private void OnQuotationsResponse(QuotationsResponse response)
{
foreach (var quote in response.Quotations)
{
var message = new Level1ChangeMessage
{
SecurityId = new SecurityId {
Native = quote.SecId
},
ServerTime = SessionHolder.CurrentTime.Convert(TimeHelper.Moscow),
};
message.TryAdd(Level1Fields.AccruedCouponIncome, quote.AccruedIntValue);
message.TryAdd(Level1Fields.OpenPrice, quote.Open);
message.TryAdd(Level1Fields.HighPrice, quote.High);
message.TryAdd(Level1Fields.LowPrice, quote.Low);
message.TryAdd(Level1Fields.ClosePrice, quote.ClosePrice);
message.TryAdd(Level1Fields.BidsCount, quote.BidsCount);
message.TryAdd(Level1Fields.BidsVolume, (decimal?)quote.BidsVolume);
message.TryAdd(Level1Fields.AsksCount, quote.AsksCount);
message.TryAdd(Level1Fields.AsksVolume, (decimal?)quote.AsksVolume);
message.TryAdd(Level1Fields.HighBidPrice, quote.HighBid);
message.TryAdd(Level1Fields.LowAskPrice, quote.LowAsk);
message.TryAdd(Level1Fields.Yield, quote.Yield);
message.TryAdd(Level1Fields.MarginBuy, quote.BuyDeposit);
message.TryAdd(Level1Fields.MarginSell, quote.SellDeposit);
message.TryAdd(Level1Fields.HistoricalVolatility, quote.Volatility);
message.TryAdd(Level1Fields.TheorPrice, quote.TheoreticalPrice);
message.TryAdd(Level1Fields.Change, quote.Change);
message.TryAdd(Level1Fields.Volume, (decimal?)quote.VolToday);
message.TryAdd(Level1Fields.StepPrice, quote.PointCost);
message.TryAdd(Level1Fields.OpenInterest, (decimal?)quote.OpenInterest);
message.TryAdd(Level1Fields.TradesCount, quote.TradesCount);
if (quote.Status != null)
{
message.Add(Level1Fields.State, quote.Status.Value.FromTransaq());
}
// Transaq передает только изменения (например, передать только цену сделки, если объем при этом не изменился)
message.TryAdd(Level1Fields.LastTradePrice, quote.LastTradePrice);
message.TryAdd(Level1Fields.LastTradeVolume, (decimal?)quote.LastTradeVolume);
if (quote.LastTradeTime != null)
{
message.Add(Level1Fields.LastTradeTime, quote.LastTradeTime.Value.ApplyTimeZone(TimeHelper.Moscow));
}
message.TryAdd(Level1Fields.BestBidPrice, quote.BestBidPrice);
message.TryAdd(Level1Fields.BestBidVolume, (decimal?)quote.BestBidVolume);
message.TryAdd(Level1Fields.BestAskPrice, quote.BestAskPrice);
message.TryAdd(Level1Fields.BestAskVolume, (decimal?)quote.BestAskVolume);
SendOutMessage(message);
}
}
private void OnProcessLevel1(string[] data)
{
var f = Wrapper.FieldsLevel1;
foreach (var row in data)
{
var cols = row.ToColumns();
var paperNo = f.PaperNo.GetValue(cols);
var secId = new SecurityId {
Native = paperNo
};
var l1Msg = new Level1ChangeMessage
{
SecurityId = secId,
ServerTime = (f.LastUpdateDate.GetValue(cols).Date + f.LastUpdateTime.GetValue(cols).TimeOfDay).ApplyTimeZone(TimeHelper.Moscow)
};
l1Msg.Add(Level1Fields.State, f.TradingStatus.GetValue(cols));
l1Msg.TryAdd(Level1Fields.MarginBuy, f.GoBuy.GetValue(cols));
l1Msg.TryAdd(Level1Fields.MarginSell, f.GoSell.GetValue(cols));
l1Msg.TryAdd(Level1Fields.OpenInterest, (decimal)f.OpenPosQty.GetValue(cols));
