CandleMessage> GetHistoricalCandles(Security security, Type candleMessageType, object arg, long count, out bool isSuccess)
{
if (security == null)
{
throw new ArgumentNullException(nameof(security));
}
//if (timeFrame <= TimeSpan.Zero)
// throw new ArgumentException("Тайм-фрейм должен быть больше 0.");
var transactionId = TransactionIdGenerator.GetNextId();
var series = new CandleSeries(candleMessageType.ToCandleType(), security, arg);
this.AddInfoLog(LocalizedStrings.Str2146Params, series, count);
var info = RefTuple.Create(new List <CandleMessage>(), new SyncObject(), false, series, false);
_candleInfo.Add(transactionId, info);
var mdMsg = new MarketDataMessage
{
//SecurityId = GetSecurityId(series.Security),
DataType = GetCandleType(series.CandleType),
TransactionId = transactionId,
Count = count,
Arg = arg,
IsSubscribe = true,
}.FillSecurityInfo(this, series.Security);
_candleSeries.Add(transactionId, series);
SendInMessage(mdMsg);
lock (info.Second)
{
if (!info.Third)
{
info.Second.Wait();
}
}
isSuccess = info.Fifth;
return(info.First);
}
private void ProcessOrderRegister(OrderRegisterMessage regMsg)
{
var order = _httpClient.RegisterOrder(regMsg.Side, regMsg.Price, regMsg.Volume);
_orderInfo.Add(order.Id, RefTuple.Create(regMsg.TransactionId, regMsg.Volume));
_hasActiveOrders = true;
SendOutMessage(new ExecutionMessage
{
ExecutionType = ExecutionTypes.Transaction,
OrderId = order.Id,
ServerTime = order.Time.ApplyTimeZone(TimeZoneInfo.Utc),
OriginalTransactionId = regMsg.TransactionId,
OrderState = OrderStates.Active,
});
}
private void ProcessSubscribeAction(MarketDataMessage message)
{
if (message == null)
{
throw new ArgumentNullException("message");
}
var key = Tuple.Create(message.SecurityId, message.DataType);
if (_subscriptionQueue.ContainsKey(key))
{
return;
}
var enumerator = GetConnectedAdapters().ToArray().Cast <IMessageAdapter>().GetEnumerator();
_subscriptionQueue.Add(key, RefTuple.Create(enumerator, false));
ProcessSubscriptionAction(enumerator, message);
}
private void ProcessInnerAdapterDisconnectMessage(IMessageAdapter innerAdapter, DisconnectMessage message)
{
if (message.Error != null)
{
SessionHolder.AddErrorLog(LocalizedStrings.Str627Params, innerAdapter.GetType().Name, message.Error);
}
Exception error = null;
var canProcess = _innerAdapters.SyncGet(c =>
{
_adapterStates[innerAdapter] = RefTuple.Create(false, message.Error);
if (_canRaiseDisconnected && _adapterStates.Values.All(p => !p.First))
{
_canRaiseConnected = true;
_canRaiseDisconnected = false;
var errors = _adapterStates.Values.Where(p => p.Second != null).Select(p => p.Second).ToArray();
if (errors.Length != 0)
{
error = new AggregateException(LocalizedStrings.Str628, errors);
ResetConnectionErrors();
}
DisposeInnerAdapters();
return(true);
}
return(false);
});
if (canProcess)
{
SendOutMessage(new DisconnectMessage {
Error = error
});
}
}
/// <summary>
/// To get historical candles.
