private void ProcessMarketDataMessage(MarketDataMessage message)
{
_requests.Enqueue(new LuaRequest
{
MessageType = message.Type,
DataType = message.DataType,
SecurityId = new SecurityId
{
SecurityCode = message.SecurityId.SecurityCode,
BoardCode = _securityClassInfo.GetSecurityClass(message.SecurityId)
},
IsSubscribe = message.IsSubscribe,
TransactionId = message.TransactionId
});
var result = (MarketDataMessage)message.Clone();
result.OriginalTransactionId = message.TransactionId;
_fixServer.SendInMessage(result);
}
private void ProcessMarketData(MarketDataMessage mdMsg)
{
var secCode = mdMsg.SecurityId.SecurityCode;
var boardCode = mdMsg.SecurityId.BoardCode;
switch (mdMsg.DataType)
{
case MarketDataTypes.Level1:
{
if (mdMsg.IsSubscribe)
_client.SubscribeQuote(secCode, boardCode);
else
_client.UnsubsribeQuote(secCode, boardCode);
break;
}
case MarketDataTypes.MarketDepth:
{
if (mdMsg.IsSubscribe)
_client.SubscribeLevel2(secCode, boardCode);
else
_client.UnsubsribeLevel2(secCode, boardCode);
break;
}
case MarketDataTypes.Trades:
{
if (mdMsg.IsSubscribe)
{
_subscribedSecuritiesToTrade.Add(secCode);
_client.SubscribeQuote(secCode, boardCode);
}
else
{
_subscribedSecuritiesToTrade.Remove(secCode);
_client.UnsubsribeQuote(secCode, boardCode);
}
break;
}
case MarketDataTypes.News:
{
if (mdMsg.IsSubscribe)
_client.SubscribeNews();
else
_client.UnsubscribeNews();
break;
}
default:
{
SendOutMarketDataNotSupported(mdMsg.TransactionId);
return;
}
}
var reply = (MarketDataMessage)mdMsg.Clone();
reply.OriginalTransactionId = mdMsg.TransactionId;
SendOutMessage(reply);
}
private void ProcessMarketDataMessage(MarketDataMessage mdMsg)
{
switch (mdMsg.DataType)
{
case MarketDataTypes.Level1:
case MarketDataTypes.Trades:
{
var key = Tuple.Create(MarketDataTypes.Level1, mdMsg.SecurityId, (object)null);
if (mdMsg.IsSubscribe)
{
_requestIds.Add(key, mdMsg.TransactionId);
SubscribeMarketData(mdMsg, Fields, false, false);
}
else
UnSubscribeMarketData(_requestIds[key]);
break;
}
case MarketDataTypes.MarketDepth:
{
var key = Tuple.Create(mdMsg.DataType, mdMsg.SecurityId, (object)null);
if (mdMsg.IsSubscribe)
{
_requestIds.Add(key, mdMsg.TransactionId);
SubscribeMarketDepth(mdMsg);
}
else
UnSubscriveMarketDepth(_requestIds[key]);
break;
}
case MarketDataTypes.News:
{
if (mdMsg.IsSubscribe)
SubscribeNewsBulletins(true);
else
UnSubscribeNewsBulletins();
break;
}
case MarketDataTypes.CandleTimeFrame:
{
var isRealTime = mdMsg.To == null;
var key = Tuple.Create(mdMsg.DataType, mdMsg.SecurityId, (object)Tuple.Create(mdMsg.Arg, isRealTime));
if (mdMsg.IsSubscribe)
{
_requestIds.Add(key, mdMsg.TransactionId);
if (isRealTime)
SubscribeRealTimeCandles(mdMsg);
else
SubscribeHistoricalCandles(mdMsg, CandleDataTypes.Trades);
}
else
{
var requestId = _requestIds[key];
if (isRealTime)
UnSubscribeRealTimeCandles(mdMsg, requestId);
else
{
ProcessRequest(RequestMessages.UnSubscribeHistoricalData, 0, ServerVersions.V1,
socket => socket.Send(requestId));
}
}
break;
