public IQFeedSystemMessage(IQFeedWrapper feed, string value)
: base(ExtendedMessageTypes.System)
{
if (feed == null)
throw new ArgumentNullException(nameof(feed));
Feed = feed;
Value = value;
}
public IQFeedSystemMessage(IQFeedWrapper feed, string value)
: base(ExtendedMessageTypes.System)
{
if (feed == null)
{
throw new ArgumentNullException("feed");
}
Feed = feed;
Value = value;
}
private void SafeDisconnectFeed(ref IQFeedWrapper feed)
{
try
{
feed.Disconnect();
feed = null;
}
catch (Exception ex)
{
SendOutError(ex);
}
}
private IEnumerable <Message> ToMessages(IQFeedWrapper feed, string str, MessageTypes type, long requestId)
{
var messages = ParseMessages(feed, str, type, requestId);
if (requestId == 0)
{
return(messages);
}
return(messages.Select(m =>
{
m.InitRequestId(requestId);
return m;
}));
}
private IQFeedWrapper CreateFeed(EndPoint endPoint, string name)
{
var feed = new IQFeedWrapper(this, name, endPoint);
feed.ProcessReply += line =>
{
IEnumerable <Message> messages;
try
{
messages = ConvertToMessages(feed, line).ToArray();
}
catch (Exception ex)
{
ex = new InvalidOperationException(LocalizedStrings.Str2141Params.Put(line), ex);
this.AddErrorLog(ex);
messages = new[] { new ErrorMessage {
Error = ex
} };
}
foreach (var message in messages)
{
ProcessIQFeedMessage(feed, message);
}
};
feed.ConnectionError += err =>
{
if (name == "LookupFeed")
{
SendOutMessage(new ConnectMessage {
Error = err
});
}
else
{
SendOutError(err);
}
//feed.Disconnect();
//feed.Connect();
};
feed.Connect();
return(feed);
}
private IEnumerable<Message> ParseMessages(IQFeedWrapper feed, string str, MessageTypes type, long requestId)
{
switch (type)
{
case ExtendedMessageTypes.System:
yield return new IQFeedSystemMessage(feed, str);
break;
case ExtendedMessageTypes.SecurityType:
{
var parts = str.SplitByComma();
yield return new IQFeedSecurityTypeMessage(parts[0].To<int>(), parts[1], parts[2]);
break;
}
case ExtendedMessageTypes.ListedMarket:
{
var parts = str.SplitByComma();
yield return new IQFeedListedMarketMessage(parts[0].To<int>(), parts[1], parts[2]);
break;
}
case ExtendedMessageTypes.Data:
yield return new IQFeedDataMessage(str);
break;
case ExtendedMessageTypes.End:
yield return new IQFeedEndMessage();
break;
case MessageTypes.Time:
yield return new TimeMessage { ServerTime = str.ToDateTime("yyyyMMdd HH:mm:ss").ApplyTimeZone(TimeHelper.Est) };
break;
case MessageTypes.Security:
{
var parts = str.SplitByComma();
yield return new SecurityMessage
{
SecurityId = CreateSecurityId(parts[0], parts[1].To<int>()),
Name = parts[3],
OriginalTransactionId = requestId,
SecurityType = _securityTypes[parts[2].To<int>()],
};
break;
}
case ExtendedMessageTypes.Fundamental:
{
foreach (var result in ToSecurityFundamentalMessages(str))
yield return result;
break;
}
case MessageTypes.Level1Change:
{
foreach (var result in ToSecurityUpdateMessage(str))
yield return result;
break;
}
case MessageTypes.Execution:
{
yield return ToLevel1(str, _secIds[requestId]);
break;
}
case MessageTypes.News:
yield return ToNewsMessage(str);
break;
case ExtendedMessageTypes.NewsStory:
{
yield return new NewsMessage
{
Id = _newsIds[requestId],
Story = str.StripBrackets("<BEGIN>", "<END>"),
ServerTime = CurrentTime.Convert(TimeHelper.Est)
};
break;
}
case MessageTypes.CandleTimeFrame:
case MessageTypes.CandleTick:
case MessageTypes.CandleVolume:
case ExtendedMessageTypes.HistoryExtraDayCandle:
{
var parts = str.SplitByComma();
var tuple = _candleParsers[requestId];
var candleMsg = tuple.Item1(parts);
candleMsg.OriginalTransactionId = requestId;
candleMsg.SecurityId = _secIds[requestId];
if (tuple.Item2 is TimeSpan)
{
var tf = (TimeSpan)tuple.Item2;
if (tf == TimeSpan.FromDays(1))
{
candleMsg.OpenTime = candleMsg.CloseTime;
candleMsg.CloseTime = candleMsg.OpenTime.EndOfDay();
}
else// if (tf == TimeSpan.FromDays(7) || tf.Ticks == TimeHelper.TicksPerMonth)
{
candleMsg.CloseTime -= TimeSpan.FromTicks(1);
candleMsg.OpenTime = tf.GetCandleBounds(candleMsg.CloseTime.ToLocalTime(TimeHelper.Est)).Min;
}
}
else
candleMsg.OpenTime = candleMsg.CloseTime;
yield return candleMsg;
break;
}
case MessageTypes.QuoteChange:
{
var l1Msg = ToLevel2(str);
if (l1Msg != null)
yield return l1Msg;
break;
}
case MessageTypes.Error:
yield return new ErrorMessage { Error = new InvalidOperationException(str) };
break;
default:
throw new InvalidOperationException(LocalizedStrings.Str2142Params.Put(type));
}
}
private IEnumerable<Message> ToMessages(IQFeedWrapper feed, string str, MessageTypes type, long requestId)
{
var messages = ParseMessages(feed, str, type, requestId);
if (requestId == 0)
return messages;
return messages.Select(m =>
{
m.InitRequestId(requestId);
return m;
});
}
private IEnumerable<Message> ConvertToMessages(IQFeedWrapper feed, string line)
{
//Market Depth & NASDAQ Level 2 via TCP/IP
//This is a deprecated message and only sent for backwards compatability
if (line.CompareIgnoreCase("O"))
return Enumerable.Empty<Message>();
long requestId = 0;
var match = _regexRequestId.Match(line);
if (match.Success)
{
requestId = match.Groups[1].Value.To<long>();
line = match.Groups[2].Value;
}
match = _regexError.Match(line);
if (match.Success)
{
var text = match.Groups[1].Value;
return text.Equals("!NO_DATA!")
