/// <summary>
/// Constructor.
/// </summary>
/// <see cref="Message"/>
/// <param name="message">Source message.</param>
public OrderCanceledData(Message message)
{
ClientId = DWConverter.FromProtoUuid(message.ClientId);
OrderCanceledMessage orderCanceledMessage = message.OrderCanceledMsg.Clone();
OrigClientId = DWConverter.FromProtoUuid(orderCanceledMessage.PrevClientId);
TraderId = message.TraderId;
Symbol = SymbolsContainer.GetSymbol(message.MarketId);
MarkPrice = DWConverter.FromProtoDecimal(orderCanceledMessage.MarkPrice);
OrderIds = new List <Guid>();
foreach (ByteString orderId in orderCanceledMessage.OrderIds)
{
OrderIds.Add(DWConverter.FromProtoUuid(orderId));
}
OrderMargin = DWConverter.FromProtoDecimal(orderCanceledMessage.OrderMargin);
PositionMargin = DWConverter.FromProtoDecimal(orderCanceledMessage.PositionMargin);
Status = orderCanceledMessage.Status;
TraderBalance = DWConverter.FromProtoDecimal(orderCanceledMessage.TraderBalance);
TraderBalance2 = DWConverter.FromProtoDecimal(orderCanceledMessage.TraderBalance2);
Upnl = DWConverter.FromProtoDecimal(orderCanceledMessage.Upnl);
BuyOrderMargin = DWConverter.FromProtoDecimal(orderCanceledMessage.BuyOrderMargin);
Pnl = DWConverter.FromProtoDecimal(orderCanceledMessage.Pnl);
SellOrderMargin = DWConverter.FromProtoDecimal(orderCanceledMessage.SellOrderMargin);
BuyOrderQuantity = DWConverter.FromProtoDecimal(orderCanceledMessage.BuyOrderQuantity);
SellOrderQuantity = DWConverter.FromProtoDecimal(orderCanceledMessage.SellOrderQuantity);
AccumQuantity = DWConverter.FromProtoDecimal(orderCanceledMessage.AccumQuantity);
Orders = new List <OrderBase>();
foreach (OrderMessage order in orderCanceledMessage.Orders)
{
Orders.Add(order.OrderType == OrderType.Limit ? (OrderBase) new OrderLimit(order, Symbol) :
new OrderMarket(order, Symbol));
}
}
/// <summary>
/// Constructor.
/// </summary>
/// <see cref="Message"/>
/// <param name="message">Source message.</param>
public OrderStatusData(Message message)
{
OrderStatusMessage orderStatusMessage = message.OrderStatusMsg.Clone();
TraderId = message.TraderId;
ClientId = DWConverter.FromProtoUuid(message.ClientId);
Symbol = SymbolsContainer.GetSymbol(message.MarketId);
Direction = orderStatusMessage.Side;
Status = orderStatusMessage.Status;
PositionMargin = DWConverter.FromProtoDecimal(orderStatusMessage.PositionMargin);
OrderMargin = DWConverter.FromProtoDecimal(orderStatusMessage.OrderMargin);
TraderBalance = DWConverter.FromProtoDecimal(orderStatusMessage.TraderBalance);
TraderBalance2 = DWConverter.FromProtoDecimal(orderStatusMessage.TraderBalance2);
MarkPrice = DWConverter.FromProtoDecimal(orderStatusMessage.MarkPrice);
PaidPrice = DWConverter.FromProtoDecimal(orderStatusMessage.PaidPrice);
Price = DWConverter.FromProtoDecimal(orderStatusMessage.Price);
Quantity = DWConverter.FromProtoDecimal(orderStatusMessage.Quantity);
//this.TakeProfitPrice = message.FromProtoDecimal(orderStatusMessage.TakeProfitPrice);
Upnl = DWConverter.FromProtoDecimal(orderStatusMessage.Upnl);
BuyOrderMargin = DWConverter.FromProtoDecimal(orderStatusMessage.BuyOrderMargin);
Duration = orderStatusMessage.Duration;
Leverage = orderStatusMessage.Leverage;
OldContractId = orderStatusMessage.OldContractId;
OrderClientId = DWConverter.FromProtoUuid(orderStatusMessage.OrderClientId);
if (orderStatusMessage.OrderTimestamp == 0)
{
OrderTimestamp = DWConverter.FromLongDateTime(message.Timestamp);
}
else
{
OrderTimestamp = DWConverter.FromLongDateTime(orderStatusMessage.OrderTimestamp);
}
OrderType = orderStatusMessage.OrderType;
PaidPrice = DWConverter.FromProtoDecimal(orderStatusMessage.PaidPrice);
SellOrderMargin = DWConverter.FromProtoDecimal(orderStatusMessage.SellOrderMargin);
Side = orderStatusMessage.Side;
//this.TakeProfitType = orderStatusMessage.TakeProfitType;
Pnl = DWConverter.FromProtoDecimal(orderStatusMessage.Pnl);
BuyOrderQuantity = DWConverter.FromProtoDecimal(orderStatusMessage.BuyOrderQuantity);
SellOrderQuantity = DWConverter.FromProtoDecimal(orderStatusMessage.SellOrderQuantity);
AccumQuantity = DWConverter.FromProtoDecimal(orderStatusMessage.AccumQuantity);
OpenTime = DWConverter.FromLongDateTime(orderStatusMessage.OpenTime);
OrigClientId = DWConverter.FromProtoUuid(orderStatusMessage.OrigClientId);
OrigQuantity = DWConverter.FromProtoDecimal(orderStatusMessage.OrigQuantity);
}
/// <summary>
/// Constructor.
