protected override void OnSave(BitArrayWriter writer, IEnumerable <ExecutionMessage> messages, TransactionSerializerMetaInfo metaInfo)
{
if (metaInfo.IsEmpty())
{
var msg = messages.First();
metaInfo.FirstOrderId = metaInfo.LastOrderId = msg.OrderId ?? 0;
metaInfo.FirstTradeId = metaInfo.LastTradeId = msg.TradeId ?? 0;
metaInfo.FirstTransactionId = metaInfo.LastTransactionId = msg.TransactionId;
metaInfo.FirstOriginalTransactionId = metaInfo.LastOriginalTransactionId = msg.OriginalTransactionId;
metaInfo.FirstCommission = metaInfo.LastCommission = msg.Commission ?? 0;
metaInfo.FirstPnL = metaInfo.LastPnL = msg.PnL ?? 0;
metaInfo.FirstPosition = metaInfo.LastPosition = msg.Position ?? 0;
metaInfo.FirstSlippage = metaInfo.LastSlippage = msg.Slippage ?? 0;
metaInfo.FirstItemLocalTime = metaInfo.LastItemLocalTime = msg.LocalTime.UtcDateTime;
metaInfo.FirstItemLocalOffset = metaInfo.LastItemLocalOffset = msg.LocalTime.Offset;
metaInfo.ServerOffset = msg.ServerTime.Offset;
}
writer.WriteInt(messages.Count());
var allowNonOrdered = metaInfo.Version >= MarketDataVersions.Version48;
var isUtc = metaInfo.Version >= MarketDataVersions.Version51;
var allowDiffOffsets = metaInfo.Version >= MarketDataVersions.Version56;
var isTickPrecision = metaInfo.Version >= MarketDataVersions.Version60;
var buildFrom = metaInfo.Version >= MarketDataVersions.Version67;
var leverage = metaInfo.Version >= MarketDataVersions.Version68;
foreach (var msg in messages)
{
if (msg.ExecutionType != ExecutionTypes.Transaction)
{
throw new ArgumentOutOfRangeException(nameof(messages), msg.ExecutionType, LocalizedStrings.Str1695Params.Put(msg));
}
// нулевой номер заявки возможен при сохранении в момент регистрации
if (msg.OrderId < 0)
{
throw new ArgumentOutOfRangeException(nameof(messages), msg.OrderId, LocalizedStrings.Str925);
}
// нулевая цена возможна, если идет "рыночная" продажа по инструменту без планок
if (msg.OrderPrice < 0)
{
throw new ArgumentOutOfRangeException(nameof(messages), msg.OrderPrice, LocalizedStrings.Str926Params.Put(msg.OrderId == null ? msg.OrderStringId : msg.OrderId.To <string>()));
}
//var volume = msg.Volume;
//if (volume < 0)
// throw new ArgumentOutOfRangeException(nameof(messages), volume, LocalizedStrings.Str927Params.Put(msg.OrderId == null ? msg.OrderStringId : msg.OrderId.To<string>()));
if (msg.HasTradeInfo())
{
//if ((msg.TradeId == null && msg.TradeStringId.IsEmpty()) || msg.TradeId <= 0)
// throw new ArgumentOutOfRangeException(nameof(messages), msg.TradeId, LocalizedStrings.Str928Params.Put(msg.TransactionId));
if (msg.TradePrice == null || msg.TradePrice <= 0)
{
throw new ArgumentOutOfRangeException(nameof(messages), msg.TradePrice, LocalizedStrings.Str929Params.Put(msg.TradeId, msg.OrderId));
}
}
metaInfo.LastTransactionId = writer.SerializeId(msg.TransactionId, metaInfo.LastTransactionId);
metaInfo.LastOriginalTransactionId = writer.SerializeId(msg.OriginalTransactionId, metaInfo.LastOriginalTransactionId);
writer.Write(msg.HasOrderInfo);