? Enumerable.Empty<Message>()
: ToMessages(feed, text, MessageTypes.Error, requestId);
}
match = _regexTime.Match(line);
if (match.Success)
return ToMessages(feed, match.Groups[1].Value, MessageTypes.Time, requestId);
match = _regexLastMessage.Match(line);
if (match.Success)
return ToMessages(feed, match.Groups[1].Value, ExtendedMessageTypes.End, requestId);
MessageTypes type;
if (feed == _lookupFeed && _currSystemType != null)
type = _currSystemType.Value;
else if (!_requestsType.TryGetValue(requestId, out type))
{
match = _regex.Match(line);
if (match.Success)
{
var cmd = match.Groups[1].Value;
line = match.Groups[2].Value;
switch (cmd)
{
case "S":
type = ExtendedMessageTypes.System;
break;
case "n":
type = MessageTypes.Error;
line = LocalizedStrings.Str704Params.Put(line);
break;
case "Z":
case "2":
type = MessageTypes.QuoteChange;
break;
case "F":
type = ExtendedMessageTypes.Fundamental;
break;
case "P":
case "Q":
type = MessageTypes.Level1Change;
break;
case "N":
type = MessageTypes.News;
break;
default:
type = ExtendedMessageTypes.Data;
break;
}
}
else
type = ExtendedMessageTypes.Data;
}
return ToMessages(feed, line, type, requestId);
}
private void ProcessIQFeedMessage(IQFeedWrapper feed, Message message)
{
switch (message.Type)
{
case ExtendedMessageTypes.System:
{
var systemMsg = (IQFeedSystemMessage)message;
switch (systemMsg.Value)
{
case "SERVER DISCONNECTED":
case "SERVER RECONNECT FAILED":
SendOutMessage(systemMsg);
break;
default:
{
if (feed == _lookupFeed)
{
_currSystemType = ExtendedMessageTypes.ListedMarket;
_lookupFeed.RequestListedMarkets();
}
break;
}
}
break;
}
case ExtendedMessageTypes.HistoryExtraDayCandle:
// расширенное сообщение лучше передавать внешнему коду, чтобы ему хоть как-то получить информацию
//case ExtendedMessageTypes.Data:
break;
case ExtendedMessageTypes.ListedMarket:
{
var lmMsg = (IQFeedListedMarketMessage)message;
_markets[lmMsg.Id] = lmMsg.Code;
break;
}
case ExtendedMessageTypes.SecurityType:
{
var stMsg = (IQFeedSecurityTypeMessage)message;
try
{
var secType = stMsg.Code.ToSecurityType();
if (secType == null)
this.AddWarningLog(LocalizedStrings.Str2140Params.Put(stMsg.Code));
_securityTypes[stMsg.Id] = secType;
}
catch (Exception ex)
{
this.AddErrorLog(ex);
}
break;
}
case ExtendedMessageTypes.End:
{
var type = feed == _lookupFeed ? _currSystemType : null;
var requestId = 0L;
if (_currSystemType == null)
{
requestId = message.GetRequestId();
type = _requestsType.TryGetValue2(requestId);
if (type == null)
return;
_requestsType.Remove(requestId);
_secIds.Remove(requestId);
if (type == MessageTypes.CandleTimeFrame
|| type == MessageTypes.CandleVolume
|| type == MessageTypes.CandleTick
|| type == ExtendedMessageTypes.HistoryExtraDayCandle)
_candleParsers.Remove(requestId);
}
switch (type)
{
case MessageTypes.Security:
{
var result = _lookupResult.TryGetValue(requestId);
if (result == null)
return;
_lookupResult.Remove(requestId);
SendOutMessage(new SecurityLookupResultMessage { OriginalTransactionId = requestId });
break;
}
case ExtendedMessageTypes.ListedMarket:
{
_currSystemType = ExtendedMessageTypes.SecurityType;
_lookupFeed.RequestSecurityTypes();
break;
}
case ExtendedMessageTypes.SecurityType:
{
_currSystemType = null;
SendOutMessage(new ConnectMessage());
break;
}
// для сделок и свечек отправляем фиктивный объект,
// чтобы сообщить, что получение исторических данных завершено
case MessageTypes.Execution:
{
SendOutMessage(new Level1ChangeMessage
{
ExtensionInfo = new Dictionary<object, object>
{
{ "IsFinished", true },
}
}.InitRequestId(requestId));
break;
}
case MessageTypes.CandleTimeFrame:
case MessageTypes.CandleTick:
case MessageTypes.CandleVolume:
case ExtendedMessageTypes.HistoryExtraDayCandle:
{
SendOutMessage(new TimeFrameCandleMessage
{
IsFinished = true,
OriginalTransactionId = requestId,
});
break;
}
}
break;
}
//case MessageTypes.Security:
//{
// var secMsg = (SecurityMessage)message;
// var exchangeRoot = message.GetValue<string>("ExchangeRoot");
// switch (secMsg.SecurityType)
// {
// case SecurityTypes.Future:
// secMsg.ExpiryDate = message.GetValue<DateTime>("ExpiryDate");
// secMsg.UnderlyingSecurityCode = exchangeRoot;
// break;
// case SecurityTypes.Option:
// secMsg.ExpiryDate = message.GetValue<DateTime>("ExpiryDate");
// secMsg.UnderlyingSecurityCode = exchangeRoot;
// secMsg.Strike = message.GetValue<decimal>("Strike");
// break;
// }
// SendOutMessage(secMsg);
// break;
//}
default:
SendOutMessage(message);
break;
}
}
private IQFeedWrapper CreateFeed(EndPoint endPoint, string name)
{
var feed = new IQFeedWrapper(this, name, endPoint);
feed.ProcessReply += line =>
{
IEnumerable<Message> messages;
try
{
messages = ConvertToMessages(feed, line).ToArray();
}
catch (Exception ex)
{
ex = new InvalidOperationException(LocalizedStrings.Str2141Params.Put(line), ex);
this.AddErrorLog(ex);
messages = new[] { new ErrorMessage { Error = ex } };
}
foreach (var message in messages)
{
ProcessIQFeedMessage(feed, message);
}
};
feed.ConnectionError += err =>
{
if (name == "LookupFeed")
SendOutMessage(new ConnectMessage { Error = err });
else
SendOutError(err);
//feed.Disconnect();
//feed.Connect();
};
feed.Connect();
return feed;
}
/// <summary>
/// Отправить сообщение.
