public OrdLogEntry(OrdLogFlags flags, DateTime dateTime, long orderId,
int price, int amount, int amountRest, long dealId, int dealPrice, int oi)
{
this.Flags = flags;
this.DateTime = dateTime;
this.OrderId = orderId;
this.Price = price;
this.Amount = amount;
this.AmountRest = amountRest;
this.DealId = dealId;
this.DealPrice = dealPrice;
this.OI = oi;
}
// **********************************************************************
public override void Read(bool push)
{
DateTime dateTime;
long orderId;
int amountRest;
long dealId;
int dealPrice;
int oi;
// ------------------------------------------------------------
OrdLogEntryFlags flags = (OrdLogEntryFlags)dr.ReadByte();
OrdLogFlags ordLogFlags = (OrdLogFlags)dr.ReadUInt16();
bool isAdd = (ordLogFlags & OrdLogFlags.Add) != 0;
bool isFill = (ordLogFlags & OrdLogFlags.Fill) != 0;
bool isBuy = (ordLogFlags & OrdLogFlags.Buy) != 0;
bool isSell = (ordLogFlags & OrdLogFlags.Sell) != 0;
// ------------------------------------------------------------
if ((flags & OrdLogEntryFlags.DateTime) != 0)
{
lastMilliseconds = dr.ReadGrowing(lastMilliseconds);
}
dateTime = DateTimeHelper.FromMs(lastMilliseconds);
if ((flags & OrdLogEntryFlags.OrderId) == 0)
{
orderId = lastOrderId;
}
else if (isAdd)
{
orderId = lastOrderId = dr.ReadGrowing(lastOrderId);
}
else
{
orderId = lastOrderId + dr.ReadLeb128();
}
if ((flags & OrdLogEntryFlags.Price) != 0)
{
lastPrice += (int)dr.ReadLeb128();
}
if ((flags & OrdLogEntryFlags.Amount) != 0)
{
lastAmount = (int)dr.ReadLeb128();
}
if (isFill)
{
if ((flags & OrdLogEntryFlags.AmountRest) != 0)
{
amountRest = lastAmountRest = (int)dr.ReadLeb128();
}
else
{
amountRest = lastAmountRest;
}
if ((flags & OrdLogEntryFlags.DealId) != 0)
{
dealId = lastDealId = (int)dr.ReadGrowing(lastDealId);
}
else
{
dealId = lastDealId;
}
if ((flags & OrdLogEntryFlags.DealPrice) != 0)
{
dealPrice = lastDealPrice += (int)dr.ReadLeb128();
}
else
{
dealPrice = lastDealPrice;
}
if ((flags & OrdLogEntryFlags.OI) != 0)
{
oi = lastOI += (int)dr.ReadLeb128();
}
else
{
oi = lastOI;
}
}
else
{
amountRest = isAdd ? lastAmount : 0;
dealId = 0;
dealPrice = 0;
oi = 0;
}
// ------------------------------------------------------------
if (Handler != null && push)
{
Handler(new OrdLogEntry(
ordLogFlags, dateTime, orderId, lastPrice,
lastAmount, amountRest, dealId, dealPrice, oi));
}
// ------------------------------------------------------------
if ((ordLogFlags & OrdLogFlags.FlowStart) != 0)
{
rawQuotes.Clear();
}
if (!(isBuy ^ isSell) ||
(ordLogFlags & OrdLogFlags.NonSystem) != 0 ||
(ordLogFlags & OrdLogFlags.NonZeroReplAct) != 0)
{
return;
}
// ------------------------------------------------------------
int quantity;
rawQuotes.TryGetValue(lastPrice, out quantity);
if (isAdd ? isSell : isBuy)
{
quantity += lastAmount;
}
else
{
quantity -= lastAmount;
}
if (quantity == 0)
{
rawQuotes.Remove(lastPrice);
}
else
{
rawQuotes[lastPrice] = quantity;
}
// ------------------------------------------------------------
if (push)
{
if ((ordLogFlags & OrdLogFlags.EndOfTransaction) != 0)
{
// В большинстве случаев нет необходимости делать все,
// что в этом блоке, на каждый тик. Целесообразнее
// отрпавлять эти данные по таймеру, раз в 5-15 мс.