var minPrice = f.MinDeal.GetValue(cols);
var maxPrice = f.MaxDeal.GetValue(cols);
l1Msg.TryAdd(Level1Fields.OpenPrice, f.OpenPrice.GetValue(cols));
l1Msg.TryAdd(Level1Fields.ClosePrice, f.ClosePrice.GetValue(cols));
l1Msg.TryAdd(Level1Fields.HighPrice, maxPrice);
l1Msg.TryAdd(Level1Fields.LowPrice, minPrice);
l1Msg.TryAdd(Level1Fields.BestBidPrice, f.Buy.GetValue(cols));
l1Msg.TryAdd(Level1Fields.BestBidVolume, (decimal)f.BuyQty.GetValue(cols));
l1Msg.TryAdd(Level1Fields.BestAskPrice, f.Sell.GetValue(cols));
l1Msg.TryAdd(Level1Fields.BestAskVolume, (decimal)f.SellQty.GetValue(cols));
l1Msg.TryAdd(Level1Fields.MinPrice, minPrice);
l1Msg.TryAdd(Level1Fields.MaxPrice, maxPrice);
l1Msg.TryAdd(Level1Fields.Multiplier, (decimal)f.LotSize.GetValue(cols));
l1Msg.TryAdd(Level1Fields.ImpliedVolatility, f.Volatility.GetValue(cols));
l1Msg.TryAdd(Level1Fields.TheorPrice, f.TheorPrice.GetValue(cols));
l1Msg.TryAdd(Level1Fields.LastTradePrice, f.LastPrice.GetValue(cols));
l1Msg.TryAdd(Level1Fields.LastTradeVolume, (decimal)f.LastQty.GetValue(cols));
l1Msg.TryAdd(Level1Fields.PriceStep, f.PriceStep.GetValue(cols));
l1Msg.TryAdd(Level1Fields.BidsVolume, (decimal)f.BuySQty.GetValue(cols));
l1Msg.TryAdd(Level1Fields.BidsCount, f.BuyCount.GetValue(cols));
l1Msg.TryAdd(Level1Fields.AsksVolume, (decimal)f.SellSQty.GetValue(cols));
l1Msg.TryAdd(Level1Fields.AsksCount, f.SellCount.GetValue(cols));
SendOutMessage(l1Msg);
}
}
private void OnSessionMarketDataChanged(OrderBookEvent orderBookEvent)
{
var time = TimeHelper.GregorianStart.AddMilliseconds(orderBookEvent.Timestamp).ApplyTimeZone(TimeZoneInfo.Utc);
var secId = new SecurityId {
Native = orderBookEvent.InstrumentId
};
var l1Msg = new Level1ChangeMessage
{
ServerTime = time,
SecurityId = secId,
};
if (orderBookEvent.HasMarketClosePrice)
{
l1Msg.Add(Level1Fields.ClosePrice, orderBookEvent.MktClosePrice);
}
if (orderBookEvent.HasDailyHighestTradedPrice)
{
l1Msg.Add(Level1Fields.HighPrice, orderBookEvent.DailyHighestTradedPrice);
}
if (orderBookEvent.HasDailyLowestTradedPrice)
{
l1Msg.Add(Level1Fields.LowPrice, orderBookEvent.DailyLowestTradedPrice);
}
if (orderBookEvent.HasLastTradedPrice)
{
l1Msg.Add(Level1Fields.LastTradePrice, orderBookEvent.LastTradedPrice);
}
SendOutMessage(l1Msg);
SendOutMessage(new QuoteChangeMessage
{
SecurityId = secId,
Bids = orderBookEvent.BidPrices.Select(p => new QuoteChange(Sides.Buy, p.Price, p.Quantity)),
Asks = orderBookEvent.AskPrices.Select(p => new QuoteChange(Sides.Sell, p.Price, p.Quantity)),
ServerTime = time
});
}
private static Level1ChangeMessage ToLevel2(string value)
{
var parts = value.SplitByComma();
var isBidValid = parts[10] == "T";
var isAskValid = parts[11] == "T";
if (!isBidValid && !isAskValid)
{
return(null);
}
var date = parts[7].ToDateTime("yyyy-MM-dd");
var l1Msg = new Level1ChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = parts[0],
BoardCode = parts[1]
},
};
// http://www.iqfeed.net/dev/api/docs/ConditionCodes.cfm