/// </summary>
/// <param name="message">Сообщение.</param>
protected override void OnSendInMessage(Message message)
{
switch (message.Type)
{
case MessageTypes.Reset:
{
_requestsType.Clear();
_secIds.Clear();
_candleParsers.Clear();
_newsIds.Clear();
_lookupResult.Clear();
_currSystemType = null;
if (_lookupFeed != null)
SafeDisconnectFeed(ref _lookupFeed);
if (_level1Feed != null)
SafeDisconnectFeed(ref _level1Feed);
if (_level2Feed != null)
SafeDisconnectFeed(ref _level2Feed);
if (_derivativeFeed != null)
SafeDisconnectFeed(ref _derivativeFeed);
SendOutMessage(new ResetMessage());
break;
}
case MessageTypes.Connect:
{
_isDownloadSecurityFromSite = IsDownloadSecurityFromSite;
_lookupFeed = CreateFeed(LookupAddress, "LookupFeed");
_level1Feed = CreateFeed(Level1Address, "Level1Feed");
_level2Feed = CreateFeed(Level2Address, "Level2Feed");
_derivativeFeed = CreateFeed(DerivativeAddress, "DerivativeFeed");
_level1Feed.SetLevel1FieldSet(new[]
{
Level1ColumnRegistry.Symbol,
Level1ColumnRegistry.ExchangeId,
Level1ColumnRegistry.LastTradeMarket,
Level1ColumnRegistry.BidMarket,
Level1ColumnRegistry.AskMarket
}
.Concat(Level1Columns)
.Select(c => c.Name)
.ToArray());
break;
}
case MessageTypes.Disconnect:
{
SafeDisconnectFeed(ref _lookupFeed);
SafeDisconnectFeed(ref _level1Feed);
SafeDisconnectFeed(ref _level2Feed);
SafeDisconnectFeed(ref _derivativeFeed);
//_isCommonLookupDone = null;
SendOutMessage(new DisconnectMessage());
break;
}
case MessageTypes.MarketData:
{
var mdMsg = (MarketDataMessage)message;
var from = mdMsg.From.ToLocalTime(TimeHelper.Est);
var to = mdMsg.To.ToLocalTime(TimeHelper.Est);
switch (mdMsg.DataType)
{
case MarketDataTypes.Level1:
{
if (mdMsg.To == DateTimeOffset.MaxValue)
{
if (mdMsg.IsSubscribe)
_level1Feed.SubscribeSymbol(mdMsg.SecurityId.SecurityCode);
else
_level1Feed.UnSubscribeSymbol(mdMsg.SecurityId.SecurityCode);
}
else
{
if (mdMsg.IsSubscribe)
{
_requestsType.Add(mdMsg.TransactionId, MessageTypes.Execution);
_secIds.Add(mdMsg.TransactionId, mdMsg.SecurityId);
if (mdMsg.Count != 0)
_lookupFeed.RequestTicks(mdMsg.TransactionId, mdMsg.SecurityId.SecurityCode, mdMsg.Count);
else
_lookupFeed.RequestTicks(mdMsg.TransactionId, mdMsg.SecurityId.SecurityCode, from, to);
}
}
break;
}
case MarketDataTypes.MarketDepth:
{
if (mdMsg.IsSubscribe)
_level2Feed.SubscribeSymbol(mdMsg.SecurityId.SecurityCode);
else
_level2Feed.UnSubscribeSymbol(mdMsg.SecurityId.SecurityCode);
break;
}
//case MarketDataTypes.Trades:
//{
// if (mdMsg.To == DateTime.MaxValue)
// {
// if (mdMsg.IsSubscribe)
// _level1Feed.SubscribeSymbol(mdMsg.SecurityId.SecurityCode);
// else
// _level1Feed.UnSubscribeSymbol(mdMsg.SecurityId.SecurityCode);
// }
// else
// {
// if (mdMsg.IsSubscribe)
// {
// _requestsType.Add(mdMsg.TransactionId, MessageTypes.Execution);
// _lookupFeed.RequestTrades(mdMsg.TransactionId, mdMsg.SecurityId.SecurityCode, mdMsg.From, mdMsg.To);
// }
// }
// break;
//}
case MarketDataTypes.News:
{
if (mdMsg.IsSubscribe)
{
if (mdMsg.NewsId.IsEmpty())
{
if (mdMsg.From.IsDefault())
_level1Feed.SubscribeNews();
else
{
_requestsType.Add(mdMsg.TransactionId, MessageTypes.News);
_lookupFeed.RequestNewsHeadlines(mdMsg.TransactionId, from);
}
}
else
{
var newsId = mdMsg.NewsId;
_newsIds.Add(mdMsg.TransactionId, newsId);
_requestsType.Add(mdMsg.TransactionId, ExtendedMessageTypes.NewsStory);
_lookupFeed.RequestNewsStory(mdMsg.TransactionId, newsId);
}
}
else
_level1Feed.UnSubscribeNews();
break;
}
case MarketDataTypes.CandleTimeFrame:
case MarketDataTypes.CandleTick:
case MarketDataTypes.CandleVolume:
case MarketDataTypes.CandleRange:
case MarketDataTypes.CandlePnF:
case MarketDataTypes.CandleRenko:
{
if (mdMsg.IsSubscribe)
{
// streaming
if (from == DateTimeOffset.MaxValue && mdMsg.Count == 0)
{
string strArg, intervalType;
GetCandleParams(mdMsg.DataType, mdMsg.Arg, out strArg, out intervalType);
_requestsType.Add(mdMsg.TransactionId, mdMsg.DataType.ToCandleMessageType());
_secIds.Add(mdMsg.TransactionId, mdMsg.SecurityId);
_candleParsers.Add(mdMsg.TransactionId, Tuple.Create(_candleStreamingParser, mdMsg.Arg));
_derivativeFeed.SubscribeCandles(mdMsg.SecurityId.SecurityCode, intervalType, strArg, from, mdMsg.TransactionId);
break;
}
if (mdMsg.Arg is TimeSpan)
{
var tf = (TimeSpan)mdMsg.Arg;
