/// <summary>
/// To convert quotes.
/// </summary>
/// <param name="message">Quotes.</param>
/// <returns>Stream <see cref="ExecutionMessage"/>.</returns>
public IEnumerable<ExecutionMessage> ToExecutionLog(QuoteChangeMessage message)
{
if (message == null)
throw new ArgumentNullException(nameof(message));
if (!_priceStepUpdated || !_volumeStepUpdated)
{
var quote = message.GetBestBid() ?? message.GetBestAsk();
if (quote != null)
{
_securityDefinition.PriceStep = quote.Price.GetDecimalInfo().EffectiveScale.GetPriceStep();
_securityDefinition.VolumeStep = quote.Volume.GetDecimalInfo().EffectiveScale.GetPriceStep();
_priceStepUpdated = true;
_volumeStepUpdated = true;
}
}
_lastDepthDate = message.LocalTime.Date;
// чтобы склонировать внутренние котировки
//message = (QuoteChangeMessage)message.Clone();
// TODO для ускорения идет shallow copy котировок
var newBids = message.IsSorted ? message.Bids : message.Bids.OrderByDescending(q => q.Price);
var newAsks = message.IsSorted ? message.Asks : message.Asks.OrderBy(q => q.Price);
return ProcessQuoteChange(message.LocalTime, message.ServerTime, newBids.ToArray(), newAsks.ToArray());
}
/// <summary>
/// Initializes a new instance of the <see cref="TimeQuoteChange"/>.
/// </summary>
/// <param name="quote">The quote, from which changes will be copied.</param>
/// <param name="message">The message with quotes.</param>
public TimeQuoteChange(QuoteChange quote, QuoteChangeMessage message)
{
if (quote == null)
throw new ArgumentNullException("quote");
SecurityId = message.SecurityId;
ServerTime = message.ServerTime;
LocalTime = message.LocalTime;
Price = quote.Price;
Volume = quote.Volume;
Side = quote.Side;
}
/// <summary>
/// Создать копию объекта.
/// </summary>
/// <returns>Копия.</returns>
public override Message Clone()
{
var clone = new QuoteChangeMessage
{
LocalTime = LocalTime,
SecurityId = SecurityId,
Bids = Bids.Select(q => q.Clone()).ToArray(),
Asks = Asks.Select(q => q.Clone()).ToArray(),
ServerTime = ServerTime,
IsSorted = IsSorted
};
this.CopyExtensionInfo(clone);
return(clone);
}
private void CreateAssociatedSecurityQuotes(QuoteChangeMessage quoteMsg)
{
if (!SessionHolder.CreateAssociatedSecurity)
{
return;
}
if (quoteMsg.SecurityId.IsDefault())
{
return;
}
var builder = _quoteChangeDepthBuilders
.SafeAdd(quoteMsg.SecurityId.SecurityCode, c => new QuoteChangeDepthBuilder(c, SessionHolder.AssociatedBoardCode));
NewOutMessage.SafeInvoke(builder.Process(quoteMsg));
}
public QuoteChangeMessage Process(QuoteChangeMessage message)
{
_feeds[message.SecurityId] = message;
var bids = _feeds.SelectMany(f => f.Value.Bids).ToArray();
var asks = _feeds.SelectMany(f => f.Value.Asks).ToArray();
return(new QuoteChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = _securityCode,
BoardCode = _boardCode
},
ServerTime = message.ServerTime,
LocalTime = message.LocalTime,
Bids = bids,
Asks = asks
});
}
/// <summary>
/// Создать <see cref="OrderLogMarketDepthBuilder"/>.