/// </summary>
/// <param name="security">The instrument for which you need to get candles.</param>
/// <param name="candleType">The candle type.</param>
/// <param name="arg">The candle parameter (for example, time-frame).</param>
/// <param name="from">Begin period.</param>
/// <param name="to">End period.</param>
/// <param name="isSuccess">Whether all data were obtained successfully or the download process has been interrupted.</param>
/// <returns>Historical candles.</returns>
public IEnumerable <CandleMessage> GetHistoricalCandles(Security security, Type candleType, object arg, DateTimeOffset from, DateTimeOffset to, out bool isSuccess)
{
if (security == null)
{
throw new ArgumentNullException(nameof(security));
}
//if (timeFrame <= TimeSpan.Zero)
// throw new ArgumentException("Тайм-фрейм должен быть больше 0.");
if (from > to)
{
throw new ArgumentException(LocalizedStrings.Str2147);
}
var id = TransactionIdGenerator.GetNextId();
var series = new CandleSeries(candleType, security, arg);
this.AddInfoLog(LocalizedStrings.Str2148Params, series, from, to);
var info = RefTuple.Create(new List <CandleMessage>(), new SyncObject(), false, series, false);
_candleInfo.Add(id, info);
SubscribeCandles(series, from, to, id);
lock (info.Second)
{
if (!info.Third)
{
info.Second.Wait();
}
}
isSuccess = info.Fifth;
return(info.First);
}
/// <summary>
/// Создать <see cref="SmartComMessageAdapter"/>.
/// </summary>
/// <param name="transactionIdGenerator">Генератор идентификаторов транзакций.</param>
public SmartComMessageAdapter(IdGenerator transactionIdGenerator)
: base(transactionIdGenerator)
{
Version = SmartComVersions.V3;
SecurityClassInfo.Add("OPT", RefTuple.Create(SecurityTypes.Option, ExchangeBoard.Forts.Code));
SecurityClassInfo.Add("OPTM", RefTuple.Create(SecurityTypes.Option, ExchangeBoard.Forts.Code));
SecurityClassInfo.Add("FUT", RefTuple.Create(SecurityTypes.Future, ExchangeBoard.Forts.Code));
PortfolioBoardCodes = new Dictionary <string, string>
{
{ "EQ", ExchangeBoard.MicexEqbr.Code },
{ "FOB", ExchangeBoard.MicexFbcb.Code },
{ "RTS_FUT", ExchangeBoard.Forts.Code },
};
UpdatePlatform();
this.AddMarketDataSupport();
this.AddTransactionalSupport();
this.RemoveSupportedMessage(MessageTypes.OrderStatus);
}
/// <summary>
/// To get historical ticks.
/// </summary>
/// <param name="security">The instrument for which you need to get all trades.</param>
/// <param name="from">Begin period.</param>
/// <param name="to">End period.</param>
/// <param name="isSuccess">Whether all data were obtained successfully or the download process has been interrupted.</param>
/// <returns>Historical ticks.</returns>
public IEnumerable <ExecutionMessage> GetHistoricalTicks(Security security, DateTime from, DateTime to, out bool isSuccess)
{
if (security == null)
{
throw new ArgumentNullException(nameof(security));
}
this.AddInfoLog(LocalizedStrings.Str2145Params, security, from, to);
var transactionId = TransactionIdGenerator.GetNextId();
var info = RefTuple.Create(new List <ExecutionMessage>(), new SyncObject(), false, security, false);
_ticksInfo.Add(transactionId, info);
SendInMessage(new MarketDataMessage
{
SecurityId = security.ToSecurityId(),
DataType = MarketDataTypes.Trades,
From = from,
To = to,
IsSubscribe = true,
TransactionId = transactionId,
});
lock (info.Second)
{
if (!info.Third)
{
info.Second.Wait();
}
}
isSuccess = info.Fifth;
return(info.First);
}