/// </summary>
/// <param name="message">Original message. <see cref="TradeMessage"/></param>
public Trade(TradeMessage message, Symbol symbol)
{
TradeTraderId = message.TradeTraderId;
TradeTimeStamp = DWConverter.FromLongDateTime(message.TradeTimestamp);
Position = message.Position;
Price = DWConverter.FromProtoDecimal(message.Price);
Quantity = DWConverter.FromProtoDecimal(message.Quantity);
PaidPrice = DWConverter.FromProtoDecimal(message.PaidPrice);
LiquidationPrice = DWConverter.FromProtoDecimal(message.LiquidationPrice);
ExitPrice = DWConverter.FromProtoDecimal(message.ExitPrice);
Leverage = message.Leverage;
ContractId = message.ContractId;
OldContractId = message.OldContractId;
OldClientId = DWConverter.FromProtoUuid(message.OldClientId);
IsIncrease = message.IsIncrease;
IsLiquidation = message.IsLiquidation;
Symbol = symbol;
}
protected OrderBase(OrderMessage message, Symbol symbol)
{
ClientId = DWConverter.FromProtoUuid(message.OrderClientId);
TimeStamp = DWConverter.FromLongDateTime(message.OrderTimestamp);
Type = message.OrderType;
Side = message.Side;
Leverage = message.Leverage;
Duration = message.Duration;
Price = DWConverter.FromProtoDecimal(message.Price);
Quantity = DWConverter.FromProtoDecimal(message.Quantity);
PaidPrice = DWConverter.FromProtoDecimal(message.PaidPrice);
status = null;
TargetSymbol = symbol;
ContractId = message.ContractId;
OldClientId = DWConverter.FromProtoUuid(message.OldClientId);
OpenTime = DWConverter.FromLongDateTime(message.OpenTime);
OrderTraderId = message.OrderTraderId;
OrigClientId = DWConverter.FromProtoUuid(message.OrigClientId);
OrigQuantity = DWConverter.FromProtoDecimal(message.OrigQuantity);
}
/// <summary>
/// Constructor.
/// </summary>
/// <see cref="Message"/>
/// <param name="message">Source message.</param>
public OrderFilledData(Message message)
{
OrderFilledMessage orderFilledMessage = message.OrderFilledMsg.Clone();
TraderId = message.TraderId;
ClientId = DWConverter.FromProtoUuid(message.ClientId);
Symbol = SymbolsContainer.GetSymbol(message.MarketId);
Status = orderFilledMessage.Status;
AccumQuantity = DWConverter.FromProtoDecimal(orderFilledMessage.AccumQuantity);
BuyOrderQuantity = DWConverter.FromProtoDecimal(orderFilledMessage.BuyOrderQuantity);
SellOrderQuantity = DWConverter.FromProtoDecimal(orderFilledMessage.SellOrderQuantity);
PositionType = orderFilledMessage.PositionType;
PositionMargin = DWConverter.FromProtoDecimal(orderFilledMessage.PositionMargin);
OrderMargin = DWConverter.FromProtoDecimal(orderFilledMessage.OrderMargin);
TraderBalance = DWConverter.FromProtoDecimal(orderFilledMessage.TraderBalance);
TraderBalance2 = DWConverter.FromProtoDecimal(orderFilledMessage.TraderBalance2);
Pnl = DWConverter.FromProtoDecimal(orderFilledMessage.Pnl);
Upnl = DWConverter.FromProtoDecimal(orderFilledMessage.Upnl);
NewClientId = Status == OrderStatus.Partial ? DWConverter.FromProtoUuid(orderFilledMessage.NewClientId) : Guid.Empty;
BuyOrderMargin = DWConverter.FromProtoDecimal(orderFilledMessage.BuyOrderMargin);
DroppedQuantity = DWConverter.FromProtoDecimal(orderFilledMessage.DroppedQuantity);
Duration = orderFilledMessage.Duration;
LastTradePrice = DWConverter.FromProtoDecimal(orderFilledMessage.LastTradePrice);
LastTradeQuantity = DWConverter.FromProtoDecimal(orderFilledMessage.LastTradeQuantity);
Leverage = orderFilledMessage.Leverage;