if (tf.Ticks == TimeHelper.TicksPerMonth)
{
_requestsType.Add(mdMsg.TransactionId, ExtendedMessageTypes.HistoryExtraDayCandle);
_secIds.Add(mdMsg.TransactionId, mdMsg.SecurityId);
_candleParsers.Add(mdMsg.TransactionId, Tuple.Create(_candleParser, mdMsg.Arg));
var count = mdMsg.Count;
if (count == 0)
count = ExchangeBoard.Associated.GetTimeFrameCount(new Range<DateTimeOffset>(mdMsg.From, mdMsg.To), tf);
_lookupFeed.RequestMonthlyCandles(mdMsg.TransactionId, mdMsg.SecurityId.SecurityCode, count);
}
else if (tf == TimeSpan.FromDays(7))
{
_requestsType.Add(mdMsg.TransactionId, ExtendedMessageTypes.HistoryExtraDayCandle);
_secIds.Add(mdMsg.TransactionId, mdMsg.SecurityId);
_candleParsers.Add(mdMsg.TransactionId, Tuple.Create(_candleParser, mdMsg.Arg));
var count = mdMsg.Count;
if (count == 0)
count = ExchangeBoard.Associated.GetTimeFrameCount(new Range<DateTimeOffset>(mdMsg.From, mdMsg.To), tf);
_lookupFeed.RequestWeeklyCandles(mdMsg.TransactionId, mdMsg.SecurityId.SecurityCode, count);
}
else if (tf == TimeSpan.FromDays(1))
{
_requestsType.Add(mdMsg.TransactionId, ExtendedMessageTypes.HistoryExtraDayCandle);
_secIds.Add(mdMsg.TransactionId, mdMsg.SecurityId);
_candleParsers.Add(mdMsg.TransactionId, Tuple.Create(_candleParser, mdMsg.Arg));
if (mdMsg.Count != 0)
_lookupFeed.RequestDailyCandles(mdMsg.TransactionId, mdMsg.SecurityId.SecurityCode, mdMsg.Count);
else
_lookupFeed.RequestDailyCandles(mdMsg.TransactionId, mdMsg.SecurityId.SecurityCode, from, to);
}
else if (tf < TimeSpan.FromDays(1))
{
string strArg, intervalType;
GetCandleParams(mdMsg.DataType, mdMsg.Arg, out strArg, out intervalType);
_requestsType.Add(mdMsg.TransactionId, mdMsg.DataType.ToCandleMessageType());
_secIds.Add(mdMsg.TransactionId, mdMsg.SecurityId);
_candleParsers.Add(mdMsg.TransactionId, Tuple.Create(_candleIntradayParser, mdMsg.Arg));
//var interval = tf.TotalSeconds.To<int>();
if (mdMsg.Count != 0)
_lookupFeed.RequestCandles(mdMsg.TransactionId, mdMsg.SecurityId.SecurityCode, intervalType, strArg, mdMsg.Count);
else
_lookupFeed.RequestCandles(mdMsg.TransactionId, mdMsg.SecurityId.SecurityCode, intervalType, strArg, from, to);
}
else
{
throw new InvalidOperationException(LocalizedStrings.Str2139Params.Put(tf));
}
}
else
{
string strArg, intervalType;
GetCandleParams(mdMsg.DataType, mdMsg.Arg, out strArg, out intervalType);
if (mdMsg.Count != 0)
_lookupFeed.RequestCandles(mdMsg.TransactionId, mdMsg.SecurityId.SecurityCode, intervalType, strArg, mdMsg.Count);
else
_lookupFeed.RequestCandles(mdMsg.TransactionId, mdMsg.SecurityId.SecurityCode, intervalType, strArg, from, to);
}
}
else
{
_derivativeFeed.UnSubscribeCandles(mdMsg.SecurityId.SecurityCode, mdMsg.OriginalTransactionId);
}
break;
}
default:
{
SendOutMarketDataNotSupported(mdMsg.TransactionId);
return;
}
}
var reply = (MarketDataMessage)message.Clone();
reply.OriginalTransactionId = mdMsg.TransactionId;
SendOutMessage(reply);
break;
}
case MessageTypes.SecurityLookup:
{
var lookupMsg = (SecurityLookupMessage)message;
var securityTypes = new HashSet<SecurityTypes>();
if (lookupMsg.SecurityTypes != null)
securityTypes.AddRange(lookupMsg.SecurityTypes);
else if (lookupMsg.SecurityType != null)
securityTypes.Add(lookupMsg.SecurityType.Value);
if (_isDownloadSecurityFromSite)
{
_isDownloadSecurityFromSite = false;
using (var zip = new ZipArchive(
SecuritiesFile.IsEmpty()
? IQFeedHelper.DownloadSymbols().To<Stream>()
: File.OpenRead(SecuritiesFile)))
{
var entry = zip.GetEntry("mktsymbols_v2.txt");
using (var reader = entry.Open())
{
reader
.ReadLines()
.Skip(1)
.Select(line => line.Split('\t'))
.ForEach(parts =>
{
if (parts.Length == 9)
{
// mika 2014.09.16
// below line has incorrect tabulation
// CS.17.CB CREDIT SUISSE NEW YORK 1.375% 05/26/17 NYSE NYSE BONDS
var list = parts.ToList();
list.RemoveAt(2);
parts = list.ToArray();
}
var secType = parts[4].ToSecurityType();
if (secType == null)
this.AddWarningLog(LocalizedStrings.Str2140Params.Put(parts[4]));
if (secType != null && !securityTypes.Contains(secType.Value))
return;
var secCode = parts[0];
var secName = parts[0];
var boardCode = parts[2];
SendOutMessage(new BoardMessage
{
Code = boardCode,
ExchangeCode = boardCode
});
SendOutMessage(new SecurityMessage
{
SecurityId = new SecurityId
{
SecurityCode = secCode,