private void ProcessMessage <TMessage>(SecurityId securityId, TMessage message, Func <TMessage, TMessage, TMessage> processSuspend)
where TMessage : Message
{
var native = securityId.Native;
if (native != null)
{
SecurityId?fullSecurityId;
lock (_syncRoot)
fullSecurityId = _securityIds.TryGetValue2(native);
if (fullSecurityId == null)
{
lock (_syncRoot)
{
var tuple = _suspendedOutMessages.SafeAdd(securityId, key => RefTuple.Create((List <Message>)null, (Dictionary <MessageTypes, Message>)null));
var clone = message.Clone();
if (processSuspend == null)
{
if (tuple.First == null)
{
tuple.First = new List <Message>();
}
tuple.First.Add(clone);
}
else
{
if (tuple.Second == null)
{
tuple.Second = new Dictionary <MessageTypes, Message>();
}
var prev = tuple.Second.TryGetValue(clone.Type);
tuple.Second[clone.Type] = prev == null
? clone
: processSuspend((TMessage)prev, (TMessage)clone);
}
}
return;
}
message.ReplaceSecurityId(fullSecurityId.Value);
}
else
{
var securityCode = securityId.SecurityCode;
var boardCode = securityId.BoardCode;
var isSecCodeEmpty = securityCode.IsEmpty();
if (isSecCodeEmpty && message.Type != MessageTypes.Execution)
{
throw new InvalidOperationException();
}
if (!isSecCodeEmpty && boardCode.IsEmpty())
{
SecurityId?foundId = null;
lock (_syncRoot)
{
foreach (var id in _securityIds.Values)
{
if (!id.SecurityCode.CompareIgnoreCase(securityCode))
{
continue;
}
if (securityId.SecurityType != null && securityId.SecurityType != id.SecurityType)
{
continue;
}
foundId = id;
}
if (foundId == null)
{
var tuple = _suspendedOutMessages.SafeAdd(securityId, key => RefTuple.Create(new List <Message>(), (Dictionary <MessageTypes, Message>)null));
tuple.First.Add(message.Clone());
return;
}
}
message.ReplaceSecurityId(foundId.Value);
//// если указан код и тип инструмента, то пытаемся найти инструмент по ним
//if (securityId.SecurityType != null)
//{
//}
//else
// throw new ArgumentException(nameof(securityId), LocalizedStrings.Str682Params.Put(securityCode, securityId.SecurityType));
}
}
base.OnInnerAdapterNewOutMessage(message);
}
private void ProcessOrderStatus()
{
if (_requestOrderFirst)
{
_requestOrderFirst = false;
var orders = _httpClient.RequestOpenOrders().ToArray();
foreach (var o in orders)
{
var order = o;
_orderInfo.SafeAdd(order.Id, key => RefTuple.Create(TransactionIdGenerator.GetNextId(), (decimal)order.Amount));
}
var trades = _httpClient.RequestUserTransactions().ToArray();
foreach (var trade in trades.OrderBy(t => t.Id))
{
var info = _orderInfo.TryGetValue(trade.OrderId);
if (info == null)
{
continue;
}
info.Second -= (decimal)trade.BtcAmount;
}
_hasActiveOrders = false;
foreach (var order in orders)
{
_hasActiveOrders = true;
ProcessOrder(order);
}
_hasMyTrades = false;
foreach (var trade in trades)
{
ProcessExecution(trade);
}
return;
}
if (_hasMyTrades)
{
var transactions = _httpClient.RequestUserTransactions();
_hasMyTrades = false;
foreach (var trade in transactions.Where(t => t.Type == 2).OrderBy(t => t.Id))
{
ProcessExecution(trade);
}
}
if (_hasActiveOrders)
{
var orders = _httpClient.RequestOpenOrders();
_hasActiveOrders = false;
foreach (var order in orders)
{
_hasActiveOrders = true;
ProcessOrder(order);
}
}
}
/// <inheritdoc />
protected override bool OnSendInMessage(Message message)
{
switch (message.Type)
{
case MessageTypes.Reset:
ClearState();
break;
case MessageTypes.MarketData:
{
var mdMsg = (MarketDataMessage)message;
if (mdMsg.IsSubscribe)
