/// <summary>
/// Update latest values.
/// </summary>
/// <param name="time">Time.</param>
/// <param name="price">Price.</param>
/// <param name="volume">Volume.</param>
/// <param name="side">Side.</param>
/// <param name="openInterest">Open interest.</param>
protected void Update(DateTimeOffset time, decimal price, decimal?volume, Sides?side, decimal?openInterest)
{
_time = time;
_price = price;
_volume = volume;
_side = side;
_openInterest = openInterest;
}
public override bool MoveNext()
{
if (_resetCurrent)
{
Current = null;
if (_needMoveNext && !_enumerator.MoveNext())
{
return(false);
}
}
_needMoveNext = true;
Sides?side = null;
do
{
var quote = _enumerator.Current;
if (Current == null)
{
Current = new QuoteChangeMessage
{
SecurityId = _securityId,
ServerTime = quote.ServerTime,
LocalTime = quote.LocalTime,
Bids = new List <QuoteChange>(),
Asks = new List <QuoteChange>(),
IsSorted = true,
};
}
else if (Current.ServerTime != quote.ServerTime || (side == Sides.Sell && quote.Side == Sides.Buy))
{
_resetCurrent = true;
_needMoveNext = false;
return(true);
}
side = quote.Side;
if (quote.Price != 0)
{
var quotes = (List <QuoteChange>)(quote.Side == Sides.Buy ? Current.Bids : Current.Asks);
quotes.Add(quote);
}
}while (_enumerator.MoveNext());
if (Current == null)
{
return(false);
}
_resetCurrent = true;
_needMoveNext = true;
return(true);
}
/// <summary>
/// Update latest values.
/// </summary>
/// <param name="time">Time.</param>
/// <param name="price">Price.</param>
/// <param name="volume">Volume.</param>
/// <param name="side">Side.</param>
/// <param name="openInterest">Open interest.</param>
/// <param name="priceLevels">Price levels.</param>
protected void Update(DateTimeOffset time, decimal price, decimal?volume, Sides?side, decimal?openInterest, IEnumerable <CandlePriceLevel> priceLevels)
{
_time = time;
_price = price;
_volume = volume;
_side = side;
_openInterest = openInterest;
_priceLevels = priceLevels;
}
public static void WriteNullableSide(this BitArrayWriter writer, Sides?value)
{
writer.Write(value != null);
if (value is null)
{
return;
}
writer.Write(value.Value == Sides.Buy);
}
public static void WriteSide(this BitArrayWriter writer, Sides?direction)
{
if (direction == null)
{
writer.Write(false);
}
else
{
writer.Write(true);
writer.Write(direction == Sides.Buy);
}
}
public static IBSocket SendSide(this IBSocket socket, Sides?side)
{
if (side == null)
{
return(socket.Send(string.Empty));
}
switch (side.Value)
{
case Sides.Buy:
return(socket.Send("BUY"));
case Sides.Sell:
return(socket.Send("SELL"));
default:
throw new ArgumentOutOfRangeException();
}
}
public void CancelOrders(bool?isStopOrder, string portfolioName, Sides?side, SecurityId securityId, SecurityTypes?securityType)
{
_adapter.AddDebugLog("CancelOrders: stop={0}, portf={1}, side={2}, id={3}", isStopOrder, portfolioName, side, securityId);
var isBuySell = (side == null) ? null : side.Value.ToAlfaDirect();
var account = portfolioName.IsEmpty() ? null : portfolioName.AccountFromPortfolioName();
var pCode = securityId.SecurityCode.IsEmpty() ? null : securityId.SecurityCode;
var treaties = new List <string>();
var treaty = account.IsEmpty() ? null : account.TreatyFromAccount();
if (!treaty.IsEmpty())
{
treaties.Add(treaty);
}
else
{
var data = _tableAccounts.GetLocalDbData();
treaties.AddRange(data.Select(row => FieldsAccounts.Treaty.GetStrValue(row.ToColumns())));
}
if (!treaties.Any())
{
throw new InvalidOperationException(LocalizedStrings.Str2277Params.Put(portfolioName));
}
string placeCode = null;
if (!securityId.IsDefault())
{
placeCode = _adapter.SecurityClassInfo.GetSecurityClass(securityType, securityId.BoardCode);
if (placeCode == null)
{
throw new InvalidOperationException(LocalizedStrings.Str2278);
}
}
foreach (var t in treaties)
{
_ad.DropOrder(null, isBuySell, t, account, placeCode, pCode, -1);
}
}
/// <summary>
/// Отменить группу заявок на бирже по фильтру.