writer.Write(msg.HasTradeInfo);
writer.Write(msg.OrderId != null);
if (msg.OrderId != null)
{
metaInfo.LastOrderId = writer.SerializeId(msg.OrderId.Value, metaInfo.LastOrderId);
}
else
{
writer.WriteStringEx(msg.OrderStringId);
}
writer.WriteStringEx(msg.OrderBoardId);
writer.Write(msg.TradeId != null);
if (msg.TradeId != null)
{
metaInfo.LastTradeId = writer.SerializeId(msg.TradeId.Value, metaInfo.LastTradeId);
}
else
{
writer.WriteStringEx(msg.TradeStringId);
}
if (msg.OrderPrice != 0)
{
writer.Write(true);
writer.WritePriceEx(msg.OrderPrice, metaInfo, SecurityId);
}
else
{
writer.Write(false);
}
if (msg.TradePrice != null)
{
writer.Write(true);
writer.WritePriceEx(msg.TradePrice.Value, metaInfo, SecurityId);
}
else
{
writer.Write(false);
}
writer.Write(msg.Side == Sides.Buy);
writer.Write(msg.OrderVolume != null);
if (msg.OrderVolume != null)
{
writer.WriteVolume(msg.OrderVolume.Value, metaInfo, SecurityId);
}
writer.Write(msg.TradeVolume != null);
if (msg.TradeVolume != null)
{
writer.WriteVolume(msg.TradeVolume.Value, metaInfo, SecurityId);
}
writer.Write(msg.VisibleVolume != null);
if (msg.VisibleVolume != null)
{
writer.WriteVolume(msg.VisibleVolume.Value, metaInfo, SecurityId);
}
writer.Write(msg.Balance != null);
if (msg.Balance != null)
{
writer.WriteVolume(msg.Balance.Value, metaInfo, SecurityId);
}
var lastOffset = metaInfo.LastServerOffset;
metaInfo.LastTime = writer.WriteTime(msg.ServerTime, metaInfo.LastTime, LocalizedStrings.Str930, allowNonOrdered, isUtc, metaInfo.ServerOffset, allowDiffOffsets, isTickPrecision, ref lastOffset);
metaInfo.LastServerOffset = lastOffset;
writer.WriteNullableInt((int?)msg.OrderType);
writer.WriteNullableInt((int?)msg.OrderState);
writer.WriteNullableLong(msg.OrderStatus);
writer.WriteNullableInt(msg.TradeStatus);
writer.WriteNullableInt((int?)msg.TimeInForce);
writer.Write(msg.IsSystem != null);
if (msg.IsSystem != null)
{
writer.Write(msg.IsSystem.Value);
}
writer.Write(msg.IsUpTick != null);
if (msg.IsUpTick != null)
{
writer.Write(msg.IsUpTick.Value);
}
writer.WriteDto(msg.ExpiryDate);
metaInfo.LastCommission = Write(writer, msg.Commission, metaInfo.LastCommission);
metaInfo.LastPnL = Write(writer, msg.PnL, metaInfo.LastPnL);
metaInfo.LastPosition = Write(writer, msg.Position, metaInfo.LastPosition);
metaInfo.LastSlippage = Write(writer, msg.Slippage, metaInfo.LastSlippage);
WriteString(writer, metaInfo.Portfolios, msg.PortfolioName);
WriteString(writer, metaInfo.ClientCodes, msg.ClientCode);
WriteString(writer, metaInfo.BrokerCodes, msg.BrokerCode);
WriteString(writer, metaInfo.DepoNames, msg.DepoName);
WriteString(writer, metaInfo.UserOrderIds, msg.UserOrderId);
WriteString(writer, metaInfo.Comments, msg.Comment);
WriteString(writer, metaInfo.SystemComments, msg.SystemComment);
WriteString(writer, metaInfo.Errors, msg.Error?.Message);
writer.WriteNullableInt((int?)msg.Currency);
writer.Write(msg.Latency != null);
if (msg.Latency != null)
{
writer.WriteLong(msg.Latency.Value.Ticks);
}