/// </summary>
/// <param name="depth">Стакан.</param>
/// <param name="maxDepth">Максимальная глубина стакана. По-умолчанию равно <see cref="int.MaxValue"/>, что означает бесконечную глубину.</param>
public OrderLogMarketDepthBuilder(QuoteChangeMessage depth, int maxDepth = int.MaxValue)
{
if (depth == null)
throw new ArgumentNullException("depth");
if (!depth.IsSorted)
throw new ArgumentException(LocalizedStrings.Str942, "depth");
_depth = depth;
_maxDepth = maxDepth;
foreach (var bid in depth.Bids)
_bids.Add(bid.Price, bid);
foreach (var ask in depth.Asks)
_asks.Add(ask.Price, ask);
_exchange = depth.SecurityId.BoardCode.IsEmpty()
? ExchangeBoard.Forts
: ExchangeBoard.GetBoard(depth.SecurityId.BoardCode) ?? ExchangeBoard.Forts;
}
private void SessionOnStil2Reply(ref Array arrayL2Update)
{
var asksUpdate = new List<QuoteChange>();
var bidsUpdate = new List<QuoteChange>();
foreach (structSTIL2Update structL2Update in arrayL2Update)
{
switch (structL2Update.bstrSide.ToSide())
{
case Sides.Buy:
{
bidsUpdate.Add(new QuoteChange(structL2Update.bstrSide.ToSide(), (decimal)structL2Update.fPrice, structL2Update.nQty) { BoardCode = structL2Update.bstrMaker });
break;
}
case Sides.Sell:
{
asksUpdate.Add(new QuoteChange(structL2Update.bstrSide.ToSide(), (decimal)structL2Update.fPrice, structL2Update.nQty) { BoardCode = structL2Update.bstrMaker });
break;
}
}
}
var quote = (structSTIL2Update)arrayL2Update.GetValue(0);
_depths[quote.bstrSymbol] = Tuple.Create(asksUpdate, bidsUpdate);
var message = new QuoteChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = quote.bstrSymbol,
BoardCode = AssociatedBoardCode,
},
Asks = asksUpdate,
Bids = bidsUpdate,
ServerTime = quote.bstrTime.StrToTime(),
};
SendOutMessage(message);
}
private void SessionOnStil2Update(ref structSTIL2Update structL2Update)
{
var depth = _depths[structL2Update.bstrSymbol];
var quote = new QuoteChange(structL2Update.bstrSide.ToSide(), (decimal)structL2Update.fPrice, structL2Update.nQty);
var quotes = quote.Side == Sides.Sell ? depth.Item1 : depth.Item2;
switch (structL2Update.bstrAction)
{
case "A": // add
{
quotes.Add(quote);
break;
}
case "C": // change
{
quotes.RemoveWhere(q => q.Price == quote.Price && q.BoardCode == quote.BoardCode);
quotes.Add(quote);
break;
}
case "D": // delete
{
quotes.RemoveWhere(q => q.Price == quote.Price && q.BoardCode == quote.BoardCode);
break;
}
}
var board = structL2Update.bstrMaker;
if (board.IsEmpty())
board = AssociatedBoardCode;
var message = new QuoteChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = structL2Update.bstrSymbol,
BoardCode = board,
},
Asks = depth.Item1.ToArray(),
Bids = depth.Item2.ToArray(),
ServerTime = structL2Update.bstrTime.StrToTime(),
};
SendOutMessage(message);
}
/// <summary>
/// Process message.