/// </summary>
/// <param name="transactionId">Идентификатор транзакции отмены.</param>
/// <param name="isStopOrder"><see langword="true"/>, если нужно отменить только стоп-заявки, <see langword="false"/> - если только обычный и <see langword="null"/> - если оба типа.</param>
/// <param name="portfolio">Портфель. Если значение равно <see langword="null"/>, то портфель не попадает в фильтр снятия заявок.</param>
/// <param name="direction">Направление заявки. Если значение равно <see langword="null"/>, то направление не попадает в фильтр снятия заявок.</param>
/// <param name="board">Торговая площадка. Если значение равно <see langword="null"/>, то площадка не попадает в фильтр снятия заявок.</param>
/// <param name="security">Инструмент. Если значение равно <see langword="null"/>, то инструмент не попадает в фильтр снятия заявок.</param>
/// <param name="securityType">Тип инструмента. Если значение равно <see langword="null"/>, то тип не попадает в фильтр снятия заявок.</param>
protected override void OnCancelOrders(long transactionId, bool?isStopOrder = null, Portfolio portfolio = null, Sides?direction = null, ExchangeBoard board = null, Security security = null, SecurityTypes?securityType = null)
{
if (security != null && portfolio != null && security.Type == SecurityTypes.Future && !security.UnderlyingSecurityId.IsEmpty())
{
base.OnCancelOrders(transactionId, isStopOrder, portfolio, direction, board, security);
}
else
{
this.CancelOrders(Orders, isStopOrder, portfolio, direction, board, null, securityType);
}
}
private static RenkoCandleMessage CreateCandle(ICandleBuilderSubscription subscription, DataType buildFrom, Unit boxSize, decimal openPrice, decimal renkoStep, decimal price, decimal?volume, Sides?side, DateTimeOffset time, decimal?oi)
{
var candle = new RenkoCandleMessage
{
SecurityId = subscription.Message.SecurityId,
BoxSize = boxSize,
BuildFrom = buildFrom,
OpenPrice = openPrice,
ClosePrice = openPrice + renkoStep,
//HighPrice = openPrice + renkoStep,
//LowPrice = openPrice,
OpenVolume = volume,
CloseVolume = volume,
HighVolume = volume,
LowVolume = volume,
OpenTime = time,
CloseTime = time,
HighTime = time,
LowTime = time,
RelativeVolume = side == null ? null : (side == Sides.Buy ? volume : -volume),
TotalTicks = 1,
State = CandleStates.Active,
OpenInterest = oi,
};
if (volume != null)
{
candle.TotalPrice += price * volume.Value;
candle.TotalVolume += volume.Value;
}
if (renkoStep > 0)
{
candle.HighPrice = candle.ClosePrice;
candle.LowPrice = candle.OpenPrice;
}
else
{
candle.HighPrice = candle.OpenPrice;
candle.LowPrice = candle.ClosePrice;
}
if (subscription.Message.IsCalcVolumeProfile)
{
var levels = new List <CandlePriceLevel>();
subscription.VolumeProfile = new VolumeProfileBuilder(levels);
subscription.VolumeProfile.Update(price, volume, side);
candle.PriceLevels = levels;
}
return(candle);
}
private static PnFCandleMessage CreateCandle(ICandleBuilderSubscription subscription, DataType buildFrom, PnFArg pnfArg, decimal openPrice, decimal highPrice, decimal lowPrice, decimal closePrice, decimal price, decimal?volume, Sides?side, DateTimeOffset time, decimal?oi)
{
var candle = new PnFCandleMessage
{
SecurityId = subscription.Message.SecurityId,
PnFArg = pnfArg,
BuildFrom = buildFrom,
OpenPrice = openPrice,
ClosePrice = closePrice,
HighPrice = highPrice,
LowPrice = lowPrice,
OpenVolume = volume,
//CloseVolume = volume,
HighVolume = volume,
LowVolume = volume,
OpenTime = time,
