private void ProcessOrderRegisterMessage(OrderRegisterMessage message)
{
var condition = (OandaOrderCondition)message.Condition;
string type;
if (condition == null)
type = message.Price == 0 ? "market" : "limit";
else
type = condition.IsMarket ? _orderImit : "stop";
var response = _restClient.CreateOrder(GetAccountId(message.PortfolioName),
message.SecurityId.ToOanda(), (int)message.Volume, message.Side.To<string>().ToLowerInvariant(),
type,
GetExpiryTime(message),
message.Price,
condition?.LowerBound,
condition?.UpperBound,
condition?.StopLossOffset,
condition?.TakeProfitOffset,
condition?.TrailingStopLossOffset);
var execMsg = new ExecutionMessage
{
OriginalTransactionId = message.TransactionId,
ServerTime = response.Time.FromOanda(),
ExecutionType = ExecutionTypes.Transaction,
PortfolioName = message.PortfolioName,
HasOrderInfo = true,
};
var tradeData = response.TradeOpened;
if (tradeData != null)
{
execMsg.OrderState = OrderStates.Done;
execMsg.OrderId = tradeData.Id;
}
else
{
execMsg.OrderState = OrderStates.Active;
execMsg.OrderId = response.OrderOpened.Id;
}
SendOutMessage(execMsg);
if (tradeData != null)
{
SendOutMessage(new ExecutionMessage
{
OriginalTransactionId = message.TransactionId,
ExecutionType = ExecutionTypes.Transaction,
TradePrice = (decimal)tradeData.Price,
TradeVolume = tradeData.Units,
ServerTime = tradeData.Time.FromOanda(),
TradeId = tradeData.Id,
HasTradeInfo = true,
});
}
}
/// <summary>
/// Рассчитать комиссию.
/// </summary>
/// <param name="message">Сообщение, содержащее информацию по заявке или собственной сделке.</param>
/// <returns>Комиссия. Если комиссию рассчитать невозможно, то будет возвращено <see langword="null"/>.</returns>
public decimal? ProcessExecution(ExecutionMessage message)
{
var commission = OnProcessExecution(message);
if (commission != null)
Commission += commission.Value;
return commission;
}
/// <summary>
/// Initializes a new instance of the <see cref="PnLInfo"/>.
/// </summary>
/// <param name="trade">Own trade.</param>
/// <param name="closedVolume">The volume of position, which was closed by own trade.</param>
/// <param name="pnL">The profit, realized by this trade.</param>
public PnLInfo(ExecutionMessage trade, decimal closedVolume, decimal pnL)
{
if (trade == null)
throw new ArgumentNullException(nameof(trade));
if (closedVolume < 0)
throw new ArgumentOutOfRangeException(nameof(closedVolume), closedVolume, LocalizedStrings.Str946);
Trade = trade;
ClosedVolume = closedVolume;
PnL = pnL;
}
/// <summary>
/// To calculate commission.
/// </summary>
/// <param name="message">The message containing the information about the order or own trade.</param>
/// <returns>The commission. If the commission can not be calculated then <see langword="null" /> will be returned.</returns>
public virtual decimal? ProcessExecution(ExecutionMessage message)
{
if (_rules.Count == 0)
return null;
var commission = _rules.Cache.Sum(rule => rule.ProcessExecution(message));
if (commission != null)
Commission += commission.Value;
return commission;
}
/// <summary>
/// Рассчитать прибыльность сделки. Если сделка уже ранее была обработана, то возвращается предыдущая информация.
/// </summary>
/// <param name="trade">Сделка.</param>
/// <returns>Информация о новой сделке.</returns>
public virtual PnLInfo ProcessMyTrade(ExecutionMessage trade)
{
if (trade == null)
throw new ArgumentNullException("trade");
lock (_portfolioManagers.SyncRoot)
{
var manager = _portfolioManagers.SafeAdd(trade.PortfolioName, pf => new PortfolioPnLManager(pf));
PnLInfo info;
if (manager.ProcessMyTrade(trade, out info))
_realizedPnL += info.PnL;
return info;
}
}
/// <summary>
/// To calculate trade profitability. If the trade was already processed earlier, previous information returns.
/// </summary>
/// <param name="trade">Trade.</param>
/// <param name="info">Information on new trade.</param>
/// <returns><see langword="true" />, if new trade received, otherwise, <see langword="false" />.</returns>
public bool ProcessMyTrade(ExecutionMessage trade, out PnLInfo info)
{
if (trade == null)
throw new ArgumentNullException(nameof(trade));
var tradeId = trade.GetTradeId();
if (_tradeInfos.TryGetValue(tradeId, out info))
return false;
var queue = _securityPnLs.SafeAdd(trade.SecurityId, security => new PnLQueue(security));
info = queue.Process(trade);
_tradeInfos.Add(tradeId, info);
_realizedPnL += info.PnL;
return true;
}
/// <summary>
/// Callback of the order (re)registration.
/// </summary>
/// <param name="transId">Transaction ID.</param>
/// <param name="data">(Re)registration result.</param>
/// <param name="ex">(Re)registration error.</param>
private void ClientOnOrderRegisterResult(long transId, PlaceEquityOrderResponse2 data, Exception ex)
{
if (ex != null)
{
this.AddWarningLog("RegisterOrder: {0}", ex);
SendOutMessage(new ExecutionMessage
{
OriginalTransactionId = transId,
OrderState = OrderStates.Failed,
Error = new InvalidOperationException(LocalizedStrings.Str2258Params.Put(transId, ex)),
OrderStatus = OrderStatus.RejectedBySystem,
ExecutionType = ExecutionTypes.Transaction,
HasOrderInfo = true,
});
return;
}
var msg = new ExecutionMessage
{
SecurityId = new SecurityId { SecurityCode = data.symbol, BoardCode = AssociatedBoardCode },
PortfolioName = data.accountId.To<string>(),
Side = data.orderAction.ETradeActionToSide(),
OriginalTransactionId = transId,
OrderState = OrderStates.Active,
OrderId = data.orderNum,
ExecutionType = ExecutionTypes.Transaction,
ServerTime = ETradeUtil.ETradeTimestampToUTC(data.orderTime),
HasOrderInfo = true,
};
SaveOrder(transId, msg.OrderId ?? 0);
if (data.messageList != null)
{
foreach (var m in data.messageList)
this.AddDebugLog("ord #{0}: ({1}) {2}", data.orderNum, m.msgCode, m.msgDesc);
}
SendOutMessage(msg);
}
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;
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);
}
private void ReadOrderStatus(IBSocket socket, ServerVersions version)
{
var id = socket.ReadInt();
var status = socket.ReadOrderStatus();
/* filled */
socket.ReadInt();
var balance = socket.ReadDecimal();
var avgPrice = socket.ReadDecimal();
var permId = version >= ServerVersions.V2 ? socket.ReadInt() : (int?)null;
var parentId = version >= ServerVersions.V3 ? socket.ReadInt() : (int?)null;
var lastTradePrice = version >= ServerVersions.V4 ? socket.ReadDecimal() : (decimal?)null;
var clientId = version >= ServerVersions.V5 ? socket.ReadInt() : (int?)null;
var whyHeld = version >= ServerVersions.V6 ? socket.ReadStr() : null;
var execMsg = new ExecutionMessage
{
ExecutionType = ExecutionTypes.Transaction,
OriginalTransactionId = id,
Balance = balance,
OrderStatus = status,
OrderState = status.ToOrderState(),
HasOrderInfo = true,
};
execMsg.SetAveragePrice(avgPrice);
if (permId != null)
execMsg.SetPermId(permId.Value);
if (parentId != null)
execMsg.Condition = new IBOrderCondition { ParentId = parentId.Value };
if (lastTradePrice != null)
execMsg.SetLastTradePrice(lastTradePrice.Value);
if (clientId != null)
execMsg.SetClientId(clientId.Value);
if (whyHeld != null)
execMsg.SetWhyHeld(whyHeld);
SendOutMessage(execMsg);
}
protected override void WriterFixOrderCondition(IFixWriter writer, ExecutionMessage message)
{
writer.WriteOrderCondition((QuikOrderCondition)message.Condition, TransactionSession.DateTimeFormat);
}
private void SendOutErrorExecution(ExecutionMessage execMsg, Exception ex)
{
execMsg.ServerTime = CurrentTime;
execMsg.Error = ex;
execMsg.OrderState = OrderStates.Failed;
SendOutMessage(execMsg);
}
/// <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.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>
/// Create a copy of <see cref="ExecutionMessage"/>.