l1Msg.Add(Level1Fields.IsSystem, parts[8] == "52");
if (isAskValid)
{
l1Msg.ServerTime = date.Add(parts[9].To <TimeSpan>()).ApplyTimeZone(TimeHelper.Est);
l1Msg
.TryAdd(Level1Fields.BestAskPrice, parts[3].To <decimal>())
.TryAdd(Level1Fields.BestAskVolume, parts[5].To <decimal>())
.Add(Level1Fields.BestAskTime, l1Msg.ServerTime);
}
if (isBidValid)
{
var bidTime = date.Add(parts[6].To <TimeSpan>()).ApplyTimeZone(TimeHelper.Est);
if (bidTime > l1Msg.ServerTime)
{
l1Msg.ServerTime = bidTime;
}
l1Msg
.TryAdd(Level1Fields.BestBidPrice, parts[2].To <decimal>())
.TryAdd(Level1Fields.BestBidVolume, parts[4].To <decimal>())
.Add(Level1Fields.BestBidTime, bidTime);
}
return(l1Msg);
}
private void OnSecurityChanged(string smartId, Tuple <decimal?, decimal?, DateTime> lastTrade, decimal?open, decimal?high, decimal?low, decimal?close, decimal?volume, QuoteChange bid, QuoteChange ask,
decimal?openInt, Tuple <decimal?, decimal?> goBuySell, Tuple <decimal?, decimal?> goBase, Tuple <decimal?, decimal?> limits, int tradingStatus, Tuple <decimal?, decimal?> volatTheorPrice)
{
var secId = new SecurityId {
Native = smartId
};
var message = new Level1ChangeMessage
{
SecurityId = secId,
ExtensionInfo = new Dictionary <object, object>
{
{ SmartComExtensionInfoHelper.SecurityOptionsMargin, goBase.Item1 },
{ SmartComExtensionInfoHelper.SecurityOptionsSyntheticMargin, goBase.Item2 }
},
ServerTime = CurrentTime.Convert(TimeHelper.Moscow),
};
message.TryAdd(Level1Fields.LastTradePrice, lastTrade.Item1);
message.TryAdd(Level1Fields.LastTradeVolume, lastTrade.Item2);
message.Add(Level1Fields.LastTradeTime, lastTrade.Item3.ApplyTimeZone(TimeHelper.Moscow));
var prevQuotes = _bestQuotes.TryGetValue(secId);
if (bid.Price != 0)
{
message.Add(Level1Fields.BestBidPrice, bid.Price);
if (prevQuotes != null && prevQuotes.First != null && prevQuotes.First.Item1 == bid.Price)
{
message.Add(Level1Fields.BestBidVolume, prevQuotes.First.Item2);
}
}
if (ask.Price != 0)
{
message.Add(Level1Fields.BestAskPrice, ask.Price);
if (prevQuotes != null && prevQuotes.Second != null && prevQuotes.Second.Item1 == ask.Price)
{
message.Add(Level1Fields.BestAskVolume, prevQuotes.Second.Item2);
}
}
message.TryAdd(Level1Fields.BidsVolume, bid.Volume);
message.TryAdd(Level1Fields.AsksVolume, ask.Volume);
message.TryAdd(Level1Fields.OpenPrice, open);
message.TryAdd(Level1Fields.LowPrice, low);
message.TryAdd(Level1Fields.HighPrice, high);
message.TryAdd(Level1Fields.ClosePrice, close);
message.TryAdd(Level1Fields.MinPrice, limits.Item1);
message.TryAdd(Level1Fields.MaxPrice, limits.Item2);
message.TryAdd(Level1Fields.MarginBuy, goBuySell.Item1);
message.TryAdd(Level1Fields.MarginSell, goBuySell.Item2);
message.TryAdd(Level1Fields.OpenInterest, openInt);
message.TryAdd(Level1Fields.ImpliedVolatility, volatTheorPrice.Item1);
message.TryAdd(Level1Fields.TheorPrice, volatTheorPrice.Item2);
message.TryAdd(Level1Fields.Volume, volume);
message.Add(Level1Fields.State, tradingStatus == 0 ? SecurityStates.Trading : SecurityStates.Stoped);
