public Tuple <News, bool> ProcessNewsMessage(Security security, NewsMessage message) { if (message == null) { throw new ArgumentNullException(nameof(message)); } var isNew = false; News news; if (!message.Id.IsEmpty()) { news = _newsById.SafeAdd(message.Id, key => { isNew = true; var n = EntityFactory.CreateNews(); n.Id = key; return(n); }); } else { isNew = true; news = EntityFactory.CreateNews(); _newsWithoutId.Add(news); } if (isNew) { news.ServerTime = message.ServerTime; news.LocalTime = message.LocalTime; } if (!message.Source.IsEmpty()) { news.Source = message.Source; } if (!message.Headline.IsEmpty()) { news.Headline = message.Headline; } if (security != null) { news.Security = security; } if (!message.Story.IsEmpty()) { news.Story = message.Story; } if (!message.BoardCode.IsEmpty()) { news.Board = ExchangeBoard.GetOrCreateBoard(message.BoardCode); } if (message.Url != null) { news.Url = message.Url; } message.CopyExtensionInfo(news); return(Tuple.Create(news, isNew)); }
public Tuple <OrderFail, bool> ProcessOrderFailMessage(Security security, ExecutionMessage message) { if (security == null) { throw new ArgumentNullException(nameof(security)); } if (message == null) { throw new ArgumentNullException(nameof(message)); } var data = GetData(security); Order order = null; if (!message.OrderStringId.IsEmpty()) { order = data.OrdersByStringId.TryGetValue(message.OrderStringId); } bool isCancelled; if (order == null) { if (message.OriginalTransactionId == 0) { throw new ArgumentOutOfRangeException(nameof(message), message.OriginalTransactionId, LocalizedStrings.Str715); } var orders = data.Orders; order = (Order)orders.TryGetValue(CreateOrderKey(message.OrderType, message.OriginalTransactionId, true)); if (order != null && order.Id == message.OrderId) { isCancelled = true; } else { order = (Order)orders.TryGetValue(CreateOrderKey(message.OrderType, message.OriginalTransactionId, false)); isCancelled = false; } if (order == null) { return(null); } } else { var pair = data.Orders.LastOrDefault(p => p.Value.Order == order); isCancelled = pair.Key.Item3; } // ServerTime для заявки - это время регистрации order.LastChangeTime = message.LocalTime; order.LocalTime = message.LocalTime; if (message.OrderStatus != null) { order.Status = message.OrderStatus; } //для ошибок снятия не надо менять состояние заявки if (!isCancelled) { order.State = OrderStates.Failed; } if (message.Commission != null) { order.Commission = message.Commission; } message.CopyExtensionInfo(order); var error = message.Error ?? new InvalidOperationException( isCancelled ? LocalizedStrings.Str716 : LocalizedStrings.Str717); var fail = EntityFactory.CreateOrderFail(order, error); fail.ServerTime = message.ServerTime; fail.LocalTime = message.LocalTime; return(Tuple.Create(fail, isCancelled)); }
public Tuple <MyTrade, bool> ProcessMyTradeMessage(Security security, ExecutionMessage message) { if (security == null) { throw new ArgumentNullException(nameof(security)); } if (message == null) { throw new ArgumentNullException(nameof(message)); } var originalTransactionId = _orderStatusTransactions.Contains(message.OriginalTransactionId) ? 0 : message.OriginalTransactionId; if (originalTransactionId == 0 && message.OrderId == null && message.OrderStringId.IsEmpty()) { throw new ArgumentOutOfRangeException(nameof(message), originalTransactionId, LocalizedStrings.Str715); } var securityData = GetData(security); var myTrade = securityData.MyTrades.TryGetValue(Tuple.Create(originalTransactionId, message.TradeId ?? 