/// </summary>
/// <returns>Copy.</returns>
public override Message Clone()
{
var clone = new ExecutionMessage
{
Balance = Balance,
Comment = Comment,
Condition = Condition.CloneNullable(),
ClientCode = ClientCode,
Currency = Currency,
ServerTime = ServerTime,
DepoName = DepoName,
Error = Error,
ExpiryDate = ExpiryDate,
IsSystem = IsSystem,
LocalTime = LocalTime,
OpenInterest = OpenInterest,
OrderId = OrderId,
OrderStringId = OrderStringId,
OrderBoardId = OrderBoardId,
ExecutionType = ExecutionType,
IsCancelled = IsCancelled,
//Action = Action,
OrderState = OrderState,
OrderStatus = OrderStatus,
OrderType = OrderType,
OriginSide = OriginSide,
PortfolioName = PortfolioName,
Price = Price,
SecurityId = SecurityId,
Side = Side,
SystemComment = SystemComment,
TimeInForce = TimeInForce,
TradeId = TradeId,
TradeStringId = TradeStringId,
TradePrice = TradePrice,
TradeStatus = TradeStatus,
TransactionId = TransactionId,
OriginalTransactionId = OriginalTransactionId,
Volume = Volume,
//IsFinished = IsFinished,
VisibleVolume = VisibleVolume,
IsUpTick = IsUpTick,
Commission = Commission,
Latency = Latency,
Slippage = Slippage,
UserOrderId = UserOrderId,
DerivedOrderId = DerivedOrderId,
DerivedOrderStringId = DerivedOrderStringId,
};
this.CopyExtensionInfo(clone);
return clone;
}
private void SessionOnStiQuoteSnap(ref structSTIQuoteSnap structQuoteSnap)
{
var l1CngMsg = new Level1ChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = structQuoteSnap.bstrSymbol,
BoardCode = structQuoteSnap.bstrExch
},
ServerTime = structQuoteSnap.bstrUpdateTime.StrToTime(),
};
if (structQuoteSnap.bAskPrice != 0)
l1CngMsg.TryAdd(Level1Fields.BestAskPrice, (decimal)structQuoteSnap.fAskPrice);
if (structQuoteSnap.bBidPrice != 0)
l1CngMsg.TryAdd(Level1Fields.BestBidPrice, (decimal)structQuoteSnap.fBidPrice);
l1CngMsg.TryAdd(Level1Fields.BestAskVolume, (decimal)structQuoteSnap.nAskSize);
l1CngMsg.TryAdd(Level1Fields.BestBidVolume, (decimal)structQuoteSnap.nBidSize);
if (structQuoteSnap.bOpenPrice != 0)
l1CngMsg.TryAdd(Level1Fields.OpenPrice, (decimal)structQuoteSnap.fOpenPrice);
if (structQuoteSnap.bHighPrice != 0)
l1CngMsg.TryAdd(Level1Fields.HighPrice, (decimal)structQuoteSnap.fHighPrice);
if (structQuoteSnap.bLowPrice != 0)
l1CngMsg.TryAdd(Level1Fields.LowPrice, (decimal)structQuoteSnap.fLowPrice);
if (structQuoteSnap.bLastPrice != 0)
l1CngMsg.TryAdd(Level1Fields.LastTradePrice, (decimal)structQuoteSnap.fLastPrice);
l1CngMsg.TryAdd(Level1Fields.LastTradeVolume, (decimal)structQuoteSnap.nLastSize);
l1CngMsg.TryAdd(Level1Fields.OpenInterest, (decimal)structQuoteSnap.nOpenInterest);
l1CngMsg.TryAdd(Level1Fields.Volume, (decimal)structQuoteSnap.nCumVolume);
l1CngMsg.TryAdd(Level1Fields.VWAP, (decimal)structQuoteSnap.fVwap);
l1CngMsg.TryAdd(Level1Fields.ClosePrice, (decimal)structQuoteSnap.fClosePrice); // öåíà çàêðûòèÿ ïðîøëîãî äíÿ.
SendOutMessage(l1CngMsg);
if (_subscribedSecuritiesToTrade.Cache.Contains(structQuoteSnap.bstrSymbol) && structQuoteSnap.fLastPrice != 0)
{
var tickMsg= new ExecutionMessage
{
ExecutionType = ExecutionTypes.Tick,
SecurityId = new SecurityId{SecurityCode = structQuoteSnap.bstrSymbol,BoardCode = structQuoteSnap.bstrExch},
//TradeId = structQuoteSnap.,
TradePrice = (decimal)structQuoteSnap.fLastPrice,
TradeVolume = structQuoteSnap.nLastSize,
//OriginSide = action.ToSide(),
ServerTime = structQuoteSnap.bstrUpdateTime.StrToTime()
};
SendOutMessage(tickMsg);
}
}
QuoteChangeMessage IOrderLogMarketDepthBuilder.Update(ExecutionMessage item)
{
if (item == null)
{
throw new ArgumentNullException(nameof(item));
}
if (item.ExecutionType != ExecutionTypes.OrderLog)
{
throw new ArgumentException(nameof(item));
}
if (item.OrderPrice == 0)
{
return(null);
}
_depth.ServerTime = item.ServerTime;
_depth.LocalTime = item.LocalTime;
QuoteChange?changedQuote = null;
var quotes = item.Side == Sides.Buy ? _bids : _asks;
if (item.IsOrderLogRegistered())
{
if (item.OrderVolume != null)
{
QuoteChange ProcessRegister <T>(T id, Dictionary <T, decimal> orders)
{
var quote = quotes.SafeAdd(item.OrderPrice, key => new QuoteChange(key, 0));
var volume = item.OrderVolume.Value;
if (orders.TryGetValue(id, out var prevVolume))
{
quote.Volume += (volume - prevVolume);
orders[id] = volume;
}
else
{
quote.Volume += volume;
orders.Add(id, volume);
}
quotes[item.OrderPrice] = quote;
return(quote);
}
if (item.OrderId != null)
{
changedQuote = ProcessRegister(item.OrderId.Value, _ordersByNum);
}
else if (!item.OrderStringId.IsEmpty())
{
changedQuote = ProcessRegister(item.OrderStringId, _ordersByString);
}
}
}
else if (item.IsOrderLogMatched())
{
var volume = item.TradeVolume ?? item.OrderVolume;
if (volume != null)
{
QuoteChange?ProcessMatched <T>(T id, Dictionary <T, decimal> orders)
{
if (orders.TryGetValue(id, out var prevVolume))
{
orders[id] = prevVolume - volume.Value;
if (quotes.TryGetValue(item.OrderPrice, out var quote))
{
quote.Volume -= volume.Value;
if (quote.Volume <= 0)
{
quotes.Remove(item.OrderPrice);
}
quotes[item.OrderPrice] = quote;
return(quote);
}
}
return(null);
}
if (item.OrderId != null)
{
changedQuote = ProcessMatched(item.OrderId.Value, _ordersByNum);
}
else if (!item.OrderStringId.IsEmpty())
{
changedQuote = ProcessMatched(item.OrderStringId, _ordersByString);
}
}
}
else if (item.IsOrderLogCanceled())
{
QuoteChange?ProcessCanceled <T>(T id, Dictionary <T, decimal> orders)
{
if (orders.TryGetAndRemove(id, out var prevVolume))
{
if (quotes.TryGetValue(item.OrderPrice, out var quote))
{
quote.Volume -= prevVolume;
if (quote.Volume <= 0)
{
quotes.Remove(item.OrderPrice);
}
quotes[item.OrderPrice] = quote;
return(quote);
}
}
return(null);
}
if (item.OrderId != null)
{
changedQuote = ProcessCanceled(item.OrderId.Value, _ordersByNum);
}
else if (!item.OrderStringId.IsEmpty())
{
changedQuote = ProcessCanceled(item.OrderStringId, _ordersByString);
}
}
if (changedQuote == null)
{
return(null);
}
var increment = new QuoteChangeMessage
{
ServerTime = item.ServerTime,
LocalTime = item.LocalTime,
SecurityId = _depth.SecurityId,
State = QuoteChangeStates.Increment,
};
var q = changedQuote.Value;
if (item.Side == Sides.Buy)
{
increment.Bids = new[] { q }
}
;
else
{
increment.Asks = new[] { q }
};
return(increment);
}
}
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;
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);
}
/// <summary>
/// Create a copy of <see cref="ExecutionMessage"/>.