/// </summary>
/// <param name="message">Message.</param>
/// <returns>The result of processing. If <see langword="null" /> is returned, then generator has no sufficient data to generate new message.</returns>
protected override Message OnProcess(Message message)
{
if (_boardDefinition == null)
{
if (message.Type == MessageTypes.Board)
_boardDefinition = (BoardMessage)message.Clone();
return null;
}
DateTimeOffset time;
switch (message.Type)
{
case MessageTypes.Level1Change:
{
var l1Msg = (Level1ChangeMessage)message;
var value = l1Msg.Changes.TryGetValue(Level1Fields.LastTradePrice);
if (value != null)
_lastTradePrice = (decimal)value;
value = l1Msg.Changes.TryGetValue(Level1Fields.BestBidPrice);
if (value != null)
_bestBidPrice = (decimal)value;
value = l1Msg.Changes.TryGetValue(Level1Fields.BestAskPrice);
if (value != null)
_bestAskPrice = (decimal)value;
time = l1Msg.ServerTime;
break;
}
case MessageTypes.Execution:
{
var execMsg = (ExecutionMessage)message;
switch (execMsg.ExecutionType)
{
case ExecutionTypes.Tick:
{
var tradePrice = execMsg.TradePrice;
if (null == _prevTradePrice)
{
_prevTradePrice = tradePrice;
_bestAskPrice = tradePrice;
_bestBidPrice = tradePrice;
}
switch (execMsg.OriginSide)
{
case null:
{
if (tradePrice > _prevTradePrice)
{
_bestAskPrice = tradePrice;
//BestBid = PrevTrade;
_prevTradePrice = tradePrice;
}
else if (tradePrice < _prevTradePrice)
{
_bestBidPrice = tradePrice;
//BestAsk = PrevTrade;
_prevTradePrice = tradePrice;
}
break;
}
case Sides.Buy:
_bestAskPrice = tradePrice;
break;
default:
_bestBidPrice = tradePrice;
break;
}
_lastTradePrice = tradePrice;
_newTrades = true;
break;
}
default:
return null;
}
time = execMsg.ServerTime;
break;
}
case MessageTypes.Time:
{
var timeMsg = (TimeMessage)message;
time = timeMsg.ServerTime;
break;
}
default:
return null;
}
if (_currGenerations == 0 || _bestBidPrice == null || _bestAskPrice == null)
return null;
var isTradeTime = _boardDefinition.IsTradeTime(time);
var canProcess = GenerateDepthOnEachTrade && _newTrades
? isTradeTime
: (IsTimeToGenerate(time) && isTradeTime);
if (!canProcess)
return null;
_currGenerations = MaxGenerations;
var depth = new QuoteChangeMessage
{
SecurityId = SecurityId,
ServerTime = time,
LocalTime = time.LocalDateTime,
};
if (_bestBidPrice == null || _bestAskPrice == null)
{
if (_lastTradePrice == null)
throw new InvalidOperationException(LocalizedStrings.Str1142);
_bestBidPrice = _bestAskPrice = _lastTradePrice;
}
if (_currGenerations == 0)
throw new InvalidOperationException(LocalizedStrings.Str1143);
var bidPrice = _bestBidPrice;
var askPrice = _bestAskPrice;
var minSpred = MinSpreadStepCount * SecurityDefinition.PriceStep;
var maxStread = MaxSpreadStepCount * SecurityDefinition.PriceStep;
if ((askPrice - bidPrice) < minSpred)
{
if (_bestBidPrice == _lastTradePrice) // up trend
askPrice = bidPrice + minSpred;
else
bidPrice = askPrice - minSpred;
}
else if ((askPrice - bidPrice) > maxStread)
{
if (_bestBidPrice == _lastTradePrice) // down trend
askPrice = bidPrice + maxStread;
else
bidPrice = askPrice - maxStread;
}
var bids = new List<QuoteChange>
{
new QuoteChange(Sides.Buy, bidPrice.Value, Volumes.Next())
};
var count = MaxBidsDepth - bids.Count;
for (var i = 0; i < count; i++)
{
var quote = CreateQuote(bidPrice.Value, Sides.Buy);
if (quote.Price <= 0)
break;
bids.Add(quote);
bidPrice = quote.Price;
}
var asks = new List<QuoteChange>
{
