/// <summary>
/// Save settings.
/// </summary>
/// <param name="storage">Settings storage.</param>
public override void Save(SettingsStorage storage)
{
base.Save(storage);
storage.SetValue("Level1Address", Level1Address.To <string>());
storage.SetValue("Level2Address", Level2Address.To <string>());
storage.SetValue("LookupAddress", LookupAddress.To <string>());
storage.SetValue("AdminAddress", AdminAddress.To <string>());
storage.SetValue("DerivativeAddress", DerivativeAddress.To <string>());
storage.SetValue("IsDownloadSecurityFromSite", IsDownloadSecurityFromSite);
storage.SetValue("SecuritiesFile", SecuritiesFile);
storage.SetValue("SecurityTypesFilter", SecurityTypesFilter.Select(t => t.To <string>()).Join(","));
storage.SetValue("Level1Columns", Level1Columns.Select(c => c.Name).Join(","));
}
private IEnumerable <Message> ToSecurityUpdateMessage(string value)
{
var parts = value.SplitByComma();
var index = 0;
var secCode = parts[index++];
var exchangeId = int.Parse(parts[index++], NumberStyles.HexNumber);
var tradeBoard = parts[index++].To <int?>();
var bidBoard = parts[index++].To <int?>();
var askBoard = parts[index++].To <int?>();
var l1Messages = new[] { exchangeId, tradeBoard, bidBoard, askBoard }
.Where(id => id != null)
.Select(id => id.Value)
.Distinct()
.ToDictionary(boardId => boardId, boardId => new Level1ChangeMessage
{
SecurityId = CreateSecurityId(secCode, boardId)
});
DateTime?lastTradeDate = null;
TimeSpan?lastTradeTime = null;
decimal? lastTradePrice = null;
decimal? lastTradeVolume = null;
long? lastTradeId = null;
var types = new HashSet <Level1Fields>(Enumerator.GetValues <Level1Fields>());
var messageContentsIndex = Level1Columns.IndexOf(Level1ColumnRegistry.MessageContents);
if (messageContentsIndex != -1)
{
types.Exclude(parts[messageContentsIndex + index]);
}
if (tradeBoard == null)
{
types.Remove(Level1Fields.LastTradeId);
types.Remove(Level1Fields.LastTradeTime);
types.Remove(Level1Fields.LastTradePrice);
types.Remove(Level1Fields.LastTradeVolume);
}
if (bidBoard == null)
{
types.Remove(Level1Fields.BestBidTime);
types.Remove(Level1Fields.BestBidPrice);
types.Remove(Level1Fields.BestBidVolume);
}
if (askBoard == null)
{
types.Remove(Level1Fields.BestAskTime);
types.Remove(Level1Fields.BestAskPrice);
types.Remove(Level1Fields.BestAskVolume);
}
foreach (var column in Level1Columns)
{
var colValue = parts[index++];
if (colValue.IsEmpty())
{
continue;
}
//colValue = colValue.To(column.Type);
switch (column.Field)
{
case IQFeedLevel1Column.DefaultField:
{
var typedColValue = column.Convert(colValue);
if (typedColValue != null)
{
l1Messages[exchangeId].AddValue(column.Name, typedColValue);
}
break;
}
case Level1Fields.LastTradeId:
if (types.Contains(column.Field))
{
lastTradeId = colValue.To <long?>();
if (lastTradeId != null && lastTradeId != 0)
{
l1Messages[tradeBoard.Value].Add(column.Field, lastTradeId.Value);
}
}
break;
case Level1Fields.LastTradeTime:
if (types.Contains(column.Field))
{
if (column == Level1ColumnRegistry.LastDate)
{
lastTradeDate = colValue.TryToDateTime(column.Format);
}
else if (column == Level1ColumnRegistry.LastTradeTime)