/// </summary>
/// <returns>Copy.</returns>
public override Message Clone()
{
var clone = new ExecutionMessage
{
Balance = Balance,
Comment = Comment,
Condition = Condition?.Clone(),
ClientCode = ClientCode,
BrokerCode = BrokerCode,
Currency = Currency,
ServerTime = ServerTime,
DepoName = DepoName,
Error = Error,
ExpiryDate = ExpiryDate,
IsSystem = IsSystem,
OpenInterest = OpenInterest,
OrderId = OrderId,
OrderStringId = OrderStringId,
OrderBoardId = OrderBoardId,
ExecutionType = ExecutionType,
IsCancelled = IsCancelled,
//Action = Action,
OrderState = OrderState,
OrderStatus = OrderStatus,
OrderType = OrderType,
OriginSide = OriginSide,
PortfolioName = PortfolioName,
OrderPrice = OrderPrice,
SecurityId = SecurityId,
Side = Side,
SystemComment = SystemComment,
TimeInForce = TimeInForce,
TradeId = TradeId,
TradeStringId = TradeStringId,
TradePrice = TradePrice,
TradeStatus = TradeStatus,
TransactionId = TransactionId,
OrderVolume = OrderVolume,
TradeVolume = TradeVolume,
//IsFinished = IsFinished,
VisibleVolume = VisibleVolume,
IsUpTick = IsUpTick,
Commission = Commission,
Latency = Latency,
Slippage = Slippage,
UserOrderId = UserOrderId,
//DerivedOrderId = DerivedOrderId,
//DerivedOrderStringId = DerivedOrderStringId,
PnL = PnL,
Position = Position,
HasTradeInfo = HasTradeInfo,
HasOrderInfo = HasOrderInfo,
IsMarketMaker = IsMarketMaker,
IsMargin = IsMargin,
IsManual = IsManual,
CommissionCurrency = CommissionCurrency,
AveragePrice = AveragePrice,
Yield = Yield,
MinVolume = MinVolume,
SubscriptionId = SubscriptionId,
SubscriptionIds = SubscriptionIds?.ToArray()
};
CopyTo(clone);
return(clone);
}
bool IOrderLogMarketDepthBuilder.Update(ExecutionMessage item)
{
if (item == null)
{
throw new ArgumentNullException(nameof(item));
}
if (item.ExecutionType != ExecutionTypes.OrderLog)
{
throw new ArgumentException(nameof(item));
}
if (item.OrderPrice == 0)
{
return(false);
}
var changed = false;
var quotes = item.Side == Sides.Buy ? _bids : _asks;
try
{
if (item.IsOrderLogRegistered())
{
if (item.OrderId != null)
{
var quote = quotes.SafeAdd(item.OrderPrice, key => new QuoteChange(item.Side, key, 0));
var id = item.OrderId.Value;
if (item.OrderVolume != null)
{
var volume = item.OrderVolume.Value;
if (_orders.TryGetValue(id, out var prevVolume))
{
quote.Volume += (volume - prevVolume);
_orders[id] = volume;
}
else
{
quote.Volume += volume;
_orders.Add(id, volume);
}
changed = true;
}
}
}
else if (item.IsOrderLogMatched())
{
if (item.OrderId != null)
{
var id = item.OrderId.Value;
var volume = item.TradeVolume ?? item.OrderVolume;
if (volume != null)
{
if (_orders.TryGetValue(id, out var prevVolume))
{
var quote = quotes.TryGetValue(item.OrderPrice);
if (quote != null)
{
quote.Volume -= volume.Value;
if (quote.Volume <= 0)
{
quotes.Remove(item.OrderPrice);
}
}
_orders[id] = prevVolume - volume.Value;
changed = true;
}
}
}
}
else if (item.IsOrderLogCanceled())
{
if (item.OrderId != null)
{
var id = item.OrderId.Value;
if (_orders.TryGetValue(id, out var prevVolume))
{
var quote = quotes.TryGetValue(item.OrderPrice);
if (quote != null)
{
quote.Volume -= prevVolume;
if (quote.Volume <= 0)
{
quotes.Remove(item.OrderPrice);
}
}
_orders.Remove(id);
changed = true;
}
}
}
}
finally
{
if (changed)
{
_depth.ServerTime = item.ServerTime;
_depth.LocalTime = item.LocalTime;
_depth.Bids = _bids.Values.ToArray();
_depth.Asks = _asks.Values.ToArray();
}
}
return(changed);
}
private void OnProcessOrders(string[] data)
{
var f = Wrapper.FieldsOrders;
if (data.Length > 0)
this.AddLog(LogLevels.Debug, () => "OnProcessOrders:\n" + data.Join("\n"));
foreach (var str in data)
{
var cols = str.ToColumns();
// 83487901|41469-000|42550|M|B|8356|1|1|0:00:00||FORTS|0|
// ...
// 83487901|41469-000|42550|M|B|8356|1|0|12.12.2011 16:31:41|2198931532|FORTS|0|
// NOTE: когда в первый раз приходит апдейт по заявке в нем нет ни времени, ни комментария.
// 84352688|41469-000|12910|M|S|80.13|10|0|22.12.2011 17:16:58||MICEX_SHR|0|0|
// 84352688|41469-000|12910|M|S|80.13|10|0|22.12.2011 17:16:58|2968835969|MICEX_SHR|0|80.408|
// NOTE: на ММВБ заявка сперва приходит с пустым комментарием!
