public void UpdateSecurityDefinition(SecurityMessage securityDefinition)
{
if (securityDefinition == null)
{
throw new ArgumentNullException("securityDefinition");
}
_securityDefinition = securityDefinition;
_stepsUpdated = true;
}
public void UpdateSecurityDefinition(SecurityMessage securityDefinition)
{
if (securityDefinition == null)
{
throw new ArgumentNullException("securityDefinition");
}
_securityDefinition = securityDefinition;
_priceStepUpdated = _securityDefinition.PriceStep != null;
_volumeStepUpdated = _securityDefinition.VolumeStep != null;
}
private void ProcessSecurityMessage(SecurityMessage message/*, string boardCode = null*/)
{
var secId = CreateSecurityId(message.SecurityId.SecurityCode, message.SecurityId.BoardCode);
var security = GetSecurity(secId, s =>
{
s.ApplyChanges(message, _entityCache.ExchangeInfoProvider);
return true;
});
if (message.OriginalTransactionId != 0)
_lookupResult.Add(security);
}
public static IBSocket SendPrimaryExchange(this IBSocket socket, SecurityMessage security)
{
if (security == null)
{
throw new ArgumentNullException(nameof(security));
}
if (socket.ServerVersion < ServerVersions.V14)
{
return(socket);
}
return(socket.SendBoardCode(security.GetRoutingBoard()));
}
public void UpdateSecurityDefinition(SecurityMessage securityDefinition)
{
_securityDefinition = securityDefinition ?? throw new ArgumentNullException(nameof(securityDefinition));
if (_securityDefinition.PriceStep != null)
{
_priceStepUpdated = true;
}
if (_securityDefinition.VolumeStep != null)
{
_volumeStepUpdated = true;
}
}
private void ReplaceSecurityId(SecurityMessage secMsg)
{
if (secMsg.NotRequiredSecurityId())
{
return;
}
var stockSharpId = secMsg.SecurityId.SetNativeId(null);
var adapterId = Storage.TryGetAdapterId(StorageName, stockSharpId);
if (adapterId != null)
{
this.AddInfoLog("{0}->{1}, {2}", stockSharpId, adapterId.Value, secMsg);
secMsg.ReplaceSecurityId(adapterId.Value);
}
}
public static bool NotRequiredSecurityId(this SecurityMessage secMsg)
{
if (secMsg == null)
{
throw new ArgumentNullException(nameof(secMsg));
}
if (secMsg.Type == MessageTypes.MarketData && ((MarketDataMessage)secMsg).DataType == MarketDataTypes.News)
{
return(secMsg.SecurityId.IsDefault());
}
else if (secMsg.Type == MessageTypes.OrderGroupCancel)
{
return(secMsg.SecurityId.IsDefault());
}
return(false);
}
/// <summary>Коллбэк результата поиска инструментов.</summary>
/// <param name="lookupTransId">Номер транзакции операции Lookup.</param>
/// <param name="data">Список инструментов, удовлетворяющих условию поиска.</param>
/// <param name="ex">Ошибка поиска.</param>
private void ClientOnProductLookupResult(long lookupTransId, IEnumerable <ProductInfo> data, Exception ex)
{
if (ex != null)
{
SendOutError(new ETradeException(LocalizedStrings.Str3363, ex));
if (lookupTransId > 0)
{
SendOutMessage(new SecurityLookupResultMessage {
OriginalTransactionId = lookupTransId
});
}
return;
}
foreach (var info in data.Where(info => info.securityType == "EQ"))
{
var secId = new SecurityId
{
SecurityCode = info.symbol,
BoardCode = AssociatedBoardCode,
};
var msg = new SecurityMessage
{
SecurityId = secId,
Name = info.companyName,
ShortName = info.companyName,
SecurityType = SecurityTypes.Stock,
PriceStep = 0.01m,
Currency = CurrencyTypes.USD,
};
SendOutMessage(msg);
}
if (lookupTransId > 0)
{
SendOutMessage(new SecurityLookupResultMessage {