{
lastTradeTime = column.ConvertToTimeSpan(colValue);
}
if (lastTradeDate.HasValue && lastTradeTime.HasValue)
{
var l1Msg = l1Messages[tradeBoard.Value];
l1Msg.ServerTime = (lastTradeDate.Value + lastTradeTime.Value).ApplyTimeZone(TimeHelper.Est);
l1Msg.Add(Level1Fields.LastTradeTime, l1Msg.ServerTime);
}
}
break;
case Level1Fields.LastTradePrice:
case Level1Fields.LastTradeVolume:
if (types.Contains(column.Field))
{
var decValue = colValue.To <decimal?>();
l1Messages[tradeBoard.Value].TryAdd(column.Field, decValue);
if (column == Level1ColumnRegistry.LastTradePrice)
{
lastTradePrice = decValue;
}
else // if (column == SessionHolder.Level1ColumnRegistry.LastTradeVolume)
{
lastTradeVolume = decValue;
}
}
break;
case Level1Fields.BestBidTime:
if (types.Contains(column.Field))
{
var typedColValue = column.ConvertToTimeSpan(colValue);
if (typedColValue != null)
{
var l1Msg = l1Messages[bidBoard.Value];
l1Msg.ServerTime = (DateTime.Today + typedColValue.Value).ApplyTimeZone(TimeHelper.Est);
l1Msg.Add(Level1Fields.BestBidTime, l1Msg.ServerTime);
}
}
break;
case Level1Fields.BestBidPrice:
case Level1Fields.BestBidVolume:
if (types.Contains(column.Field))
{
l1Messages[bidBoard.Value].TryAdd(column.Field, colValue.To <decimal?>());
}
break;
case Level1Fields.BestAskTime:
if (types.Contains(column.Field))
{
var typedColValue = column.ConvertToTimeSpan(colValue);
if (typedColValue != null)
{
var l1Msg = l1Messages[askBoard.Value];
l1Msg.ServerTime = (DateTime.Today + typedColValue.Value).ApplyTimeZone(TimeHelper.Est);
l1Msg.Add(Level1Fields.BestAskTime, l1Msg.ServerTime);
}
}
break;
case Level1Fields.BestAskPrice:
case Level1Fields.BestAskVolume:
if (types.Contains(column.Field))
{
l1Messages[askBoard.Value].TryAdd(column.Field, colValue.To <decimal?>());
}
break;
case Level1Fields.OpenInterest:
case Level1Fields.OpenPrice:
case Level1Fields.HighPrice:
case Level1Fields.LowPrice:
case Level1Fields.ClosePrice:
case Level1Fields.SettlementPrice:
case Level1Fields.VWAP:
if (types.Contains(column.Field))
{
l1Messages[exchangeId].TryAdd(column.Field, colValue.To <decimal?>());
}
break;
default:
if (types.Contains(column.Field))
{
var typedColValue = column.Convert(colValue);
if (typedColValue != null)
{
l1Messages[exchangeId].Add(column.Field, typedColValue);
}
}
break;
}
}
foreach (var l1Msg in l1Messages.Values)
{
if (l1Msg.Changes.Count <= 0)
{
continue;
}
yield return(new SecurityMessage {
SecurityId = l1Msg.SecurityId
});
if (l1Msg.ServerTime.IsDefault())
{
l1Msg.ServerTime = CurrentTime.Convert(TimeHelper.Est);
}
yield return(l1Msg);
}
if (!types.Contains(Level1Fields.LastTrade) || !lastTradeDate.HasValue || !lastTradeTime.HasValue ||
!lastTradeId.HasValue || !lastTradePrice.HasValue || !lastTradeVolume.HasValue)
{
yield break;
}
yield return(new ExecutionMessage
{
SecurityId = l1Messages[tradeBoard.Value].SecurityId,
TradeId = lastTradeId.Value,
ServerTime = (lastTradeDate.Value + lastTradeTime.Value).ApplyTimeZone(TimeHelper.Est),
TradePrice = lastTradePrice.Value,
Volume = lastTradeVolume.Value,
ExecutionType = ExecutionTypes.Tick,
});
}