new QuoteChange(Sides.Sell, askPrice.Value, Volumes.Next())
};
count = MaxAsksDepth - asks.Count;
for (var i = 0; i < count; i++)
{
var quote = CreateQuote(askPrice.Value, Sides.Sell);
if (quote.Price <= 0)
break;
asks.Add(quote);
askPrice = quote.Price;
}
depth.Bids = bids;
depth.Asks = asks;
_newTrades = false;
_currGenerations--;
return depth;
}
private void ConvertFile(string fileName, IStorageRegistry registry, StorageFormats format, ExchangeBoard board)
{
if (!_isStarted)
return;
var fileNameKey = format + "_" + fileName;
if (_convertedFiles.Contains(fileNameKey))
return;
_logManager.Application.AddInfoLog("Конвертация файла {0}.", fileName);
const int maxBufCount = 1000;
var data = new Dictionary<Security, Tuple<List<QuoteChangeMessage>, List<ExecutionMessage>, List<Level1ChangeMessage>, List<ExecutionMessage>>>();
using (var qr = QshReader.Open(fileName))
{
var currentDate = qr.CurrentDateTime;
for (var i = 0; i < qr.StreamCount; i++)
{
var stream = (ISecurityStream)qr[i];
var security = GetSecurity(stream.Security, board);
var priceStep = security.PriceStep ?? 1;
var securityId = security.ToSecurityId();
var lastTransactionId = 0L;
var secData = data.SafeAdd(security, key => Tuple.Create(new List<QuoteChangeMessage>(), new List<ExecutionMessage>(), new List<Level1ChangeMessage>(), new List<ExecutionMessage>()));
switch (stream.Type)
{
case StreamType.Stock:
{
((IStockStream)stream).Handler += (key, quotes, spread) =>
{
var quotes2 = quotes.Select(q =>
{
Sides side;
switch (q.Type)
{
case QuoteType.Unknown:
case QuoteType.Free:
case QuoteType.Spread:
throw new ArgumentException(q.Type.ToString());
case QuoteType.Ask:
case QuoteType.BestAsk:
side = Sides.Sell;
break;
case QuoteType.Bid:
case QuoteType.BestBid:
side = Sides.Buy;
break;
default:
throw new ArgumentOutOfRangeException();
}
return new QuoteChange(side, priceStep * q.Price, q.Volume);
}).ToArray();
var md = new QuoteChangeMessage
{
SecurityId = securityId,
ServerTime = currentDate.ApplyTimeZone(TimeHelper.Moscow),
Bids = quotes2.Where(q => q.Side == Sides.Buy),
Asks = quotes2.Where(q => q.Side == Sides.Sell),
};
//if (md.Verify())
//{
secData.Item1.Add(md);
if (secData.Item1.Count > maxBufCount)
{
registry.GetQuoteMessageStorage(security).Save(secData.Item1);
secData.Item1.Clear();
}
//}
//else
// _logManager.Application.AddErrorLog("Стакан для {0} в момент {1} не прошел валидацию. Лучший бид {2}, Лучший офер {3}.", security, qr.CurrentDateTime, md.BestBid, md.BestAsk);
};
break;
}
case StreamType.Deals:
{
((IDealsStream)stream).Handler += deal =>
{
secData.Item2.Add(new ExecutionMessage
{
ExecutionType = ExecutionTypes.Tick,
SecurityId = securityId,
OpenInterest = deal.OI == 0 ? (long?)null : deal.OI,
ServerTime = deal.DateTime.ApplyTimeZone(TimeHelper.Moscow),
Volume = deal.Volume,
TradeId = deal.Id == 0 ? (long?)null : deal.Id,
TradePrice = (decimal)deal.Price,
OriginSide =
deal.Type == DealType.Buy
? Sides.Buy
: (deal.Type == DealType.Sell ? Sides.Sell : (Sides?)null)
});
if (secData.Item2.Count > maxBufCount)
{
registry.GetTickMessageStorage(security).Save(secData.Item2);
secData.Item2.Clear();
}
};
break;
}
case StreamType.OrdLog:
{
((IOrdLogStream)stream).Handler += (key, ol) =>
{
var currTransactionId = ol.DateTime.Ticks;
if (lastTransactionId < currTransactionId)
lastTransactionId = currTransactionId;
else if (lastTransactionId >= currTransactionId)
lastTransactionId++;
var msg = new ExecutionMessage
{