}
case ExtendedMarketDataTypes.Scanner:
{
var scannerMsg = (ScannerMarketDataMessage)mdMsg;
var key = Tuple.Create(mdMsg.DataType, mdMsg.SecurityId, (object)scannerMsg.Filter);
if (mdMsg.IsSubscribe)
{
_requestIds.Add(key, mdMsg.TransactionId);
SubscribeScanner(scannerMsg);
}
else
UnSubscribeScanner(_requestIds[key]);
break;
}
case ExtendedMarketDataTypes.FundamentalReport:
{
var reportMsg = (FundamentalReportMarketDataMessage)mdMsg;
var key = Tuple.Create(mdMsg.DataType, mdMsg.SecurityId, (object)reportMsg.Report);
if (reportMsg.IsSubscribe)
{
_requestIds.Add(key, mdMsg.TransactionId);
SubscribeFundamentalReport(reportMsg);
}
else
UnSubscribeFundamentalReport(_requestIds[key]);
break;
}
case ExtendedMarketDataTypes.OptionCalc:
{
var optionMsg = (OptionCalcMarketDataMessage)mdMsg;
var key = Tuple.Create(mdMsg.DataType, mdMsg.SecurityId, (object)Tuple.Create(optionMsg.OptionPrice, optionMsg.ImpliedVolatility, optionMsg.AssetPrice));
if (optionMsg.IsSubscribe)
{
_requestIds.Add(key, mdMsg.TransactionId);
SubscribeCalculateOptionPrice(optionMsg);
SubscribeCalculateImpliedVolatility(optionMsg);
}
else
{
var requestId = _requestIds[key];
UnSubscribeCalculateOptionPrice(requestId);
UnSubscribeCalculateImpliedVolatility(requestId);
}
break;
}
default:
{
SendOutMarketDataNotSupported(mdMsg.TransactionId);
return;
}
}
var reply = (MarketDataMessage)mdMsg.Clone();
reply.OriginalTransactionId = mdMsg.OriginalTransactionId;
SendOutMessage(reply);
}
private void ProcessMarketDataMessage(MarketDataMessage mdMsg)
{
if (!mdMsg.IsSubscribe)
return;
if (mdMsg.SecurityId.Native == null)
throw new InvalidOperationException(LocalizedStrings.Str3392Params.Put(mdMsg.SecurityId.SecurityCode));
var lmaxId = (long)mdMsg.SecurityId.Native;
switch (mdMsg.DataType)
{
case MarketDataTypes.Level1:
case MarketDataTypes.Trades:
{
_session.Subscribe(new OrderBookStatusSubscriptionRequest(lmaxId), () => { }, CreateErrorHandler("OrderBookStatusSubscriptionRequest"));
break;
}
case MarketDataTypes.MarketDepth:
{
_session.Subscribe(new OrderBookSubscriptionRequest(lmaxId), () => { }, CreateErrorHandler("OrderBookSubscriptionRequest"));
break;
}
case MarketDataTypes.CandleTimeFrame:
{
IHistoricMarketDataRequest request;
var tf = (TimeSpan)mdMsg.Arg;
var from = (mdMsg.From ?? DateTimeOffset.MinValue).UtcDateTime;
var to = (mdMsg.To ?? DateTimeOffset.MaxValue).UtcDateTime;
if (tf.Ticks == 1)
request = new TopOfBookHistoricMarketDataRequest(mdMsg.TransactionId, lmaxId, from, to, Format.Csv);
else
{
Resolution resolution;
if (tf == TimeSpan.FromMinutes(1))
resolution = Resolution.Minute;
else if (tf == TimeSpan.FromDays(1))
resolution = Resolution.Day;
else
throw new InvalidOperationException(LocalizedStrings.Str3393Params.Put(tf));
request = new AggregateHistoricMarketDataRequest(mdMsg.TransactionId, lmaxId, from, to, resolution, Format.Csv, Option.Bid, Option.Ask);
}
if (!_isHistoricalSubscribed)
{