//CloseTime = time,
HighTime = time,
LowTime = time,
State = CandleStates.Active,
};
if (subscription.Message.IsCalcVolumeProfile)
{
var levels = new List <CandlePriceLevel>();
subscription.VolumeProfile = new VolumeProfileBuilder(levels);
candle.PriceLevels = levels;
}
UpdateCandle(candle, price, volume, time, side, oi, subscription.VolumeProfile);
return(candle);
}
private static void UpdateCandle(PnFCandleMessage currentPnFCandle, decimal price, decimal?volume, DateTimeOffset time, Sides?side, decimal?oi, VolumeProfileBuilder volumeProfile)
{
currentPnFCandle.TotalTicks = currentPnFCandle.TotalTicks ?? 0 + 1;
if (volume != null)
{
var v = volume.Value;
currentPnFCandle.TotalVolume += v;
currentPnFCandle.TotalPrice += v * price;
currentPnFCandle.RelativeVolume = currentPnFCandle.RelativeVolume ?? 0 + (side == Sides.Buy ? v : -v);
}
currentPnFCandle.CloseVolume = volume;
currentPnFCandle.CloseTime = time;
volumeProfile?.Update(price, volume, side);
currentPnFCandle.OpenInterest = oi;
}
///// <summary>
///// Событие о появлении отчета о комиссии по сделке.
///// </summary>
//public event Action<IBCommission> NewCommission;
/// <summary>
/// Cancel orders by filter.
/// </summary>
/// <param name="transactionId">Order cancellation transaction id.</param>
/// <param name="isStopOrder"><see langword="true" />, if cancel only a stop orders, <see langword="false" /> - if regular orders, <see langword="null" /> - both.</param>
/// <param name="portfolio">Portfolio. If the value is equal to <see langword="null" />, then the portfolio does not match the orders cancel filter.</param>
/// <param name="direction">Order side. If the value is <see langword="null" />, the direction does not use.</param>
/// <param name="board">Trading board. If the value is equal to <see langword="null" />, then the board does not match the orders cancel filter.</param>
/// <param name="security">Instrument. If the value is equal to <see langword="null" />, then the instrument does not match the orders cancel filter.</param>
protected override void OnCancelOrders(long transactionId, bool?isStopOrder = null, Portfolio portfolio = null, Sides?direction = null, ExchangeBoard board = null, Security security = null)
{
if (isStopOrder == null && portfolio == null && direction == null && board == null && security == null)
{
base.OnCancelOrders(transactionId);
}
else
{
this.CancelOrders(Orders, isStopOrder, portfolio, direction, board, security);
}
}
private static RenkoCandleMessage CreateCandle(MarketDataMessage message, Unit boxSize, decimal openPrice, decimal renkoStep, decimal price, decimal?volume, Sides?side, DateTimeOffset time, decimal?oi)
{
var candle = new RenkoCandleMessage
{
OpenPrice = openPrice,
ClosePrice = openPrice + renkoStep,
//HighPrice = openPrice + renkoStep,
//LowPrice = openPrice,
OpenVolume = volume,
CloseVolume = volume,
HighVolume = volume,
LowVolume = volume,
SecurityId = message.SecurityId,
OpenTime = time,
CloseTime = time,
HighTime = time,
LowTime = time,
BoxSize = boxSize,
RelativeVolume = side == null ? null : (side == Sides.Buy ? volume : -volume),
TotalTicks = 1,
State = CandleStates.Active,
OpenInterest = oi,
};
if (volume != null)
{
candle.TotalPrice += price * volume.Value;
candle.TotalVolume += volume.Value;
}
if (renkoStep > 0)
{
candle.HighPrice = candle.ClosePrice;
candle.LowPrice = candle.OpenPrice;
}
else
{
candle.HighPrice = candle.OpenPrice;
candle.LowPrice = candle.ClosePrice;
