/// <summary>
/// To process the message, containing market data.
/// </summary>
/// <param name="message">The message, containing market data.</param>
protected override void OnProcessMessage(Message message)
{
if (message.Type == MessageTypes.Connect && message.Adapter == TransactionAdapter)
{
// передаем первоначальное значение размера портфеля в эмулятор
TransactionAdapter.SendInMessage(_portfolio.ToMessage());
TransactionAdapter.SendInMessage(new PortfolioChangeMessage
{
PortfolioName = _portfolio.Name
}.TryAdd(PositionChangeTypes.BeginValue, _portfolio.BeginValue));
}
else if (message.Adapter == MarketDataAdapter)
{
switch (message.Type)
{
case MessageTypes.Connect:
case MessageTypes.Disconnect:
case MessageTypes.MarketData:
case MessageTypes.SecurityLookupResult:
break;
default:
TransactionAdapter.SendInMessage(message);
break;
}
}
base.OnProcessMessage(message);
}
/// <summary>
/// Остановить получение новой информации по портфелю.
/// </summary>
/// <param name="portfolio">Портфель, по которому необходимо остановить получение новой информации.</param>
protected virtual void OnUnRegisterPortfolio(Portfolio portfolio)
{
TransactionAdapter.SendInMessage(new PortfolioMessage
{
PortfolioName = portfolio.Name,
TransactionId = TransactionIdGenerator.GetNextId(),
IsSubscribe = false
});
}
protected override void OnProcess(FixSession session, string client, string msgStr, bool isMarketData)
{
var msgType = QuickFix.Message.GetMsgType(msgStr);
switch (msgType)
{
case QuikFixMessages.NewStopOrderSingle:
{
this.AddInfoLog("From client {0}: NewStopOrderSingle", client);
var fixMsg = session.ToMessage <NewStopOrderSingle>(msgStr);
var regMsg = fixMsg.ToRegisterMessage();
regMsg.TransactionId = CreateTransactionId(client, regMsg.TransactionId);
var condition = new QuikOrderCondition
{
Type = (QuikOrderConditionTypes)fixMsg.Type.Obj,
Result = fixMsg.IsSetResult() ? (QuikOrderConditionResults?)fixMsg.Result.Obj : null,
StopPriceCondition = (QuikStopPriceConditions)fixMsg.StopPriceCondition.Obj,
StopPrice = fixMsg.IsSetStopPx() ? fixMsg.StopPx.Obj : (decimal?)null,
StopLimitPrice = fixMsg.IsSetStopLimitPrice() ? fixMsg.StopLimitPrice.Obj : (decimal?)null,
IsMarketStopLimit = fixMsg.IsSetIsMarketStopLimit() ? fixMsg.IsMarketStopLimit.Obj : (bool?)null,
ConditionOrderId = fixMsg.IsSetConditionOrderId() ? fixMsg.ConditionOrderId.Obj : (long?)null,
ConditionOrderSide = (Sides)fixMsg.ConditionOrderSide.Obj,
ConditionOrderPartiallyMatched = fixMsg.IsSetConditionOrderPartiallyMatched() ? fixMsg.ConditionOrderPartiallyMatched.Obj : (bool?)null,
ConditionOrderUseMatchedBalance = fixMsg.IsSetConditionOrderUseMatchedBalance() ? fixMsg.ConditionOrderUseMatchedBalance.Obj : (bool?)null,
LinkedOrderPrice = fixMsg.IsSetLinkedOrderPrice() ? fixMsg.LinkedOrderPrice.Obj : (decimal?)null,
LinkedOrderCancel = fixMsg.LinkedOrderCancel.Obj,
Offset = fixMsg.IsSetOffset() ? fixMsg.Offset.Obj.ToUnit() : null,
Spread = fixMsg.IsSetStopSpread() ? fixMsg.StopSpread.Obj.ToUnit() : null,
IsMarketTakeProfit = fixMsg.IsSetIsMarketTakeProfit() ? fixMsg.IsMarketTakeProfit.Obj : (bool?)null,
};
if (fixMsg.IsSetOtherSecurityCode())
{
condition.OtherSecurityId = new SecurityId {
SecurityCode = fixMsg.OtherSecurityCode.Obj
}
}
;
if (fixMsg.IsSetActiveTimeFrom() && fixMsg.IsSetActiveTimeTo())
{
condition.ActiveTime = new Range <DateTimeOffset>(fixMsg.ActiveTimeFrom.Obj.ApplyTimeZone(TimeHelper.Moscow), fixMsg.ActiveTimeTo.Obj.ApplyTimeZone(TimeHelper.Moscow));
}
regMsg.Condition = condition;
TransactionAdapter.SendInMessage(regMsg);
return;
}
}
base.OnProcess(session, client, msgStr, isMarketData);
}
private void OnEmulationStarting()
{
IsFinished = false;
// подписчики StateChanged запускают стратегии, которые интересуются MarketTime в OnRunning
TransactionAdapter.SendInMessage(new ResetMessage());
_sessionHolder.SecurityProvider.LookupAll().ForEach(SendSecurity);
_initialMoney.ForEach(p => SendPortfolio(p.Key));
SetEmulationState(EmulationStates.Started);
}
/// <summary>
/// Перерегистрировать заявку на бирже.