_session.Subscribe(new HistoricMarketDataSubscriptionRequest(), () => { }, CreateErrorHandler("HistoricMarketDataSubscriptionRequest"));
_isHistoricalSubscribed = true;
}
_session.RequestHistoricMarketData(request, () => { }, CreateErrorHandler("RequestHistoricMarketData"));
break;
}
default:
{
SendOutMarketDataNotSupported(mdMsg.TransactionId);
return;
}
}
var result = (MarketDataMessage)mdMsg.Clone();
result.OriginalTransactionId = mdMsg.TransactionId;
SendOutMessage(result);
}
private void ProcessMarketDataMessage(MarketDataMessage mdMsg)
{
var smartId = (string)mdMsg.SecurityId.Native;
if (smartId.IsEmpty())
throw new InvalidOperationException(LocalizedStrings.Str1853Params.Put(mdMsg.SecurityId));
switch (mdMsg.DataType)
{
case MarketDataTypes.Level1:
{
if (mdMsg.IsSubscribe)
_wrapper.SubscribeSecurity(smartId);
else
_wrapper.UnSubscribeSecurity(smartId);
break;
}
case MarketDataTypes.MarketDepth:
{
if (mdMsg.IsSubscribe)
_wrapper.SubscribeMarketDepth(smartId);
else
_wrapper.UnSubscribeMarketDepth(smartId);
break;
}
case MarketDataTypes.Trades:
{
if (mdMsg.From.IsDefault())
{
if (mdMsg.IsSubscribe)
_wrapper.SubscribeTrades(smartId);
else
_wrapper.UnSubscribeTrades(smartId);
}
else
{
const int maxTradeCount = 1000000;
this.AddDebugLog("RequestHistoryTrades SecId = {0} From {1} Count = {2}", smartId, mdMsg.From, maxTradeCount);
_wrapper.RequestHistoryTrades(smartId, mdMsg.From.ToLocalTime(TimeHelper.Moscow), maxTradeCount);
}
break;
}
case MarketDataTypes.CandleTimeFrame:
{
var count = mdMsg.Count;
var direction = (SmartComHistoryDirections)mdMsg.ExtensionInfo["Direction"];
if (direction == SmartComHistoryDirections.Forward)
count = -count;
var tf = (TimeSpan)mdMsg.Arg;
_candleTransactions.SafeAdd(smartId)[tf] = Tuple.Create(mdMsg.TransactionId, new List<CandleMessage>());
this.AddDebugLog("RequestHistoryBars SecId {0} TF {1} From {2} Count {3}", smartId, tf, mdMsg.From, count);
_wrapper.RequestHistoryBars(smartId, tf, mdMsg.From.ToLocalTime(TimeHelper.Moscow), (int)count);
break;
}
default:
{
SendOutMarketDataNotSupported(mdMsg.TransactionId);
return;
}
}
var reply = (MarketDataMessage)mdMsg.Clone();
reply.OriginalTransactionId = mdMsg.TransactionId;
SendOutMessage(reply);
}
private void ProcessMarketDataMessage(MarketDataMessage mdMsg)
{
switch (mdMsg.DataType)
{
case MarketDataTypes.Level1:
{
SendCommand(mdMsg.IsSubscribe
? new SubscribeMessage { Quotations = { mdMsg.SecurityId } }
: new UnsubscribeMessage { Quotations = { mdMsg.SecurityId } });
break;
}
case MarketDataTypes.MarketDepth:
{
SendCommand(mdMsg.IsSubscribe
? new SubscribeMessage { Quotes = { mdMsg.SecurityId } }
: new UnsubscribeMessage { Quotes = { mdMsg.SecurityId } });
break;
}
case MarketDataTypes.Trades:
{
if (mdMsg.IsSubscribe)
{
//Подписаться/отписаться на тики можно двумя способами:
//SubscribeMessage/UnsubscribeMessage - тики приходят с момента подписки
//SubscribeTicksMessage - Тики приходят с момента подиски(TradeNo = 0), или с любого номера. При повторном запросе отписка получения тиков по предыдущему запросу.
