/// <summary>
/// Returns the instrument from the Redis database matching the given key.
/// </summary>
/// <param name="key">The instrument key to read.</param>
/// <returns>The keys.</returns>
public QueryResult <Instrument> Read(string key)
{
Debug.NotEmptyOrWhiteSpace(key, nameof(key));
if (!this.redisDatabase.KeyExists(key))
{
return(QueryResult <Instrument> .Fail($"Cannot find {key}"));
}
var instrumentDict = this.redisDatabase.HashGetAll(key)
.ToDictionary(
hashEntry => hashEntry.Name.ToString(),
hashEntry => hashEntry.Value.ToString());
var securityType = instrumentDict[nameof(Instrument.SecurityType)].ToEnum <SecurityType>();
if (securityType == SecurityType.Forex)
{
var forexCcy = new ForexInstrument(
Symbol.FromString(instrumentDict[nameof(Instrument.Symbol)]),
int.Parse(instrumentDict[nameof(Instrument.PricePrecision)]),
int.Parse(instrumentDict[nameof(Instrument.SizePrecision)]),
int.Parse(instrumentDict[nameof(Instrument.MinStopDistanceEntry)]),
int.Parse(instrumentDict[nameof(Instrument.MinLimitDistanceEntry)]),
int.Parse(instrumentDict[nameof(Instrument.MinStopDistance)]),
int.Parse(instrumentDict[nameof(Instrument.MinLimitDistance)]),
Price.Create(Parser.ToDecimal(instrumentDict[nameof(Instrument.TickSize)])),
Quantity.Create(Parser.ToDecimal(instrumentDict[nameof(Instrument.RoundLotSize)])),
Quantity.Create(Parser.ToDecimal(instrumentDict[nameof(Instrument.MinTradeSize)])),
Quantity.Create(Parser.ToDecimal(instrumentDict[nameof(Instrument.MaxTradeSize)])),
Parser.ToDecimal(instrumentDict[nameof(Instrument.RolloverInterestBuy)]),
Parser.ToDecimal(instrumentDict[nameof(Instrument.RolloverInterestSell)]),
instrumentDict[nameof(Instrument.Timestamp)].ToZonedDateTimeFromIso());
return(QueryResult <Instrument> .Ok(forexCcy));
}
var instrument = new Instrument(
Symbol.FromString(instrumentDict[nameof(Instrument.Symbol)]),
instrumentDict[nameof(Instrument.QuoteCurrency)].ToEnum <Currency>(),
securityType,
int.Parse(instrumentDict[nameof(Instrument.PricePrecision)]),
int.Parse(instrumentDict[nameof(Instrument.SizePrecision)]),
int.Parse(instrumentDict[nameof(Instrument.MinStopDistanceEntry)]),
int.Parse(instrumentDict[nameof(Instrument.MinLimitDistanceEntry)]),
int.Parse(instrumentDict[nameof(Instrument.MinStopDistance)]),
int.Parse(instrumentDict[nameof(Instrument.MinLimitDistance)]),
Price.Create(Parser.ToDecimal(instrumentDict[nameof(Instrument.TickSize)])),
Quantity.Create(Parser.ToDecimal(instrumentDict[nameof(Instrument.RoundLotSize)])),
Quantity.Create(Parser.ToDecimal(instrumentDict[nameof(Instrument.MinTradeSize)])),
Quantity.Create(Parser.ToDecimal(instrumentDict[nameof(Instrument.MaxTradeSize)])),
Parser.ToDecimal(instrumentDict[nameof(Instrument.RolloverInterestBuy)]),
Parser.ToDecimal(instrumentDict[nameof(Instrument.RolloverInterestSell)]),
instrumentDict[nameof(Instrument.Timestamp)].ToZonedDateTimeFromIso());
return(QueryResult <Instrument> .Ok(instrument));
}
public static ForexInstrument USDJPY()
{
var instrument = new ForexInstrument(
new Symbol("USD/JPY", new Venue("FXCM")),
3,
0,
0,
0,
0,
0,
Price.Create(0.001m, 3),
Quantity.Create(1000m),
Quantity.Create(1m),
Quantity.Create(50000000m),
1,
1,
StubZonedDateTime.UnixEpoch());
return(instrument);
}
public static ForexInstrument EURUSD()
{
var instrument = new ForexInstrument(
new Symbol("EUR/USD", new Venue("FXCM")),
5,
0,
0,
0,
0,
0,
Price.Create(0.00001m, 5),
Quantity.Create(1000m),
Quantity.Create(1m),
Quantity.Create(50000000m),
1,
1,
StubZonedDateTime.UnixEpoch());
return(instrument);
}
public void OnMessage(SecurityList message)
{
Debug.NotNull(this.dataGateway, nameof(this.dataGateway));
var responseId = message.GetField(Tags.SecurityResponseID);
var result = FxcmMessageHelper.GetSecurityRequestResult(message.SecurityRequestResult);
this.Logger.LogDebug(LogId.Network, $"{Received}{Fix} {nameof(SecurityList)}(ResponseId={responseId}, Result={result}).");
var instruments = new List <Instrument>();
var groupCount = int.Parse(message.NoRelatedSym.ToString());
var group = new SecurityList.NoRelatedSymGroup();
for (var i = 1; i <= groupCount; i++)
{
message.GetGroup(i, group);
var symbol = this.GetSymbol(group.GetField(Tags.Symbol));
var securityType = FxcmMessageHelper.GetSecurityType(group.GetField(FxcmTags.ProductID));
var tickPrecision = group.GetInt(FxcmTags.SymPrecision);
var tickSize = group.GetDecimal(FxcmTags.SymPointSize) * 0.1m; // Field 9002 returns 'point' size (* 0.1m to get tick size)
var roundLot = group.GetInt(Tags.RoundLot);
var minStopDistanceEntry = group.GetInt(FxcmTags.CondDistEntryStop);
var minLimitDistanceEntry = group.GetInt(FxcmTags.CondDistEntryLimit);
var minStopDistance = group.GetInt(FxcmTags.CondDistStop);
var minLimitDistance = group.GetInt(FxcmTags.CondDistLimit);
var minTradeSize = group.GetInt(FxcmTags.MinQuantity);
var maxTradeSize = group.GetInt(FxcmTags.MaxQuantity);
var rolloverInterestBuy = group.GetDecimal(FxcmTags.SymInterestBuy);
var rolloverInterestSell = group.GetDecimal(FxcmTags.SymInterestSell);
if (securityType == SecurityType.Forex)
{
var forexInstrument = new ForexInstrument(
symbol,
tickPrecision,
0,
minStopDistanceEntry,
minLimitDistanceEntry,
minStopDistance,
minLimitDistance,
Price.Create(tickSize, tickPrecision),
Quantity.Create(roundLot),
Quantity.Create(minTradeSize),
Quantity.Create(maxTradeSize),
rolloverInterestBuy,
rolloverInterestSell,
this.TimeNow());
instruments.Add(forexInstrument);
}
else
{
var instrument = new Instrument(
symbol,
group.GetField(Tags.Currency).ToEnum <Nautilus.DomainModel.Enums.Currency>(),
securityType,
tickPrecision,
0,
minStopDistanceEntry,
minLimitDistanceEntry,
minStopDistance,
minLimitDistance,
Price.Create(tickSize, tickPrecision),
Quantity.Create(roundLot),
Quantity.Create(minTradeSize),
Quantity.Create(maxTradeSize),
rolloverInterestBuy,
rolloverInterestSell,
this.TimeNow());
instruments.Add(instrument);
}
}
this.dataGateway?.OnData(instruments);
}