OriginalTransactionId = lookupTransId
});
}
}
private void ProcessSecurityMessage(SecurityMessage message/*, string boardCode = null*/)
{
var secId = CreateSecurityId(message.SecurityId.SecurityCode, message.SecurityId.BoardCode);
var security = GetSecurity(secId, s =>
{
s.ApplyChanges(message);
return true;
});
if (message.OriginalTransactionId != 0)
_lookupResult.Add(security);
if (CreateAssociatedSecurity && !IsAssociated(message.SecurityId.BoardCode))
{
var clone = (SecurityMessage)message.Clone();
clone.SecurityId = CreateAssociatedId(clone.SecurityId);
ProcessSecurityMessage(clone);
}
}
private void IBSocket_NewSymbol(int row, int rowCount, long contractId, string name, string secCode, string secClass, int decimals, int lotSize, double stepPrice, double priceStep,
string isin, string board, System.DateTime expiryDate, double daysBeforeExpiry, double strike)
{
if (secCode.IsEmpty())
{
secCode = contractId.To <string>();
}
var securityId = new SecurityId
{
SecurityCode = secCode,
BoardCode = board,
NativeAsInt = contractId,
Isin = isin
};
if (secClass.IsEmpty())
{
secClass = board;
}
DateTime?expDate = DateTime.FromOADate(0) == expiryDate ? (DateTime?)null : expiryDate;
var secMsg = new SecurityMessage
{
PriceStep = Convert.ToDecimal(priceStep.ToDecimal()),
Decimals = decimals,
Multiplier = lotSize,
Name = name,
ShortName = name,
ExpiryDate = expDate == null ? (DateTimeOffset?)null : expDate.Value.ApplyTimeZone(TimeHelper.Est),
ExtensionInfo = new Dictionary <string, object>
{
{ "Class", secClass }
},
OriginalTransactionId = _lookupSecuritiesId
};
SendOutMessage(secMsg);
}
internal static void SetEvRule(this SecurityMessage security, string evRule)
{
security.AddValue(_evRule, evRule);
}
internal static void SetTradingHours(this SecurityMessage security, string tradingHours)
{
security.AddValue(_tradingHours, tradingHours);
}
internal static void SetLiquidHours(this SecurityMessage security, string liquidHours)
{
security.AddValue(_liquidHours, liquidHours);
}
internal static void SetSubCategory(this SecurityMessage security, string subCategory)
{
security.AddValue(_subCategory, subCategory);
}
internal static void SetTimeZoneId(this SecurityMessage security, string timeZoneId)
{
security.AddValue(_timeZoneId, timeZoneId);
}
private void OnNewSecurity(int row, int rowCount, string smartId, string name, string secCode, string secClass, int decimals, int lotSize,
decimal?stepPrice, decimal?priceStep, string isin, string board, DateTime?expiryDate, decimal?daysBeforeExpiry, decimal?strike)
{
//AMU: заглушка. 11.01.2013 обнаружил, что через SmartCom стали приходить инструменты (класс EQBR и FISS) с пустым secCode - "longName" в понятии АйтиИнвеста
if (secCode.IsEmpty())
{
secCode = smartId;
}
var securityId = new SecurityId
{
SecurityCode = secCode,
BoardCode = board,
Native = smartId,
Isin = isin
};
if (secClass.IsEmpty())
{
secClass = board;
}
var secMsg = new SecurityMessage
{
PriceStep = priceStep,
Decimals = decimals,
Multiplier = lotSize,
Name = name,
ShortName = name,
ExpiryDate = expiryDate?.ApplyTimeZone(TimeHelper.Moscow),
ExtensionInfo = new Dictionary <object, object>
{
{ "Class", secClass }
},
OriginalTransactionId = _lookupSecuritiesId
};
if (secClass.CompareIgnoreCase("IDX"))
{
secMsg.SecurityType = SecurityTypes.Index;
switch (secMsg.SecurityId.BoardCode)
{
case "RUSIDX":