//var command = new SubscribeMessage();
//command.AllTrades.Add(security.GetTransaqId());
//ApiClient.Send(new Tuple<BaseCommandMessage, Action<BaseResponse>>(command, ProcessResult));
//---
_registeredSecurityIds.Add(mdMsg.SecurityId);
var command = new SubscribeTicksMessage { Filter = true }; //Filter только сделки нормально периода торгов
foreach (var id in _registeredSecurityIds)
{
command.Items.Add(new SubscribeTicksSecurity
{
SecId = (int)id.Native,
// http://stocksharp.com/forum/yaf_postsm35978_Obnovlieniie-Tranzak-do-viersii-2-16-1.aspx#post35978
//TradeNo = id.Equals(mdMsg.SecurityId) ? 1 : 0,
TradeNo = 1,
});
}
SendCommand(command);
}
else
{
//var command = new UnsubscribeMessage();
//command.AllTrades.Add(security.GetTransaqId());
//ApiClient.Send(new Tuple<BaseCommandMessage, Action<BaseResponse>>(command, ProcessResult));
//---
_registeredSecurityIds.Remove(mdMsg.SecurityId);
var command = new SubscribeTicksMessage { Filter = true }; //Filter только сделки нормально периода торгов
foreach (var id in _registeredSecurityIds)
{
command.Items.Add(new SubscribeTicksSecurity
{
SecId = (int)id.Native,
TradeNo = 0,
});
}
SendCommand(command);
}
break;
}
case MarketDataTypes.News:
{
if (mdMsg.IsSubscribe)
{
if (mdMsg.NewsId.IsEmpty())
{
var count = mdMsg.Count;
if (count == null)
count = MaxNewsHeaderCount;
else
{
if (count < 0)
throw new InvalidOperationException(LocalizedStrings.Str3511Params.Put(count));
if (count > MaxNewsHeaderCount)
throw new InvalidOperationException(LocalizedStrings.Str3512Params.Put(count, MaxNewsHeaderCount));
}
SendCommand(new RequestOldNewsMessage { Count = (int)count.Value });
}
else
{
SendCommand(new RequestNewsBodyMessage { NewsId = mdMsg.NewsId.To<int>() });
}
}
break;
}
case MarketDataTypes.CandleTimeFrame:
{
if (mdMsg.IsSubscribe)
{
var periodId = _candlePeriods.GetKeys((TimeSpan)mdMsg.Arg).First();
var secId = (int)mdMsg.SecurityId.Native;
var key = Tuple.Create(secId, periodId);
_candleTransactions.Add(key, mdMsg.TransactionId);
var command = new RequestHistoryDataMessage
{
SecId = secId,
Period = periodId,
Count = mdMsg.Count ?? 0,
Reset = mdMsg.To == null,
};
try
{
SendCommand(command);
}
catch (Exception)
{
_candleTransactions.Remove(key);
throw;
}
}
break;
}
default:
{
SendOutMarketDataNotSupported(mdMsg.TransactionId);
return;
}
}
var reply = (MarketDataMessage)mdMsg.Clone();
reply.OriginalTransactionId = mdMsg.TransactionId;
SendOutMessage(reply);
}
private void ProcessMarketDataMessage(MarketDataMessage message)
{
switch (message.DataType)
{
case MarketDataTypes.Level1:
{
var instrument = message.SecurityId.ToOanda();
if (message.IsSubscribe)
_streamigClient.SubscribePricesStreaming(GetAccountId(), instrument);
else
_streamigClient.UnSubscribePricesStreaming(instrument);
break;
}
//case MarketDataTypes.MarketDepth:
// break;
case MarketDataTypes.News:
{
if (message.IsSubscribe)
{
var calendar = _restClient.GetCalendar(message.SecurityId.ToOanda(),
(int)(3600 * (message.Count ?? 1)));
foreach (var item in calendar)
{
SendOutMessage(new NewsMessage
{
//OriginalTransactionId = message.TransactionId,
SecurityId = message.SecurityId,
ServerTime = TimeHelper.GregorianStart.AddSeconds(item.TimeStamp).ApplyTimeZone(TimeZoneInfo.Utc),
Headline = item.Title,
Story = "unit={0} curr={1} market={2} forecast={3} previous={4} actual={5}"
.Put(item.Unit, item.Currency, item.Market, item.Forecast, item.Previous, item.Actual),
});
}
}
break;
}