BoardCode = boardCode
},
Name = secName,
SecurityType = secType,
OriginalTransactionId = lookupMsg.TransactionId
});
});
}
}
break;
}
var requestedTypes = _securityTypes
.Where(t => t.Value != null && securityTypes.Contains(t.Value.Value))
.Select(i => i.Key.To<string>())
.ToArray();
_requestsType.Add(lookupMsg.TransactionId, MessageTypes.Security);
_lookupResult.Add(lookupMsg.TransactionId, lookupMsg);
var code = lookupMsg.SecurityId.SecurityCode;
if (code.IsEmpty())
code = "*";
_lookupFeed.RequestSecurities(lookupMsg.TransactionId, IQFeedSearchField.Symbol, code, IQFeedFilterType.SecurityType, requestedTypes);
break;
}
}
}
private void SafeDisconnectFeed(ref IQFeedWrapper feed)
{
try
{
feed.Disconnect();
feed = null;
}
catch (Exception ex)
{
SendOutError(ex);
}
}
private IEnumerable <Message> ParseMessages(IQFeedWrapper feed, string str, MessageTypes type, long requestId)
{
switch (type)
{
case ExtendedMessageTypes.System:
yield return(new IQFeedSystemMessage(feed, str));
break;
case ExtendedMessageTypes.SecurityType:
{
var parts = str.SplitByComma();
yield return(new IQFeedSecurityTypeMessage(parts[0].To <int>(), parts[1], parts[2]));
break;
}
case ExtendedMessageTypes.ListedMarket:
{
var parts = str.SplitByComma();
yield return(new IQFeedListedMarketMessage(parts[0].To <int>(), parts[1], parts[2]));
break;
}
case ExtendedMessageTypes.Data:
yield return(new IQFeedDataMessage(str));
break;
case ExtendedMessageTypes.End:
yield return(new IQFeedEndMessage());
break;
case MessageTypes.Time:
yield return(new TimeMessage {
ServerTime = str.ToDateTime("yyyyMMdd HH:mm:ss").ApplyTimeZone(TimeHelper.Est)
});
break;
case MessageTypes.Security:
{
var parts = str.SplitByComma();
yield return(new SecurityMessage
{
SecurityId = CreateSecurityId(parts[0], parts[1].To <int>()),
Name = parts[3],
OriginalTransactionId = requestId,
SecurityType = _securityTypes[parts[2].To <int>()],
});
break;
}
case ExtendedMessageTypes.Fundamental:
{
foreach (var result in ToSecurityFundamentalMessages(str))
{
yield return(result);
}
break;
}
case MessageTypes.Level1Change:
{
foreach (var result in ToSecurityUpdateMessage(str))
{
yield return(result);
}
break;
}
case MessageTypes.Execution:
{
yield return(ToLevel1(str, _secIds[requestId]));
break;
}
case MessageTypes.News:
yield return(ToNewsMessage(str));
break;
case ExtendedMessageTypes.NewsStory:
{
yield return(new NewsMessage
{
Id = _newsIds[requestId],
Story = str.StripBrackets("<BEGIN>", "<END>"),
ServerTime = CurrentTime.Convert(TimeHelper.Est)
});
break;
}
case MessageTypes.CandleTimeFrame:
case MessageTypes.CandleTick:
case MessageTypes.CandleVolume:
case ExtendedMessageTypes.HistoryExtraDayCandle:
{
var parts = str.SplitByComma();
var tuple = _candleParsers[requestId];
var candleMsg = tuple.Item1(parts);
candleMsg.OriginalTransactionId = requestId;
candleMsg.SecurityId = _secIds[requestId];
if (tuple.Item2 is TimeSpan)
{
var tf = (TimeSpan)tuple.Item2;
if (tf == TimeSpan.FromDays(1))
{
candleMsg.OpenTime = candleMsg.CloseTime;
candleMsg.CloseTime = candleMsg.OpenTime.EndOfDay();
}
else // if (tf == TimeSpan.FromDays(7) || tf.Ticks == TimeHelper.TicksPerMonth)
{
candleMsg.CloseTime -= TimeSpan.FromTicks(1);
candleMsg.OpenTime = tf.GetCandleBounds(candleMsg.CloseTime.ToLocalTime(TimeHelper.Est)).Min;
}
}
else
{
candleMsg.OpenTime = candleMsg.CloseTime;
}
yield return(candleMsg);
break;
}
case MessageTypes.QuoteChange:
{
var l1Msg = ToLevel2(str);
if (l1Msg != null)
{
yield return(l1Msg);
}
break;
}
case MessageTypes.Error:
yield return(new ErrorMessage {
Error = new InvalidOperationException(str)
});
break;
default:
throw new InvalidOperationException(LocalizedStrings.Str2142Params.Put(type));
}
}
private IEnumerable <Message> ConvertToMessages(IQFeedWrapper feed, string line)
{
//Market Depth & NASDAQ Level 2 via TCP/IP
//This is a deprecated message and only sent for backwards compatability
if (line.CompareIgnoreCase("O"))
{
return(Enumerable.Empty <Message>());
}
long requestId = 0;
var match = _regexRequestId.Match(line);
if (match.Success)
{
requestId = match.Groups[1].Value.To <long>();
line = match.Groups[2].Value;
}
match = _regexError.Match(line);
if (match.Success)
{
var text = match.Groups[1].Value;
return(text.Equals("!NO_DATA!")