ExecutionType = ExecutionTypes.OrderLog,
SecurityId = securityId,
OpenInterest = ol.OI == 0 ? (long?)null : ol.OI,
OrderId = ol.OrderId,
Price = priceStep * ol.Price,
ServerTime = ol.DateTime.ApplyTimeZone(TimeHelper.Moscow),
Volume = ol.Amount,
Balance = ol.AmountRest,
TradeId = ol.DealId == 0 ? (long?)null : ol.DealId,
TradePrice = ol.DealPrice == 0 ? (decimal?)null : priceStep * ol.DealPrice,
TransactionId = lastTransactionId
};
var status = 0;
if (ol.Flags.Contains(OrdLogFlags.Add))
{
msg.OrderState = OrderStates.Active;
}
else if (ol.Flags.Contains(OrdLogFlags.Fill))
{
msg.OrderState = OrderStates.Done;
}
else if (ol.Flags.Contains(OrdLogFlags.Canceled))
{
msg.OrderState = OrderStates.Done;
status |= 0x200000;
}
else if (ol.Flags.Contains(OrdLogFlags.CanceledGroup))
{
msg.OrderState = OrderStates.Done;
status |= 0x400000;
}
else if (ol.Flags.Contains(OrdLogFlags.Moved))
{
status |= 0x100000;
}
if (ol.Flags.Contains(OrdLogFlags.Buy))
{
msg.Side = Sides.Buy;
}
else if (ol.Flags.Contains(OrdLogFlags.Sell))
{
msg.Side = Sides.Sell;
}
if (ol.Flags.Contains(OrdLogFlags.FillOrKill))
{
msg.TimeInForce = TimeInForce.MatchOrCancel;
status |= 0x00080000;
}
if (ol.Flags.Contains(OrdLogFlags.Quote))
{
msg.TimeInForce = TimeInForce.PutInQueue;
status |= 0x01;
}
if (ol.Flags.Contains(OrdLogFlags.Counter))
{
status |= 0x02;
}
if (ol.Flags.Contains(OrdLogFlags.CrossTrade))
{
status |= 0x20000000;
}
if (ol.Flags.Contains(OrdLogFlags.NonSystem))
{
msg.IsSystem = false;
status |= 0x04;
}
if (ol.Flags.Contains(OrdLogFlags.EndOfTransaction))
{
status |= 0x1000;
}
msg.OrderStatus = (OrderStatus)status;
secData.Item4.Add(msg);
if (secData.Item4.Count > maxBufCount)
{
registry.GetOrderLogMessageStorage(security).Save(secData.Item4);
secData.Item4.Clear();
}
};
break;
}
case StreamType.AuxInfo:
{
((IAuxInfoStream)stream).Handler += (key, info) =>
{
secData.Item3.Add(new Level1ChangeMessage
{
SecurityId = securityId,
ServerTime = info.DateTime.ApplyTimeZone(TimeHelper.Moscow),
}
.TryAdd(Level1Fields.LastTradePrice, priceStep * info.Price)
.TryAdd(Level1Fields.BidsVolume, (decimal)info.BidTotal)
.TryAdd(Level1Fields.AsksVolume, (decimal)info.AskTotal)
.TryAdd(Level1Fields.HighPrice, priceStep * info.HiLimit)
.TryAdd(Level1Fields.LowPrice, priceStep * info.LoLimit)
.TryAdd(Level1Fields.OpenInterest, (decimal)info.OI));
if (secData.Item3.Count > maxBufCount)
{
registry.GetLevel1MessageStorage(security).Save(secData.Item3);
secData.Item3.Clear();
}
};
break;
}
case StreamType.Orders:
case StreamType.Trades:
case StreamType.Messages:
case StreamType.None:
{
continue;
}
default:
throw new ArgumentOutOfRangeException("Неподдерживаемый тип потока {0}.".Put(stream.Type));
}
}
while (qr.CurrentDateTime != DateTime.MaxValue && _isStarted)
qr.Read(true);
}
if (!_isStarted)
return;
foreach (var pair in data)
{
if (pair.Value.Item1.Any())
{
registry.GetQuoteMessageStorage(pair.Key, format: format).Save(pair.Value.Item1);
}
if (pair.Value.Item2.Any())
{
registry.GetTickMessageStorage(pair.Key, format: format).Save(pair.Value.Item2);
}
if (pair.Value.Item3.Any())
{
registry.GetLevel1MessageStorage(pair.Key, format: format).Save(pair.Value.Item3);
}
if (pair.Value.Item4.Any())
{
registry.GetOrderLogMessageStorage(pair.Key, format: format).Save(pair.Value.Item4);
}
}
File.AppendAllLines(_convertedFilesFile, new[] { fileNameKey });
_convertedFiles.Add(fileNameKey);
}
/// <summary>
/// To upfate the order book.