var orderId = f.OrdNo.GetValue(cols);
var transId = f.Comments.GetValue(cols);
if (transId == 0)
{
var alfaTransactionId = _alfaIds.TryGetKey(orderId);
transId = _localIds.TryGetKey(alfaTransactionId);
if (transId == 0)
{
this.AddWarningLog("transaction id for order #{0} not found. creating new one.", orderId);
transId = TransactionIdGenerator.GetNextId();
if (alfaTransactionId == 0)
{
alfaTransactionId = --_lastFakeAlfaTransactionId;
_alfaIds.Add(alfaTransactionId, orderId);
}
_localIds.Add(transId, alfaTransactionId);
}
}
var msg = new ExecutionMessage
{
SecurityId = new SecurityId { Native = f.PaperNo.GetValue(cols) },
PortfolioName = GetPortfolioName(f.AccCode.GetValue(cols), this.GetBoardCode(f.PlaceCode.GetValue(cols))),
Side = f.BuySellStr.GetValue(cols),
OrderPrice = f.Price.GetValue(cols),
Volume = f.Qty.GetValue(cols),
Balance = f.Rest.GetValue(cols),
OriginalTransactionId = transId,
OrderId = orderId,
ExecutionType = ExecutionTypes.Order,
};
var orderTime = f.TsTime.GetValue(cols);
if (orderTime.TimeOfDay != TimeSpan.Zero)
msg.ServerTime = orderTime.ApplyTimeZone(TimeHelper.Moscow);
var stopPrice = f.StopPrice.GetValue(cols);
var orderType = f.Blank.GetValue(cols);
switch (orderType)
{
case "S":
{
var updateToPrice = f.UpdateNewPrice.GetValue(cols);
if (updateToPrice != 0) // Stop + TargetProfit
{
var updGrowPrice = f.UpdateGrowPrice.GetValue(cols);
var updDownPrice = f.UpdateDownPrice.GetValue(cols);
msg.Condition = new AlfaOrderCondition
{
StopPrice = stopPrice,
TargetPrice = msg.OrderPrice,
Slippage = msg.Side == Sides.Buy
? updateToPrice - updGrowPrice
: updDownPrice - updateToPrice
};
}
else // Stop
{
msg.Condition = new AlfaOrderCondition
{
StopPrice = stopPrice,
Slippage = stopPrice == 0
? 0
: msg.Side == Sides.Buy
? msg.OrderPrice - stopPrice
: stopPrice - msg.OrderPrice
};
}
msg.OrderType = OrderTypes.Conditional;
break;
}
case "T":
{
var level = f.TrailingLevel.GetValue(cols);
var slippage = f.TrailingSlippage.GetValue(cols);
msg.Condition = new AlfaOrderCondition
{
Level = level,
Slippage = slippage,
StopPrice = stopPrice
};
msg.OrderType = OrderTypes.Conditional;
break;
}
case "L":
msg.OrderType = OrderTypes.Limit;
break;
default:
this.AddWarningLog("Unknown order type '{0}' (id={1})", orderType, orderId);
break;
}
var status = f.OrderStatus.GetValue(cols);
switch (status)
{
case "O": // активная
case "G": // с условием
msg.OrderState = OrderStates.Active;
break;
case "M": // исполнена
msg.OrderState = msg.Balance != 0 ? OrderStates.Active : OrderStates.Done;
break;
case "W": // удалена
msg.OrderState = OrderStates.Done;
break;
case "N": // принята сервером АД, но пока не на бирже
msg.OrderState = OrderStates.Pending;
break;
default:
this.AddInfoLog("Order status {0} is not taken into account", status);
break;
}
SendOutMessage(msg);
}
}
/// <summary>
/// To calculate commission.
/// </summary>
/// <param name="message">The message containing the information about the order or own trade.</param>
/// <returns>The commission. If the commission can not be calculated then <see langword="null" /> will be returned.</returns>
protected override decimal? OnProcessExecution(ExecutionMessage message)
{
if (message.ExecutionType == ExecutionTypes.Order)
return (decimal)Value;
return null;
}
/// <summary>
/// Create a copy of <see cref="ExecutionMessage"/>.
/// </summary>
/// <returns>Copy.</returns>
public override Message Clone()
{
var clone = new ExecutionMessage
{
Balance = Balance,
Comment = Comment,
Condition = Condition.CloneNullable(),
ClientCode = ClientCode,
BrokerCode = BrokerCode,
Currency = Currency,
ServerTime = ServerTime,
DepoName = DepoName,
Error = Error,
ExpiryDate = ExpiryDate,
IsSystem = IsSystem,
LocalTime = LocalTime,
OpenInterest = OpenInterest,
OrderId = OrderId,
OrderStringId = OrderStringId,
OrderBoardId = OrderBoardId,
ExecutionType = ExecutionType,
IsCancelled = IsCancelled,
//Action = Action,
OrderState = OrderState,
OrderStatus = OrderStatus,
OrderType = OrderType,
OriginSide = OriginSide,
PortfolioName = PortfolioName,
OrderPrice = OrderPrice,
SecurityId = SecurityId,
Side = Side,
SystemComment = SystemComment,
TimeInForce = TimeInForce,
TradeId = TradeId,
TradeStringId = TradeStringId,
TradePrice = TradePrice,
TradeStatus = TradeStatus,
TransactionId = TransactionId,
OriginalTransactionId = OriginalTransactionId,
OrderVolume = OrderVolume,
TradeVolume = TradeVolume,
//IsFinished = IsFinished,
VisibleVolume = VisibleVolume,
IsUpTick = IsUpTick,
Commission = Commission,
Latency = Latency,
Slippage = Slippage,
UserOrderId = UserOrderId,
DerivedOrderId = DerivedOrderId,
DerivedOrderStringId = DerivedOrderStringId,
PnL = PnL,
Position = Position,
HasTradeInfo = HasTradeInfo,
HasOrderInfo = HasOrderInfo
};
this.CopyExtensionInfo(clone);
return(clone);
}
/// <summary>
/// To calculate commission.
/// </summary>
/// <param name="message">The message containing the information about the order or own trade.</param>
/// <returns>The commission. If the commission can not be calculated then <see langword="null" /> will be returned.</returns>
protected override decimal? OnProcessExecution(ExecutionMessage message)
{
if (message.ExecutionType != ExecutionTypes.Trade)
return null;
if (++_currentCount < Count)
return null;
_currentCount = 0;
return (decimal)Value;
}
protected override void WriterFixOrderCondition(IFixWriter writer, ExecutionMessage message)
{
writer.WriteOrderCondition((QuikOrderCondition)message.Condition);
}
/// <summary>
/// To calculate commission.
/// </summary>
/// <param name="message">The message containing the information about the order or own trade.</param>
/// <returns>The commission. If the commission can not be calculated then <see langword="null" /> will be returned.</returns>
protected override decimal? OnProcessExecution(ExecutionMessage message)
{
if (message.ExecutionType == ExecutionTypes.Trade)
return (decimal)(message.TradePrice * message.Volume * Value);
return null;
}
/// <summary>
/// Send message.