case MarketDataTypes.CandleTimeFrame:
{
if (message.IsSubscribe)
{
var from = message.From;
while (true)
{
var candles = _restClient.GetCandles(message.SecurityId.ToOanda(),
((TimeSpan)message.Arg).ToOanda(), message.Count ?? 0, (from ?? DateTimeOffset.MinValue).ToOanda());
var count = 0;
foreach (var candle in candles)
{
count++;
var time = candle.Time.FromOanda();
SendOutMessage(new TimeFrameCandleMessage
{
OriginalTransactionId = message.TransactionId,
OpenTime = time,
SecurityId = message.SecurityId,
OpenPrice = (decimal)candle.Open,
HighPrice = (decimal)candle.High,
LowPrice = (decimal)candle.Low,
ClosePrice = (decimal)candle.Close,
TotalVolume = (decimal)candle.Volume,
State = candle.Complete ? CandleStates.Finished : CandleStates.Active
});
from = time;
}
if (message.Count == null && count == 500)
continue;
break;
}
}
break;
}
default:
{
SendOutMarketDataNotSupported(message.TransactionId);
return;
}
}
var reply = (MarketDataMessage)message.Clone();
reply.OriginalTransactionId = message.TransactionId;
SendOutMessage(reply);
}
private void ProcessMarketDataMessage(MarketDataMessage message)
{
switch (message.DataType)
{
case MarketDataTypes.Level1:
{
if (message.SecurityId.Native is int)
{
if (message.IsSubscribe)
Wrapper.RegisterLevel1((int)message.SecurityId.Native);
else
Wrapper.UnRegisterLevel1((int)message.SecurityId.Native);
}
else
throw new InvalidOperationException(LocalizedStrings.Str2253Params.Put(message.SecurityId));
break;
}
case MarketDataTypes.MarketDepth:
{
if (message.SecurityId.Native is int)
{
if (message.IsSubscribe)
Wrapper.RegisterMarketDepth((int)message.SecurityId.Native);
else
Wrapper.UnRegisterMarketDepth((int)message.SecurityId.Native);
}
else
throw new InvalidOperationException(LocalizedStrings.Str2253Params.Put(message.SecurityId));
break;
}
case MarketDataTypes.Trades:
{
if (message.SecurityId.Native is int)
{
if (message.IsSubscribe)
Wrapper.RegisterTrades((int)message.SecurityId.Native);
else
Wrapper.UnRegisterTrades((int)message.SecurityId.Native);
}
else
throw new InvalidOperationException(LocalizedStrings.Str2253Params.Put(message.SecurityId));
break;
}
case MarketDataTypes.News:
{
if (!message.NewsId.IsEmpty())
throw new NotSupportedException(LocalizedStrings.Str1617);
if (message.IsSubscribe)
Wrapper.StartExportNews();
else
Wrapper.StopExportNews();
break;
}
case MarketDataTypes.CandleTimeFrame:
{
if (message.IsSubscribe)
{
Wrapper.LookupCandles(message);
}
break;
}
default:
{
SendOutMarketDataNotSupported(message.TransactionId);
return;
}
}
var reply = (MarketDataMessage)message.Clone();
reply.OriginalTransactionId = message.TransactionId;
SendOutMessage(reply);
}
private void ProcessMarketData(MarketDataMessage mdMsg)
{
switch (mdMsg.DataType)
{
case MarketDataTypes.Level1:
{
//if (mdMsg.IsSubscribe)
// _subscribedLevel1.Add(secCode);
//else
// _subscribedLevel1.Remove(secCode);
break;
}
case MarketDataTypes.MarketDepth:
{
if (mdMsg.IsSubscribe)
{
_subscribedDepths.Add(mdMsg.SecurityId, mdMsg.MaxDepth);
if (_subscribedDepths.Count == 1)
_pusherClient.SubscribeDepths();
}
else
{
_subscribedDepths.Remove(mdMsg.SecurityId);
if (_subscribedDepths.Count == 0)
_pusherClient.UnSubscribeDepths();
}
break;
}
case MarketDataTypes.Trades:
{
if (mdMsg.IsSubscribe)
{
if (mdMsg.From == DateTime.Today)
{
_httpClient.RequestTransactions().Select(t => new ExecutionMessage
{
ExecutionType = ExecutionTypes.Tick,
SecurityId = _btcUsd,
TradeId = t.Id,
TradePrice = (decimal)t.Price,
