/// <summary>
/// Обработать сообщение.
/// </summary>
/// <param name="message">Сообщение.</param>
/// <returns>Результат обработки. Если будет возрвщено <see langword="null"/>,
/// то генератору пока недостаточно данных для генерации нового сообщения.</returns>
protected override Message OnProcess(Message message)
{
DateTimeOffset time;
switch (message.Type)
{
case MessageTypes.Board:
return(null);
case MessageTypes.Level1Change:
{
var l1Msg = (Level1ChangeMessage)message;
var value = l1Msg.Changes.TryGetValue(Level1Fields.LastTradePrice);
if (value != null)
{
_lastTradePrice = (decimal)value;
}
time = l1Msg.ServerTime;
break;
}
case MessageTypes.Execution:
{
var execMsg = (ExecutionMessage)message;
switch (execMsg.ExecutionType)
{
case ExecutionTypes.Tick:
case ExecutionTypes.Trade:
_lastTradePrice = execMsg.TradePrice.Value;
break;
case ExecutionTypes.OrderLog:
if (execMsg.TradePrice != null)
{
_lastTradePrice = execMsg.TradePrice.Value;
}
break;
default:
return(null);
}
time = execMsg.ServerTime;
break;
}
case MessageTypes.Time:
{
var timeMsg = (TimeMessage)message;
time = timeMsg.ServerTime;
break;
}
default:
return(null);
}
if (!IsTimeToGenerate(time))
{
return(null);
}
var trade = new ExecutionMessage
{
SecurityId = SecurityId,
TradeId = IdGenerator.GetNextId(),
ServerTime = time,
LocalTime = time.LocalDateTime,
OriginSide = GenerateDirection ? RandomGen.GetEnum <Sides>() : (Sides?)null,
Volume = Volumes.Next(),
ExecutionType = ExecutionTypes.Tick
};
var priceStep = SecurityDefinition.PriceStep ?? 0.01m;
_lastTradePrice += RandomGen.GetInt(-MaxPriceStepCount, MaxPriceStepCount) * priceStep;
if (_lastTradePrice <= 0)
{
_lastTradePrice = priceStep;
}
trade.TradePrice = _lastTradePrice;
LastGenerationTime = time;
return(trade);
}
/// <summary>
/// Обработать сообщение.
/// </summary>
/// <param name="message">Сообщение.</param>
/// <returns>Результат обработки. Если будет возрвщено <see langword="null"/>,
/// то генератору пока недостаточно данных для генерации нового сообщения.</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.WorkingTime.IsTradeTime(message.LocalTime);
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);
}
/// <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)
{
DateTimeOffset time;
switch (message.Type)
{
case MessageTypes.Level1Change:
{
var l1Msg = (Level1ChangeMessage)message;
var value = l1Msg.Changes.TryGetValue(Level1Fields.LastTradePrice);
if (value != null)
{
_lastOrderPrice = (decimal)value;
}
TradeGenerator.Process(message);
time = l1Msg.ServerTime;
break;
}
case MessageTypes.Execution:
{
var execMsg = (ExecutionMessage)message;
switch (execMsg.ExecutionType)
{
case ExecutionTypes.Tick:
_lastOrderPrice = execMsg.GetTradePrice();
break;
default:
return(null);
}
time = execMsg.ServerTime;
break;
}
case MessageTypes.Time:
{
var timeMsg = (TimeMessage)message;
time = timeMsg.ServerTime;
break;
}
default:
return(null);
}
if (!IsTimeToGenerate(time))
{
return(null);
}
// TODO более реалистичную генерацию, так как сейчас объемы, цены и сделки c потолка
var action = RandomGen.GetInt(0, 5);
var isNew = action < 3 || _activeOrders.IsEmpty();