/// </summary>
/// <param name="message">Message.</param>
protected override void OnSendInMessage(Message message)
{
switch (message.Type)
{
case MessageTypes.Reset:
{
if (_client != null)
{
DisposeClient();
}
try
{
Connection.Close();
Connection.ClearCache();
}
catch (Exception ex)
{
SendOutError(ex);
}
Connection.StatusChange -= ConnectionOnStatusChange;
SendOutMessage(new ResetMessage());
break;
}
case MessageTypes.Connect:
{
if (_client != null)
throw new InvalidOperationException(LocalizedStrings.Str3378);
var doc = XDocument.Load("http://www.ddfplus.com/getusersettings.php?username={0}&password={1}".Put(Login, Password.To<string>()));
var loginElem = doc.Element("usersettings").Elements("login").First();
if (loginElem.GetAttributeValue<string>("status") != "ok")
throw new InvalidOperationException(LocalizedStrings.UnknownServerError);
if (loginElem.GetAttributeValue<string>("credentials") != "ok")
throw new InvalidOperationException(LocalizedStrings.Str3350);
foreach (var elem in doc.Element("usersettings").Element("servers").Elements())
{
switch (elem.GetAttributeValue<string>("type"))
{
case "stream":
_streamAddress = elem.GetAttributeValue<string>("primary");
break;
case "historicalv2":
_historicalAddress = elem.GetAttributeValue<string>("primary");
break;
case "extras":
_extrasAddress = elem.GetAttributeValue<string>("primary");
break;
case "news":
_newsAddress = elem.GetAttributeValue<string>("primary");
break;
}
}
SendOutMessage(new ConnectMessage());
Connection.StatusChange += ConnectionOnStatusChange;
Connection.Properties["streamingversion"] = "3";
_client = new Client();
_client.Error += ClientOnError;
_client.NewBookQuote += ClientOnNewBookQuote;
_client.NewOHLCQuote += ClientOnNewOhlcQuote;
_client.NewQuote += ClientOnNewQuote;
Connection.Username = Login;
Connection.Password = Password.To<string>();
Connection.Mode = ConnectionMode.TCPClient;
break;
}
case MessageTypes.Disconnect:
{
if (_client == null)
throw new InvalidOperationException(LocalizedStrings.Str1856);
DisposeClient();
Connection.Close();
break;
}
case MessageTypes.SecurityLookup:
{
var lookupMsg = (SecurityLookupMessage)message;
XDocument doc = null;
if (!lookupMsg.SecurityId.SecurityCode.IsEmpty())
{
doc = XDocument.Load("{0}/instruments/?lookup={1}".Put(_extrasAddress, lookupMsg.SecurityId.SecurityCode));
}
else if (!lookupMsg.SecurityId.BoardCode.IsEmpty())
{
doc = XDocument.Load("{0}/instruments/?exchange={1}".Put(_extrasAddress, lookupMsg.SecurityId.BoardCode));
}
if (doc != null)
{
foreach (var element in doc.Element("instruments").Elements())
{
SendOutMessage(new SecurityMessage
{
SecurityId = new SecurityId
{
SecurityCode = element.GetAttributeValue<string>("guid"),
BoardCode = element.GetAttributeValue<string>("exchange"),
},
Name = element.GetAttributeValue<string>("symbol_description"),
OriginalTransactionId = lookupMsg.TransactionId,
SecurityType = TraderHelper.FromIso10962(element.GetAttributeValue<string>("symbol_cfi")),
PriceStep = element.GetAttributeValue<decimal?>("tick_increment"),
Multiplier = element.GetAttributeValue<decimal?>("point_value"),
Currency = element.GetAttributeValue<CurrencyTypes?>("currency")
});
}
}
SendOutMessage(new SecurityLookupResultMessage
{
OriginalTransactionId = lookupMsg.TransactionId,
});
break;
}
case MessageTypes.MarketData:
{
var mdMsg = (MarketDataMessage)message;
switch (mdMsg.DataType)
{
case MarketDataTypes.Level1:
break;
case MarketDataTypes.MarketDepth:
break;
case MarketDataTypes.Trades:
{
if (mdMsg.Count != null || mdMsg.From != null || mdMsg.To != null)
{
var url = new Url("{0}/queryticks.ashx".Put(_historicalAddress));
url.QueryString
.Append("username", Login)
.Append("password", Password.To<string>())
.Append("symbol", mdMsg.SecurityId.SecurityCode)
.Append("order", "asc");
if (mdMsg.Count != null)
url.QueryString.Append("maxrecords", mdMsg.Count.Value);
if (mdMsg.From != null)
url.QueryString.Append("start", mdMsg.From.Value.FromDateTimeOffset(_defaultTimeFormatRequest));
if (mdMsg.To != null)
url.QueryString.Append("end", mdMsg.To.Value.FromDateTimeOffset(_defaultTimeFormatRequest));
using (var client = new WebClient())
{
var lines = client.DownloadString(url)
.Split("\n")
.Where(l => l != "\r")
.ToArray();
var i = 0;
foreach (var line in lines)
{
var columns = line.Split(',');
try
{
var msg = new ExecutionMessage
{
SecurityId = mdMsg.SecurityId,
OriginalTransactionId = mdMsg.TransactionId,
ExecutionType = ExecutionTypes.Tick,
ServerTime = columns[0].ToDateTime("yyyy-MM-dd HH:mm:ss.fff"),
TradePrice = columns[3].To<decimal>(),
Volume = columns[4].To<decimal>(),
};
msg.AddValue("IsFinished", ++i == lines.Length);
SendOutMessage(msg);
}
catch (Exception ex)
{
throw new InvalidOperationException(LocalizedStrings.Str2141Params.Put(line), ex);
}
}
}
}
break;
}
case MarketDataTypes.News:
break;
case MarketDataTypes.CandleTimeFrame:
{
var tf = (TimeSpan)mdMsg.Arg;
string serviceName;
string timeFormatRequest = _defaultTimeFormatRequest;
string timeFormatResponse = "yyyy-MM-dd";
if (tf == TimeSpan.FromMinutes(1))
{
serviceName = "queryminutes";
timeFormatResponse = "yyyy-MM-dd HH:mm";
}
else if (tf == TimeSpan.FromDays(1))
{
serviceName = "queryeod";
timeFormatRequest = "yyyyMMdd";
}
else
throw new InvalidOperationException(LocalizedStrings.Str2102);
var url = new Url("{0}/{1}.ashx".Put(_historicalAddress, serviceName));
url.QueryString
.Append("username", Login)
.Append("password", Password.To<string>())
.Append("symbol", mdMsg.SecurityId.SecurityCode)
.Append("order", "asc");
if (mdMsg.Count != null)
url.QueryString.Append("maxrecords", mdMsg.Count.Value);
if (mdMsg.From != null)
url.QueryString.Append("start", mdMsg.From.Value.FromDateTimeOffset(timeFormatRequest));
if (mdMsg.To != null)
url.QueryString.Append("end", mdMsg.To.Value.FromDateTimeOffset(timeFormatRequest));
using (var client = new WebClient())
{
var lines = client.DownloadString(url)
.Split("\n")
.Where(l => l != "\r")
.ToArray();
var i = 0;
foreach (var line in lines)
{
var columns = line.Split(',');
try
{
SendOutMessage(new TimeFrameCandleMessage
{
SecurityId = mdMsg.SecurityId,
OriginalTransactionId = mdMsg.TransactionId,
OpenTime = columns[tf == TimeSpan.FromMinutes(1) ? 0 : 1].ToDateTime(timeFormatResponse).ApplyTimeZone(TimeHelper.Est),
OpenPrice = columns[2].To<decimal>(),
HighPrice = columns[3].To<decimal>(),
LowPrice = columns[4].To<decimal>(),
ClosePrice = columns[5].To<decimal>(),
TotalVolume = columns[6].To<decimal>(),
OpenInterest = columns.Length > 7 ? columns[7].To<decimal>() : (decimal?)null,
IsFinished = ++i == lines.Length
});
}
catch (Exception ex)
{
throw new InvalidOperationException(LocalizedStrings.Str2141Params.Put(line), ex);
}
}
}
break;
}
default:
{
SendOutMarketDataNotSupported(mdMsg.TransactionId);
return;
}
}
SendOutMessage(new MarketDataMessage { OriginalTransactionId = mdMsg.TransactionId });
break;
}
}
}
/// <summary>
/// To calculate commission.