? Enumerable.Empty <Message>()
: ToMessages(feed, text, MessageTypes.Error, requestId));
}
match = _regexTime.Match(line);
if (match.Success)
{
return(ToMessages(feed, match.Groups[1].Value, MessageTypes.Time, requestId));
}
match = _regexLastMessage.Match(line);
if (match.Success)
{
return(ToMessages(feed, match.Groups[1].Value, ExtendedMessageTypes.End, requestId));
}
MessageTypes type;
if (feed == _lookupFeed && _currSystemType != null)
{
type = _currSystemType.Value;
}
else if (!_requestsType.TryGetValue(requestId, out type))
{
match = _regex.Match(line);
if (match.Success)
{
var cmd = match.Groups[1].Value;
line = match.Groups[2].Value;
switch (cmd)
{
case "S":
type = ExtendedMessageTypes.System;
break;
case "n":
type = MessageTypes.Error;
line = LocalizedStrings.Str704Params.Put(line);
break;
case "Z":
case "2":
type = MessageTypes.QuoteChange;
break;
case "F":
type = ExtendedMessageTypes.Fundamental;
break;
case "P":
case "Q":
type = MessageTypes.Level1Change;
break;
case "N":
type = MessageTypes.News;
break;
default:
type = ExtendedMessageTypes.Data;
break;
}
}
else
{
type = ExtendedMessageTypes.Data;
}
}
return(ToMessages(feed, line, type, requestId));
}
private void ProcessIQFeedMessage(IQFeedWrapper feed, Message message)
{
switch (message.Type)
{
case ExtendedMessageTypes.System:
{
var systemMsg = (IQFeedSystemMessage)message;
switch (systemMsg.Value)
{
case "SERVER DISCONNECTED":
case "SERVER RECONNECT FAILED":
SendOutMessage(systemMsg);
break;
default:
{
if (feed == _lookupFeed)
{
_currSystemType = ExtendedMessageTypes.ListedMarket;
_lookupFeed.RequestListedMarkets();
}
break;
}
}
break;
}
case ExtendedMessageTypes.HistoryExtraDayCandle:
// расширенное сообщение лучше передавать внешнему коду, чтобы ему хоть как-то получить информацию
//case ExtendedMessageTypes.Data:
break;
case ExtendedMessageTypes.ListedMarket:
{
var lmMsg = (IQFeedListedMarketMessage)message;
_markets[lmMsg.Id] = lmMsg.Code;
break;
}
case ExtendedMessageTypes.SecurityType:
{
var stMsg = (IQFeedSecurityTypeMessage)message;
try
{
var secType = stMsg.Code.ToSecurityType();
if (secType == null)
{
this.AddWarningLog(LocalizedStrings.Str2140Params.Put(stMsg.Code));
}
_securityTypes[stMsg.Id] = secType;
}
catch (Exception ex)
{
this.AddErrorLog(ex);
}
break;
}
case ExtendedMessageTypes.End:
{
var type = feed == _lookupFeed ? _currSystemType : null;
var requestId = 0L;
if (_currSystemType == null)
{
requestId = message.GetRequestId();
type = _requestsType.TryGetValue2(requestId);
if (type == null)
{
return;
}
_requestsType.Remove(requestId);
_secIds.Remove(requestId);
if (type == MessageTypes.CandleTimeFrame ||
type == MessageTypes.CandleVolume ||
type == MessageTypes.CandleTick ||
type == ExtendedMessageTypes.HistoryExtraDayCandle)
{
_candleParsers.Remove(requestId);
}
}
switch (type)
{
case MessageTypes.Security:
{
var result = _lookupResult.TryGetValue(requestId);
if (result == null)
{
return;
}
_lookupResult.Remove(requestId);
SendOutMessage(new SecurityLookupResultMessage {
OriginalTransactionId = requestId
});
break;
}
case ExtendedMessageTypes.ListedMarket:
{
_currSystemType = ExtendedMessageTypes.SecurityType;
_lookupFeed.RequestSecurityTypes();
break;
}
case ExtendedMessageTypes.SecurityType:
{
_currSystemType = null;
SendOutMessage(new ConnectMessage());
break;
}
// для сделок и свечек отправляем фиктивный объект,
// чтобы сообщить, что получение исторических данных завершено
case MessageTypes.Execution:
{
SendOutMessage(new Level1ChangeMessage
{
ExtensionInfo = new Dictionary <object, object>
{
{ "IsFinished", true },
}
}.InitRequestId(requestId));
break;
}
case MessageTypes.CandleTimeFrame:
case MessageTypes.CandleTick:
case MessageTypes.CandleVolume:
case ExtendedMessageTypes.HistoryExtraDayCandle:
{
SendOutMessage(new TimeFrameCandleMessage
{
IsFinished = true,
OriginalTransactionId = requestId,
});
break;
}
}
break;
}
//case MessageTypes.Security:
//{
// var secMsg = (SecurityMessage)message;
// var exchangeRoot = message.GetValue<string>("ExchangeRoot");
// switch (secMsg.SecurityType)
// {
// case SecurityTypes.Future:
// secMsg.ExpiryDate = message.GetValue<DateTime>("ExpiryDate");
// secMsg.UnderlyingSecurityCode = exchangeRoot;
// break;
// case SecurityTypes.Option:
// secMsg.ExpiryDate = message.GetValue<DateTime>("ExpiryDate");
// secMsg.UnderlyingSecurityCode = exchangeRoot;
// secMsg.Strike = message.GetValue<decimal>("Strike");
// break;
// }
// SendOutMessage(secMsg);
// break;
//}
default:
SendOutMessage(message);
break;
}
}
/// <summary>
/// Отправить сообщение.