SendOutMessage(message);
}
private static Level1ChangeMessage ToLevel2(string value)
{
var parts = value.SplitByComma();
var isBidValid = parts[10] == "T";
var isAskValid = parts[11] == "T";
if (!isBidValid && !isAskValid)
return null;
var date = parts[7].ToDateTime("yyyy-MM-dd");
var l1Msg = new Level1ChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = parts[0],
BoardCode = parts[1]
},
};
// http://www.iqfeed.net/dev/api/docs/ConditionCodes.cfm
l1Msg.Add(Level1Fields.IsSystem, parts[8] == "52");
if (isAskValid)
{
l1Msg.ServerTime = date.Add(parts[9].To<TimeSpan>()).ApplyTimeZone(TimeHelper.Est);
l1Msg
.TryAdd(Level1Fields.BestAskPrice, parts[3].To<decimal>())
.TryAdd(Level1Fields.BestAskVolume, parts[5].To<decimal>())
.Add(Level1Fields.BestAskTime, l1Msg.ServerTime);
}
if (isBidValid)
{
var bidTime = date.Add(parts[6].To<TimeSpan>()).ApplyTimeZone(TimeHelper.Est);
if (bidTime > l1Msg.ServerTime)
l1Msg.ServerTime = bidTime;
l1Msg
.TryAdd(Level1Fields.BestBidPrice, parts[2].To<decimal>())
.TryAdd(Level1Fields.BestBidVolume, parts[4].To<decimal>())
.Add(Level1Fields.BestBidTime, bidTime);
}
return l1Msg;
}
private void OnSecurityChanged(string smartId, Tuple<decimal, decimal, DateTime> lastTrade, decimal open, decimal high, decimal low, decimal close, decimal volume, QuoteChange bid, QuoteChange ask,
decimal openInt, Tuple<decimal, decimal> goBuySell, Tuple<decimal, decimal> goBase, Tuple<decimal, decimal> limits, int tradingStatus, Tuple<decimal, decimal> volatTheorPrice)
{
var secId = new SecurityId { Native = smartId };
var message = new Level1ChangeMessage
{
SecurityId = secId,
ExtensionInfo = new Dictionary<object, object>
{
{ SmartComExtensionInfoHelper.SecurityOptionsMargin, goBase.Item1 },
{ SmartComExtensionInfoHelper.SecurityOptionsSyntheticMargin, goBase.Item2 }
},
ServerTime = CurrentTime.Convert(TimeHelper.Moscow),
};
message.TryAdd(Level1Fields.LastTradePrice, lastTrade.Item1);
message.TryAdd(Level1Fields.LastTradeVolume, lastTrade.Item2);
message.Add(Level1Fields.LastTradeTime, lastTrade.Item3.ApplyTimeZone(TimeHelper.Moscow));
var prevQuotes = _bestQuotes.TryGetValue(secId);
if (bid.Price != 0)
{
message.Add(Level1Fields.BestBidPrice, bid.Price);
if (prevQuotes != null && prevQuotes.First != null && prevQuotes.First.Item1 == bid.Price)
message.Add(Level1Fields.BestBidVolume, prevQuotes.First.Item2);
}
if (ask.Price != 0)
{
message.Add(Level1Fields.BestAskPrice, ask.Price);
if (prevQuotes != null && prevQuotes.Second != null && prevQuotes.Second.Item1 == ask.Price)
message.Add(Level1Fields.BestAskVolume, prevQuotes.Second.Item2);
}
message.TryAdd(Level1Fields.BidsVolume, bid.Volume);
message.TryAdd(Level1Fields.AsksVolume, ask.Volume);
message.TryAdd(Level1Fields.OpenPrice, open);
message.TryAdd(Level1Fields.LowPrice, low);
message.TryAdd(Level1Fields.HighPrice, high);
message.TryAdd(Level1Fields.ClosePrice, close);
message.TryAdd(Level1Fields.MinPrice, limits.Item1);
message.TryAdd(Level1Fields.MaxPrice, limits.Item2);
