internal OrderStatusReport(ResponseComposer c)
{
var serverVersion = c.Config.ServerVersionCurrent;
var version = serverVersion >= ServerVersion.MarketCapPrice ? int.MaxValue : c.ReadInt();
OrderId = c.ReadInt();
Status = c.ReadStringEnum <OrderStatus>();
Filled = c.ReadDouble();
Remaining = c.ReadDouble();
AverageFillPrice = c.ReadDouble();
if (version >= 2)
{
PermanentId = c.ReadInt();
}
if (version >= 3)
{
ParentId = c.ReadInt();
}
if (version >= 4)
{
LastFillPrice = c.ReadDouble();
}
if (version >= 5)
{
ClientId = c.ReadInt();
}
if (version >= 6)
{
WhyHeld = c.ReadString();
}
if (serverVersion >= ServerVersion.MarketCapPrice)
{
MktCapPrice = c.ReadDouble();
}
}
internal static void Send(ResponseComposer p)
{
var version = p.GetVersion();
var requestId = p.ReadInt();
if (requestId == int.MaxValue)
{
p.ReadDouble(); // trigger parse exception for testing
}
var priceTickType = p.ReadEnum <TickType>();
var price = p.ReadDouble();
var size = version >= 2 ? p.ReadInt() : 0;
var priceTick = new TickPrice(requestId, priceTickType, price, new TickAttrib(version >= 3? p: null));
p.Output(priceTick);
if (version >= 2)
{
TickType tickTypeSize = GetTickTypeSize(priceTickType);
if (tickTypeSize != TickType.Undefined)
{
p.Output(new TickSize(requestId, tickTypeSize, size));
}
}
}
internal TickSize(ResponseComposer c)
{
c.IgnoreVersion();
RequestId = c.ReadInt();
TickType = c.ReadEnum <TickType>();
Size = c.ReadInt();
}
internal TickReqParams(ResponseComposer c)
{
RequestId = c.ReadInt();
MinTick = c.ReadDouble();
BboExchange = c.ReadString();
SnapshotPermissions = c.ReadInt();
}
public HistoricalLastTicks(ResponseComposer c)
{
RequestId = c.ReadInt();
var n = c.ReadInt();
Ticks = Enumerable.Repeat(new HistoricalLastTick(c), n).ToList().AsReadOnly();
Done = c.ReadBool();
}
internal SecurityDefinitionOptionParameter(ResponseComposer c)
{
RequestId = c.ReadInt();
Exchange = c.ReadString();
UnderlyingContractId = c.ReadInt();
TradingClass = c.ReadString();
Multiplier = c.ReadString();
c.AddStringsToList(Expirations);
c.AddStringsToList(Strikes);
}
internal HistogramItems(ResponseComposer c)
{
RequestId = c.ReadInt();
var n = c.ReadInt();
for (int i = 0; i < n; i++)
{
Items.Add(new HistogramItem(c));
}
}
internal SoftDollarTiers(ResponseComposer c)
{
RequestId = c.ReadInt();
var n = c.ReadInt();
for (int i = 0; i < n; i++)
{
Tiers.Add(new SoftDollarTier(c));
}
}
internal MarketRule(ResponseComposer c)
{
MarketRuleId = c.ReadInt();
var n = c.ReadInt();
for (int i = 0; i < n; i++)
{
PriceIncrements.Add(new PriceIncrement(c));
}
}
internal SymbolSamples(ResponseComposer c)
{
RequestId = c.ReadInt();
var n = c.ReadInt();
for (int i = 0; i < n; i++)
{
Descriptions.Add(new ContractDescription(c));
}
}
internal ScannerData(ResponseComposer c)
{
c.RequireVersion(3);
RequestId = c.ReadInt();
var n = c.ReadInt();
for (int i = 0; i < n; i++)
{
Items.Add(new ScannerDataItem(c));
}
}
internal DeltaNeutralContract(ResponseComposer c, bool independent)
{
if (independent)
{
c.IgnoreVersion();
RequestId = c.ReadInt();
}
ContractId = c.ReadInt();
Delta = c.ReadDouble();
Price = c.ReadDouble();
}
public HistoricalTicks(ResponseComposer c)
{
RequestId = c.ReadInt();
var n = c.ReadInt();
for (int i = 0; i < n; i++)
{
Ticks.Add(new HistoricalTick(c));
}
Done = c.ReadBool();
}
internal ContractComboLeg(ResponseComposer c)
{
ContractId = c.ReadInt();
Ratio = c.ReadInt();
TradeAction = c.ReadStringEnum <TradeAction>();
Exchange = c.ReadString();
OpenClose = c.ReadEnum <ComboOpenClose>();
ComboShortSaleSlot = c.ReadEnum <ComboShortSaleSlot>();
DesignatedLocation = c.ReadString();
ExemptCode = c.ReadInt();
}
internal HistoricalData(ResponseComposer c)
{
RequestId = c.ReadInt();
BarCount = c.ReadInt();
Date = c.ReadString();
Open = c.ReadDouble();
Close = c.ReadDouble();
High = c.ReadDouble();
Low = c.ReadDouble();
WAP = c.ReadDouble();
Volume = c.ReadLong();
}
internal SmartComponents(ResponseComposer c)
{
RequestId = c.ReadInt();
var n = c.ReadInt();
for (var i = 0; i < n; i++)
{
var bitNumber = c.ReadInt();
var exchange = c.ReadString();