writer.Write(msg.OriginSide != null);
if (msg.OriginSide != null)
{
writer.Write(msg.OriginSide.Value == Sides.Buy);
}
if (metaInfo.Version < MarketDataVersions.Version59)
{
continue;
}
WriteItemLocalTime(writer, metaInfo, msg, isTickPrecision);
if (metaInfo.Version < MarketDataVersions.Version61)
{
continue;
}
writer.Write(msg.IsMarketMaker != null);
if (msg.IsMarketMaker != null)
{
writer.Write(msg.IsMarketMaker.Value);
}
if (metaInfo.Version < MarketDataVersions.Version62)
{
continue;
}
writer.Write(msg.IsMargin != null);
if (msg.IsMargin != null)
{
writer.Write(msg.IsMargin.Value);
}
if (metaInfo.Version < MarketDataVersions.Version63)
{
continue;
}
writer.WriteStringEx(msg.CommissionCurrency);
if (metaInfo.Version < MarketDataVersions.Version64)
{
continue;
}
writer.Write(msg.IsManual != null);
if (msg.IsManual != null)
{
writer.Write(msg.IsManual.Value);
}
if (metaInfo.Version < MarketDataVersions.Version65)
{
continue;
}
writer.Write(msg.PositionEffect != null);
if (msg.PositionEffect != null)
{
writer.WriteInt((int)msg.PositionEffect.Value);
}
writer.Write(msg.PostOnly != null);
if (msg.PostOnly != null)
{
writer.Write(msg.PostOnly.Value);
}
writer.Write(msg.Initiator != null);
if (msg.Initiator != null)
{
writer.Write(msg.Initiator.Value);
}
if (metaInfo.Version < MarketDataVersions.Version66)
{
continue;
}
writer.WriteLong(msg.SeqNum);
WriteString(writer, metaInfo.StrategyIds, msg.StrategyId);
if (!buildFrom)
{
continue;
}
writer.WriteBuildFrom(msg.BuildFrom);
if (!leverage)
{
continue;
}
writer.WriteNullableInt(msg.Leverage);
}
}
protected override void OnSave(BitArrayWriter writer, IEnumerable <PositionChangeMessage> messages, PositionMetaInfo metaInfo)
{
if (metaInfo.IsEmpty())
{
var msg = messages.First();
metaInfo.ServerOffset = msg.ServerTime.Offset;
}
writer.WriteInt(messages.Count());
var buildFrom = metaInfo.Version >= MarketDataVersions.Version35;
var side = metaInfo.Version >= MarketDataVersions.Version36;
foreach (var message in messages)
{
var lastOffset = metaInfo.LastServerOffset;
metaInfo.LastTime = writer.WriteTime(message.ServerTime, metaInfo.LastTime, "level1", true, true, metaInfo.ServerOffset, true, true, ref lastOffset);
metaInfo.LastServerOffset = lastOffset;
var hasLocalTime = message.HasLocalTime(message.ServerTime);
writer.Write(hasLocalTime);
if (hasLocalTime)
{
lastOffset = metaInfo.LastLocalOffset;
metaInfo.LastLocalTime = writer.WriteTime(message.LocalTime, metaInfo.LastLocalTime, LocalizedStrings.Str919, true, true, metaInfo.LocalOffset, true, true, ref lastOffset, true);
metaInfo.LastLocalOffset = lastOffset;
}
metaInfo.Portfolios.TryAdd(message.PortfolioName);
writer.WriteInt(metaInfo.Portfolios.IndexOf(message.PortfolioName));
if (message.ClientCode.IsEmpty())
{
writer.Write(false);
}
else
{
writer.Write(true);
metaInfo.ClientCodes.TryAdd(message.ClientCode);
writer.WriteInt(metaInfo.ClientCodes.IndexOf(message.ClientCode));
}
if (message.DepoName.IsEmpty())
{
writer.Write(false);
}
else
{