0)); if (myTrade != null) { return(Tuple.Create(myTrade, false)); } var order = GetOrder(security, originalTransactionId, message.OrderId, message.OrderStringId); if (order == null) { return(null); } var trade = message.ToTrade(EntityFactory.CreateTrade(security, message.TradeId, message.TradeStringId)); var isNew = false; myTrade = securityData.MyTrades.SafeAdd(Tuple.Create(order.TransactionId, trade.Id), key => { isNew = true; var t = EntityFactory.CreateMyTrade(order, trade); if (t.ExtensionInfo == null) { t.ExtensionInfo = new Dictionary <object, object>(); } if (message.Commission != null) { t.Commission = message.Commission; } if (message.Slippage != null) { t.Slippage = message.Slippage; } if (message.PnL != null) { t.PnL = message.PnL; } if (message.Position != null) { t.Position = message.Position; } message.CopyExtensionInfo(t); //trades.Add(t); _myTrades.Add(t); return(t); }); return(Tuple.Create(myTrade, isNew)); // mika // http://stocksharp.com/forum/yaf_postst1072_Probliemy-so-sdielkami--pozitsiiami.aspx // из-за того, что сделки по заявке иногда приходит быстрее события NewOrders, неправильно расчитывается поза по стратегиям //var raiseOrderChanged = false; //trades.SyncDo(d => //{ // var newBalance = order.Volume - d.Sum(t => t.Trade.Volume); // if (order.Balance > newBalance) // { // raiseOrderChanged = true; // order.Balance = newBalance; // if (order.Balance == 0) // order.State = OrderStates.Done; // } //}); //if (raiseOrderChanged) // RaiseOrderChanged(order); }
public Tuple <Order, bool, bool> ProcessOrderMessage(Security security, ExecutionMessage message) { if (security == null) { throw new ArgumentNullException(nameof(security)); } if (message == null) { throw new ArgumentNullException(nameof(message)); } if (message.Error != null) { throw new ArgumentException(LocalizedStrings.Str714Params.PutEx(message)); } bool isNew; var transactionId = message.TransactionId; if (transactionId == 0) { // ExecMsg.OriginalTransactionId == OrderStatMsg.TransactionId when orders info requested by OrderStatMsg transactionId = _orderStatusTransactions.Contains(message.OriginalTransactionId) ? 0 : message.OriginalTransactionId; } var securityData = GetData(security); var orderInfo = GetOrderInfo(securityData, message.OrderType, transactionId, message.OrderId, message.OrderStringId, trId => { var o = EntityFactory.CreateOrder(security, message.OrderType, trId); o.Time = message.ServerTime; o.Price = message.OrderPrice; o.Volume = message.OrderVolume ?? 0; o.Direction = message.Side; o.Comment = message.Comment; o.ExpiryDate = message.ExpiryDate; o.Condition = message.Condition; o.UserOrderId = message.UserOrderId; o.Portfolio = message.PortfolioName.IsEmpty() ? _portfolios.FirstOrDefault().Value : ProcessPortfolio(message.PortfolioName).Item1; o.ClientCode = message.ClientCode; o.BrokerCode = message.BrokerCode; return(o); }, out isNew, true); if (orderInfo == null) { return(null); } var order = orderInfo.Item1; var isCancelled = orderInfo.Item2; //var isReReregisterCancelled = orderInfo.Item3; var raiseNewOrder = orderInfo.Item3; var isPending = order.State == OrderStates.Pending; //var isPrevIdSet = (order.Id != null || !order.StringId.IsEmpty()); bool isChanged; if (order.State == OrderStates.Done) { // данные о заявке могут приходить из маркет-дата и транзакционного адаптеров isChanged = false; //throw new InvalidOperationException("Изменение заявки в состоянии Done невозможно."); } else { if (message.OrderId != null) { order.Id = message.OrderId.Value; } if (!message.OrderStringId.IsEmpty()) { order.StringId = message.OrderStringId; } if (!message.OrderBoardId.IsEmpty()) { order.BoardId = message.OrderBoardId; } //// некоторые коннекторы не транслируют при отмене отмененный объем //// esper. при перерегистрации заявок необходимо обновлять баланс //if (message.Balance > 0 || !isCancelled || isReReregisterCancelled) //{ // // BTCE коннектор не транслирует баланс заявки // if (!