var exchangeLetter = c.ReadChar();
Map.Add(bitNumber, new KeyValuePair <string, char>(exchange, exchangeLetter));
}
}
internal TickExchangeForPhysical(ResponseComposer c)
{
c.IgnoreVersion();
RequestId = c.ReadInt();
TickType = c.ReadEnum <TickType>();
BasisPoints = c.ReadDouble();
FormattedBasisPoints = c.ReadString();
ImpliedFuturesPrice = c.ReadDouble();
HoldDays = c.ReadInt();
FutureExpiry = c.ReadString();
DividendImpact = c.ReadDouble();
DividendsToLastTradeDate = c.ReadDouble();
}
internal RealtimeBar(ResponseComposer c)
{
c.IgnoreVersion();
RequestId = c.ReadInt();
Time = Instant.FromUnixTimeSeconds(long.Parse(c.ReadString(), NumberFormatInfo.InvariantInfo));
Open = c.ReadDouble();
High = c.ReadDouble();
Low = c.ReadDouble();
Close = c.ReadDouble();
Volume = c.ReadLong();
Wap = c.ReadDouble();
Count = c.ReadInt();
}
internal MarketDepth(ResponseComposer c, bool isLevel2)
{
c.IgnoreVersion();
RequestId = c.ReadInt();
Position = c.ReadInt();
MarketMaker = isLevel2 ? c.ReadString() : string.Empty;
Operation = c.ReadEnum <MarketDepthOperation>();
Side = c.ReadEnum <MarketDepthSide>();
Price = c.ReadDouble();
Size = c.ReadInt();
if (isLevel2 && c.Config.SupportsServerVersion(ServerVersion.SmartDepth))
{
IsSmartDepth = c.ReadBool();
}
}
public PnLSingle(ResponseComposer c)
{
RequestId = c.ReadInt();
Pos = c.ReadInt();
DailyPnL = c.ReadDouble();
if (c.Config.SupportsServerVersion(ServerVersion.UnrealizedPnl))
{
UnrealizedPnL = c.ReadDouble();
}
if (c.Config.SupportsServerVersion(ServerVersion.RealizedPnl))
{
RealizedPnL = c.ReadDouble();
}
Value = c.ReadDouble();
}
internal HistoricalBars(ResponseComposer c) // a one-shot deal
{
if (!c.Config.SupportsServerVersion(ServerVersion.SyntRealtimeBats))
{
c.RequireVersion(3);
}
RequestId = c.ReadInt();
Start = c.ReadLocalDateTime(DateTimePattern);
End = c.ReadLocalDateTime(DateTimePattern);
var n = c.ReadInt();
for (var i = 0; i < n; i++)
{
Bars.Add(new HistoricalBar(c));
}
}
internal HistoricalTick(ResponseComposer c)
{
Time = c.ReadLong();
c.ReadInt(); // ?
Price = c.ReadDouble();
Size = c.ReadLong();
}
internal override void Deserialize(ResponseComposer c)
{
base.Deserialize(c);
ConId = c.ReadInt();
Exchange = c.ReadString();
}
internal PortfolioValue(ResponseComposer c)
{
c.RequireVersion(8);
Contract = new Contract
{
ContractId = c.ReadInt(),
Symbol = c.ReadString(),
SecurityType = c.ReadStringEnum <SecurityType>(),
LastTradeDateOrContractMonth = c.ReadString(),
Strike = c.ReadDouble(),
Right = c.ReadStringEnum <RightType>(),
Multiplier = c.ReadString(),
PrimaryExchange = c.ReadString(),
Currency = c.ReadString(),
LocalSymbol = c.ReadString(),
TradingClass = c.ReadString()
};
Position = c.ReadDouble();
MarketPrice = c.ReadDouble();
MarketValue = c.ReadDouble();
AverageCost = c.ReadDouble();
UnrealizedPnl = c.ReadDouble();
RealizedPnl = c.ReadDouble();
Account = c.ReadString();
}
internal TickMarketDataType(ResponseComposer c)
{
c.IgnoreVersion();
RequestId = c.ReadInt();
TickType = TickType.MarketDataType; //
MarketDataType = c.ReadEnum <MarketDataType>();
}
internal NewsBulletin(ResponseComposer c)
{
c.IgnoreVersion();
MessageId = c.ReadInt();
Type = c.ReadEnum <NewsBulletinType>();
Message = c.ReadString();
Origin = c.ReadString();
}
internal HistoricalNews(ResponseComposer c)
{
RequestId = c.ReadInt();
Time = c.ReadString();
ProviderCode = c.ReadString();
ArticleId = c.ReadString();
Headline = c.ReadString();
}
internal TickNews(ResponseComposer c)
{
RequestId = c.ReadInt();
TimeStamp = c.ReadLong();
ProviderCode = c.ReadString();
ArticleId = c.ReadString();
Headline = c.ReadString();
ExtraData = c.ReadString();
}
internal HistoricalLastTick(ResponseComposer c)
{
Time = c.ReadLong();
TickAttribLast = new TickAttribLast(c.ReadInt());
Price = c.ReadDouble();
Size = c.ReadLong();
Exchange = c.ReadString();
SpecialConditions = c.ReadString();
}
internal HistoricalBidAskTick(ResponseComposer c)
{
Time = c.ReadLong();
TickAttribBidAsk = new TickAttribBidAsk(c.ReadInt());
PriceBid = c.ReadDouble();
PriceAsk = c.ReadDouble();
SizeBid = c.ReadLong();
SizeAsk = c.ReadLong();
}