if (quotesHandler != null)
{
quotesHandler(rawQuotes.GetQuotes());
}
if (auxInfoHandler != null)
{
int askTotal = 0;
int bidTotal = 0;
foreach (KeyValuePair <int, int> kvp in rawQuotes)
{
if (kvp.Value > 0)
{
askTotal += kvp.Value;
}
else
{
bidTotal -= kvp.Value;
}
}
auxInfoHandler(new AuxInfo(
dateTime, lastDealPrice, askTotal,
bidTotal, lastOI, 0, 0, 0, 0, null));
}
}
if (lastPushedDealId < dealId)
{
if (dealHandler != null)
{
dealHandler(new Deal()
{
Type = isSell ? DealType.Sell : DealType.Buy,
Id = dealId,
DateTime = dateTime,
Price = dealPrice,
Volume = lastAmount,
OI = oi
});
}
lastPushedDealId = dealId;
}
}
}
// **********************************************************************
public override void Read(bool push)
{
DateTime dateTime;
long orderId;
int amountRest;
long dealId;
int dealPrice;
int oi;
// ------------------------------------------------------------
OrdLogEntryFlags flags = (OrdLogEntryFlags)dr.ReadByte();
OrdLogFlags ordLogFlags = (OrdLogFlags)dr.ReadUInt16();
bool isAdd = (ordLogFlags & OrdLogFlags.Add) != 0;
bool isFill = (ordLogFlags & OrdLogFlags.Fill) != 0;
bool isBuy = (ordLogFlags & OrdLogFlags.Buy) != 0;
bool isSell = (ordLogFlags & OrdLogFlags.Sell) != 0;
// ------------------------------------------------------------
if ((flags & OrdLogEntryFlags.DateTime) != 0)
{
lastMilliseconds = dr.ReadGrowing(lastMilliseconds);
}
dateTime = DateTimeHelper.FromMs(lastMilliseconds);
if ((flags & OrdLogEntryFlags.OrderId) == 0)
{
orderId = lastOrderId;
}
else if (isAdd)
{
orderId = lastOrderId = dr.ReadGrowing(lastOrderId);
}
else
{
orderId = lastOrderId + dr.ReadLeb128();
}
if ((flags & OrdLogEntryFlags.Price) != 0)
{
lastPrice += (int)dr.ReadLeb128();
}
if ((flags & OrdLogEntryFlags.Amount) != 0)
{
lastAmount = (int)dr.ReadLeb128();
}
if (isFill)
{
if ((flags & OrdLogEntryFlags.AmountRest) != 0)
{
amountRest = lastAmountRest = (int)dr.ReadLeb128();
}
else
{
amountRest = lastAmountRest;
}
if ((flags & OrdLogEntryFlags.DealId) != 0)
{
dealId = lastDealId = (int)dr.ReadGrowing(lastDealId);
}
else
{
dealId = lastDealId;
}
if ((flags & OrdLogEntryFlags.DealPrice) != 0)
{
dealPrice = lastDealPrice += (int)dr.ReadLeb128();
}
else
{
dealPrice = lastDealPrice;
}
if ((flags & OrdLogEntryFlags.OI) != 0)
{
oi = lastOI += (int)dr.ReadLeb128();
}
else
{
oi = lastOI;
}
}
else
{
amountRest = isAdd ? lastAmount : 0;
dealId = 0;
dealPrice = 0;
oi = 0;
}
// ------------------------------------------------------------
if (Handler != null && push)
{
Handler(Security.Key, new OrdLogEntry(
ordLogFlags, dateTime, orderId, lastPrice,
lastAmount, amountRest, dealId, dealPrice, oi));
}
// ------------------------------------------------------------
if ((ordLogFlags & OrdLogFlags.SessIdChanged) != 0)
{
rawQuotes.Clear();
}
if (!(isBuy ^ isSell) ||
(ordLogFlags & OrdLogFlags.NonSystem) != 0 ||
(ordLogFlags & OrdLogFlags.NonZeroReplAct) != 0)
{
return;
}
// ------------------------------------------------------------
int quantity;
rawQuotes.TryGetValue(lastPrice, out quantity);
if (isAdd ? isSell : isBuy)
{
quantity += lastAmount;
}
else
{
quantity -= lastAmount;
}
if (quantity == 0)
{
rawQuotes.Remove(lastPrice);
}
else
{
rawQuotes[lastPrice] = quantity;
}
// ------------------------------------------------------------
if (push)
{
if ((ordLogFlags & OrdLogFlags.EndOfTransaction) != 0)
{
DateTime now = DateTime.UtcNow;
if (now - lastQuotesPush > quotesPushInterval)
{
lastQuotesPush = now;
if (quotesHandler != null)
{
Quote[] quotes;
Spread spread;
rawQuotes.GetQuotes(out quotes, out spread);
if (spread.Ask > 0 && spread.Bid > 0)
{
quotesHandler(Security.Key, quotes, spread);
}
}
if (auxInfoHandler != null)
{
int askTotal = 0;
int bidTotal = 0;
foreach (KeyValuePair <int, int> kvp in rawQuotes)
{
if (kvp.Value > 0)
{
askTotal += kvp.Value;
}
else
{
bidTotal -= kvp.Value;
}
}
auxInfoHandler(Security.Key, new AuxInfo(
dateTime, lastDealPrice, askTotal,
bidTotal, lastOI, 0, 0, 0, 0, null));
}
}
}
if (lastPushedDealId < dealId)
{
if (dealHandler != null)
{
dealHandler(new Deal()
{
SecKey = Security.Key,
Type = isSell ? DealType.Sell : DealType.Buy,
Id = dealId,
DateTime = dateTime,
Price = dealPrice,
Volume = lastAmount,
OI = oi
});
}
lastPushedDealId = dealId;
}
}
}
public OrdLogEntry(OrdLogFlags flags, DateTime dateTime, long orderId,
int price, int amount, int amountRest, long dealId, int dealPrice, int oi)
{
this.Flags = flags;
this.DateTime = dateTime;
this.OrderId = orderId;
this.Price = price;
this.Amount = amount;
this.AmountRest = amountRest;
this.DealId = dealId;
this.DealPrice = dealPrice;
this.OI = oi;
}