public Tuple <Order, bool, bool> ProcessOrderMessage(Security security, ExecutionMessage message)
{
if (security == null)
{
throw new ArgumentNullException("security");
}
if (message == null)
{
throw new ArgumentNullException("message");
}
if (message.Error != null)
{
throw new ArgumentException(LocalizedStrings.Str714Params.PutEx(message));
}
bool isNew;
var transactionId = message.TransactionId;
if (transactionId == 0)
{
// ExecMsg.OriginalTransactionId == OrderStatMsg.TransactionId when orders info requested by OrderStatMsg
transactionId = _orderStatusTransactions.Contains(message.OriginalTransactionId) ? 0 : message.OriginalTransactionId;
}
var securityData = _cache.GetData(security);
var orderInfo = GetOrderInfo(securityData, message.OrderType, transactionId, message.OrderId, message.OrderStringId, trId =>
{
var o = EntityFactory.CreateOrder(security, message.OrderType, trId);
o.Time = message.ServerTime;
o.Price = message.Price;
o.Volume = message.Volume ?? 0;
o.Direction = message.Side;
o.Comment = message.Comment;
o.ExpiryDate = message.ExpiryDate;
o.Condition = message.Condition;
o.UserOrderId = message.UserOrderId;
o.Portfolio = message.PortfolioName.IsEmpty()
? _portfolios.FirstOrDefault().Value
: ProcessPortfolio(message.PortfolioName).Item1;
return(o);
}, out isNew, true);
var order = orderInfo.Item1;
var isCancelled = orderInfo.Item2;
//var isReReregisterCancelled = orderInfo.Item3;
var raiseNewOrder = orderInfo.Item3;
var isPending = order.State == OrderStates.Pending;
//var isPrevIdSet = (order.Id != null || !order.StringId.IsEmpty());
bool isChanged;
if (order.State == OrderStates.Done)
{
// данные о заявке могут приходить из маркет-дата и транзакционного адаптеров
isChanged = false;
//throw new InvalidOperationException("Изменение заявки в состоянии Done невозможно.");
}
else
{
if (message.OrderId != null)
{
order.Id = message.OrderId.Value;
}
if (!message.OrderStringId.IsEmpty())
{
order.StringId = message.OrderStringId;
}
if (!message.OrderBoardId.IsEmpty())
{
order.BoardId = message.OrderBoardId;
}
//// некоторые коннекторы не транслируют при отмене отмененный объем
//// esper. при перерегистрации заявок необходимо обновлять баланс
//if (message.Balance > 0 || !isCancelled || isReReregisterCancelled)
//{
// // BTCE коннектор не транслирует баланс заявки
// if (!(message.OrderState == OrderStates.Active && message.Balance == 0))
// order.Balance = message.Balance;
//}
if (message.Balance != null)
{
order.Balance = message.Balance.Value;
}
// IB коннектор не транслирует состояние заявки в одном из своих сообщений
if (message.OrderState != null)
{
order.State = message.OrderState.Value;
}
if (order.Time == DateTimeOffset.MinValue)
{
order.Time = message.ServerTime;
}
// для новых заявок используем серверное время,
// т.к. заявка получена первый раз и не менялась
// ServerTime для заявки - это время регистрации
order.LastChangeTime = isNew ? message.ServerTime : message.LocalTime;
order.LocalTime = message.LocalTime;
//нулевой объем может быть при перерегистрации
if (order.Volume == 0 && message.Volume != null)
{
order.Volume = message.Volume.Value;
}
if (message.Commission != null)
{
order.Commission = message.Commission;
}
if (message.TimeInForce != null)
{
order.TimeInForce = message.TimeInForce.Value;
}
if (isPending)
{
if (order.State != OrderStates.Pending && message.Latency != null)
{
order.LatencyRegistration = message.Latency.Value;
}
}
else if (isCancelled && order.State == OrderStates.Done)
{
if (message.Latency != null)
{
order.LatencyCancellation = message.Latency.Value;
}
}
isChanged = true;
}
//if (isNew || (!isPrevIdSet && (order.Id != null || !order.StringId.IsEmpty())))
//{
// так как биржевые идентифиаторы могут повторяться, то переписываем старые заявки новыми как наиболее актуальными
if (order.Id != null)
{
securityData.OrdersById[order.Id.Value] = order;
_cache.AllOrdersById[order.Id.Value] = order;
}
if (!order.StringId.IsEmpty())
{
securityData.OrdersByStringId[order.StringId] = order;
_cache.AllOrdersByStringId[order.StringId] = order;
}
//}
//if (message.OrderType == OrderTypes.Conditional && (message.DerivedOrderId != null || !message.DerivedOrderStringId.IsEmpty()))
//{
// var derivedOrder = GetOrder(security, 0L, message.DerivedOrderId ?? 0, message.DerivedOrderStringId);
// if (order == null)