(message.OrderState == OrderStates.Active && message.Balance == 0)) // order.Balance = message.Balance; //} if (message.Balance != null) { order.Balance = message.Balance.Value; } // IB коннектор не транслирует состояние заявки в одном из своих сообщений if (message.OrderState != null) { order.State = message.OrderState.Value; } if (order.Time == DateTimeOffset.MinValue) { order.Time = message.ServerTime; } // для новых заявок используем серверное время, // т.к. заявка получена первый раз и не менялась // ServerTime для заявки - это время регистрации order.LastChangeTime = isNew ? message.ServerTime : message.LocalTime; order.LocalTime = message.LocalTime; //нулевой объем может быть при перерегистрации if (order.Volume == 0 && message.OrderVolume != null) { order.Volume = message.OrderVolume.Value; } if (message.Commission != null) { order.Commission = message.Commission; } if (message.TimeInForce != null) { order.TimeInForce = message.TimeInForce.Value; } if (isPending) { if (order.State != OrderStates.Pending && message.Latency != null) { order.LatencyRegistration = message.Latency.Value; } } else if (isCancelled && order.State == OrderStates.Done) { if (message.Latency != null) { order.LatencyCancellation = message.Latency.Value; } } isChanged = true; } //if (isNew || (!isPrevIdSet && (order.Id != null || !order.StringId.IsEmpty()))) //{ // так как биржевые идентифиаторы могут повторяться, то переписываем старые заявки новыми как наиболее актуальными if (order.Id != null) { securityData.OrdersById[order.Id.Value] = order; _allOrdersById[order.Id.Value] = order; } if (!order.StringId.IsEmpty()) { securityData.OrdersByStringId[order.StringId] = order; _allOrdersByStringId[order.StringId] = order; } //} //if (message.OrderType == OrderTypes.Conditional && (message.DerivedOrderId != null || !message.DerivedOrderStringId.IsEmpty())) //{ // var derivedOrder = GetOrder(security, 0L, message.DerivedOrderId ?? 0, message.DerivedOrderStringId); // if (order == null) // _orderStopOrderAssociations.Add(Tuple.Create(message.DerivedOrderId ?? 0, message.DerivedOrderStringId), new RefPair<Order, Action<Order, Order>>(order, (s, o) => s.DerivedOrder = o)); // else // order.DerivedOrder = derivedOrder; //} message.CopyExtensionInfo(order); return(Tuple.Create(order, raiseNewOrder, isChanged)); }
public Tuple <MyTrade, bool> ProcessMyTradeMessage(Order order, Security security, ExecutionMessage message, long transactionId) { if (security == null) { throw new ArgumentNullException(nameof(security)); } if (message == null) { throw new ArgumentNullException(nameof(message)); } var securityData = GetData(security); if (transactionId == 0 && message.OrderId == null && message.OrderStringId.IsEmpty()) { throw new ArgumentOutOfRangeException(nameof(message), transactionId, LocalizedStrings.Str715); } var myTrade = securityData.MyTrades.TryGetValue(Tuple.Create(transactionId, message.TradeId ?? 0)); if (myTrade != null) { return(Tuple.Create(myTrade, false)); } if (order == null) { order = GetOrder(security, transactionId, message.OrderId, message.OrderStringId); if (order == null) { return(null); } } var trade = message.ToTrade(EntityFactory.CreateTrade(security, message.TradeId, message.TradeStringId)); var isNew = false; myTrade = securityData.MyTrades.SafeAdd(Tuple.Create(order.TransactionId, trade.Id), key => { isNew = true; var t = EntityFactory.CreateMyTrade(order, trade); if (t.ExtensionInfo == null) { t.ExtensionInfo = new Dictionary <object, object>(); } if (message.Commission != null) { t.Commission = message.Commission; } if (message.Slippage != null) { t.Slippage = message.Slippage; } if (message.PnL != null) { t.PnL = message.PnL; } if (message.Position != null) { t.Position = message.Position; } message.CopyExtensionInfo(t); _myTrades.Add(t); return(t); }); return(Tuple.Create(myTrade, isNew)); }