/// </summary>
/// <param name="message">The message containing the information about the order or own trade.</param>
/// <returns>The commission. If the commission can not be calculated then <see langword="null" /> will be returned.</returns>
protected override decimal? OnProcessExecution(ExecutionMessage message)
{
if (message.ExecutionType == ExecutionTypes.Trade && message.SecurityId.SecurityType == SecurityType)
return (decimal)Value;
return null;
}
private void ReadMyTrade(IBSocket socket, ServerVersions version)
{
/* requestId */
if (version >= ServerVersions.V7)
socket.ReadInt();
// http://www.interactivebrokers.com/en/software/api/apiguide/java/execution.htm
var transactionId = socket.ReadInt();
//Handle the 2^31-1 == 0 bug
if (transactionId == int.MaxValue)
transactionId = 0;
//Read Contract Fields
var contractId = version >= ServerVersions.V5 ? socket.ReadInt() : -1;
var secName = socket.ReadStr();
var type = socket.ReadSecurityType();
var expiryDate = socket.ReadExpiry();
var strike = socket.ReadDecimal();
var optionType = socket.ReadOptionType();
var multiplier = version >= ServerVersions.V9 ? socket.ReadMultiplier() : null;
var boardCode = socket.ReadBoardCode();
var currency = socket.ReadCurrency();
var secCode = socket.ReadLocalCode(secName);
var secClass = (version >= ServerVersions.V10) ? socket.ReadStr() : null;
var tradeId = socket.ReadStr();
var time = socket.ReadDateTime("yyyyMMdd HH:mm:ss");
var portfolio = socket.ReadStr();
/* exchange */
socket.ReadStr();
var side = socket.ReadTradeSide();
var volume = socket.ReadDecimal();
var price = socket.ReadDecimal();
var permId = version >= ServerVersions.V2 ? socket.ReadInt() : (int?)null;
var clientId = version >= ServerVersions.V3 ? socket.ReadInt() : (int?)null;
var liquidation = version >= ServerVersions.V4 ? socket.ReadInt() : (int?)null;
var cumulativeQuantity = version >= ServerVersions.V6 ? socket.ReadInt() : (int?)null;
var averagePrice = version >= ServerVersions.V6 ? socket.ReadDecimal() : (decimal?)null;
var orderRef = version >= ServerVersions.V8 ? socket.ReadStr() : null;
var evRule = version >= ServerVersions.V9 ? socket.ReadStr() : null;
var evMultiplier = version >= ServerVersions.V9 ? socket.ReadDecimal() : (decimal?)null;
var secId = new SecurityId
{
SecurityCode = secCode,
BoardCode = GetBoardCode(boardCode),
InteractiveBrokers = contractId,
};
SendOutMessage(new SecurityMessage
{
SecurityId = secId,
Name = secName,
SecurityType = type,
ExpiryDate = expiryDate,
Strike = strike,
OptionType = optionType,
Currency = currency,
Multiplier = multiplier ?? 0,
Class = secClass
});
// заявка была создана руками
if (transactionId == 0)
return;
_secIdByTradeIds[tradeId] = secId;
var execMsg = new ExecutionMessage
{
ExecutionType = ExecutionTypes.Transaction,
OriginalTransactionId = transactionId,
TradeStringId = tradeId,
OriginSide = side,
TradePrice = price,
TradeVolume = volume,
PortfolioName = portfolio,
ServerTime = time,
SecurityId = secId,
HasTradeInfo = true,
};
if (permId != null)
execMsg.SetPermId(permId.Value);
if (clientId != null)
execMsg.SetClientId(clientId.Value);
if (liquidation != null)
execMsg.SetLiquidation(liquidation.Value);
if (cumulativeQuantity != null)
execMsg.SetCumulativeQuantity(cumulativeQuantity.Value);
if (averagePrice != null)
execMsg.SetAveragePrice(averagePrice.Value);
if (orderRef != null)
execMsg.SetOrderRef(orderRef);
if (evRule != null)
execMsg.SetEvRule(evRule);
if (evMultiplier != null)
execMsg.SetEvMultiplier(evMultiplier.Value);
SendOutMessage(execMsg);
}
/// <summary>
/// To calculate commission.
/// </summary>
/// <param name="message">The message containing the information about the order or own trade.</param>
/// <returns>The commission. If the commission can not be calculated then <see langword="null" /> will be returned.</returns>
protected override decimal? OnProcessExecution(ExecutionMessage message)
{
if (message.ExecutionType == ExecutionTypes.Trade && message.SecurityId.BoardCode.CompareIgnoreCase(BoardCode))
return (decimal)Value;
return null;
}
private void ReadOpenOrder(IBSocket socket, ServerVersions version)
{
var transactionId = socket.ReadInt();
var contractId = version >= ServerVersions.V17 ? socket.ReadInt() : -1;
var secCode = socket.ReadStr();
var type = socket.ReadSecurityType();
var expiryDate = socket.ReadExpiry();
var strike = socket.ReadDecimal();
var optionType = socket.ReadOptionType();
var multiplier = version >= ServerVersions.V32 ? socket.ReadMultiplier() : null;
var boardCode = socket.ReadBoardCode();
var currency = socket.ReadCurrency();
secCode = version >= ServerVersions.V2 ? socket.ReadLocalCode(secCode) : null;
var secClass = (version >= ServerVersions.V32) ? socket.ReadStr() : null;
var ibCon = new IBOrderCondition();
// read order fields
var direction = socket.ReadOrderSide();
var volume = socket.ReadDecimal();
OrderTypes orderType;
IBOrderCondition.ExtendedOrderTypes? extendedType;
socket.ReadOrderType(out orderType, out extendedType);
ibCon.ExtendedType = extendedType;
var price = socket.ReadDecimal();
ibCon.StopPrice = socket.ReadDecimal();
var expiration = socket.ReadStr();
ibCon.Oca.Group = socket.ReadStr();
var portfolio = socket.ReadStr();
ibCon.IsOpenOrClose = socket.ReadStr() == "O";
ibCon.Origin = (IBOrderCondition.OrderOrigins)socket.ReadInt();
var comment = socket.ReadStr();
var clientId = version >= ServerVersions.V3 ? socket.ReadInt() : (int?)null;
int? permId = null;
if (version >= ServerVersions.V4)
{
permId = socket.ReadInt();
if (version < ServerVersions.V18)
{
// will never happen
/* order.m_ignoreRth = */
socket.ReadBool();
}
else
ibCon.OutsideRth = socket.ReadBool();
ibCon.Hidden = socket.ReadBool();
ibCon.SmartRouting.DiscretionaryAmount = socket.ReadDecimal();
}
if (version >= ServerVersions.V5)
ibCon.GoodAfterTime = socket.ReadNullDateTime(IBSocketHelper.TimeFormat);
if (version >= ServerVersions.V6)
{
// skip deprecated sharesAllocation field
socket.ReadStr();
}
if (version >= ServerVersions.V7)
{
ibCon.FinancialAdvisor.Group = socket.ReadStr();
ibCon.FinancialAdvisor.Allocation = socket.ReadFinancialAdvisor();
ibCon.FinancialAdvisor.Percentage = socket.ReadStr();
ibCon.FinancialAdvisor.Profile = socket.ReadStr();
}
var orderExpiryDate = version >= ServerVersions.V8 ? socket.ReadNullDateTime(IBSocketHelper.TimeFormat) : null;
var visibleVolume = volume;
if (version >= ServerVersions.V9)
{
ibCon.Agent = socket.ReadAgent();
ibCon.PercentOffset = socket.ReadDecimal();
ibCon.Clearing.SettlingFirm = socket.ReadStr();