/// </summary>
/// <param name="oldOrder">Заявка, которую нужно снять.</param>
/// <param name="newOrder">Новая заявка, которую нужно зарегистрировать.</param>
protected override void OnReRegisterOrder(Order oldOrder, Order newOrder)
{
//Quik не поддерживает Move с MODE=1 для Единой Денежной Позиции.
//http://quik.ru/forum/import/57855/57855/
//Поэтому делаем Cancel, потом Register
if (IsSupportAtomicReRegister && oldOrder.Security.Board.IsSupportAtomicReRegister && !IsCommonMonetaryPosition)
{
TransactionAdapter.SendInMessage(oldOrder.CreateReplaceMessage(newOrder, GetSecurityId(newOrder.Security)));
}
else
{
base.OnReRegisterOrder(oldOrder, newOrder);
}
}
/// <summary>
/// Обработать сообщение, содержащее рыночные данные.
/// </summary>
/// <param name="message">Сообщение, содержащее рыночные данные.</param>
/// <param name="direction">Направление сообщения.</param>
protected override void OnProcessMessage(Message message, MessageDirections direction)
{
if (message.Type == MessageTypes.Connect && message.Adapter == TransactionAdapter && direction == MessageDirections.Out)
{
// передаем первоначальное значение размера портфеля в эмулятор
TransactionAdapter.SendInMessage(_portfolio.ToMessage());
TransactionAdapter.SendInMessage(new PortfolioChangeMessage
{
PortfolioName = _portfolio.Name
}.Add(PositionChangeTypes.BeginValue, _portfolio.BeginValue));
}
base.OnProcessMessage(message, direction);
}
/// <summary>
/// Перерегистрировать заявку на бирже.
/// </summary>
/// <param name="oldOrder">Старая заявка, которую нужно перерегистрировать.</param>
/// <param name="newOrder">Информация о новой заявке.</param>
protected override void OnReRegisterOrder(Order oldOrder, Order newOrder)
{
if (IsSupportAtomicReRegister &&
oldOrder.Security.Board.IsSupportAtomicReRegister
// http://www.itinvest.ru/forum/index.php?showtopic=63720&view=findpost&p=262059
&& oldOrder.Balance == newOrder.Volume)
{
TransactionAdapter.SendInMessage(oldOrder.CreateReplaceMessage(newOrder, GetSecurityId(newOrder.Security)));
}
else
{
base.OnReRegisterOrder(oldOrder, newOrder);
}
}
/// <summary>
/// Начать эмуляцию.
/// </summary>
/// <param name="startDate">Дата в истории, с которой необходимо начать эмуляцию.</param>
/// <param name="stopDate">Дата в истории, на которой необходимо закончить эмуляцию (дата включается).</param>
public void Start(DateTime startDate, DateTime stopDate)
{
if (stopDate < startDate)
{
throw new ArgumentOutOfRangeException("startDate", startDate, LocalizedStrings.Str1119Params.Put(startDate, stopDate));
}
//f (stopDate == startDate)
//throw new ArgumentOutOfRangeException("startDate", startDate, "Дата начала {0} равна дате окончания.".Put(startDate));
if (!CheckState(EmulationStates.Stopped))
{
throw new InvalidOperationException(LocalizedStrings.Str1120Params.Put(State));
}
//_sessionHolder.StartDate = startDate;
//_sessionHolder.StopDate = stopDate;
ClearCache();
((IncrementalIdGenerator)TransactionIdGenerator).Current = MarketEmulator.Settings.InitialTransactionId;
TransactionAdapter.SendInMessage(new TimeMessage
{
ServerTime = startDate,
LocalTime = startDate,
});
//base.OnProcessMessage(new TimeMessage { LocalTime = startDate }, MessageAdapterTypes.Transaction, MessageDirections.In);
ProcessedEventCount = 0;
//SetEmulationState(EmulationStates.Starting);
MarketDataAdapter.SendInMessage(new EmulationStateMessage
{
//OldState = State,
NewState = EmulationStates.Starting,
StartDate = startDate,
StopDate = stopDate,
LocalTime = startDate,
});
}
/// <summary>
/// ќбработать сообщение, содержащее рыночные данные.