Volume = (decimal)t.Amount,
ServerTime = t.Time.ApplyTimeZone(TimeZoneInfo.Utc)
}).ForEach(SendOutMessage);
}
_subscribedTicks.Add(mdMsg.SecurityId);
if (_subscribedTicks.Count == 1)
_pusherClient.SubscribeTrades();
}
else
{
_subscribedTicks.Remove(mdMsg.SecurityId);
if (_subscribedTicks.Count == 0)
_pusherClient.UnSubscribeTrades();
}
break;
}
default:
{
SendOutMarketDataNotSupported(mdMsg.TransactionId);
return;
}
}
var reply = (MarketDataMessage)mdMsg.Clone();
reply.OriginalTransactionId = mdMsg.OriginalTransactionId;
SendOutMessage(reply);
}
private void ProcessMarketData(MarketDataMessage mdMsg)
{
switch (mdMsg.DataType)
{
case MarketDataTypes.Level1:
{
if (mdMsg.IsSubscribe)
_subscribedLevel1.Add(mdMsg.SecurityId);
else
_subscribedLevel1.Remove(mdMsg.SecurityId);
break;
}
case MarketDataTypes.MarketDepth:
{
if (mdMsg.IsSubscribe)
_subscribedDepths.Add(mdMsg.SecurityId, mdMsg.MaxDepth ?? MarketDataMessage.DefaultMaxDepth);
else
_subscribedDepths.Remove(mdMsg.SecurityId);
break;
}
case MarketDataTypes.Trades:
{
if (mdMsg.IsSubscribe)
_subscribedTicks.Add(mdMsg.SecurityId);
else
_subscribedTicks.Remove(mdMsg.SecurityId);
break;
}
default:
{
SendOutMarketDataNotSupported(mdMsg.TransactionId);
return;
}
}
var reply = (MarketDataMessage)mdMsg.Clone();
reply.OriginalTransactionId = mdMsg.OriginalTransactionId;
SendOutMessage(reply);
}
private void ProcessMarketDataMessage(MarketDataMessage mdMsg)
{
var secCode = mdMsg.SecurityId.SecurityCode;
var boardCode = mdMsg.SecurityId.BoardCode;
switch (mdMsg.DataType)
{
case MarketDataTypes.Level1:
{
if (mdMsg.IsSubscribe)
_client.Session.subscribe(boardCode, secCode, SubscriptionFlags.All & ~(SubscriptionFlags.Prints | SubscriptionFlags.PrintsCond | SubscriptionFlags.Quotes), mdMsg.TransactionId);
else
_client.Session.unsubscribe(boardCode, secCode);
break;
}
case MarketDataTypes.MarketDepth:
{
if (mdMsg.IsSubscribe)
{
_client.Session.rebuildBook(boardCode, secCode, mdMsg.TransactionId);
_client.Session.subscribe(boardCode, secCode, SubscriptionFlags.Quotes, mdMsg.TransactionId);
}
else
_client.Session.unsubscribe(boardCode, secCode);
break;
}
case MarketDataTypes.Trades:
{
if (mdMsg.From == null || mdMsg.To == null)
{
if (mdMsg.IsSubscribe)
_client.Session.subscribe(boardCode, secCode, SubscriptionFlags.Prints | SubscriptionFlags.PrintsCond, mdMsg.TransactionId);
else
_client.Session.unsubscribe(boardCode, secCode);
}
else
_client.Session.replayTrades(boardCode, secCode, mdMsg.From.Value.ToSsboe(), mdMsg.To.Value.ToSsboe(), mdMsg.TransactionId);
break;
}
//case MarketDataTypes.OrderLog:
// break;
//case MarketDataTypes.News:
// break;
case MarketDataTypes.CandleTimeFrame:
{
if (mdMsg.From == null || mdMsg.To == null)
{
if (mdMsg.IsSubscribe)
_client.Session.subscribeTimeBar(boardCode, secCode, mdMsg.TransactionId);
else
_client.Session.unsubscribeTimeBar(boardCode, secCode);
}
else
_client.Session.replayTimeBars(boardCode, secCode, mdMsg.From.Value.ToSsboe(), mdMsg.To.Value.ToSsboe(), mdMsg.TransactionId);
break;
}
default:
{
SendOutMarketDataNotSupported(mdMsg.TransactionId);
return;
}
}
var reply = (MarketDataMessage)mdMsg.Clone();
reply.OriginalTransactionId = mdMsg.TransactionId;
SendOutMessage(reply);
}
private void RaiseMarketDataMessage(MarketDataMessage message, Exception error)
{
var reply = (MarketDataMessage)message.Clone();
reply.OriginalTransactionId = message.TransactionId;
reply.Error = error;
SendOutMessage(reply);
}
