/// <inheritdoc /> protected override ExecutionMessage Read(FastCsvReader reader, IMarketDataMetaInfo metaInfo) { var ol = new ExecutionMessage { SecurityId = SecurityId, ExecutionType = ExecutionTypes.OrderLog, ServerTime = reader.ReadTime(metaInfo.Date), TransactionId = reader.ReadLong(), OrderId = reader.ReadLong(), OrderPrice = reader.ReadDecimal(), OrderVolume = reader.ReadDecimal(), Side = reader.ReadEnum <Sides>(), OrderState = reader.ReadEnum <OrderStates>(), TimeInForce = reader.ReadNullableEnum <TimeInForce>(), TradeId = reader.ReadNullableLong(), TradePrice = reader.ReadNullableDecimal(), PortfolioName = reader.ReadString(), IsSystem = reader.ReadNullableBool(), }; if ((reader.ColumnCurr + 1) < reader.ColumnCount) { ol.Balance = reader.ReadNullableDecimal(); } return(ol); }
/// <summary> /// Load data from the specified reader. /// </summary> /// <param name="reader">CSV reader.</param> /// <param name="date">Date.</param> /// <returns>Data.</returns> protected override ExecutionMessage Read(FastCsvReader reader, DateTime date) { return(new ExecutionMessage { SecurityId = SecurityId, ExecutionType = ExecutionTypes.OrderLog, ServerTime = reader.ReadTime(date), TransactionId = reader.ReadLong(), OrderId = reader.ReadLong(), OrderPrice = reader.ReadDecimal(), OrderVolume = reader.ReadDecimal(), Side = reader.ReadEnum <Sides>(), OrderState = reader.ReadEnum <OrderStates>(), TimeInForce = reader.ReadNullableEnum <TimeInForce>(), TradeId = reader.ReadNullableLong(), TradePrice = reader.ReadNullableDecimal(), PortfolioName = reader.ReadString(), IsSystem = reader.ReadNullableBool(), }); }
/// <inheritdoc /> protected override ExecutionMessage Read(FastCsvReader reader, IMarketDataMetaInfo metaInfo) { var ol = new ExecutionMessage { SecurityId = SecurityId, DataTypeEx = DataType.OrderLog, ServerTime = reader.ReadTime(metaInfo.Date), TransactionId = reader.ReadLong(), OrderId = reader.ReadNullableLong(), OrderPrice = reader.ReadDecimal(), OrderVolume = reader.ReadDecimal(), Side = reader.ReadEnum <Sides>(), OrderState = reader.ReadEnum <OrderStates>(), TimeInForce = reader.ReadNullableEnum <TimeInForce>(), TradeId = reader.ReadNullableLong(), TradePrice = reader.ReadNullableDecimal(), PortfolioName = reader.ReadString(), IsSystem = reader.ReadNullableBool(), }; if ((reader.ColumnCurr + 1) < reader.ColumnCount) { ol.Balance = reader.ReadNullableDecimal(); } if ((reader.ColumnCurr + 1) < reader.ColumnCount) { ol.SeqNum = reader.ReadNullableLong() ?? 0L; } if ((reader.ColumnCurr + 1) < reader.ColumnCount) { ol.OrderStringId = reader.ReadString(); ol.TradeStringId = reader.ReadString(); ol.OrderBuyId = reader.ReadNullableLong(); ol.OrderSellId = reader.ReadNullableLong(); ol.IsUpTick = reader.ReadNullableBool(); ol.Yield = reader.ReadNullableDecimal(); ol.TradeStatus = reader.ReadNullableInt(); ol.OpenInterest = reader.ReadNullableDecimal(); ol.OriginSide = reader.ReadNullableEnum <Sides>(); } return(ol); }
public static DataType ReadBuildFrom(this FastCsvReader reader) { if (reader is null) { throw new ArgumentNullException(nameof(reader)); } var str = reader.ReadString(); if (str.IsEmpty()) { reader.Skip(3); return(null); } return(str.To <int>().ToDataType(reader.ReadLong(), reader.ReadDecimal(), reader.ReadInt())); }
/// <inheritdoc /> protected override ExecutionMessage Read(FastCsvReader reader, IMarketDataMetaInfo metaInfo) { var msg = new ExecutionMessage { SecurityId = SecurityId, ExecutionType = ExecutionTypes.Transaction, ServerTime = reader.ReadTime(metaInfo.Date), TransactionId = reader.ReadLong(), OriginalTransactionId = reader.ReadLong(), OrderId = reader.ReadNullableLong(), OrderStringId = reader.ReadString(), OrderBoardId = reader.ReadString(), UserOrderId = reader.ReadString(), OrderPrice = reader.ReadDecimal(), OrderVolume = reader.ReadNullableDecimal(), Balance = reader.ReadNullableDecimal(), VisibleVolume = reader.ReadNullableDecimal(), Side = reader.ReadEnum <Sides>(), OriginSide = reader.ReadNullableEnum <Sides>(), OrderState = reader.ReadNullableEnum <OrderStates>(), OrderType = reader.ReadNullableEnum <OrderTypes>(), TimeInForce = reader.ReadNullableEnum <TimeInForce>(), TradeId = reader.ReadNullableLong(), TradeStringId = reader.ReadString(), TradePrice = reader.ReadNullableDecimal(), TradeVolume = reader.ReadNullableDecimal(), PortfolioName = reader.ReadString(), ClientCode = reader.ReadString(), BrokerCode = reader.ReadString(), DepoName = reader.ReadString(), IsSystem = reader.ReadNullableBool(), HasOrderInfo = reader.ReadBool(), HasTradeInfo = reader.ReadBool(), Commission = reader.ReadNullableDecimal(), Currency = reader.ReadNullableEnum <CurrencyTypes>(), Comment = reader.ReadString(), SystemComment = reader.ReadString(), //DerivedOrderId = reader.ReadNullableLong(), //DerivedOrderStringId = reader.ReadString(), }; reader.ReadNullableLong(); reader.ReadString(); msg.IsUpTick = reader.ReadNullableBool(); msg.IsCancellation = reader.ReadBool(); msg.OpenInterest = reader.ReadNullableDecimal(); msg.PnL = reader.ReadNullableDecimal(); msg.Position = reader.ReadNullableDecimal(); msg.Slippage = reader.ReadNullableDecimal(); msg.TradeStatus = reader.ReadNullableInt(); msg.OrderStatus = reader.ReadNullableLong(); msg.Latency = reader.ReadNullableLong().To <TimeSpan?>(); var error = reader.ReadString(); if (!error.IsEmpty()) { msg.Error = new InvalidOperationException(error); } var dtStr = reader.ReadString(); if (dtStr != null) { msg.ExpiryDate = (dtStr.ToDateTime() + reader.ReadString().ToTimeMls()).ToDateTimeOffset(TimeSpan.Parse(reader.ReadString().Remove("+"))); } else { reader.Skip(2); } msg.LocalTime = reader.ReadTime(metaInfo.Date); msg.IsMarketMaker = reader.ReadNullableBool(); if ((reader.ColumnCurr + 1) < reader.ColumnCount) { msg.CommissionCurrency = reader.ReadString(); } if ((reader.ColumnCurr + 1) < reader.ColumnCount) { msg.IsMargin = reader.ReadNullableBool(); msg.IsManual = reader.ReadNullableBool(); } return(msg); }
/// <summary> /// Load data from the specified reader. /// </summary> /// <param name="reader">CSV reader.</param> /// <param name="date">Date.</param> /// <returns>Data.</returns> protected override ExecutionMessage Read(FastCsvReader reader, DateTime date) { var msg = new ExecutionMessage { SecurityId = SecurityId, ExecutionType = ExecutionTypes.Transaction, ServerTime = reader.ReadTime(date), TransactionId = reader.ReadLong(), OriginalTransactionId = reader.ReadLong(), OrderId = reader.ReadNullableLong(), OrderStringId = reader.ReadString(), OrderBoardId = reader.ReadString(), UserOrderId = reader.ReadString(), OrderPrice = reader.ReadDecimal(), OrderVolume = reader.ReadNullableDecimal(), Balance = reader.ReadNullableDecimal(), VisibleVolume = reader.ReadNullableDecimal(), Side = reader.ReadEnum <Sides>(), OriginSide = reader.ReadNullableEnum <Sides>(), OrderState = reader.ReadNullableEnum <OrderStates>(), OrderType = reader.ReadNullableEnum <OrderTypes>(), TimeInForce = reader.ReadNullableEnum <TimeInForce>(), TradeId = reader.ReadNullableLong(), TradeStringId = reader.ReadString(), TradePrice = reader.ReadNullableDecimal(), TradeVolume = reader.ReadNullableDecimal(), PortfolioName = reader.ReadString(), ClientCode = reader.ReadString(), BrokerCode = reader.ReadString(), DepoName = reader.ReadString(), IsSystem = reader.ReadNullableBool(), HasOrderInfo = reader.ReadBool(), HasTradeInfo = reader.ReadBool(), Commission = reader.ReadNullableDecimal(), Currency = reader.ReadNullableEnum <CurrencyTypes>(), Comment = reader.ReadString(), SystemComment = reader.ReadString(), DerivedOrderId = reader.ReadNullableLong(), DerivedOrderStringId = reader.ReadString(), IsUpTick = reader.ReadNullableBool(), IsCancelled = reader.ReadBool(), OpenInterest = reader.ReadNullableDecimal(), PnL = reader.ReadNullableDecimal(), Position = reader.ReadNullableDecimal(), Slippage = reader.ReadNullableDecimal(), TradeStatus = reader.ReadNullableInt(), OrderStatus = reader.ReadNullableEnum <OrderStatus>(), Latency = reader.ReadNullableLong().To <TimeSpan?>(), }; var error = reader.ReadString(); if (!error.IsEmpty()) { msg.Error = new InvalidOperationException(error); } var dt = reader.ReadNullableDateTime(DateFormat); if (dt != null) { msg.ExpiryDate = (dt.Value + reader.ReadDateTime(TimeFormat).TimeOfDay).ToDateTimeOffset(TimeSpan.Parse(reader.ReadString().Replace("+", string.Empty))); } return(msg); }