writer.Write(true);
metaInfo.DepoNames.TryAdd(message.DepoName);
writer.WriteInt(metaInfo.DepoNames.IndexOf(message.DepoName));
}
writer.Write(message.LimitType != null);
if (message.LimitType != null)
{
writer.WriteInt((int)message.LimitType.Value);
}
var count = message.Changes.Count;
if (count == 0)
{
throw new ArgumentException(LocalizedStrings.Str920, nameof(messages));
}
writer.WriteInt(count);
foreach (var change in message.Changes)
{
writer.WriteInt((int)change.Key);
switch (change.Key)
{
case PositionChangeTypes.BeginValue:
SerializeChange(writer, metaInfo.BeginValue, (decimal)change.Value);
break;
case PositionChangeTypes.CurrentValue:
SerializeChange(writer, metaInfo.CurrentValue, (decimal)change.Value);
break;
case PositionChangeTypes.BlockedValue:
SerializeChange(writer, metaInfo.BlockedValue, (decimal)change.Value);
break;
case PositionChangeTypes.CurrentPrice:
SerializeChange(writer, metaInfo.CurrentPrice, (decimal)change.Value);
break;
case PositionChangeTypes.AveragePrice:
SerializeChange(writer, metaInfo.AveragePrice, (decimal)change.Value);
break;
case PositionChangeTypes.UnrealizedPnL:
SerializeChange(writer, metaInfo.UnrealizedPnL, (decimal)change.Value);
break;
case PositionChangeTypes.RealizedPnL:
SerializeChange(writer, metaInfo.RealizedPnL, (decimal)change.Value);
break;
case PositionChangeTypes.VariationMargin:
SerializeChange(writer, metaInfo.VariationMargin, (decimal)change.Value);
break;
case PositionChangeTypes.Currency:
writer.WriteInt((int)(CurrencyTypes)change.Value);
break;
case PositionChangeTypes.Leverage:
SerializeChange(writer, metaInfo.Leverage, (decimal)change.Value);
break;
case PositionChangeTypes.Commission:
SerializeChange(writer, metaInfo.Commission, (decimal)change.Value);
break;
case PositionChangeTypes.CurrentValueInLots:
SerializeChange(writer, metaInfo.CurrentValueInLots, (decimal)change.Value);
break;
case PositionChangeTypes.State:
writer.WriteInt((int)(PortfolioStates)change.Value);
break;
case PositionChangeTypes.ExpirationDate:
writer.WriteDto((DateTimeOffset)change.Value);
break;
case PositionChangeTypes.CommissionMaker:
case PositionChangeTypes.CommissionTaker:
case PositionChangeTypes.BuyOrdersMargin:
case PositionChangeTypes.SellOrdersMargin:
case PositionChangeTypes.OrdersMargin:
writer.WriteDecimal((decimal)change.Value, 0);
break;
case PositionChangeTypes.SettlementPrice:
SerializeChange(writer, metaInfo.SettlementPrice, (decimal)change.Value);
break;
case PositionChangeTypes.BuyOrdersCount:
case PositionChangeTypes.SellOrdersCount:
case PositionChangeTypes.OrdersCount:
case PositionChangeTypes.TradesCount:
writer.WriteInt((int)change.Value);
break;
default:
throw new ArgumentOutOfRangeException();
}
}
if (metaInfo.Version < MarketDataVersions.Version34)
{
continue;
}
writer.WriteStringEx(message.Description);
writer.WriteStringEx(message.StrategyId);
if (!buildFrom)
{
continue;
}
writer.WriteBuildFrom(message.BuildFrom);
if (!side)
{
continue;
}
writer.WriteNullableSide(message.Side);
}
}