ExecutionMessage item;
if (isNew)
{
var priceStep = SecurityDefinition.PriceStep ?? 0.01m;
_lastOrderPrice += RandomGen.GetInt(-MaxPriceStepCount, MaxPriceStepCount) * priceStep;
if (_lastOrderPrice <= 0)
{
_lastOrderPrice = priceStep;
}
item = new ExecutionMessage
{
OrderId = IdGenerator.GetNextId(),
SecurityId = SecurityId,
ServerTime = time,
OrderState = OrderStates.Active,
Volume = Volumes.Next(),
Side = RandomGen.GetEnum <Sides>(),
OrderPrice = _lastOrderPrice,
ExecutionType = ExecutionTypes.OrderLog,
};
_activeOrders.Enqueue((ExecutionMessage)item.Clone());
}
else
{
var activeOrder = _activeOrders.Peek();
item = (ExecutionMessage)activeOrder.Clone();
item.ServerTime = time;
var isMatched = action == 5;
ExecutionMessage trade = null;
if (isMatched)
{
trade = (ExecutionMessage)TradeGenerator.Process(message);
}
if (isMatched && trade != null)
{
item.Volume = RandomGen.GetInt(1, (int)activeOrder.SafeGetVolume());
item.TradeId = trade.TradeId;
item.TradePrice = trade.TradePrice;
item.TradeStatus = trade.TradeStatus;
// TODO
//quote.Trade = TradeGenerator.Generate(time);
//item.Volume = activeOrder.Volume;
//if (item.Side == Sides.Buy && quote.Trade.Price > quote.Order.Price)
// item.TradePrice = item.Price;
//else if (item.Side == Sides.Sell && quote.Trade.Price < quote.Order.Price)
// item.TradePrice = item.Price;
activeOrder.Volume -= item.Volume;
if (activeOrder.Volume == 0)
{
item.OrderState = OrderStates.Done;
_activeOrders.Dequeue();
}
else
{
item.OrderState = OrderStates.Active;
}
}
else
{
item.OrderState = OrderStates.Done;
item.IsCancelled = true;
_activeOrders.Dequeue();
}
}
LastGenerationTime = time;
return(item);
}
/// <inheritdoc />
protected override Message OnProcess(Message message)
{
DateTimeOffset time;
switch (message.Type)
{
case MessageTypes.Board:
return(null);
case MessageTypes.Level1Change:
{
var l1Msg = (Level1ChangeMessage)message;
var value = l1Msg.TryGetDecimal(Level1Fields.LastTradePrice);
if (value != null)
{
_lastTradePrice = value.Value;
}
time = l1Msg.ServerTime;
break;
}
case MessageTypes.Execution:
{
var execMsg = (ExecutionMessage)message;
var price = execMsg.TradePrice;
if (price != null)
{
_lastTradePrice = price.Value;
}
else if (execMsg.DataType != DataType.OrderLog)
{
return(null);
}
time = execMsg.ServerTime;
break;
}
case MessageTypes.Time:
{
var timeMsg = (TimeMessage)message;
time = timeMsg.ServerTime;
break;
}
default:
return(null);
}
if (!IsTimeToGenerate(time))
{
return(null);
}
var v = Volumes.Next();
if (v == 0)
{
v = 1;
}
var trade = new ExecutionMessage
{
SecurityId = SecurityId,
TradeId = IdGenerator.GetNextId(),
ServerTime = time,
LocalTime = time,
OriginSide = GenerateOriginSide ? RandomGen.GetEnum <Sides>() : null,
TradeVolume = v * (SecurityDefinition?.VolumeStep ?? 1m),
DataTypeEx = DataType.Ticks
};
var priceStep = SecurityDefinition.PriceStep ?? 0.01m;
_lastTradePrice += RandomGen.GetInt(-MaxPriceStepCount, MaxPriceStepCount) * priceStep;
if (_lastTradePrice <= 0)
{
_lastTradePrice = priceStep;
}
trade.TradePrice = _lastTradePrice;
LastGenerationTime = time;
return(trade);
}