public Tuple <News, bool> ProcessNewsMessage(Security security, NewsMessage message)
{
if (message == null)
{
throw new ArgumentNullException(nameof(message));
}
var isNew = false;
News news;
if (!message.Id.IsEmpty())
{
news = _newsById.SafeAdd(message.Id, key =>
{
isNew = true;
var n = EntityFactory.CreateNews();
n.Id = key;
return(n);
});
}
else
{
isNew = true;
news = EntityFactory.CreateNews();
_newsWithoutId.Add(news);
}
if (isNew)
{
news.ServerTime = message.ServerTime;
news.LocalTime = message.LocalTime;
}
if (!message.Source.IsEmpty())
{
news.Source = message.Source;
}
if (!message.Headline.IsEmpty())
{
news.Headline = message.Headline;
}
if (security != null)
{
news.Security = security;
}
if (!message.Story.IsEmpty())
{
news.Story = message.Story;
}
if (!message.BoardCode.IsEmpty())
{
news.Board = ExchangeBoard.GetOrCreateBoard(message.BoardCode);
}
if (message.Url != null)
{
news.Url = message.Url;
}
message.CopyExtensionInfo(news);
return(Tuple.Create(news, isNew));
}
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 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;
}
if (message.PnL != null)
{
t.PnL = message.PnL;
}
if (message.Position != null)
{
t.Position = message.Position;
}
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;
o.BrokerCode = message.BrokerCode;
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 <MyTrade, bool> ProcessMyTradeMessage(Order order, Security security, ExecutionMessage message, long transactionId)
{
if (security == null)
{
throw new ArgumentNullException(nameof(security));
}
if (message == null)
{
throw new ArgumentNullException(nameof(message));
}
var securityData = GetData(security);
if (transactionId == 0 && message.OrderId == null && message.OrderStringId.IsEmpty())
{
throw new ArgumentOutOfRangeException(nameof(message), transactionId, LocalizedStrings.Str715);
}
var myTrade = securityData.MyTrades.TryGetValue(Tuple.Create(transactionId, message.TradeId ?? 0));
if (myTrade != null)
{
return(Tuple.Create(myTrade, false));
}
if (order == null)
{
order = GetOrder(security, transactionId, 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;
}
if (message.PnL != null)
{
t.PnL = message.PnL;
}
if (message.Position != null)
{
t.Position = message.Position;
}
message.CopyExtensionInfo(t);
_myTrades.Add(t);
return(t);
});
return(Tuple.Create(myTrade, isNew));
}
public IEnumerable <Tuple <OrderFail, bool> > ProcessOrderFailMessage(Order order, 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 orderType = message.OrderType;
if (order == null)
{
var cancelledOrder = data.Orders.TryGetValue(CreateOrderKey(orderType, message.OriginalTransactionId, true))?.Order;
if (cancelledOrder == null && orderType == null)
{
cancelledOrder = data.Orders.TryGetValue(CreateOrderKey(OrderTypes.Conditional, message.OriginalTransactionId, true))?.Order;
if (cancelledOrder != null)
{
orderType = OrderTypes.Conditional;
}
}
if (cancelledOrder != null /*&& order.Id == message.OrderId*/)
{
orders.Add(Tuple.Create(cancelledOrder, true));
}
var registeredOrder = data.Orders.TryGetValue(CreateOrderKey(orderType, message.OriginalTransactionId, false))?.Order;
if (registeredOrder == null && orderType == null)
{
registeredOrder = data.Orders.TryGetValue(CreateOrderKey(OrderTypes.Conditional, message.OriginalTransactionId, false))?.Order;
}
if (registeredOrder != null)
{
orders.Add(Tuple.Create(registeredOrder, false));
}
if (cancelledOrder == null && registeredOrder == null)
{
if (!message.OrderStringId.IsEmpty())
{
order = data.OrdersByStringId.TryGetValue(message.OrderStringId);
if (order != null)
{
var pair = data.Orders.LastOrDefault(p => p.Value.Order == order);
if (pair.Key != null)
{
orders.Add(Tuple.Create(pair.Value.Order, pair.Key.Item3));
}
}
}
}
}
else
{
if (data.Orders.ContainsKey(CreateOrderKey(order.Type, message.OriginalTransactionId, true)))
{
orders.Add(Tuple.Create(order, true));
}
var registeredOrder = data.Orders.TryGetValue(CreateOrderKey(order.Type, message.OriginalTransactionId, false))?.Order;
if (registeredOrder != null)