/// </summary>
/// <param name="message">—ообщение, содержащее рыночные данные.</param>
/// <param name="adapterType">“ип адаптера, от которого пришло сообщение.</param>
/// <param name="direction">Ќаправление сообщени¤.</param>
protected override void OnProcessMessage(Message message, MessageAdapterTypes adapterType, MessageDirections direction)
{
if (adapterType == MessageAdapterTypes.MarketData && direction == MessageDirections.Out)
{
switch (message.Type)
{
case MessageTypes.Connect:
case MessageTypes.Disconnect:
case MessageTypes.MarketData:
case MessageTypes.Error:
case MessageTypes.SecurityLookupResult:
case MessageTypes.PortfolioLookupResult:
base.OnProcessMessage(message, adapterType, direction);
break;
case MessageTypes.Execution:
{
var execMsg = (ExecutionMessage)message;
if (execMsg.ExecutionType != ExecutionTypes.Trade)
{
TransactionAdapter.SendInMessage(message);
}
else
{
base.OnProcessMessage(message, adapterType, direction);
}
break;
}
default:
TransactionAdapter.SendInMessage(message);
break;
}
}
else
{
base.OnProcessMessage(message, adapterType, direction);
}
}
/// <summary>
/// Сменить пароль.
/// </summary>
/// <param name="adapterType">Тип адаптера, в который необходимо отправить сообщение о смене пароля.</param>
/// <param name="newPassword">Новый пароль.</param>
public void ChangePassword(MessageAdapterTypes adapterType, string newPassword)
{
var msg = new ChangePasswordMessage
{
NewPassword = newPassword.To <SecureString>(),
TransactionId = TransactionIdGenerator.GetNextId()
};
switch (adapterType)
{
case MessageAdapterTypes.Transaction:
TransactionAdapter.SendInMessage(msg);
break;
case MessageAdapterTypes.MarketData:
MarketDataAdapter.SendInMessage(msg);
break;
default:
throw new ArgumentOutOfRangeException("adapterType");
}
}
/// <summary>
/// To process the message, containing market data.
/// </summary>
/// <param name="message">The message, containing market data.</param>
protected override void OnProcessMessage(Message message)
{
try
{
switch (message.Type)
{
case MessageTypes.Connect:
{
base.OnProcessMessage(message);
if (message.Adapter == TransactionAdapter)
{
_initialMoney.ForEach(p => SendPortfolio(p.Key));
}
break;
}
case ExtendedMessageTypes.Last:
{
var lastMsg = (LastMessage)message;
if (State == EmulationStates.Started)
{
IsFinished = !lastMsg.IsError;
// все данных пришли без ошибок или в процессе чтения произошла ошибка - начинаем остановку
SendEmulationState(EmulationStates.Stopping);
SendEmulationState(EmulationStates.Stopped);
}
if (State == EmulationStates.Stopping)
{
// тестирование было отменено и пришли все ранее прочитанные данные
SendEmulationState(EmulationStates.Stopped);
}
break;
}
case ExtendedMessageTypes.Clearing:
break;
case ExtendedMessageTypes.EmulationState:
ProcessEmulationStateMessage(((EmulationStateMessage)message).State);
break;
case MessageTypes.Security:
case MessageTypes.Board:
case MessageTypes.Level1Change:
case MessageTypes.QuoteChange:
case MessageTypes.Time:
case MessageTypes.CandlePnF:
case MessageTypes.CandleRange:
case MessageTypes.CandleRenko:
case MessageTypes.CandleTick:
case MessageTypes.CandleTimeFrame:
case MessageTypes.CandleVolume:
case MessageTypes.Execution:
{
if (message.Adapter == MarketDataAdapter)
{
TransactionAdapter.SendInMessage(message);
}
else if (message.Adapter == TransactionAdapter)
{
var candleMsg = message as CandleMessage;
if (candleMsg != null)
{
if (!UseExternalCandleSource)
{
break;
}
var series = _series.TryGetValue(Tuple.Create(candleMsg.SecurityId, candleMsg.Type.ToCandleMarketDataType(), candleMsg.Arg));
if (series != null)
{
_newCandles.SafeInvoke(series, new[] { candleMsg.ToCandle(series) });
if (candleMsg.IsFinished)
{
_stopped.SafeInvoke(series);
}
}
break;
}
}
base.OnProcessMessage(message);
break;
}
default:
{
if (State == EmulationStates.Stopping && message.Type != MessageTypes.Disconnect)
{
break;
}
base.OnProcessMessage(message);
break;
}
}
}
catch (Exception ex)
{
SendOutError(ex);
SendEmulationState(EmulationStates.Stopping);
}
}