MarkPrice = DWConverter.FromProtoDecimal(orderFilledMessage.MarkPrice);
OrderType = orderFilledMessage.OrderType;
PaidPrice = DWConverter.FromProtoDecimal(orderFilledMessage.PaidPrice);
PositionBankruptcyVolume = DWConverter.FromProtoDecimal(orderFilledMessage.PositionBankruptcyVolume);
PositionContracts = DWConverter.FromProtoDecimal(orderFilledMessage.PositionContracts);
PositionLiquidationVolume = DWConverter.FromProtoDecimal(orderFilledMessage.PositionLiquidationVolume);
PositionVolume = DWConverter.FromProtoDecimal(orderFilledMessage.PositionVolume);
Price = DWConverter.FromProtoDecimal(orderFilledMessage.Price);
Quantity = DWConverter.FromProtoDecimal(orderFilledMessage.Quantity);
RawTrades = new List <Trade>();
foreach (TradeMessage trade in orderFilledMessage.RawTrades)
{
Trade rawTrade = new Trade(trade, SymbolsContainer.GetSymbol(message.MarketId));
if (trade.TradeTimestamp == 0)
{
rawTrade.TradeTimeStamp = DWConverter.FromLongDateTime(message.Timestamp);
}
RawTrades.Add(rawTrade);
}
SellOrderMargin = DWConverter.FromProtoDecimal(orderFilledMessage.SellOrderMargin);
Side = orderFilledMessage.Side;
Trades = new List <Trade>();
foreach (TradeMessage trade in orderFilledMessage.Trades)
{
Trade tempTrade = new Trade(trade, SymbolsContainer.GetSymbol(message.MarketId));
if (trade.TradeTimestamp == 0)
{
tempTrade.TradeTimeStamp = DWConverter.FromLongDateTime(message.Timestamp);
}
Trades.Add(tempTrade);
}
OpenTime = DWConverter.FromLongDateTime(orderFilledMessage.OpenTime);
OrigClientId = DWConverter.FromProtoUuid(orderFilledMessage.OrigClientId);
OrigQuantity = DWConverter.FromProtoDecimal(orderFilledMessage.OrigQuantity);
}
private void ReceiveMessage(byte[] ByteMessage)
{
Message message;
try
{
message = Message.Parser.ParseFrom(ByteMessage);
if (!dataMessages.Contains(message.KontentCase))
{
logger.Debug($"Received {message.KontentCase}: {message}");
}
else
{
logger.Trace($"Received {message.KontentCase}: {message}");
}
}
catch (Exception exception)
{
logger.Error(exception, ByteMessage.ToString());
return;
}
Guid clientId = DWConverter.FromProtoUuid(message.ClientId);
if (message.ErrorCode != 0)
{
ErrorCodes code = (ErrorCodes)message.ErrorCode;
ErrorEvent?.Invoke(clientId, code);
}
if (message.KontentCase == MessageType.OrderStatusMsg)
{
OrderStatusReceived(message);
}
else if (message.KontentCase == MessageType.OrderFilledMsg)
{
OrderFilledReceived(message);
}
else if (message.KontentCase == MessageType.TraderStatusMsg)
{
TraderStatusReceived(message);
}
else if (message.KontentCase == MessageType.TraderBalanceMsg)
{
TraderBalanceReceived(message);
}
else if (message.KontentCase == MessageType.FundingMsg)
{
FundingReceived(message);
}
else if (message.KontentCase == MessageType.OrderCanceledMsg)
{
OrderCanceledReceived(message);
}
else if (message.KontentCase == MessageType.OrderBookMsg)
{
OrderBookReceived(message);
}
else if (message.KontentCase == MessageType.OrderBookUpdatedMsg)
{
OrderBookUpdatedReceived(message);
}
else if (message.KontentCase == MessageType.ExchangeRateMsg)
{
ExchangeRateReceived(message);
}
else if (message.KontentCase == MessageType.MarketStateMsg)
{
MarketStateReceived(message);
}
else if (message.KontentCase == MessageType.MarketStateUpdateMsg)
{
MarketStateUpdateReceived(message);
}
else if (message.KontentCase == MessageType.LeverageMsg)
{
LeverageReceived(message);
}
}