private static OrderLog OrdLogConverter(OrdLogEntry ol)
{
var states = new HashSet <OrderLogStates>();
if (ol.Flags.HasFlag(OrdLogFlags.NonSystem) || ol.Flags.HasFlag(OrdLogFlags.Snapshot))
{
states.Add(OrderLogStates.NonSystem);
}
if (ol.Flags.HasFlag(OrdLogFlags.Add))
{
states.Add(OrderLogStates.Add);
}
if (ol.Flags.HasFlag(OrdLogFlags.Fill))
{
states.Add(OrderLogStates.Fill);
}
if (ol.Flags.HasFlag(OrdLogFlags.Buy))
{
states.Add(OrderLogStates.Buy);
}
if (ol.Flags.HasFlag(OrdLogFlags.Sell))
{
states.Add(OrderLogStates.Sell);
}
return(new OrderLog
{
States = states,
Time = ol.DateTime,
OrderId = ol.OrderId,
Price = ol.Price,
Volume = ol.Amount,
VolumeRest = ol.AmountRest,
TradeId = ol.DealId,
TradePrice = ol.DealPrice
});
}
// **********************************************************************
public void Write(DateTime dateTime, OrdLogEntry entry)
{
dw.WriteRecHeader(sid, dateTime);
// ------------------------------------------------------------
long milliseconds = DateTimeHelper.ToMs(entry.DateTime);
OrdLogEntryFlags flags = OrdLogEntryFlags.None;
// ------------------------------------------------------------
if (lastMilliseconds != milliseconds)
{
flags |= OrdLogEntryFlags.DateTime;
}
if (lastOrderId != entry.OrderId)
{
flags |= OrdLogEntryFlags.OrderId;
}
if (lastPrice != entry.Price)
{
flags |= OrdLogEntryFlags.Price;
}
if (lastAmount != entry.Amount)
{
flags |= OrdLogEntryFlags.Amount;
}
if ((entry.Flags & OrdLogFlags.Fill) != 0)
{
if (lastAmountRest != entry.AmountRest)
{
flags |= OrdLogEntryFlags.AmountRest;
}
if (lastDealId != entry.DealId)
{
flags |= OrdLogEntryFlags.DealId;
}
if (lastDealPrice != entry.DealPrice)
{
flags |= OrdLogEntryFlags.DealPrice;
}
if (lastOI != entry.OI)
{
flags |= OrdLogEntryFlags.OI;
}
}
// ------------------------------------------------------------
dw.Write((byte)flags);
// ------------------------------------------------------------
dw.Write((ushort)entry.Flags);
if ((flags & OrdLogEntryFlags.DateTime) != 0)
{
dw.WriteGrowing(milliseconds, ref lastMilliseconds);
}
if ((flags & OrdLogEntryFlags.OrderId) != 0)
{
if ((entry.Flags & OrdLogFlags.Add) != 0)
{
dw.WriteGrowing(entry.OrderId, ref lastOrderId);
}
else
{
dw.WriteLeb128(entry.OrderId - lastOrderId);
}
}
if ((flags & OrdLogEntryFlags.Price) != 0)
{
dw.WriteLeb128(entry.Price - lastPrice);
lastPrice = entry.Price;
}
if ((flags & OrdLogEntryFlags.Amount) != 0)
{
dw.WriteLeb128(entry.Amount);
lastAmount = entry.Amount;
}
if ((flags & OrdLogEntryFlags.AmountRest) != 0)
{
dw.WriteLeb128(entry.AmountRest);
lastAmountRest = entry.AmountRest;
}
if ((flags & OrdLogEntryFlags.DealId) != 0)
{
dw.WriteGrowing(entry.DealId, ref lastDealId);
}
if ((flags & OrdLogEntryFlags.DealPrice) != 0)
{
dw.WriteLeb128(entry.DealPrice - lastDealPrice);
lastDealPrice = entry.DealPrice;
}
if ((flags & OrdLogEntryFlags.OI) != 0)
{
dw.WriteLeb128(entry.OI - lastOI);
lastOI = entry.OI;
}
// ------------------------------------------------------------
}
// **********************************************************************
public void Write(DateTime dateTime, OrdLogEntry entry)
{
dw.WriteRecHeader(sid, dateTime);
// ------------------------------------------------------------
long milliseconds = DateTimeHelper.ToMs(entry.DateTime);
OrdLogEntryFlags flags = OrdLogEntryFlags.None;
// ------------------------------------------------------------
if(lastMilliseconds != milliseconds)
flags |= OrdLogEntryFlags.DateTime;
if(lastOrderId != entry.OrderId)
flags |= OrdLogEntryFlags.OrderId;
if(lastPrice != entry.Price)
flags |= OrdLogEntryFlags.Price;
if(lastAmount != entry.Amount)
flags |= OrdLogEntryFlags.Amount;
if((entry.Flags & OrdLogFlags.Fill) != 0)
{
if(lastAmountRest != entry.AmountRest)
flags |= OrdLogEntryFlags.AmountRest;
if(lastDealId != entry.DealId)
flags |= OrdLogEntryFlags.DealId;
if(lastDealPrice != entry.DealPrice)
flags |= OrdLogEntryFlags.DealPrice;
if(lastOI != entry.OI)
flags |= OrdLogEntryFlags.OI;
}
// ------------------------------------------------------------
dw.Write((byte)flags);
// ------------------------------------------------------------
dw.Write((ushort)entry.Flags);
if((flags & OrdLogEntryFlags.DateTime) != 0)
dw.WriteGrowing(milliseconds, ref lastMilliseconds);
if((flags & OrdLogEntryFlags.OrderId) != 0)
{
if((entry.Flags & OrdLogFlags.Add) != 0)
dw.WriteGrowing(entry.OrderId, ref lastOrderId);
else
dw.WriteLeb128(entry.OrderId - lastOrderId);
}
if((flags & OrdLogEntryFlags.Price) != 0)
{
dw.WriteLeb128(entry.Price - lastPrice);
lastPrice = entry.Price;
}
if((flags & OrdLogEntryFlags.Amount) != 0)
{
dw.WriteLeb128(entry.Amount);
lastAmount = entry.Amount;
}
if((flags & OrdLogEntryFlags.AmountRest) != 0)
{
dw.WriteLeb128(entry.AmountRest);
lastAmountRest = entry.AmountRest;
}
if((flags & OrdLogEntryFlags.DealId) != 0)
dw.WriteGrowing(entry.DealId, ref lastDealId);
if((flags & OrdLogEntryFlags.DealPrice) != 0)
{
dw.WriteLeb128(entry.DealPrice - lastDealPrice);
lastDealPrice = entry.DealPrice;
}
if((flags & OrdLogEntryFlags.OI) != 0)
{
dw.WriteLeb128(entry.OI - lastOI);
lastOI = entry.OI;
}
// ------------------------------------------------------------
}