securityId.BoardCode = secCode.ContainsIgnoreCase("MICEX") || secCode.ContainsIgnoreCase("MCX") ? ExchangeBoard.Micex.Code : ExchangeBoard.Forts.Code;
break;
//default:
// security.Board = ExchangeBoard.Test;
// break;
}
}
else
{
var info = SecurityClassInfo.GetSecurityClassInfo(secClass);
secMsg.SecurityType = info.Item1;
securityId.BoardCode = info.Item2;
// http://stocksharp.com/forum/yaf_postsm16847_Vopros-po-vystavlieniiu-zaiavok.aspx#post16847
if (ExchangeBoard.GetOrCreateBoard(info.Item2).IsMicex
&&
/* проверяем, что не началась ли трансляция правильных дробных шагов */
secMsg.PriceStep != null && secMsg.PriceStep == (int)secMsg.PriceStep)
{
// http://stocksharp.com/forum/yaf_postsm21245_Sokhranieniie-stakanov-po-GAZP-EQNE.aspx#post21245
secMsg.PriceStep = 1m / 10m.Pow(secMsg.PriceStep.Value);
}
}
secMsg.SecurityId = securityId;
if (secMsg.SecurityType == SecurityTypes.Option)
{
var optionInfo = secMsg.Name.GetOptionInfo(ExchangeBoard.Forts);
if (optionInfo != null)
{
// http://stocksharp.com/forum/yaf_postst1355_Exception-Change-Set-11052.aspx
if (!secCode.IsEmpty())
{
var futureInfo = optionInfo.UnderlyingSecurityId.GetFutureInfo(secCode, ExchangeBoard.Forts);
if (futureInfo != null)
{
secMsg.UnderlyingSecurityCode = futureInfo.SecurityId.SecurityCode;
}
}
secMsg.ExpiryDate = optionInfo.ExpiryDate;
secMsg.OptionType = optionInfo.OptionType;
secMsg.Strike = optionInfo.Strike;
}
}
SendOutMessage(secMsg);
if (stepPrice != null)
{
SendOutMessage(
new Level1ChangeMessage
{
SecurityId = securityId,
ServerTime = CurrentTime.Convert(TimeHelper.Moscow),
}
.TryAdd(Level1Fields.StepPrice, stepPrice.Value));
}
if ((row + 1) < rowCount)
{
return;
}
SendOutMessage(new SecurityLookupResultMessage {
OriginalTransactionId = _lookupSecuritiesId
});
_lookupSecuritiesId = 0;
}
/// <summary>
///
/// </summary>
/// <param name="securities"></param>
/// <param name="code"></param>
/// <param name="type"></param>
/// <param name="board"></param>
/// <param name="secMsg"></param>
/// <param name="onlyLocal"></param>
public static void TryFindLocal(this IDictionary <Tuple <string, SecurityTypes>, SecurityMessage> securities, string code, SecurityTypes type, string board, SecurityMessage secMsg, bool onlyLocal = false)
{
if (_ignoreCodes.Contains(code))
{
return;
}
var secProvider = ServicesRegistry.TrySecurityProvider;
if (secProvider != null)
{
var found = (board.IsEmpty() ? null : new[] { secProvider.LookupById(new SecurityId {
SecurityCode = code, BoardCode = board
}) }.Where(f1 => f1 != null)) ??
secProvider.LookupByCode(code, type).Where(s => s.ToSecurityId().SecurityCode.CompareIgnoreCase(code)) ??
secProvider.Lookup(new SecurityLookupMessage {
ShortName = code, SecurityType = type
}) ??
secProvider.Lookup(new SecurityLookupMessage {
Name = code, SecurityType = type
});
if (type == SecurityTypes.Stock)
{
found = found.OrderBy(f2 =>
{
var id = f2.Id.ToSecurityId();
if (id.BoardCode.EndsWithIgnoreCase("EMU"))
{
return(100);
}
if (id.BoardCode.StartsWithIgnoreCase("TQ"))
{
return(0);
}
return(50);
});
}
var f = found.FirstOrDefault();
if (f != null)
{
f.ToMessage().CopyTo(secMsg);
return;
}
}
if (!onlyLocal)
{
securities.TryAdd(Tuple.Create(code.ToUpperInvariant(), type), secMsg);
}
}
internal static void SetEvMultiplier(this SecurityMessage security, decimal evMultiplier)
{
security.AddValue(_evMultiplier, evMultiplier);
}
/// <summary>
/// Download securities info.