{
orders.Add(Tuple.Create(registeredOrder, false));
}
}
if (orders.Count == 0)
{
return(Enumerable.Empty <Tuple <OrderFail, bool> >());
}
return(orders.Select(t =>
{
var o = t.Item1;
var isCancelTransaction = t.Item2;
o.LastChangeTime = message.ServerTime;
o.LocalTime = message.LocalTime;
if (message.OrderStatus != null)
{
o.Status = message.OrderStatus;
}
//для ошибок снятия не надо менять состояние заявки
if (!isCancelTransaction)
{
o.State = o.State.CheckModification(OrderStates.Failed);
}
if (message.Commission != null)
{
o.Commission = message.Commission;
}
message.CopyExtensionInfo(o);
var error = message.Error ?? new InvalidOperationException(isCancelTransaction ? LocalizedStrings.Str716 : LocalizedStrings.Str717);
var fail = EntityFactory.CreateOrderFail(o, error);
fail.ServerTime = message.ServerTime;
fail.LocalTime = message.LocalTime;
return Tuple.Create(fail, isCancelTransaction);
}));
}
public IEnumerable <Tuple <Order, bool, bool> > ProcessOrderMessage(Order order, Security security, ExecutionMessage message, long transactionId, out Tuple <Portfolio, bool, bool> pfInfo)
{
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));
}
var securityData = GetData(security);
if (transactionId == 0 && message.OrderId == null && message.OrderStringId.IsEmpty())
{
throw new ArgumentException(LocalizedStrings.Str719);
}
pfInfo = null;
var orders = securityData.Orders;
if (transactionId == 0)
{
var info = orders.CachedValues.FirstOrDefault(i =>
{
if (order != null)
{
return(i.Order == order);
}
if (message.OrderId != null)
{
return(i.Order.Id == message.OrderId);
}
else
{
return(i.Order.StringId.CompareIgnoreCase(message.OrderStringId));
}
});
if (info == null)
{
return(null);
//throw new InvalidOperationException(LocalizedStrings.Str1156Params.Put(orderId.To<string>() ?? orderStringId));
}
var orderInfo = info.ApplyChanges(message, false);
UpdateOrderIds(info.Order, securityData);
return(new[] { orderInfo });
}
else
{
var cancelKey = CreateOrderKey(message.OrderType, transactionId, true);
var registerKey = CreateOrderKey(message.OrderType, transactionId, false);
var cancelledInfo = orders.TryGetValue(cancelKey);
var registetedInfo = orders.TryGetValue(registerKey);
// проверяем не отмененная ли заявка пришла
if (cancelledInfo != null) // && (cancelledOrder.Id == orderId || (!cancelledOrder.StringId.IsEmpty() && cancelledOrder.StringId.CompareIgnoreCase(orderStringId))))
{
var cancellationOrder = cancelledInfo.Order;
if (registetedInfo == null)
{
var i = cancelledInfo.ApplyChanges(message, true);
UpdateOrderIds(cancellationOrder, securityData);
return(new[] { i });
}
var retVal = new List <Tuple <Order, bool, bool> >();
var orderState = message.OrderState;
if (orderState != null && cancellationOrder.State != OrderStates.Done && orderState != OrderStates.None && orderState != OrderStates.Pending)
{
cancellationOrder.State = cancellationOrder.State.CheckModification(OrderStates.Done);
if (message.Latency != null)
{
cancellationOrder.LatencyCancellation = message.Latency.Value;
}
retVal.Add(Tuple.Create(cancellationOrder, false, true));
}
var isCancelOrder = (message.OrderId != null && message.OrderId == cancellationOrder.Id) ||
(message.OrderStringId != null && message.OrderStringId == cancellationOrder.StringId) ||
(message.OrderBoardId != null && message.OrderBoardId == cancellationOrder.BoardId);
var regOrder = registetedInfo.Order;
if (!isCancelOrder)
{
var replacedInfo = registetedInfo.ApplyChanges(message, false);
UpdateOrderIds(regOrder, securityData);
retVal.Add(replacedInfo);
}
return(retVal);
}
if (registetedInfo == null)
{
var o = EntityFactory.CreateOrder(security, message.OrderType, registerKey.Item1);
if (o == null)
{
throw new InvalidOperationException(LocalizedStrings.Str720Params.Put(registerKey.Item1));
}
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.ClientCode = message.ClientCode;
o.BrokerCode = message.BrokerCode;
if (message.PortfolioName.IsEmpty())
{
o.Portfolio = _portfolios.FirstOrDefault().Value;
}
else
{
pfInfo = ProcessPortfolio(message.PortfolioName);
