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; }
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); }
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); }
public Tuple<OrderFail, bool> ProcessOrderFailMessage(Security security, ExecutionMessage message) { if (security == null) throw new ArgumentNullException(nameof(security)); if (message == null) throw new ArgumentNullException(nameof(message)); var data = GetData(security); Order order = null; if (!message.OrderStringId.IsEmpty()) order = data.OrdersByStringId.TryGetValue(message.OrderStringId); bool isCancelled; if (order == null) { if (message.OriginalTransactionId == 0) throw new ArgumentOutOfRangeException(nameof(message), message.OriginalTransactionId, LocalizedStrings.Str715); var orders = data.Orders; order = (Order)orders.TryGetValue(CreateOrderKey(message.OrderType, message.OriginalTransactionId, true)); if (order != null && order.Id == message.OrderId) isCancelled = true; else { order = (Order)orders.TryGetValue(CreateOrderKey(message.OrderType, message.OriginalTransactionId, false)); isCancelled = false; } if (order == null) return null; } else { var pair = data.Orders.LastOrDefault(p => p.Value.Order == order); isCancelled = pair.Key.Item3; } // ServerTime для заявки - это время регистрации order.LastChangeTime = message.LocalTime; order.LocalTime = message.LocalTime; if (message.OrderStatus != null) order.Status = message.OrderStatus; //для ошибок снятия не надо менять состояние заявки if (!isCancelled) order.State = OrderStates.Failed; if (message.Commission != null) order.Commission = message.Commission; message.CopyExtensionInfo(order); var error = message.Error ?? new InvalidOperationException( isCancelled ? LocalizedStrings.Str716 : LocalizedStrings.Str717); var fail = EntityFactory.CreateOrderFail(order, error); fail.ServerTime = message.ServerTime; fail.LocalTime = message.LocalTime; return Tuple.Create(fail, isCancelled); }
public IEnumerable<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); var orders = new List<Tuple<Order, bool>>(); if (message.OriginalTransactionId == 0) throw new ArgumentOutOfRangeException(nameof(message), message.OriginalTransactionId, LocalizedStrings.Str715); var o = (Order)data.Orders.TryGetValue(CreateOrderKey(message.OrderType, message.OriginalTransactionId, true)); if (o != null /*&& order.Id == message.OrderId*/) { orders.Add(Tuple.Create(o, true)); // if replace var replaced = (Order)data.Orders.TryGetValue(CreateOrderKey(message.OrderType, message.OriginalTransactionId, false)); if (replaced != null) orders.Add(Tuple.Create(replaced, false)); } else { o = (Order)data.Orders.TryGetValue(CreateOrderKey(message.OrderType, message.OriginalTransactionId, false)); orders.Add(Tuple.Create(o, false)); } if (o == null) { if (!message.OrderStringId.IsEmpty()) { o = data.OrdersByStringId.TryGetValue(message.OrderStringId); if (o != null) { var pair = data.Orders.LastOrDefault(p => p.Value.Order == o); if (pair.Key != null) orders.Add(Tuple.Create(pair.Value.Order, pair.Key.Item3)); } } } if (orders.Count == 0) return Enumerable.Empty<Tuple<OrderFail, bool>>(); return orders.Select(t => { var order = t.Item1; var isCancelled = t.Item2; order.LastChangeTime = message.ServerTime; 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); }); }