/// </summary>
/// <param name="message">Market depth.</param>
public void UpdateDepth(QuoteChangeMessage message)
{
if (message == null)
throw new ArgumentNullException(nameof(message));
var clone = new QuoteChangeMessage
{
Bids = message.Bids,
Asks = message.Asks,
IsSorted = message.IsSorted,
};
lock (_lastDepthSync)
_lastQuoteMsg = clone;
}
/// <summary>
/// To process the message, containing data on order book.
/// </summary>
/// <param name="quoteMsg">The message, containing data on order book.</param>
public void ProcessQuotes(QuoteChangeMessage quoteMsg)
{
var ask = quoteMsg.GetBestAsk();
AskPrice = ask != null ? ask.Price : 0;
var bid = quoteMsg.GetBestBid();
BidPrice = bid != null ? bid.Price : 0;
_unrealizedPnL = null;
}
/// <summary>
/// Create a copy of <see cref="QuoteChangeMessage"/>.
/// </summary>
/// <returns>Copy.</returns>
public override Message Clone()
{
var clone = new QuoteChangeMessage
{
LocalTime = LocalTime,
SecurityId = SecurityId,
Bids = Bids.Select(q => q.Clone()).ToArray(),
Asks = Asks.Select(q => q.Clone()).ToArray(),
ServerTime = ServerTime,
IsSorted = IsSorted,
Currency = Currency,
};
this.CopyExtensionInfo(clone);
return clone;
}
private void SessionOnStil2Update(ref structSTIL2Update structL2Update)
{
var asksUpdate = _depths[structL2Update.bstrSymbol].Item1;
var bidsUpdate = _depths[structL2Update.bstrSymbol].Item2;
var quote = new QuoteChange(structL2Update.bstrSide.ToSide(), (decimal) structL2Update.fPrice, structL2Update.nQty) {BoardCode = structL2Update.bstrMaker};
switch (structL2Update.bstrSide.ToSide())
{
case Sides.Buy:
{
switch (structL2Update.bstrAction)
{
case "A": // add
{
bidsUpdate.Add(quote);
break;
}
case "C": // change
{
bidsUpdate.RemoveWhere(q => q.Price == quote.Price && q.BoardCode == quote.BoardCode);
bidsUpdate.Add(quote);
break;
}
case "D": // delete
{
bidsUpdate.RemoveWhere(q => q.Price == quote.Price && q.BoardCode == quote.BoardCode);
break;
}
}
break;
}
case Sides.Sell:
{
switch (structL2Update.bstrAction)
{
case "A": // add
{
asksUpdate.Add(quote);
break;
}
case "C": // change
{
asksUpdate.RemoveWhere(q => q.Price == quote.Price && q.BoardCode == quote.BoardCode);
asksUpdate.Add(quote);
break;
}
case "D": // delete
{
asksUpdate.RemoveWhere(q => q.Price == quote.Price && q.BoardCode == quote.BoardCode);
break;
}
}
break;
}
}
var message = new QuoteChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = structL2Update.bstrSymbol,
BoardCode = "All",
},
Asks = asksUpdate,
Bids = bidsUpdate,
ServerTime = structL2Update.bstrTime.StrToTime(),
};
SendOutMessage(message);
}
QuoteChangeMessage IOrderLogMarketDepthBuilder.Update(ExecutionMessage item)
{
if (item == null)
{
throw new ArgumentNullException(nameof(item));
}
if (item.ExecutionType != ExecutionTypes.OrderLog)
{
throw new ArgumentException(nameof(item));
}
if (item.OrderPrice == 0)
{
return(null);
}
_depth.ServerTime = item.ServerTime;
_depth.LocalTime = item.LocalTime;
QuoteChange?changedQuote = null;
var quotes = item.Side == Sides.Buy ? _bids : _asks;
if (item.IsOrderLogRegistered())
{
if (item.OrderVolume != null)
{
QuoteChange ProcessRegister <T>(T id, Dictionary <T, decimal> orders)
{
var quote = quotes.SafeAdd(item.OrderPrice, key => new QuoteChange(key, 0));