o.Portfolio = ProcessPortfolio(message.PortfolioName).Item1;
}
if (o.ExtensionInfo == null)
{
o.ExtensionInfo = new Dictionary <object, object>();
}
AddOrder(o);
_allOrdersByTransactionId.Add(Tuple.Create(transactionId, false), o);
registetedInfo = new OrderInfo(o);
orders.Add(registerKey, registetedInfo);
}
var orderInfo = registetedInfo.ApplyChanges(message, false);
if (orderInfo != null)
{
UpdateOrderIds(registetedInfo.Order, securityData);
return(new[] { orderInfo });
}
else
{
return(Enumerable.Empty <Tuple <Order, bool, bool> >());
}
}
}
private void ProcessQuotesMessage(Security security, QuoteChangeMessage message)
{
if (MarketDepthChanged != null || MarketDepthsChanged != null)
{
var marketDepth = GetMarketDepth(security, message.IsFiltered);
message.ToMarketDepth(marketDepth, GetSecurity);
if (!message.IsFiltered)
RaiseMarketDepthChanged(marketDepth);
}
else
{
lock (_marketDepths.SyncRoot)
{
var info = _marketDepths.SafeAdd(Tuple.Create(security, message.IsFiltered), key => new MarketDepthInfo(EntityFactory.CreateMarketDepth(security)));
info.First.LocalTime = message.LocalTime;
info.First.LastChangeTime = message.ServerTime;
info.Second = message.Bids;
info.Third = message.Asks;
}
}
if (message.IsFiltered)
return;
var bestBid = message.GetBestBid();
var bestAsk = message.GetBestAsk();
var fromLevel1 = message.IsByLevel1;
if (!fromLevel1 && (bestBid != null || bestAsk != null))
{
var values = GetSecurityValues(security);
var changes = new List<KeyValuePair<Level1Fields, object>>(4);
lock (values.SyncRoot)
{
if (bestBid != null)
{
values[(int)Level1Fields.BestBidPrice] = bestBid.Price;
changes.Add(new KeyValuePair<Level1Fields, object>(Level1Fields.BestBidPrice, bestBid.Price));
if (bestBid.Volume != 0)
{
values[(int)Level1Fields.BestBidVolume] = bestBid.Volume;
changes.Add(new KeyValuePair<Level1Fields, object>(Level1Fields.BestBidVolume, bestBid.Volume));
}
}
if (bestAsk != null)
{
values[(int)Level1Fields.BestAskPrice] = bestAsk.Price;
changes.Add(new KeyValuePair<Level1Fields, object>(Level1Fields.BestAskPrice, bestAsk.Price));
if (bestAsk.Volume != 0)
{
values[(int)Level1Fields.BestAskVolume] = bestAsk.Volume;
changes.Add(new KeyValuePair<Level1Fields, object>(Level1Fields.BestAskVolume, bestAsk.Volume));
}
}
}
RaiseValuesChanged(security, changes, message.ServerTime, message.LocalTime);
}
if (UpdateSecurityLastQuotes)
{
var updated = false;
if (!fromLevel1 || bestBid != null)
{
updated = true;
security.BestBid = bestBid == null ? null : new Quote(security, bestBid.Price, bestBid.Volume, Sides.Buy);
}
if (!fromLevel1 || bestAsk != null)
{
updated = true;
security.BestAsk = bestAsk == null ? null : new Quote(security, bestAsk.Price, bestAsk.Volume, Sides.Sell);
}
if (updated)
{
security.LocalTime = message.LocalTime;
security.LastChangeTime = message.ServerTime;
RaiseSecurityChanged(security);
// стаканы по ALL обновляют BestXXX по конкретным инструментам
if (security.Board.Code == AssociatedBoardCode)
{
var changedSecurities = new Dictionary<Security, RefPair<bool, bool>>();
foreach (var bid in message.Bids)
{
if (bid.BoardCode.IsEmpty())
continue;
var innerSecurity = GetSecurity(new SecurityId
{
SecurityCode = security.Code,
BoardCode = bid.BoardCode
});
var info = changedSecurities.SafeAdd(innerSecurity);
if (info.First)
continue;
info.First = true;
innerSecurity.BestBid = new Quote(innerSecurity, bid.Price, bid.Volume, Sides.Buy);
innerSecurity.LocalTime = message.LocalTime;
innerSecurity.LastChangeTime = message.ServerTime;
}
foreach (var ask in message.Asks)
{
if (ask.BoardCode.IsEmpty())
continue;
var innerSecurity = GetSecurity(new SecurityId
{
SecurityCode = security.Code,
BoardCode = ask.BoardCode
});
var info = changedSecurities.SafeAdd(innerSecurity);
if (info.Second)
continue;
info.Second = true;
innerSecurity.BestAsk = new Quote(innerSecurity, ask.Price, ask.Volume, Sides.Sell);
innerSecurity.LocalTime = message.LocalTime;
innerSecurity.LastChangeTime = message.ServerTime;
}
RaiseSecuritiesChanged(changedSecurities.Keys.ToArray());
}
}
}
}