private void ProcessMarketDataMessage(MarketDataMessage message)
{
_sessionHolder.Requests.Enqueue(new LuaRequest
{
MessageType = message.Type,
DataType = message.DataType,
SecurityId = new SecurityId
{
SecurityCode = message.SecurityId.SecurityCode,
BoardCode = _sessionHolder.GetSecurityClass(message.SecurityId)
},
IsSubscribe = message.IsSubscribe,
TransactionId = message.TransactionId
});
var result = (MarketDataMessage)message.Clone();
result.OriginalTransactionId = message.TransactionId;
_fixServer.SendInMessage(result);
}
/// <summary>
/// Создать <see cref="LuaFixServer"/>.
/// </summary>
public LuaFixServer()
{
_sessionHolder = new LuaSession(new MillisecondIncrementalIdGenerator())
{
Path = SystemProcess.GetCurrentProcess().MainModule.FileName
};
_fixServer = new FixServerEx((l, p) =>
{
if (Login.IsEmpty() || (l.CompareIgnoreCase(Login) && p == Password))
{
_prevLevel1.Clear();
return(Tuple.Create(TimeSpan.FromMilliseconds(100), FixClientRoles.Admin));
}
return(null);
});
_fixServer.NewOutMessage += message =>
{
_sessionHolder.AddDebugLog("In. {0}", message);
switch (message.Type)
{
case MessageTypes.CandlePnF:
case MessageTypes.CandleRange:
case MessageTypes.CandleRenko:
case MessageTypes.CandleTick:
case MessageTypes.CandleTimeFrame:
case MessageTypes.CandleVolume:
throw new NotSupportedException();
case MessageTypes.MarketData:
{
var mdMsg = (MarketDataMessage)message;
ProcessMarketDataMessage(mdMsg);
break;
}
case MessageTypes.SecurityLookup:
{
var secMsg = (SecurityLookupMessage)message;
var securityId = new SecurityId
{
SecurityCode = secMsg.SecurityId.SecurityCode,
BoardCode = !secMsg.SecurityId.BoardCode.IsEmpty()
? _sessionHolder.GetSecurityClass(secMsg.SecurityId)
: null
};
_sessionHolder.Requests.Enqueue(new LuaRequest
{
MessageType = MessageTypes.SecurityLookup,
TransactionId = secMsg.TransactionId,
SecurityId = securityId,
Value = secMsg.UnderlyingSecurityCode
});
break;
}
case MessageTypes.OrderPairReplace:
case MessageTypes.Portfolio:
case MessageTypes.Position:
throw new NotSupportedException();
case MessageTypes.PortfolioLookup:
var pfMsg = (PortfolioLookupMessage)message;
_sessionHolder.Requests.Enqueue(new LuaRequest
{
MessageType = MessageTypes.PortfolioLookup,
TransactionId = pfMsg.TransactionId
});
break;
case MessageTypes.OrderStatus:
var statusMsg = (OrderStatusMessage)message;
_sessionHolder.Requests.Enqueue(new LuaRequest
{
MessageType = MessageTypes.OrderStatus,
TransactionId = statusMsg.TransactionId
});
break;
case MessageTypes.OrderRegister:
case MessageTypes.OrderReplace:
case MessageTypes.OrderCancel:
case MessageTypes.OrderGroupCancel:
var orderMsg = (OrderMessage)message;
ProcessOrderMessage(orderMsg);
break;
default:
throw new ArgumentOutOfRangeException();
}
};
_logManager.Application = new QuikNativeApp();
_logManager.Sources.Add(_sessionHolder);
_logManager.Sources.Add(_fixServer);
LogFile = "StockSharp.QuikLua.log";
var path = Path.GetDirectoryName(Assembly.GetExecutingAssembly().Location);
var logFileName = Path.Combine(path, LogFile);
_logManager.Listeners.Add(new FileLogListener(logFileName));
}