/// </summary>
/// <param name="message">Сообщение.</param>
protected override void OnSendInMessage(Message message)
{
switch (message.Type)
{
case MessageTypes.Reset:
{
_requestsType.Clear();
_secIds.Clear();
_candleParsers.Clear();
_newsIds.Clear();
_lookupResult.Clear();
_currSystemType = null;
if (_lookupFeed != null)
{
SafeDisconnectFeed(ref _lookupFeed);
}
if (_level1Feed != null)
{
SafeDisconnectFeed(ref _level1Feed);
}
if (_level2Feed != null)
{
SafeDisconnectFeed(ref _level2Feed);
}
if (_derivativeFeed != null)
{
SafeDisconnectFeed(ref _derivativeFeed);
}
SendOutMessage(new ResetMessage());
break;
}
case MessageTypes.Connect:
{
_isDownloadSecurityFromSite = IsDownloadSecurityFromSite;
_lookupFeed = CreateFeed(LookupAddress, "LookupFeed");
_level1Feed = CreateFeed(Level1Address, "Level1Feed");
_level2Feed = CreateFeed(Level2Address, "Level2Feed");
_derivativeFeed = CreateFeed(DerivativeAddress, "DerivativeFeed");
_level1Feed.SetLevel1FieldSet(new[]
{
Level1ColumnRegistry.Symbol,
Level1ColumnRegistry.ExchangeId,
Level1ColumnRegistry.LastTradeMarket,
Level1ColumnRegistry.BidMarket,
Level1ColumnRegistry.AskMarket
}
.Concat(Level1Columns)
.Select(c => c.Name)
.ToArray());
break;
}
case MessageTypes.Disconnect:
{
SafeDisconnectFeed(ref _lookupFeed);
SafeDisconnectFeed(ref _level1Feed);
SafeDisconnectFeed(ref _level2Feed);
SafeDisconnectFeed(ref _derivativeFeed);
//_isCommonLookupDone = null;
SendOutMessage(new DisconnectMessage());
break;
}
case MessageTypes.MarketData:
{
var mdMsg = (MarketDataMessage)message;
var from = mdMsg.From.ToLocalTime(TimeHelper.Est);
var to = mdMsg.To.ToLocalTime(TimeHelper.Est);
switch (mdMsg.DataType)
{
case MarketDataTypes.Level1:
{
if (mdMsg.To == DateTimeOffset.MaxValue)
{
if (mdMsg.IsSubscribe)
{
_level1Feed.SubscribeSymbol(mdMsg.SecurityId.SecurityCode);
}
else
{
_level1Feed.UnSubscribeSymbol(mdMsg.SecurityId.SecurityCode);
}
}
else
{
if (mdMsg.IsSubscribe)
{
_requestsType.Add(mdMsg.TransactionId, MessageTypes.Execution);
_secIds.Add(mdMsg.TransactionId, mdMsg.SecurityId);
if (mdMsg.Count != 0)
{
_lookupFeed.RequestTicks(mdMsg.TransactionId, mdMsg.SecurityId.SecurityCode, mdMsg.Count);
}
else
{
_lookupFeed.RequestTicks(mdMsg.TransactionId, mdMsg.SecurityId.SecurityCode, from, to);
}
}
}
break;
}
case MarketDataTypes.MarketDepth:
{
if (mdMsg.IsSubscribe)
{
_level2Feed.SubscribeSymbol(mdMsg.SecurityId.SecurityCode);
}
else
{
_level2Feed.UnSubscribeSymbol(mdMsg.SecurityId.SecurityCode);
}
break;
}
//case MarketDataTypes.Trades:
//{
// if (mdMsg.To == DateTime.MaxValue)
// {
// if (mdMsg.IsSubscribe)
// _level1Feed.SubscribeSymbol(mdMsg.SecurityId.SecurityCode);
// else
// _level1Feed.UnSubscribeSymbol(mdMsg.SecurityId.SecurityCode);
// }
// else
// {
// if (mdMsg.IsSubscribe)
// {
// _requestsType.Add(mdMsg.TransactionId, MessageTypes.Execution);
// _lookupFeed.RequestTrades(mdMsg.TransactionId, mdMsg.SecurityId.SecurityCode, mdMsg.From, mdMsg.To);
// }
// }
// break;
//}
case MarketDataTypes.News:
{
if (mdMsg.IsSubscribe)
{
if (mdMsg.NewsId.IsEmpty())
{
if (mdMsg.From.IsDefault())
{
_level1Feed.SubscribeNews();
}
else
{
_requestsType.Add(mdMsg.TransactionId, MessageTypes.News);
_lookupFeed.RequestNewsHeadlines(mdMsg.TransactionId, from);
}
}
else
{
var newsId = mdMsg.NewsId;
_newsIds.Add(mdMsg.TransactionId, newsId);
_requestsType.Add(mdMsg.TransactionId, ExtendedMessageTypes.NewsStory);
_lookupFeed.RequestNewsStory(mdMsg.TransactionId, newsId);
}
}
else
{
_level1Feed.UnSubscribeNews();
}
break;
}
case MarketDataTypes.CandleTimeFrame:
case MarketDataTypes.CandleTick:
case MarketDataTypes.CandleVolume:
case MarketDataTypes.CandleRange:
case MarketDataTypes.CandlePnF:
case MarketDataTypes.CandleRenko:
{
if (mdMsg.IsSubscribe)
{
// streaming
if (from == DateTimeOffset.MaxValue && mdMsg.Count == 0)
{
string strArg, intervalType;
GetCandleParams(mdMsg.DataType, mdMsg.Arg, out strArg, out intervalType);
_requestsType.Add(mdMsg.TransactionId, mdMsg.DataType.ToCandleMessageType());
_secIds.Add(mdMsg.TransactionId, mdMsg.SecurityId);
_candleParsers.Add(mdMsg.TransactionId, Tuple.Create(_candleStreamingParser, mdMsg.Arg));
_derivativeFeed.SubscribeCandles(mdMsg.SecurityId.SecurityCode, intervalType, strArg, from, mdMsg.TransactionId);
break;
}
if (mdMsg.Arg is TimeSpan)
{
var tf = (TimeSpan)mdMsg.Arg;
if (tf.Ticks == TimeHelper.TicksPerMonth)
{
_requestsType.Add(mdMsg.TransactionId, ExtendedMessageTypes.HistoryExtraDayCandle);
_secIds.Add(mdMsg.TransactionId, mdMsg.SecurityId);
_candleParsers.Add(mdMsg.TransactionId, Tuple.Create(_candleParser, mdMsg.Arg));
var count = mdMsg.Count;
if (count == 0)
{