{
var transId = mdMsg.TransactionId;
lock (_sync)
{
if (_allChilds.TryGetValue(transId, out var tuple))
{
if (tuple.Second != SubscriptionStates.Stopped)
{
if (tuple.Second == SubscriptionStates.Finished)
{
RaiseNewOutMessage(new SubscriptionFinishedMessage
{
OriginalTransactionId = transId,
});
}
else
{
RaiseNewOutMessage(new SubscriptionResponseMessage
{
OriginalTransactionId = transId,
Error = new InvalidOperationException(LocalizedStrings.SubscriptionInvalidState.Put(transId, tuple.Second)),
});
}
return(true);
}
var child = _parents[tuple.First].Child[mdMsg.SecurityId];
child.State = SubscriptionStates.Active;
_toFlush.AddRange(child.Suspended.CopyAndClear());
this.AddDebugLog("New ALL map (active): {0}/{1} TrId={2}", child.Origin.SecurityId, child.Origin.DataType2, mdMsg.TransactionId);
RaiseNewOutMessage(new SubscriptionResponseMessage {
OriginalTransactionId = transId
});
return(true);
}
else
{
if (!IsSecurityRequired(mdMsg.DataType2) || mdMsg.SecurityId == default)
{
var existing = _parents.FirstOrDefault(p => p.Value.Origin.DataType2 == mdMsg.DataType2).Value;
if (existing == null)
{
var parent = new ParentSubscription(mdMsg.TypedClone());
_parents.Add(transId, parent);
// first child is parent
_allChilds.Add(transId, RefTuple.Create(transId, SubscriptionStates.Stopped));
// do not specify security cause adapter doesn't require it
mdMsg.SecurityId = default;
Extensions.AllSecurity.CopyEx(mdMsg, false);
}
else
{
var childs = existing.Child;
if (mdMsg.SecurityId != default)
{
var child = childs.SafeAdd(mdMsg.SecurityId, key => new ChildSubscription(mdMsg.TypedClone()));
child.Subscribers.Add(transId, mdMsg.TypedClone());
}
else
{
foreach (var pair in childs)
{
pair.Value.Subscribers.Add(transId, mdMsg.TypedClone());
}
}
RaiseNewOutMessage(new SubscriptionResponseMessage {
OriginalTransactionId = transId
});
return(true);
}
}
}
}
}
else
{
var childIds = ArrayHelper.Empty <long>();
lock (_sync)
{
if (_allChilds.TryGetAndRemove(mdMsg.OriginalTransactionId, out var tuple))
{
this.AddDebugLog("Sec ALL child {0} unsubscribe.", mdMsg.OriginalTransactionId);
Exception error = null;
if (!tuple.Second.IsActive())
{
error = new InvalidOperationException(LocalizedStrings.SubscriptionInvalidState.Put(mdMsg.OriginalTransactionId, tuple.Second));
}
else
{
var childs = _parents[tuple.First].Child;
var pair = childs.FirstOrDefault(p => p.Value.Origin.TransactionId == mdMsg.OriginalTransactionId);
var childSubscription = pair.Value;
if (childSubscription == null)
{
error = new InvalidOperationException(LocalizedStrings.SubscriptionNonExist.Put(mdMsg.OriginalTransactionId));
}
else
{
if (childSubscription.Subscribers.Remove(mdMsg.OriginalTransactionId))
{
if (childSubscription.Subscribers.Count == 0)
{
childs.Remove(pair.Key);
}
}
else
{
error = new InvalidOperationException(LocalizedStrings.SubscriptionNonExist.Put(mdMsg.OriginalTransactionId));
}
}
}
RaiseNewOutMessage(new SubscriptionResponseMessage
{
OriginalTransactionId = mdMsg.TransactionId,
Error = error,
});
return(true);
}
if (_parents.TryGetAndRemove(mdMsg.OriginalTransactionId, out var tuple2))
{
childIds = tuple2.Child.Values.Select(s => s.Origin.TransactionId).ToArray();
}
}
foreach (var id in childIds)
{
RaiseNewOutMessage(new SubscriptionFinishedMessage {
OriginalTransactionId = id
});
}
}
break;
}
}
return(base.OnSendInMessage(message));
}
private SubscriptionSecurityAllMessage CheckSubscription(ref Message message)