/// </summary>
/// <param name="securities">Securities.</param>
public static void DownloadInfo(this IDictionary <Tuple <string, SecurityTypes>, SecurityMessage> securities)
{
if (securities.Count == 0)
{
return;
}
void MostAppropriated(IEnumerable <SecurityMessage> messages, Tuple <string, SecurityTypes> key, SecurityMessage destination)
{
SecurityMessage found = null;
if (messages != null)
{
messages = messages.Where(s =>
{
var name = key.Item1;
return(s.SecurityId.SecurityCode.CompareIgnoreCase(name) || s.ShortName.CompareIgnoreCase(name) || s.Name.CompareIgnoreCase(name));
});
switch (key.Item2)
{
case SecurityTypes.Future:
found = messages.OrderByDescending(m => m.ExpiryDate).FirstOrDefault();
break;
case SecurityTypes.Stock:
found = messages.OrderBy(m => m.SecurityId.BoardCode.StartsWithIgnoreCase("TQ") ? 0 : 1).FirstOrDefault();
break;
}
}
if (found == null)
{
System.Diagnostics.Debug.WriteLine("{0}={1}", key.Item1, key.Item2);
}
else
{
var native = destination.SecurityId.Native;
found.CopyTo(destination);
destination.SetNativeId(native);
}
}
var client = new InstrumentProviderClient();
if (securities.Count <= 10)
{
foreach (var pair in securities)
{
var name = pair.Key.Item1;
var type = pair.Key.Item2;
var found = client.LookupSecurities(new SecurityLookupMessage
{
SecurityId = new SecurityId {
SecurityCode = name
},
SecurityType = type,
});
if (found.Count == 0)
{
found = client.LookupSecurities(new SecurityLookupMessage
{
SecurityType = type,
ShortName = name
});
if (found.Count == 0)
{
found = client.LookupSecurities(new SecurityLookupMessage
{
SecurityType = type,
Name = name
});
}
}
MostAppropriated(found, pair.Key, pair.Value);
}
}
else
{
var byCode = new Dictionary <Tuple <string, SecurityTypes?>, List <SecurityMessage> >();
var byShortName = new Dictionary <Tuple <string, SecurityTypes?>, List <SecurityMessage> >();
var byName = new Dictionary <Tuple <string, SecurityTypes?>, List <SecurityMessage> >();
foreach (var message in client.LookupSecurities(Extensions.LookupAllCriteriaMessage))
{
var secType = message.SecurityType;
byCode.SafeAdd(Tuple.Create(message.SecurityId.SecurityCode.ToUpperInvariant(), secType)).Add(message);
if (!message.ShortName.IsEmpty())
{
byShortName.SafeAdd(Tuple.Create(message.ShortName.ToUpperInvariant(), secType)).Add(message);
}
if (!message.Name.IsEmpty())
{
byName.SafeAdd(Tuple.Create(message.Name.ToUpperInvariant(), secType)).Add(message);
}
}
List <SecurityMessage> TryFind(Dictionary <Tuple <string, SecurityTypes?>, List <SecurityMessage> > dict, Tuple <string, SecurityTypes> key)
{
return
(dict.TryGetValue(Tuple.Create(key.Item1, (SecurityTypes?)key.Item2)) ??
