public SendMessageFlags Handle(RealTimeMarketData marketData)
{
SendMessageFlags result;
if (marketData.is_snapshot)
{
if (marketData.market_values != null)
{
var lastMarketValue = marketData.market_values.Last();
InstrumentParams.LastPrice = instrumentResolver.ConvertPriceBack(ContractId,
lastMarketValue.close_price != 0
? lastMarketValue.close_price
: lastMarketValue.yesterday_close);
InstrumentParams.Settlement = instrumentResolver.ConvertPriceBack(ContractId,
lastMarketValue.yesterday_close != 0
? lastMarketValue.yesterday_close
: lastMarketValue.yesterday_settlement);
InstrumentParams.PreviousSettlement = instrumentResolver.ConvertPriceBack(ContractId, lastMarketValue.yesterday_settlement);
UpdatePriceStep(InstrumentParams.LastPrice);
result = SendMessageFlags.InstrumentParams;
result |= HandleQuotes(marketData.quote);
EndWaitForData();
return(result);
}
return(SendMessageFlags.None);
}
if (marketData.quote == null)
{
// Нет данных по котировкам
return(SendMessageFlags.None);
}
result = HandleQuotes(marketData.quote);
if ((result & SendMessageFlags.OrderBook) == SendMessageFlags.OrderBook)
{
RebuildOrderBook();
}
if (result != SendMessageFlags.None)
{
EndWaitForData();
}
return(result);
}
internal IEnumerable <HistoryDataPoint> PrepareDataPoints(uint contractId, TimeBarReport report)
{
if (report.time_bar == null)
{
yield break;
}
foreach (var bar in report.time_bar)
{
var dataPoint = new HistoryDataPoint(
adapter.ResolveDateTime(bar.bar_utc_time),
instrumentResolver.ConvertPriceBack(contractId, bar.high_price),
instrumentResolver.ConvertPriceBack(contractId, bar.low_price),
instrumentResolver.ConvertPriceBack(contractId, bar.open_price),
instrumentResolver.ConvertPriceBack(contractId, bar.close_price),
(int)bar.volume,
(int)bar.open_interest);
yield return(dataPoint);
}
}
/// <summary>
/// Обработка заявки как новой
/// </summary>
private Message HandleOrderStateAsNewOrder(OrderStatus message, out Order order)
{
Logger.Debug().Print(
"New order received",
LogFields.ExchangeOrderId(message.order_id),
LogFields.ChainOrderId(message.chain_order_id),
LogFields.State(ConvertionHelper.GetOrderState(message)),
LogFields.AccountId(message.account_id),
LogFields.ExecOrderId(message.exec_order_id)
);
// Ищем счет для заявки
string accountCode;
using (accountsLock.ReadLock())
{
if (!accountCodesById.TryGetValue(message.account_id, out accountCode))
{
Logger.Error().Print(
"Unable to process order: account is unknown",
LogFields.ExchangeOrderId(message.order_id),
LogFields.AccountId(message.account_id)
);
order = null;
return(null);
}
}
// Ищем инструмент для заявки
var instrument = instrumentResolver.GetInstrument(message.order.contract_id);
if (instrument == null)
{
// Пришла заявка по неизвестному инструменту
Logger.Error().Print(
"Received an order but no matching instrument is found. Put to pending orders",
LogFields.ExchangeOrderId(message.order_id),
LogFields.ContractId(message.order.contract_id),
LogFields.Account(accountCode)
);
using (ordersLock.Lock())
{
pendingOrders.Enqueue(message);
pendingOrderAddedEvent.Set();
}
order = null;
return(null);
}
using (ordersLock.Lock())
{
if (ordersByOrderExchangeId.TryGetValue(message.chain_order_id, out order))
{
// Race condition, такая заявка уже есть, надобно обработать ее через OSCM
return(HandleOrderStateAsOrderStateChange(order, message));
}
Guid transactionId;
if (Guid.TryParse(message.order.cl_order_id, out transactionId))
{
if (ordersByTransactionId.TryGetValue(transactionId, out order))
{
// Такая заявка уже есть, надобно обработать ее через OSCM
order.OrderExchangeId = message.chain_order_id;
ordersByOrderExchangeId.Add(message.chain_order_id, order);
return(HandleOrderStateAsOrderStateChange(order, message));
}
}
else
{
transactionId = Guid.Empty;
}
// Создаем новую внешнюю заявку
order = new Order
{
OrderExchangeId = message.chain_order_id,
Instrument = instrument,
Type = ConvertionHelper.GetOrderType(message),
Account = accountCode,
Price = instrumentResolver.ConvertPriceBack(message.order.contract_id, message.order.limit_price),
Quantity = message.order.qty,
ActiveQuantity = message.remaining_qty,
Operation = message.order.side == (uint)WebAPI.Order.Side.BUY ? OrderOperation.Buy : OrderOperation.Sell,
State = ConvertionHelper.GetOrderState(message),
DateTime = adapter.ResolveDateTime(message.status_utc_time),
Comment = ConvertionHelper.GetComment(message),
TransactionId = transactionId
};
ordersByOrderExchangeId.Add(message.chain_order_id, order);
orderStatusByChainOrderId[message.chain_order_id] = message;
return(new ExternalOrderMessage {
Order = order
});
}
}
