/// <summary>
/// Преобразовать <see cref="OrderMessage"/> в <see cref="ExecutionMessage"/>.
/// </summary>
/// <param name="message"><see cref="OrderMessage"/></param>
/// <returns><see cref="ExecutionMessage"/></returns>
public static ExecutionMessage ToExecutionMessage(this OrderMessage message)
{
switch (message.Type)
{
case MessageTypes.OrderRegister:
return(((OrderRegisterMessage)message).ToExecutionMessage());
case MessageTypes.OrderCancel:
return(((OrderCancelMessage)message).ToExecutionMessage());
case MessageTypes.OrderGroupCancel:
return(((OrderGroupCancelMessage)message).ToExecutionMessage());
case MessageTypes.OrderReplace:
return(((OrderReplaceMessage)message).ToExecutionMessage());
default:
throw new ArgumentOutOfRangeException();
}
}
private void ProcessOrderMessage(OrderMessage message)
{
switch (message.Type)
{
case MessageTypes.OrderRegister:
var regMsg = (OrderRegisterMessage)message;
RegisterTransaction(regMsg.CreateRegisterTransaction(_depoNames.TryGetValue(regMsg.PortfolioName), _securityClassInfo), message.Type, regMsg.TransactionId, regMsg.OrderType);
break;
case MessageTypes.OrderReplace:
var replMsg = (OrderReplaceMessage)message;
RegisterTransaction(replMsg.CreateMoveTransaction(_securityClassInfo), message.Type, replMsg.TransactionId, replMsg.OrderType);
break;
case MessageTypes.OrderCancel:
var cancelMsg = (OrderCancelMessage)message;
RegisterTransaction(cancelMsg.CreateCancelTransaction(_securityClassInfo), message.Type, cancelMsg.TransactionId, cancelMsg.OrderType);
break;
case MessageTypes.OrderGroupCancel:
var cancelGroupMsg = (OrderGroupCancelMessage)message;
RegisterTransaction(cancelGroupMsg.CreateCancelFuturesTransaction(_securityClassInfo), message.Type, cancelGroupMsg.TransactionId, cancelGroupMsg.OrderType);
break;
default:
throw new ArgumentOutOfRangeException();
}
}
/// <summary>
/// Convert transaction.
/// </summary>
/// <param name="message">Transaction.</param>
/// <param name="quotesVolume">Order book volume.</param>
/// <returns>Stream <see cref="ExecutionMessage"/>.</returns>
public IEnumerable<ExecutionMessage> ToExecutionLog(OrderMessage message, decimal quotesVolume)
{
if (message == null)
throw new ArgumentNullException(nameof(message));
var serverTime = _getServerTime(message.LocalTime);
switch (message.Type)
{
case MessageTypes.OrderRegister:
{
var regMsg = (OrderRegisterMessage)message;
if (_settings.IncreaseDepthVolume && NeedCheckVolume(regMsg.Side, regMsg.Price) && quotesVolume < regMsg.Volume)
{
foreach (var executionMessage in IncreaseDepthVolume(regMsg.LocalTime, serverTime, regMsg.Side, regMsg.Volume - quotesVolume))
yield return executionMessage;
}
yield return new ExecutionMessage
{
LocalTime = regMsg.LocalTime,
ServerTime = serverTime,
SecurityId = regMsg.SecurityId,
ExecutionType = ExecutionTypes.Order,
TransactionId = regMsg.TransactionId,
OrderPrice = regMsg.Price,
Volume = regMsg.Volume,
Side = regMsg.Side,
PortfolioName = regMsg.PortfolioName,
OrderType = regMsg.OrderType,
UserOrderId = regMsg.UserOrderId
};
yield break;
}
case MessageTypes.OrderReplace:
{
var replaceMsg = (OrderReplaceMessage)message;
if (_settings.IncreaseDepthVolume && NeedCheckVolume(replaceMsg.Side, replaceMsg.Price) && quotesVolume < replaceMsg.Volume)
{
foreach (var executionMessage in IncreaseDepthVolume(replaceMsg.LocalTime, serverTime, replaceMsg.Side, replaceMsg.Volume - quotesVolume))
yield return executionMessage;
}
yield return new ExecutionMessage
{
LocalTime = replaceMsg.LocalTime,
ServerTime = serverTime,
SecurityId = replaceMsg.SecurityId,
ExecutionType = ExecutionTypes.Order,
IsCancelled = true,
OrderId = replaceMsg.OldOrderId,
OriginalTransactionId = replaceMsg.OldTransactionId,
TransactionId = replaceMsg.TransactionId,
PortfolioName = replaceMsg.PortfolioName,
OrderType = replaceMsg.OrderType,
// для старой заявки пользовательский идентификатор менять не надо
//UserOrderId = replaceMsg.UserOrderId
};
yield return new ExecutionMessage
{
LocalTime = replaceMsg.LocalTime,
ServerTime = serverTime,
SecurityId = replaceMsg.SecurityId,
ExecutionType = ExecutionTypes.Order,
TransactionId = replaceMsg.TransactionId,
OrderPrice = replaceMsg.Price,
Volume = replaceMsg.Volume,
Side = replaceMsg.Side,
PortfolioName = replaceMsg.PortfolioName,
OrderType = replaceMsg.OrderType,
UserOrderId = replaceMsg.UserOrderId
};
yield break;
}
case MessageTypes.OrderCancel:
{
var cancelMsg = (OrderCancelMessage)message;
yield return new ExecutionMessage
{
ExecutionType = ExecutionTypes.Order,
IsCancelled = true,
OrderId = cancelMsg.OrderId,
TransactionId = cancelMsg.TransactionId,
OriginalTransactionId = cancelMsg.OrderTransactionId,
PortfolioName = cancelMsg.PortfolioName,
SecurityId = cancelMsg.SecurityId,
LocalTime = cancelMsg.LocalTime,
ServerTime = serverTime,
OrderType = cancelMsg.OrderType,
// при отмене заявки пользовательский идентификатор не меняется
//UserOrderId = cancelMsg.UserOrderId
};
yield break;
}
case MessageTypes.OrderPairReplace:
case MessageTypes.OrderGroupCancel:
throw new NotSupportedException();
default:
throw new ArgumentOutOfRangeException();
}
}
private static Transaction SetSecurity(this Transaction transaction, OrderMessage message, IDictionary<string, RefPair<SecurityTypes, string>> securityClassInfo)
{
return
transaction
.SetClassCode(securityClassInfo.GetSecurityClass(message.SecurityId))
.SetSecurityCode(message.SecurityId.SecurityCode);
}
private static long GetExpiryTime(OrderMessage message)
{
return (message.ExpiryDate ?? DateTime.UtcNow.EndOfDay().ApplyTimeZone(TimeZoneInfo.Utc)).ToOanda();
}