message.TryAdd(Level1Fields.MarginBuy, goBuySell.Item1);
message.TryAdd(Level1Fields.MarginSell, goBuySell.Item2);
message.TryAdd(Level1Fields.OpenInterest, openInt);
message.TryAdd(Level1Fields.ImpliedVolatility, volatTheorPrice.Item1);
message.TryAdd(Level1Fields.TheorPrice, volatTheorPrice.Item2);
message.TryAdd(Level1Fields.Volume, volume);
message.Add(Level1Fields.State, tradingStatus == 0 ? SecurityStates.Trading : SecurityStates.Stoped);
SendOutMessage(message);
}
private void OnSessionMarketDataChanged(OrderBookEvent orderBookEvent)
{
var time = TimeHelper.GregorianStart.AddMilliseconds(orderBookEvent.Timestamp).ApplyTimeZone(TimeZoneInfo.Utc);
var secId = new SecurityId { Native = orderBookEvent.InstrumentId };
var l1Msg = new Level1ChangeMessage
{
ServerTime = time,
SecurityId = secId,
};
if (orderBookEvent.HasMarketClosePrice)
l1Msg.Add(Level1Fields.ClosePrice, orderBookEvent.MktClosePrice);
if (orderBookEvent.HasDailyHighestTradedPrice)
l1Msg.Add(Level1Fields.HighPrice, orderBookEvent.DailyHighestTradedPrice);
if (orderBookEvent.HasDailyLowestTradedPrice)
l1Msg.Add(Level1Fields.LowPrice, orderBookEvent.DailyLowestTradedPrice);
if (orderBookEvent.HasLastTradedPrice)
{
l1Msg.Add(Level1Fields.LastTradePrice, orderBookEvent.LastTradedPrice);
}
SendOutMessage(l1Msg);
SendOutMessage(new QuoteChangeMessage
{
SecurityId = secId,
Bids = orderBookEvent.BidPrices.Select(p => new QuoteChange(Sides.Buy, p.Price, p.Quantity)),
Asks = orderBookEvent.AskPrices.Select(p => new QuoteChange(Sides.Sell, p.Price, p.Quantity)),
ServerTime = time
});
}
private void OnQuotationsResponse(QuotationsResponse response)
{
foreach (var quote in response.Quotations)
{
var message = new Level1ChangeMessage
{
SecurityId = new SecurityId { Native = quote.SecId },
ServerTime = CurrentTime.Convert(TimeHelper.Moscow),
};
message.TryAdd(Level1Fields.AccruedCouponIncome, quote.AccruedIntValue);
message.TryAdd(Level1Fields.OpenPrice, quote.Open);
message.TryAdd(Level1Fields.HighPrice, quote.High);
message.TryAdd(Level1Fields.LowPrice, quote.Low);
message.TryAdd(Level1Fields.ClosePrice, quote.ClosePrice);
message.TryAdd(Level1Fields.BidsCount, quote.BidsCount);
message.TryAdd(Level1Fields.BidsVolume, (decimal?)quote.BidsVolume);
message.TryAdd(Level1Fields.AsksCount, quote.AsksCount);
message.TryAdd(Level1Fields.AsksVolume, (decimal?)quote.AsksVolume);
message.TryAdd(Level1Fields.HighBidPrice, quote.HighBid);
message.TryAdd(Level1Fields.LowAskPrice, quote.LowAsk);
message.TryAdd(Level1Fields.Yield, quote.Yield);
message.TryAdd(Level1Fields.MarginBuy, quote.BuyDeposit);
message.TryAdd(Level1Fields.MarginSell, quote.SellDeposit);
message.TryAdd(Level1Fields.HistoricalVolatility, quote.Volatility);
message.TryAdd(Level1Fields.TheorPrice, quote.TheoreticalPrice);
message.TryAdd(Level1Fields.Change, quote.Change);
message.TryAdd(Level1Fields.Volume, (decimal?)quote.VolToday);
message.TryAdd(Level1Fields.StepPrice, quote.PointCost);