// _orderStopOrderAssociations.Add(Tuple.Create(message.DerivedOrderId ?? 0, message.DerivedOrderStringId), new RefPair<Order, Action<Order, Order>>(order, (s, o) => s.DerivedOrder = o));
// else
// order.DerivedOrder = derivedOrder;
//}
message.CopyExtensionInfo(order);
return(Tuple.Create(order, raiseNewOrder, isChanged));
}
public IEnumerable <Tuple <Order, bool, bool> > ProcessOrderMessage(Order order, Security security, ExecutionMessage message, long transactionId, out Tuple <Portfolio, bool, bool> pfInfo)
{
if (security == null)
{
throw new ArgumentNullException(nameof(security));
}
if (message == null)
{
throw new ArgumentNullException(nameof(message));
}
if (message.Error != null)
{
throw new ArgumentException(LocalizedStrings.Str714Params.PutEx(message));
}
var securityData = GetData(security);
if (transactionId == 0 && message.OrderId == null && message.OrderStringId.IsEmpty())
{
throw new ArgumentException(LocalizedStrings.Str719);
}
pfInfo = null;
var orders = securityData.Orders;
if (transactionId == 0)
{
var info = orders.CachedValues.FirstOrDefault(i =>
{
if (order != null)
{
return(i.Order == order);
}
if (message.OrderId != null)
{
return(i.Order.Id == message.OrderId);
}
else
{
return(i.Order.StringId.CompareIgnoreCase(message.OrderStringId));
}
});
if (info == null)
{
return(null);
//throw new InvalidOperationException(LocalizedStrings.Str1156Params.Put(orderId.To<string>() ?? orderStringId));
}
var orderInfo = info.ApplyChanges(message, false);
UpdateOrderIds(info.Order, securityData);
return(new[] { orderInfo });
}
else
{
var cancelKey = CreateOrderKey(message.OrderType, transactionId, true);
var registerKey = CreateOrderKey(message.OrderType, transactionId, false);
var cancelledInfo = orders.TryGetValue(cancelKey);
var registetedInfo = orders.TryGetValue(registerKey);
// проверяем не отмененная ли заявка пришла
if (cancelledInfo != null) // && (cancelledOrder.Id == orderId || (!cancelledOrder.StringId.IsEmpty() && cancelledOrder.StringId.CompareIgnoreCase(orderStringId))))
{
var cancellationOrder = cancelledInfo.Order;
if (registetedInfo == null)
{
var i = cancelledInfo.ApplyChanges(message, true);
UpdateOrderIds(cancellationOrder, securityData);
return(new[] { i });
}
var retVal = new List <Tuple <Order, bool, bool> >();
var orderState = message.OrderState;
if (orderState != null && cancellationOrder.State != OrderStates.Done && orderState != OrderStates.None && orderState != OrderStates.Pending)
{
cancellationOrder.State = cancellationOrder.State.CheckModification(OrderStates.Done);
if (message.Latency != null)
{
cancellationOrder.LatencyCancellation = message.Latency.Value;
}
retVal.Add(Tuple.Create(cancellationOrder, false, true));
}
var isCancelOrder = (message.OrderId != null && message.OrderId == cancellationOrder.Id) ||
(message.OrderStringId != null && message.OrderStringId == cancellationOrder.StringId) ||
(message.OrderBoardId != null && message.OrderBoardId == cancellationOrder.BoardId);
var regOrder = registetedInfo.Order;
if (!isCancelOrder)
{
var replacedInfo = registetedInfo.ApplyChanges(message, false);
UpdateOrderIds(regOrder, securityData);
retVal.Add(replacedInfo);
}
return(retVal);
}
if (registetedInfo == null)
{
var o = EntityFactory.CreateOrder(security, message.OrderType, registerKey.Item1);
if (o == null)
{
throw new InvalidOperationException(LocalizedStrings.Str720Params.Put(registerKey.Item1));
}
o.Time = message.ServerTime;
o.Price = message.OrderPrice;
o.Volume = message.OrderVolume ?? 0;
o.Direction = message.Side;
o.Comment = message.Comment;
o.ExpiryDate = message.ExpiryDate;
o.Condition = message.Condition;
o.UserOrderId = message.UserOrderId;
o.ClientCode = message.ClientCode;
o.BrokerCode = message.BrokerCode;
if (message.PortfolioName.IsEmpty())
{
o.Portfolio = _portfolios.FirstOrDefault().Value;
}
else
{
pfInfo = ProcessPortfolio(message.PortfolioName);
o.Portfolio = ProcessPortfolio(message.PortfolioName).Item1;
}
if (o.ExtensionInfo == null)
{
o.ExtensionInfo = new Dictionary <object, object>();
}
AddOrder(o);
_allOrdersByTransactionId.Add(Tuple.Create(transactionId, false), o);
registetedInfo = new OrderInfo(o);
orders.Add(registerKey, registetedInfo);
}
var orderInfo = registetedInfo.ApplyChanges(message, false);
if (orderInfo != null)
{
UpdateOrderIds(registetedInfo.Order, securityData);
return(new[] { orderInfo });
}
else
{
return(Enumerable.Empty <Tuple <Order, bool, bool> >());
}
}
}