public IEnumerable <Tuple <OrderFail, bool> > ProcessOrderFailMessage(Order order, Security security, ExecutionMessage message) { if (security == null) { throw new ArgumentNullException(nameof(security)); } if (message == null) { throw new ArgumentNullException(nameof(message)); } var data = GetData(security); var orders = new List <Tuple <Order, bool> >(); if (message.OriginalTransactionId == 0) { throw new ArgumentOutOfRangeException(nameof(message), message.OriginalTransactionId, LocalizedStrings.Str715); } var orderType = message.OrderType; if (order == null) { var cancelledOrder = data.Orders.TryGetValue(CreateOrderKey(orderType, message.OriginalTransactionId, true))?.Order; if (cancelledOrder == null && orderType == null) { cancelledOrder = data.Orders.TryGetValue(CreateOrderKey(OrderTypes.Conditional, message.OriginalTransactionId, true))?.Order; if (cancelledOrder != null) { orderType = OrderTypes.Conditional; } } if (cancelledOrder != null /*&& order.Id == message.OrderId*/) { orders.Add(Tuple.Create(cancelledOrder, true)); } var registeredOrder = data.Orders.TryGetValue(CreateOrderKey(orderType, message.OriginalTransactionId, false))?.Order; if (registeredOrder == null && orderType == null) { registeredOrder = data.Orders.TryGetValue(CreateOrderKey(OrderTypes.Conditional, message.OriginalTransactionId, false))?.Order; } if (registeredOrder != null) { orders.Add(Tuple.Create(registeredOrder, false)); } if (cancelledOrder == null && registeredOrder == null) { if (!message.OrderStringId.IsEmpty()) { order = data.OrdersByStringId.TryGetValue(message.OrderStringId); if (order != null) { var pair = data.Orders.LastOrDefault(p => p.Value.Order == order); if (pair.Key != null) { orders.Add(Tuple.Create(pair.Value.Order, pair.Key.Item3)); } } } } } else { if (data.Orders.ContainsKey(CreateOrderKey(order.Type, message.OriginalTransactionId, true))) { orders.Add(Tuple.Create(order, true)); } var registeredOrder = data.Orders.TryGetValue(CreateOrderKey(order.Type, message.OriginalTransactionId, false))?.Order; if (registeredOrder != null) { orders.Add(Tuple.Create(registeredOrder, false)); } } if (orders.Count == 0) { return(Enumerable.Empty <Tuple <OrderFail, bool> >()); } return(orders.Select(t => { var o = t.Item1; var isCancelTransaction = t.Item2; o.LastChangeTime = message.ServerTime; o.LocalTime = message.LocalTime; if (message.OrderStatus != null) { o.Status = message.OrderStatus; } //для ошибок снятия не надо менять состояние заявки if (!isCancelTransaction) { o.State = o.State.CheckModification(OrderStates.Failed); } if (message.Commission != null) { o.Commission = message.Commission; } message.CopyExtensionInfo(o); var error = message.Error ?? new InvalidOperationException(isCancelTransaction ? LocalizedStrings.Str716 : LocalizedStrings.Str717); var fail = EntityFactory.CreateOrderFail(o, error); fail.ServerTime = message.ServerTime; fail.LocalTime = message.LocalTime; return Tuple.Create(fail, isCancelTransaction); })); }