message.TryAdd(Level1Fields.OpenInterest, (decimal?)quote.OpenInterest);
message.TryAdd(Level1Fields.TradesCount, quote.TradesCount);
if (quote.Status != null)
message.Add(Level1Fields.State, quote.Status.Value.FromTransaq());
// Transaq передает только изменения (например, передать только цену сделки, если объем при этом не изменился)
message.TryAdd(Level1Fields.LastTradePrice, quote.LastTradePrice);
message.TryAdd(Level1Fields.LastTradeVolume, (decimal?)quote.LastTradeVolume);
if (quote.LastTradeTime != null)
message.Add(Level1Fields.LastTradeTime, quote.LastTradeTime.Value.ToDto());
message.TryAdd(Level1Fields.BestBidPrice, quote.BestBidPrice);
message.TryAdd(Level1Fields.BestBidVolume, (decimal?)quote.BestBidVolume);
message.TryAdd(Level1Fields.BestAskPrice, quote.BestAskPrice);
message.TryAdd(Level1Fields.BestAskVolume, (decimal?)quote.BestAskVolume);
SendOutMessage(message);
}
}
private void OnProcessLevel1(string[] data)
{
var f = Wrapper.FieldsLevel1;
foreach (var row in data)
{
var cols = row.ToColumns();
var paperNo = f.PaperNo.GetValue(cols);
var secId = new SecurityId { Native = paperNo };
var l1Msg = new Level1ChangeMessage
{
SecurityId = secId,
ServerTime = (f.LastUpdateDate.GetValue(cols).Date + f.LastUpdateTime.GetValue(cols).TimeOfDay).ApplyTimeZone(TimeHelper.Moscow)
};
l1Msg.Add(Level1Fields.State, f.TradingStatus.GetValue(cols));
l1Msg.TryAdd(Level1Fields.MarginBuy, f.GoBuy.GetValue(cols));
l1Msg.TryAdd(Level1Fields.MarginSell, f.GoSell.GetValue(cols));
l1Msg.TryAdd(Level1Fields.OpenInterest, (decimal)f.OpenPosQty.GetValue(cols));
var minPrice = f.MinDeal.GetValue(cols);
var maxPrice = f.MaxDeal.GetValue(cols);
l1Msg.TryAdd(Level1Fields.OpenPrice, f.OpenPrice.GetValue(cols));
l1Msg.TryAdd(Level1Fields.ClosePrice, f.ClosePrice.GetValue(cols));
l1Msg.TryAdd(Level1Fields.HighPrice, maxPrice);
l1Msg.TryAdd(Level1Fields.LowPrice, minPrice);
l1Msg.TryAdd(Level1Fields.BestBidPrice, f.Buy.GetValue(cols));
l1Msg.TryAdd(Level1Fields.BestBidVolume, (decimal)f.BuyQty.GetValue(cols));
l1Msg.TryAdd(Level1Fields.BestAskPrice, f.Sell.GetValue(cols));
l1Msg.TryAdd(Level1Fields.BestAskVolume, (decimal)f.SellQty.GetValue(cols));
l1Msg.TryAdd(Level1Fields.MinPrice, minPrice);
l1Msg.TryAdd(Level1Fields.MaxPrice, maxPrice);
l1Msg.TryAdd(Level1Fields.Multiplier, (decimal)f.LotSize.GetValue(cols));
l1Msg.TryAdd(Level1Fields.ImpliedVolatility, f.Volatility.GetValue(cols));
l1Msg.TryAdd(Level1Fields.TheorPrice, f.TheorPrice.GetValue(cols));
l1Msg.TryAdd(Level1Fields.LastTradePrice, f.LastPrice.GetValue(cols));
l1Msg.TryAdd(Level1Fields.LastTradeVolume, (decimal)f.LastQty.GetValue(cols));
l1Msg.TryAdd(Level1Fields.PriceStep, f.PriceStep.GetValue(cols));
l1Msg.TryAdd(Level1Fields.BidsVolume, (decimal)f.BuySQty.GetValue(cols));
l1Msg.TryAdd(Level1Fields.BidsCount, f.BuyCount.GetValue(cols));
l1Msg.TryAdd(Level1Fields.AsksVolume, (decimal)f.SellSQty.GetValue(cols));
l1Msg.TryAdd(Level1Fields.AsksCount, f.SellCount.GetValue(cols));
SendOutMessage(l1Msg);
}
}