}
if (message.IsCalcVolumeProfile)
{
candle.VolumeProfile = new CandleMessageVolumeProfile();
candle.VolumeProfile.Update(price, volume, side);
}
return(candle);
}
private static PnFCandleMessage CreateCandle(MarketDataMessage message, PnFArg pnfArg, decimal openPrice, decimal highPrice, decimal lowPrice, decimal closePrice, decimal price, decimal?volume, Sides?side, DateTimeOffset time, decimal?oi)
{
var candle = new PnFCandleMessage
{
OpenPrice = openPrice,
ClosePrice = closePrice,
HighPrice = highPrice,
LowPrice = lowPrice,
OpenVolume = volume,
//CloseVolume = volume,
HighVolume = volume,
LowVolume = volume,
SecurityId = message.SecurityId,
OpenTime = time,
//CloseTime = time,
HighTime = time,
LowTime = time,
PnFArg = pnfArg,
State = CandleStates.Active,
};
if (message.IsCalcVolumeProfile)
{
candle.VolumeProfile = new CandleMessageVolumeProfile();
}
UpdateCandle(candle, price, volume, time, side, oi);
return(candle);
}
private Key CreateKey(Portfolio portfolio, Security security, string strategyId, Sides?side, string clientCode, string depoName, TPlusLimits?limitType)
{
if (portfolio is null)
{
throw new ArgumentNullException(nameof(portfolio));
}
if (security is null)
{
throw new ArgumentNullException(nameof(security));
}
if (depoName is null)
{
depoName = string.Empty;
}
if (clientCode is null)
{
clientCode = string.Empty;
}
return(Tuple.Create(portfolio, security, strategyId?.ToLowerInvariant() ?? string.Empty, side, clientCode?.ToLowerInvariant() ?? string.Empty, depoName?.ToLowerInvariant() ?? string.Empty, limitType));
}
/// <summary>
/// Отменить группу заявок на бирже по фильтру.
/// </summary>
/// <param name="isStopOrder"><see langword="true"/>, если нужно отменить только стоп-заявки, false - если только обычный и null - если оба типа.</param>
/// <param name="portfolio">Портфель. Если значение равно null, то портфель не попадает в фильтр снятия заявок.</param>
/// <param name="direction">Направление заявки. Если значение равно null, то направление не попадает в фильтр снятия заявок.</param>
/// <param name="board">Торговая площадка. Если значение равно null, то площадка не попадает в фильтр снятия заявок.</param>
/// <param name="security">Инструмент. Если значение равно null, то инструмент не попадает в фильтр снятия заявок.</param>
public void CancelOrders(bool?isStopOrder = null, Portfolio portfolio = null, Sides?direction = null, ExchangeBoard board = null, Security security = null)
{
Connector.CancelOrders(isStopOrder, portfolio, direction, board, security);
}
/// <inheritdoc />
public Position GetPosition(Portfolio portfolio, Security security, string strategyId, Sides?side, string clientCode = "", string depoName = "", TPlusLimits?limitType = null)
{
return(_positions.TryGetValue(CreateKey(portfolio, security, strategyId, side, clientCode, depoName, limitType)));
}
public override bool MoveNext()
{
if (_resetCurrent)
{
Current = null;
if (_needMoveNext && !_enumerator.MoveNext())
{
return(false);
}
}
_needMoveNext = true;
Sides?side = null;
var bids = new List <QuoteChange>();
var asks = new List <QuoteChange>();
do
{
var quote = _enumerator.Current;
if (quote == null)
{
throw new InvalidOperationException("quote == null");
}
if (Current == null)
{
Current = new QuoteChangeMessage
{
SecurityId = _securityId,
ServerTime = quote.ServerTime,
LocalTime = quote.LocalTime,
IsSorted = true,
};
}
else if (Current.ServerTime != quote.ServerTime || (side == Sides.Sell && quote.Side == Sides.Buy))