public IEnumerable <Tuple <Order, bool, bool> > ProcessOrderMessage(Order order, Security security, ExecutionMessage message, long transactionId, out Tuple <Portfolio, bool, bool> pfInfo) { if (security == null) { throw new ArgumentNullException(nameof(security)); } if (message == null) { throw new ArgumentNullException(nameof(message)); } if (message.Error != null) { throw new ArgumentException(LocalizedStrings.Str714Params.PutEx(message)); } var securityData = GetData(security); if (transactionId == 0 && message.OrderId == null && message.OrderStringId.IsEmpty()) { throw new ArgumentException(LocalizedStrings.Str719); } pfInfo = null; var orders = securityData.Orders; if (transactionId == 0) { var info = orders.CachedValues.FirstOrDefault(i => { if (order != null) { return(i.Order == order); } if (message.OrderId != null) { return(i.Order.Id == message.OrderId); } else { return(i.Order.StringId.CompareIgnoreCase(message.OrderStringId)); } }); if (info == null) { return(null); //throw new InvalidOperationException(LocalizedStrings.Str1156Params.Put(orderId.To<string>() ?? orderStringId)); } var orderInfo = info.ApplyChanges(message, false); UpdateOrderIds(info.Order, securityData); return(new[] { orderInfo }); } else { var cancelKey = CreateOrderKey(message.OrderType, transactionId, true); var registerKey = CreateOrderKey(message.OrderType, transactionId, false); var cancelledInfo = orders.TryGetValue(cancelKey); var registetedInfo = orders.TryGetValue(registerKey); // проверяем не отмененная ли заявка пришла if (cancelledInfo != null) // && (cancelledOrder.Id == orderId || (!cancelledOrder.StringId.IsEmpty() && cancelledOrder.StringId.CompareIgnoreCase(orderStringId)))) { var cancellationOrder = cancelledInfo.Order; if (registetedInfo == null) { var i = cancelledInfo.ApplyChanges(message, true); UpdateOrderIds(cancellationOrder, securityData); return(new[] { i }); } var retVal = new List <Tuple <Order, bool, bool> >(); var orderState = message.OrderState; if (orderState != null && cancellationOrder.State != OrderStates.Done && orderState != OrderStates.None && orderState != OrderStates.Pending) { cancellationOrder.State = cancellationOrder.State.CheckModification(OrderStates.Done); if (message.Latency != null) { cancellationOrder.LatencyCancellation = message.Latency.Value; } retVal.Add(Tuple.Create(cancellationOrder, false, true)); } var isCancelOrder = (message.OrderId != null && message.OrderId == cancellationOrder.Id) || (message.OrderStringId != null && message.OrderStringId == cancellationOrder.StringId) || (message.OrderBoardId != null && message.OrderBoardId == cancellationOrder.BoardId); var regOrder = registetedInfo.Order; if (!isCancelOrder) { var replacedInfo = registetedInfo.ApplyChanges(message, false); UpdateOrderIds(regOrder, securityData); retVal.Add(replacedInfo); } return(retVal); } if (registetedInfo == null) { var o = EntityFactory.CreateOrder(security, message.OrderType, registerKey.Item1); if (o == null) { throw new InvalidOperationException(LocalizedStrings.Str720Params.Put(registerKey.Item1)); } o.Time = message.ServerTime; o.Price = message.OrderPrice; o.Volume = message.OrderVolume ?? 0; o.Direction = message.Side; o.Comment = message.Comment; o.ExpiryDate = message.ExpiryDate; o.Condition = message.Condition; o.UserOrderId = message.UserOrderId; o.ClientCode = message.ClientCode; o.BrokerCode = message.BrokerCode; if (message.PortfolioName.IsEmpty()) { o.Portfolio = _portfolios.FirstOrDefault().Value; } else { pfInfo = ProcessPortfolio(message.PortfolioName); o.Portfolio = ProcessPortfolio(message.PortfolioName).Item1; } if (o.ExtensionInfo == null) { o.ExtensionInfo = new Dictionary <object, object>(); } AddOrder(o); _allOrdersByTransactionId.Add(Tuple.Create(transactionId, false), o); registetedInfo = new OrderInfo(o); orders.Add(registerKey, registetedInfo); } var orderInfo = registetedInfo.ApplyChanges(message, false); if (orderInfo != null) { UpdateOrderIds(registetedInfo.Order, securityData); return(new[] { orderInfo }); } else { return(Enumerable.Empty <Tuple <Order, bool, bool> >()); } } }