dict.TryGetValue(Tuple.Create(key.Item1, (SecurityTypes?)null)));
}
foreach (var pair in securities)
{
var found = TryFind(byCode, pair.Key) ?? TryFind(byShortName, pair.Key) ?? TryFind(byName, pair.Key);
MostAppropriated(found, pair.Key, pair.Value);
}
}
}
internal static void SetValidExchanges(this SecurityMessage security, string validExchanges)
{
security.AddValue(_validExchanges, validExchanges);
}
internal static void SetOrderTypes(this SecurityMessage security, string orderTypes)
{
security.AddValue(_orderTypes, orderTypes);
}
internal static void SetMarketName(this SecurityMessage security, string marketName)
{
security.AddValue(_marketName, marketName);
}
internal static void SetRoutingBoard(this SecurityMessage security, string exchange)
{
security.AddValue(_routingExchange, exchange);
}
internal static string GetRoutingBoard(this SecurityMessage security)
{
return(security.GetValue <string>(_routingExchange));
}
internal static void SetMarketValue(this SecurityMessage position, decimal marketValue)
{
position.AddValue(_marketValue, marketValue);
}
internal static void SetContractMonth(this SecurityMessage security, string contractMonth)
{
security.AddValue(_contractMonth, contractMonth);
}
internal static void SetIndustry(this SecurityMessage security, string industry)
{
security.AddValue(_industry, industry);
}
internal static void SetCategory(this SecurityMessage security, string category)
{
security.AddValue(_category, category);
}
internal static void SetPriceMagnifier(this SecurityMessage security, decimal priceMagnifier)
{
security.AddValue(_priceMagnifier, priceMagnifier);
}
private void OnProcessSecurities(long transactionId, string[] data)
{
var f = Wrapper.FieldsSecurities;
var secMessages = new List <Tuple <int, SecurityMessage> >();
var level1Messages = new List <Level1ChangeMessage>();
foreach (var row in data)
{
var cols = row.ToColumns();
var secType = f.ATCode.GetValue(cols);
if (secType == null)
{
continue;
}
var paperNo = f.PaperNo.GetValue(cols);
var code = f.PaperCode.GetValue(cols);
var name = f.AnsiName.GetValue(cols);
var time = f.ILastUpdate.GetValue(cols);
_securityCodes[paperNo] = code;
var secId = new SecurityId
{
Native = paperNo,
SecurityCode = code,
BoardCode = this.GetBoardCode(f.PlaceCode.GetValue(cols))
};
var msg = new SecurityMessage
{
SecurityId = secId,
Name = name,
ShortName = name,
SecurityType = secType,
Multiplier = f.LotSize.GetValue(cols),
PriceStep = f.PriceStep.GetValue(cols),
//LocalTime = time,
Currency = f.CurrCode.GetValue(cols),
Strike = f.Strike.GetValue(cols)
};
if (msg.SecurityType == SecurityTypes.Option || msg.SecurityType == SecurityTypes.Future)
{
msg.ExpiryDate = f.MatDate.GetValue(cols).ApplyTimeZone(TimeHelper.Moscow);
}
if (msg.SecurityType == SecurityTypes.Option)
{
msg.OptionType = f.ATCode.GetStrValue(cols).ATCodeToOptionType();
msg.Strike = f.Strike.GetValue(cols);
}
secMessages.Add(Tuple.Create(f.BasePaperNo.GetValue(cols), msg));
var l1Msg = new Level1ChangeMessage
{
SecurityId = secId,
ServerTime = time.ApplyTimeZone(TimeHelper.Moscow)
};
l1Msg.TryAdd(Level1Fields.MarginBuy, f.GoBuy.GetValue(cols));
l1Msg.TryAdd(Level1Fields.MarginSell, f.GoSell.GetValue(cols));
l1Msg.TryAdd(Level1Fields.StepPrice, f.PriceStepCost.GetValue(cols));
level1Messages.Add(l1Msg);
}
secMessages.Where(t => t.Item2.SecurityType == SecurityTypes.Option).ForEach(t =>
t.Item2.UnderlyingSecurityCode = _securityCodes.TryGetValue(t.Item1));
secMessages.ForEach(t => SendOutMessage(t.Item2));
level1Messages.ForEach(SendOutMessage);
if (transactionId > 0)
{
SendOutMessage(new SecurityLookupResultMessage
{
OriginalTransactionId = transactionId,
});
}
}