ibCon.ShortSale.Slot = (IBOrderCondition.ShortSaleSlots)socket.ReadInt();
ibCon.ShortSale.Location = socket.ReadStr();
if (socket.ServerVersion == ServerVersions.V51)
socket.ReadInt(); //exempt code
else if (version >= ServerVersions.V23)
ibCon.ShortSale.ExemptCode = socket.ReadInt();
ibCon.AuctionStrategy = (IBOrderCondition.AuctionStrategies)socket.ReadInt();
ibCon.StartingPrice = socket.ReadDecimal();
ibCon.StockRefPrice = socket.ReadDecimal();
ibCon.Delta = socket.ReadDecimal();
ibCon.StockRangeLower = socket.ReadDecimal();
ibCon.StockRangeUpper = socket.ReadDecimal();
visibleVolume = socket.ReadInt();
if (version < ServerVersions.V18)
{
// will never happen
/* order.m_rthOnly = */
socket.ReadBool();
}
ibCon.BlockOrder = socket.ReadBool();
ibCon.SweepToFill = socket.ReadBool();
ibCon.AllOrNone = socket.ReadBool();
ibCon.MinVolume = socket.ReadInt();
ibCon.Oca.Type = (IBOrderCondition.OcaTypes)socket.ReadInt();
ibCon.SmartRouting.ETradeOnly = socket.ReadBool();
ibCon.SmartRouting.FirmQuoteOnly = socket.ReadBool();
ibCon.SmartRouting.NbboPriceCap = socket.ReadDecimal();
}
if (version >= ServerVersions.V10)
{
ibCon.ParentId = socket.ReadInt();
ibCon.TriggerMethod = (IBOrderCondition.TriggerMethods)socket.ReadInt();
}
if (version >= ServerVersions.V11)
{
ibCon.Volatility.Volatility = socket.ReadDecimal();
ibCon.Volatility.VolatilityTimeFrame = socket.ReadVolatilityType();
if (version == ServerVersions.V11)
{
if (!socket.ReadBool())
ibCon.Volatility.ExtendedOrderType = IBOrderCondition.ExtendedOrderTypes.Empty;
else
ibCon.Volatility.OrderType = OrderTypes.Market;
}
else
{
OrderTypes volOrdertype;
IBOrderCondition.ExtendedOrderTypes? volExtendedType;
socket.ReadOrderType(out volOrdertype, out volExtendedType);
ibCon.Volatility.OrderType = volOrdertype;
ibCon.Volatility.ExtendedOrderType = volExtendedType;
ibCon.Volatility.StopPrice = socket.ReadDecimal();
if (volExtendedType != IBOrderCondition.ExtendedOrderTypes.Empty)
{
if (version >= ServerVersions.V27)
{
ibCon.Volatility.ConId = socket.ReadInt();
ibCon.Volatility.SettlingFirm = socket.ReadStr();
var portfolioName = socket.ReadStr();
if (!portfolioName.IsEmpty())
ibCon.Volatility.ClearingPortfolio = portfolioName;
ibCon.Volatility.ClearingIntent = socket.ReadStr();
}
if (version >= ServerVersions.V31)
{
var isOpenOrCloseStr = socket.ReadStr();
ibCon.Volatility.ShortSale.IsOpenOrClose = isOpenOrCloseStr == "?" ? (bool?)null : isOpenOrCloseStr.To<int>() == 1;
ibCon.Volatility.IsShortSale = socket.ReadBool();
ibCon.Volatility.ShortSale.Slot = (IBOrderCondition.ShortSaleSlots)socket.ReadInt();
ibCon.Volatility.ShortSale.Location = socket.ReadStr();
}
}
}
ibCon.Volatility.ContinuousUpdate = socket.ReadBool();
if (socket.ServerVersion == ServerVersions.V26)
{
ibCon.StockRangeLower = socket.ReadDecimal();
ibCon.StockRangeUpper = socket.ReadDecimal();
}
ibCon.Volatility.IsAverageBestPrice = socket.ReadBool();
}
if (version >= ServerVersions.V13)
ibCon.TrailStopPrice = socket.ReadDecimal();
if (version >= ServerVersions.V30)
ibCon.TrailStopVolumePercentage = socket.ReadNullDecimal();
if (version >= ServerVersions.V14)
{
ibCon.Combo.BasisPoints = socket.ReadDecimal();
ibCon.Combo.BasisPointsType = socket.ReadInt();
ibCon.Combo.LegsDescription = socket.ReadStr();
}
if (version >= ServerVersions.V29)
{
var comboLegsCount = socket.ReadInt();
if (comboLegsCount > 0)
{
//contract.m_comboLegs = new Vector(comboLegsCount);
for (var i = 0; i < comboLegsCount; ++i)
{
//int conId =
socket.ReadInt();
//int ratio =
socket.ReadInt();
//String action =
socket.ReadStr();
//String exchange =
socket.ReadStr();
//int openClose =
socket.ReadInt();
//int shortSaleSlot =
socket.ReadInt();
//String designatedLocation =
socket.ReadStr();
//int exemptCode =
socket.ReadInt();
//ComboLeg comboLeg = new ComboLeg(conId, ratio, action, exchange, openClose,
// shortSaleSlot, designatedLocation, exemptCode);
//contract.m_comboLegs.add(comboLeg);
}
}
var orderComboLegsCount = socket.ReadInt();
if (orderComboLegsCount > 0)
{
//order.m_orderComboLegs = new Vector(orderComboLegsCount);
for (var i = 0; i < orderComboLegsCount; ++i)
{
//var comboPrice =
socket.ReadNullDecimal();
//OrderComboLeg orderComboLeg = new OrderComboLeg(comboPrice);
//order.m_orderComboLegs.add(orderComboLeg);
}
}
}
if (version >= ServerVersions.V26)
{
var smartComboRoutingParamsCount = socket.ReadInt();
if (smartComboRoutingParamsCount > 0)
{
var @params = new List<Tuple<string, string>>();
for (var i = 0; i < smartComboRoutingParamsCount; ++i)
@params.Add(Tuple.Create(socket.ReadStr(), socket.ReadStr()));
ibCon.SmartRouting.ComboParams = @params;
}
}
if (version >= ServerVersions.V15)
{
if (version >= ServerVersions.V20)
{
ibCon.Scale.InitLevelSize = socket.ReadNullInt();
ibCon.Scale.SubsLevelSize = socket.ReadNullInt();
}
else
{
/* int notSuppScaleNumComponents = */
socket.ReadNullInt();
ibCon.Scale.InitLevelSize = socket.ReadNullInt();
}
ibCon.Scale.PriceIncrement = socket.ReadNullDecimal();
}
if (version >= ServerVersions.V28 && ibCon.Scale.PriceIncrement > 0)
{
ibCon.Scale.PriceAdjustValue = socket.ReadNullDecimal();
ibCon.Scale.PriceAdjustInterval = socket.ReadInt();
ibCon.Scale.ProfitOffset = socket.ReadNullDecimal();
ibCon.Scale.AutoReset = socket.ReadBool();
ibCon.Scale.InitPosition = socket.ReadNullInt();
ibCon.Scale.InitFillQty = socket.ReadNullInt();
ibCon.Scale.RandomPercent = socket.ReadBool();
}
if (version >= ServerVersions.V24)
socket.ReadHedge(ibCon);
if (version >= ServerVersions.V25)
ibCon.SmartRouting.OptOutSmartRouting = socket.ReadBool();
if (version >= ServerVersions.V19)
{
var portfolioName = socket.ReadStr();
if (!portfolioName.IsEmpty())
ibCon.Clearing.ClearingPortfolio = portfolioName;
ibCon.Clearing.Intent = socket.ReadIntent();
}
if (version >= ServerVersions.V22)
ibCon.SmartRouting.NotHeld = socket.ReadBool();
if (version >= ServerVersions.V20)
{
if (socket.ReadBool())
{
//UnderlyingComponent underComp = new UnderlyingComponent();
//underComp.ContractId =
socket.ReadInt();
//underComp.Delta =
socket.ReadDecimal();
//underComp.Price =
socket.ReadDecimal();
//contract.UnderlyingComponent = underComp;
}
}
if (version >= ServerVersions.V21)
{
ibCon.Algo.Strategy = socket.ReadStr();
if (!ibCon.Algo.Strategy.IsEmpty())
{
var algoParamsCount = socket.ReadInt();
if (algoParamsCount > 0)
{
var algoParams = new List<Tuple<string, string>>();
for (var i = 0; i < algoParamsCount; i++)
algoParams.Add(Tuple.Create(socket.ReadStr(), socket.ReadStr()));
ibCon.Algo.Params = algoParams;
}
}
}
//OrderState orderState = new OrderState();
OrderStatus? status = null;