{
lock (_sync)
{
if (_toFlush.Count > 0)
{
var toFlush = _toFlush.CopyAndClear();
this.AddDebugLog("Flush {0} suspended.", toFlush.Length);
foreach (var msg in toFlush)
{
RaiseNewOutMessage(msg);
}
}
if (_parents.Count == 0)
{
return(null);
}
if (message is ISubscriptionIdMessage subscrMsg && message is ISecurityIdMessage secIdMsg)
{
foreach (var parentId in subscrMsg.GetSubscriptionIds())
{
if (_parents.TryGetValue(parentId, out var parent))
{
// parent subscription has security id (not null)
if (parent.Origin.SecurityId == secIdMsg.SecurityId)
{
return(null);
}
SubscriptionSecurityAllMessage allMsg = null;
if (!parent.Child.TryGetValue(secIdMsg.SecurityId, out var child))
{
allMsg = new SubscriptionSecurityAllMessage();
parent.Origin.CopyTo(allMsg);
allMsg.ParentTransactionId = parentId;
allMsg.TransactionId = TransactionIdGenerator.GetNextId();
allMsg.SecurityId = secIdMsg.SecurityId;
child = new ChildSubscription(allMsg.TypedClone());
child.Subscribers.Add(allMsg.TransactionId, child.Origin);
parent.Child.Add(secIdMsg.SecurityId, child);
allMsg.LoopBack(this, MessageBackModes.Chain);
_allChilds.Add(allMsg.TransactionId, RefTuple.Create(parentId, SubscriptionStates.Stopped));
this.AddDebugLog("New ALL map: {0}/{1} TrId={2}-{3}", child.Origin.SecurityId, child.Origin.DataType2, allMsg.ParentTransactionId, allMsg.TransactionId);
}
//var subscriptionIds = subscrMsg.GetSubscriptionIds().Where(i => i != parentId).Concat(child.Subscribers.Cache);
subscrMsg.SetSubscriptionIds(child.Subscribers.CachedKeys);
if (!child.State.IsActive())
{
child.Suspended.Add(message);
message = null;
this.AddDebugLog("ALL suspended: {0}/{1}, cnt={2}", child.Origin.SecurityId, child.Origin.DataType2, child.Suspended.Count);
}
return(allMsg);
}
}
}
}
return(null);
}
private MarketDataMessage ProcessMarketDataRequest(MarketDataMessage message)
{
if (message.IsSubscribe)
{
if (!InnerAdapter.IsMarketDataTypeSupported(MarketDataTypes.OrderLog))
{
return(message);
}
var isBuild = message.BuildMode == MarketDataBuildModes.Build && message.BuildFrom == MarketDataTypes.OrderLog;
switch (message.DataType)
{
case MarketDataTypes.MarketDepth:
{
if (isBuild || !InnerAdapter.IsMarketDataTypeSupported(message.DataType))
{
var secId = GetSecurityId(message.SecurityId);
IOrderLogMarketDepthBuilder builder = null;
if (InnerAdapter.IsSecurityRequired(DataType.OrderLog))
{
builder = InnerAdapter.CreateOrderLogMarketDepthBuilder(secId);
}
_subscriptionIds.Add(message.TransactionId, RefTuple.Create(secId, true, builder));
message = (MarketDataMessage)message.Clone();
message.DataType = MarketDataTypes.OrderLog;
this.AddInfoLog("OL->MD subscribed {0}/{1}.", secId, message.TransactionId);
}
break;
}
case MarketDataTypes.Trades:
{
if (isBuild || !InnerAdapter.IsMarketDataTypeSupported(message.DataType))
{
var secId = GetSecurityId(message.SecurityId);
_subscriptionIds.Add(message.TransactionId, RefTuple.Create(secId, false, (IOrderLogMarketDepthBuilder)null));
message = (MarketDataMessage)message.Clone();
message.DataType = MarketDataTypes.OrderLog;
this.AddInfoLog("OL->TICK subscribed {0}/{1}.", secId, message.TransactionId);
}
break;
}
}
}
else
{
var tuple = _subscriptionIds.TryGetAndRemove(message.OriginalTransactionId);
if (tuple != null)
{
this.AddInfoLog("OL->{0} unsubscribed {1}/{2}.", tuple.Second ? "MD" : "TICK", tuple.First, message.OriginalTransactionId);
}
}
return(message);
}