private void ProcessQuotesMessage(Security security, QuoteChangeMessage message) { if (MarketDepthChanged != null || MarketDepthsChanged != null) { var marketDepth = GetMarketDepth(security, message.IsFiltered); message.ToMarketDepth(marketDepth, GetSecurity); if (!message.IsFiltered) RaiseMarketDepthChanged(marketDepth); } else { lock (_marketDepths.SyncRoot) { var info = _marketDepths.SafeAdd(Tuple.Create(security, message.IsFiltered), key => new MarketDepthInfo(EntityFactory.CreateMarketDepth(security))); info.First.LocalTime = message.LocalTime; info.First.LastChangeTime = message.ServerTime; info.Second = message.Bids; info.Third = message.Asks; } } if (message.IsFiltered) return; var bestBid = message.GetBestBid(); var bestAsk = message.GetBestAsk(); var fromLevel1 = message.IsByLevel1; if (!fromLevel1 && (bestBid != null || bestAsk != null)) { var values = GetSecurityValues(security); var changes = new List<KeyValuePair<Level1Fields, object>>(4); lock (values.SyncRoot) { if (bestBid != null) { values[(int)Level1Fields.BestBidPrice] = bestBid.Price; changes.Add(new KeyValuePair<Level1Fields, object>(Level1Fields.BestBidPrice, bestBid.Price)); if (bestBid.Volume != 0) { values[(int)Level1Fields.BestBidVolume] = bestBid.Volume; changes.Add(new KeyValuePair<Level1Fields, object>(Level1Fields.BestBidVolume, bestBid.Volume)); } } if (bestAsk != null) { values[(int)Level1Fields.BestAskPrice] = bestAsk.Price; changes.Add(new KeyValuePair<Level1Fields, object>(Level1Fields.BestAskPrice, bestAsk.Price)); if (bestAsk.Volume != 0) { values[(int)Level1Fields.BestAskVolume] = bestAsk.Volume; changes.Add(new KeyValuePair<Level1Fields, object>(Level1Fields.BestAskVolume, bestAsk.Volume)); } } } RaiseValuesChanged(security, changes, message.ServerTime, message.LocalTime); } if (UpdateSecurityLastQuotes) { var updated = false; if (!fromLevel1 || bestBid != null) { updated = true; security.BestBid = bestBid == null ? null : new Quote(security, bestBid.Price, bestBid.Volume, Sides.Buy); } if (!fromLevel1 || bestAsk != null) { updated = true; security.BestAsk = bestAsk == null ? null : new Quote(security, bestAsk.Price, bestAsk.Volume, Sides.Sell); } if (updated) { security.LocalTime = message.LocalTime; security.LastChangeTime = message.ServerTime; RaiseSecurityChanged(security); // стаканы по ALL обновляют BestXXX по конкретным инструментам if (security.Board.Code == AssociatedBoardCode) { var changedSecurities = new Dictionary<Security, RefPair<bool, bool>>(); foreach (var bid in message.Bids) { if (bid.BoardCode.IsEmpty()) continue; var innerSecurity = GetSecurity(new SecurityId { SecurityCode = security.Code, BoardCode = bid.BoardCode }); var info = changedSecurities.SafeAdd(innerSecurity); if (info.First) continue; info.First = true; innerSecurity.BestBid = new Quote(innerSecurity, bid.Price, bid.Volume, Sides.Buy); innerSecurity.LocalTime = message.LocalTime; innerSecurity.LastChangeTime = message.ServerTime; } foreach (var ask in message.Asks) { if (ask.BoardCode.IsEmpty()) continue; var innerSecurity = GetSecurity(new SecurityId { SecurityCode = security.Code, BoardCode = ask.BoardCode }); var info = changedSecurities.SafeAdd(innerSecurity); if (info.Second) continue; info.Second = true; innerSecurity.BestAsk = new Quote(innerSecurity, ask.Price, ask.Volume, Sides.Sell); innerSecurity.LocalTime = message.LocalTime; innerSecurity.LastChangeTime = message.ServerTime; } RaiseSecuritiesChanged(changedSecurities.Keys.ToArray()); } } } }