if (version >= ServerVersions.V16)
{
socket.ReadStr();
//order.WhatIf = !(string.IsNullOrEmpty(rstr) || rstr == "0");
status = socket.ReadOrderStatus();
//orderState.InitMargin =
socket.ReadStr();
//orderState.MaintMargin =
socket.ReadStr();
//orderState.EquityWithLoan =
socket.ReadStr();
//orderState.IbCommission =
socket.ReadNullDecimal();
//orderState.MinCommission =
socket.ReadNullDecimal();
//orderState.MaxCommission =
socket.ReadNullDecimal();
//orderState.CommissionCurrency =
socket.ReadStr();
//orderState.WarningText =
socket.ReadStr();
}
var secId = new SecurityId
{
SecurityCode = secCode,
BoardCode = GetBoardCode(boardCode),
InteractiveBrokers = contractId,
};
SendOutMessage(new SecurityMessage
{
SecurityId = secId,
ExpiryDate = expiryDate,
Strike = strike,
OptionType = optionType,
Class = secClass,
SecurityType = type,
Currency = currency,
Multiplier = multiplier ?? 0,
});
var orderMsg = new ExecutionMessage
{
ExecutionType = ExecutionTypes.Transaction,
SecurityId = secId,
OriginalTransactionId = transactionId,
OrderType = orderType,
Side = direction,
OrderVolume = volume,
OrderPrice = price,
Condition = ibCon,
ExpiryDate = orderExpiryDate,
VisibleVolume = visibleVolume,
PortfolioName = portfolio,
Comment = comment,
OrderStatus = status,
OrderState = status?.ToOrderState(),
HasOrderInfo = true,
};
if (orderMsg.OrderState == OrderStates.Active || orderMsg.OrderState == OrderStates.Done)
orderMsg.OrderId = transactionId;
switch (expiration)
{
case "DAY":
orderMsg.TimeInForce = TimeInForce.PutInQueue;
break;
case "GTC":
//orderMsg.ExpiryDate = DateTimeOffset.MaxValue;
break;
case "IOC":
orderMsg.TimeInForce = TimeInForce.CancelBalance;
break;
case "FOK":
orderMsg.TimeInForce = TimeInForce.MatchOrCancel;
break;
case "GTD":
break;
case "OPG":
ibCon.IsMarketOnOpen = true;
break;
default:
throw new InvalidOperationException(LocalizedStrings.Str2515Params.Put(expiration));
}
if (clientId != null)
orderMsg.SetClientId(clientId.Value);
if (permId != null)
orderMsg.SetPermId(permId.Value);
SendOutMessage(orderMsg);
}
/// <summary>
/// To calculate commission.
/// </summary>
/// <param name="message">The message containing the information about the order or own trade.</param>
/// <returns>The commission. If the commission can not be calculated then <see langword="null" /> will be returned.</returns>
protected override decimal? OnProcessExecution(ExecutionMessage message)
{
if (message.ExecutionType != ExecutionTypes.Trade)
return null;
_currentTurnOver += message.GetTradePrice() * message.SafeGetVolume();
if (_currentTurnOver < TurnOver)
return null;
return (decimal)Value;
}
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);
}
/// <summary> /// To calculate commission. /// </summary> /// <param name="message">The message containing the information about the order or own trade.</param> /// <returns>The commission. If the commission can not be calculated then <see langword="null" /> will be returned.</returns> protected abstract decimal? OnProcessExecution(ExecutionMessage message);
public Tuple<Trade, bool> ProcessTradeMessage(Security security, ExecutionMessage message)
{
if (security == null)
throw new ArgumentNullException(nameof(security));
if (message == null)
throw new ArgumentNullException(nameof(message));
var trade = GetTrade(security, message.TradeId, message.TradeStringId, (id, stringId) =>
{
var t = message.ToTrade(EntityFactory.CreateTrade(security, id, stringId));
t.LocalTime = message.LocalTime;
t.Time = message.ServerTime;
message.CopyExtensionInfo(t);
return t;
});
return trade;
}
private void OnSessionOrderChanged(LmaxOrder lmaxOrder)
{
var transactionId = TryParseTransactionId(lmaxOrder.InstructionId);
if (transactionId == null)
return;
LmaxOrderCondition condition = null;
decimal price = 0;
OrderTypes orderType;
switch (lmaxOrder.OrderType)
{
case OrderType.MARKET:
orderType = OrderTypes.Market;
break;
case OrderType.LIMIT:
orderType = OrderTypes.Limit;
if (lmaxOrder.LimitPrice == null)
throw new ArgumentException(LocalizedStrings.Str3394Params.Put(transactionId), nameof(lmaxOrder));
price = (decimal)lmaxOrder.LimitPrice;
break;
case OrderType.STOP_ORDER:
case OrderType.STOP_LOSS_MARKET_ORDER:
case OrderType.STOP_PROFIT_LIMIT_ORDER:
orderType = OrderTypes.Conditional;
if (lmaxOrder.StopPrice == null)
throw new ArgumentException(LocalizedStrings.Str3395Params.Put(transactionId), nameof(lmaxOrder));
price = (decimal)lmaxOrder.StopPrice;
condition = new LmaxOrderCondition
{
StopLossOffset = lmaxOrder.StopLossOffset,
TakeProfitOffset = lmaxOrder.StopProfitOffset,
};
break;
case OrderType.CLOSE_OUT_ORDER_POSITION:
case OrderType.CLOSE_OUT_POSITION:
case OrderType.SETTLEMENT_ORDER:
case OrderType.OFF_ORDERBOOK:
case OrderType.REVERSAL:
case OrderType.UNKNOWN:
orderType = OrderTypes.Execute;
break;
default:
throw new ArgumentOutOfRangeException();
}
DateTimeOffset? expiryDate = null;
var tif = StockSharpTimeInForce.PutInQueue;
switch (lmaxOrder.TimeInForce)
{
case LmaxTimeInForce.FillOrKill:
tif = StockSharpTimeInForce.MatchOrCancel;
break;
case LmaxTimeInForce.ImmediateOrCancel:
tif = StockSharpTimeInForce.CancelBalance;
break;
case LmaxTimeInForce.GoodForDay:
expiryDate = DateTime.Today.ApplyTimeZone(TimeZoneInfo.Utc);
break;
case LmaxTimeInForce.GoodTilCancelled:
break;
case LmaxTimeInForce.Unknown:
throw new NotSupportedException(LocalizedStrings.Str3396Params.Put(lmaxOrder.TimeInForce, transactionId.Value, lmaxOrder.OrderId));
default:
throw new InvalidOperationException(LocalizedStrings.Str3397Params.Put(lmaxOrder.TimeInForce, transactionId.Value, lmaxOrder.OrderId));
}
var msg = new ExecutionMessage
{
SecurityId = new SecurityId { Native = lmaxOrder.InstrumentId },
OriginalTransactionId = transactionId.Value,
OrderType = orderType,
OrderPrice = price,
Condition = condition,
OrderVolume = lmaxOrder.Quantity.Abs(),
Side = lmaxOrder.Quantity > 0 ? Sides.Buy : Sides.Sell,
Balance = lmaxOrder.Quantity - lmaxOrder.FilledQuantity,
PortfolioName = lmaxOrder.AccountId.To<string>(),
TimeInForce = tif,
ExpiryDate = expiryDate,
OrderStringId = lmaxOrder.OrderId,
ExecutionType = ExecutionTypes.Transaction,
Commission = lmaxOrder.Commission,
ServerTime = CurrentTime.Convert(TimeZoneInfo.Utc)
};
msg.OrderState = lmaxOrder.CancelledQuantity > 0
? OrderStates.Done
: (msg.Balance == 0 ? OrderStates.Done : OrderStates.Active);
//msg.Action = lmaxOrder.CancelledQuantity > 0
// ? ExecutionActions.Canceled
// : (lmaxOrder.FilledQuantity == 0 ? ExecutionActions.Registered : ExecutionActions.Matched);
SendOutMessage(msg);
}