count = ExchangeBoard.Associated.GetTimeFrameCount(new Range <DateTimeOffset>(mdMsg.From, mdMsg.To), tf);
}
_lookupFeed.RequestMonthlyCandles(mdMsg.TransactionId, mdMsg.SecurityId.SecurityCode, count);
}
else if (tf == TimeSpan.FromDays(7))
{
_requestsType.Add(mdMsg.TransactionId, ExtendedMessageTypes.HistoryExtraDayCandle);
_secIds.Add(mdMsg.TransactionId, mdMsg.SecurityId);
_candleParsers.Add(mdMsg.TransactionId, Tuple.Create(_candleParser, mdMsg.Arg));
var count = mdMsg.Count;
if (count == 0)
{
count = ExchangeBoard.Associated.GetTimeFrameCount(new Range <DateTimeOffset>(mdMsg.From, mdMsg.To), tf);
}
_lookupFeed.RequestWeeklyCandles(mdMsg.TransactionId, mdMsg.SecurityId.SecurityCode, count);
}
else if (tf == TimeSpan.FromDays(1))
{
_requestsType.Add(mdMsg.TransactionId, ExtendedMessageTypes.HistoryExtraDayCandle);
_secIds.Add(mdMsg.TransactionId, mdMsg.SecurityId);
_candleParsers.Add(mdMsg.TransactionId, Tuple.Create(_candleParser, mdMsg.Arg));
if (mdMsg.Count != 0)
{
_lookupFeed.RequestDailyCandles(mdMsg.TransactionId, mdMsg.SecurityId.SecurityCode, mdMsg.Count);
}
else
{
_lookupFeed.RequestDailyCandles(mdMsg.TransactionId, mdMsg.SecurityId.SecurityCode, from, to);
}
}
else if (tf < TimeSpan.FromDays(1))
{
string strArg, intervalType;
GetCandleParams(mdMsg.DataType, mdMsg.Arg, out strArg, out intervalType);
_requestsType.Add(mdMsg.TransactionId, mdMsg.DataType.ToCandleMessageType());
_secIds.Add(mdMsg.TransactionId, mdMsg.SecurityId);
_candleParsers.Add(mdMsg.TransactionId, Tuple.Create(_candleIntradayParser, mdMsg.Arg));
//var interval = tf.TotalSeconds.To<int>();
if (mdMsg.Count != 0)
{
_lookupFeed.RequestCandles(mdMsg.TransactionId, mdMsg.SecurityId.SecurityCode, intervalType, strArg, mdMsg.Count);
}
else
{
_lookupFeed.RequestCandles(mdMsg.TransactionId, mdMsg.SecurityId.SecurityCode, intervalType, strArg, from, to);
}
}
else
{
throw new InvalidOperationException(LocalizedStrings.Str2139Params.Put(tf));
}
}
else
{
string strArg, intervalType;
GetCandleParams(mdMsg.DataType, mdMsg.Arg, out strArg, out intervalType);
if (mdMsg.Count != 0)
{
_lookupFeed.RequestCandles(mdMsg.TransactionId, mdMsg.SecurityId.SecurityCode, intervalType, strArg, mdMsg.Count);
}
else
{
_lookupFeed.RequestCandles(mdMsg.TransactionId, mdMsg.SecurityId.SecurityCode, intervalType, strArg, from, to);
}
}
}
else
{
_derivativeFeed.UnSubscribeCandles(mdMsg.SecurityId.SecurityCode, mdMsg.OriginalTransactionId);
}
break;
}
default:
{
SendOutMarketDataNotSupported(mdMsg.TransactionId);
return;
}
}
var reply = (MarketDataMessage)message.Clone();
reply.OriginalTransactionId = mdMsg.TransactionId;
SendOutMessage(reply);
break;
}
case MessageTypes.SecurityLookup:
{
var lookupMsg = (SecurityLookupMessage)message;
var securityTypes = new HashSet <SecurityTypes>();
if (lookupMsg.SecurityTypes != null)
{
securityTypes.AddRange(lookupMsg.SecurityTypes);
}
else if (lookupMsg.SecurityType != null)
{
securityTypes.Add(lookupMsg.SecurityType.Value);
}
if (_isDownloadSecurityFromSite)
{
_isDownloadSecurityFromSite = false;
using (var zip = new ZipArchive(
SecuritiesFile.IsEmpty()
? IQFeedHelper.DownloadSymbols().To <Stream>()
: File.OpenRead(SecuritiesFile)))
{
var entry = zip.GetEntry("mktsymbols_v2.txt");
using (var reader = entry.Open())
{
reader
.ReadLines()
.Skip(1)
.Select(line => line.Split('\t'))
.ForEach(parts =>
{
if (parts.Length == 9)
{
// mika 2014.09.16
// below line has incorrect tabulation
// CS.17.CB CREDIT SUISSE NEW YORK 1.375% 05/26/17 NYSE NYSE BONDS
var list = parts.ToList();
list.RemoveAt(2);
parts = list.ToArray();
}
var secType = parts[4].ToSecurityType();
if (secType == null)
{
this.AddWarningLog(LocalizedStrings.Str2140Params.Put(parts[4]));
}
if (secType != null && !securityTypes.Contains(secType.Value))
{
return;
}
var secCode = parts[0];
var secName = parts[0];
var boardCode = parts[2];
SendOutMessage(new BoardMessage
{
Code = boardCode,
ExchangeCode = boardCode
});
SendOutMessage(new SecurityMessage
{
SecurityId = new SecurityId
{
SecurityCode = secCode,
BoardCode = boardCode
},
Name = secName,
SecurityType = secType,
OriginalTransactionId = lookupMsg.TransactionId
});
});
}
}
break;
}
var requestedTypes = _securityTypes
.Where(t => t.Value != null && securityTypes.Contains(t.Value.Value))
.Select(i => i.Key.To <string>())
.ToArray();
_requestsType.Add(lookupMsg.TransactionId, MessageTypes.Security);
_lookupResult.Add(lookupMsg.TransactionId, lookupMsg);
var code = lookupMsg.SecurityId.SecurityCode;
if (code.IsEmpty())
{
code = "*";
}
_lookupFeed.RequestSecurities(lookupMsg.TransactionId, IQFeedSearchField.Symbol, code, IQFeedFilterType.SecurityType, requestedTypes);
break;
}
}
}