{
_resetCurrent = true;
_needMoveNext = false;
Current.Bids = bids.ToArray();
Current.Asks = asks.ToArray();
return(true);
}
side = quote.Side;
if (quote.Price != null)
{
var quotes = quote.Side == Sides.Buy ? bids : asks;
quotes.Add(new QuoteChange(quote.Side, quote.Price.Value, quote.Volume));
}
}while (_enumerator.MoveNext());
if (Current == null)
{
return(false);
}
Current.Bids = bids.ToArray();
Current.Asks = asks.ToArray();
_resetCurrent = true;
_needMoveNext = true;
return(true);
}
public string ToChar(Sides?side)
{
return(side == null ? "" : side == Sides.Buy ? "B" : "S");
}
private Position GetPosition(SecurityId securityId, string portfolioName, string strategyId, Sides?side)
{
var security = (!securityId.SecurityCode.IsEmpty() && !securityId.BoardCode.IsEmpty() ? _securityStorage.LookupById(securityId) : _securityStorage.Lookup(new Security
{
Code = securityId.SecurityCode,
}).FirstOrDefault()) ?? TryCreateSecurity(securityId);
if (security == null)
{
return(null);
}
var portfolio = _positionStorage.LookupByPortfolioName(portfolioName);
if (portfolio == null)
{
portfolio = new Portfolio
{
Name = portfolioName
};
_positionStorage.Save(portfolio);
}
return(_positionStorage.GetPosition(portfolio, security, strategyId, side) ?? new Position
{
Security = security,
Portfolio = portfolio,
StrategyId = strategyId,
Side = side,
});
}
public override bool MoveNext()
{
if (_resetCurrent)
{
Current = null;
if (_needMoveNext && !_enumerator.MoveNext())
{
return(false);
}
}
_needMoveNext = true;
Sides?side = null;
var bids = new List <QuoteChange>();
var asks = new List <QuoteChange>();
var hasPos = false;
void Flush()
{
Current.Bids = bids.ToArray();
Current.Asks = asks.ToArray();
Current.HasPositions = hasPos;
}
do
{
var quote = _enumerator.Current;
if (quote == null)
{
throw new InvalidOperationException("quote == null");
}
if (Current == null)
{
Current = new QuoteChangeMessage
{
SecurityId = _securityId,
ServerTime = quote.ServerTime,
LocalTime = quote.LocalTime,
};
}
else if (Current.ServerTime != quote.ServerTime || (side == Sides.Sell && quote.Side == Sides.Buy))
{
_resetCurrent = true;
_needMoveNext = false;
Flush();
return(true);
}
side = quote.Side;
if (quote.Quote != null)
{
var qq = quote.Quote.Value;
if (qq.StartPosition != default || qq.EndPosition != default)
{
hasPos = true;
}
var quotes = quote.Side == Sides.Buy ? bids : asks;
quotes.Add(new QuoteChange(qq.Price, qq.Volume, qq.OrdersCount, qq.Condition));
}
}while (_enumerator.MoveNext());
if (Current == null)
{
return(false);
}
_resetCurrent = true;
_needMoveNext = true;
Flush();
return(true);
}
/// <summary>
/// To add a change to the collection, if value is other than <see langword="null"/>.
/// </summary>
/// <typeparam name="TMessage">Change message type.</typeparam>
/// <typeparam name="TChange">Change type.</typeparam>
/// <param name="message">Change message.</param>
/// <param name="type">Change type.</param>
/// <param name="value">Change value.</param>
/// <returns>Change message.</returns>
public static TMessage TryAdd <TMessage, TChange>(this TMessage message, TChange type, Sides?value)
where TMessage : BaseChangeMessage <TMessage, TChange>, new()
{
if (value == null)
{
return(message);
}
return(message.Add(type, value.Value));
}
public void SidesValueMassTest(object obj, bool ignoreStatus, Sides?expected)
{
Assert.True(EnumUtils.GetEnumValue <Sides>(obj, ignoreStatus) == expected);
}