var volume = item.OrderVolume.Value;
if (orders.TryGetValue(id, out var prevVolume))
{
quote.Volume += (volume - prevVolume);
orders[id] = volume;
}
else
{
quote.Volume += volume;
orders.Add(id, volume);
}
quotes[item.OrderPrice] = quote;
return(quote);
}
if (item.OrderId != null)
{
changedQuote = ProcessRegister(item.OrderId.Value, _ordersByNum);
}
else if (!item.OrderStringId.IsEmpty())
{
changedQuote = ProcessRegister(item.OrderStringId, _ordersByString);
}
}
}
else if (item.IsOrderLogMatched())
{
var volume = item.TradeVolume ?? item.OrderVolume;
if (volume != null)
{
QuoteChange?ProcessMatched <T>(T id, Dictionary <T, decimal> orders)
{
if (orders.TryGetValue(id, out var prevVolume))
{
orders[id] = prevVolume - volume.Value;
if (quotes.TryGetValue(item.OrderPrice, out var quote))
{
quote.Volume -= volume.Value;
if (quote.Volume <= 0)
{
quotes.Remove(item.OrderPrice);
}
quotes[item.OrderPrice] = quote;
return(quote);
}
}
return(null);
}
if (item.OrderId != null)
{
changedQuote = ProcessMatched(item.OrderId.Value, _ordersByNum);
}
else if (!item.OrderStringId.IsEmpty())
{
changedQuote = ProcessMatched(item.OrderStringId, _ordersByString);
}
}
}
else if (item.IsOrderLogCanceled())
{
QuoteChange?ProcessCanceled <T>(T id, Dictionary <T, decimal> orders)
{
if (orders.TryGetAndRemove(id, out var prevVolume))
{
if (quotes.TryGetValue(item.OrderPrice, out var quote))
{
quote.Volume -= prevVolume;
if (quote.Volume <= 0)
{
quotes.Remove(item.OrderPrice);
}
quotes[item.OrderPrice] = quote;
return(quote);
}
}
return(null);
}
if (item.OrderId != null)
{
changedQuote = ProcessCanceled(item.OrderId.Value, _ordersByNum);
}
else if (!item.OrderStringId.IsEmpty())
{
changedQuote = ProcessCanceled(item.OrderStringId, _ordersByString);
}
}
if (changedQuote == null)
{
return(null);
}
var increment = new QuoteChangeMessage
{
ServerTime = item.ServerTime,
LocalTime = item.LocalTime,
SecurityId = _depth.SecurityId,
State = QuoteChangeStates.Increment,
};
var q = changedQuote.Value;
if (item.Side == Sides.Buy)
{
increment.Bids = new[] { q }
}
;
else
{
increment.Asks = new[] { q }
};
return(increment);
}
}
private void SessionOnStil2Reply(ref Array arrayL2Update)
{
var asksUpdate = new List<QuoteChange>();
var bidsUpdate = new List<QuoteChange>();
foreach (structSTIL2Update structL2Update in arrayL2Update)
{
switch (structL2Update.bstrSide.ToSide())
{
case Sides.Buy:
{
bidsUpdate.Add(new QuoteChange(structL2Update.bstrSide.ToSide(), (decimal) structL2Update.fPrice, structL2Update.nQty) {BoardCode = structL2Update.bstrMaker});
break;
}
case Sides.Sell:
{
asksUpdate.Add(new QuoteChange(structL2Update.bstrSide.ToSide(), (decimal)structL2Update.fPrice, structL2Update.nQty) { BoardCode = structL2Update.bstrMaker});
break;
}
}
}
var quote = (structSTIL2Update)arrayL2Update.GetValue(0);
if (_depths.ContainsKey(quote.bstrSymbol))
{
_depths.Remove(quote.bstrSymbol);
}
_depths.Add(quote.bstrSymbol, new Tuple<List<QuoteChange>, List<QuoteChange>>(asksUpdate, bidsUpdate));
var message = new QuoteChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = quote.bstrSymbol,
BoardCode = "All",
},
Asks = asksUpdate,
Bids = bidsUpdate,
ServerTime = quote.bstrTime.StrToTime(),
};
SendOutMessage(message);
}
