protected override void OnSave(BitArrayWriter writer, IEnumerable <NewsMessage> messages, NewsMetaInfo metaInfo)
{
var isMetaEmpty = metaInfo.IsEmpty();
writer.WriteInt(messages.Count());
var allowDiffOffsets = metaInfo.Version >= MarketDataVersions.Version46;
var isTickPrecision = metaInfo.Version >= MarketDataVersions.Version47;
foreach (var news in messages)
{
if (isMetaEmpty)
{
metaInfo.ServerOffset = news.ServerTime.Offset;
isMetaEmpty = false;
}
writer.WriteStringEx(news.Id);
writer.WriteString(news.Headline);
writer.WriteStringEx(news.Story);
writer.WriteStringEx(news.Source);
writer.WriteStringEx(news.BoardCode);
writer.WriteStringEx(news.SecurityId?.SecurityCode);
writer.WriteStringEx(news.Url.To <string>());
var lastOffset = metaInfo.LastServerOffset;
metaInfo.LastTime = writer.WriteTime(news.ServerTime, metaInfo.LastTime, LocalizedStrings.News, true, true, metaInfo.ServerOffset, allowDiffOffsets, isTickPrecision, ref lastOffset);
metaInfo.LastServerOffset = lastOffset;
}
}
public static void WritePriceEx <T>(this BitArrayWriter writer, decimal price, BinaryMetaInfo <T> info, SecurityId securityId)
where T : BinaryMetaInfo <T>
{
if (info.Version < MarketDataVersions.Version41)
{
writer.WritePrice(price, info.LastPrice, info, securityId);
info.LastPrice = price;
}
else
{
var isAligned = (price % info.PriceStep) == 0;
writer.Write(isAligned);
if (isAligned)
{
if (info.FirstPrice == 0)
{
info.FirstPrice = info.LastPrice = price;
}
writer.WritePrice(price, info.LastPrice, info, securityId);
info.LastPrice = price;
}
else
{
if (info.FirstNonSystemPrice == 0)
{
info.FirstNonSystemPrice = info.LastNonSystemPrice = price;
}
info.LastNonSystemPrice = writer.WriteDecimal(price, info.LastNonSystemPrice);
}
}
}
public static decimal WriteDecimal(this BitArrayWriter writer, decimal value, decimal prevValue)
{
var diff = value - prevValue;
if (value != prevValue + diff)
{
throw new ArgumentOutOfRangeException(nameof(value), LocalizedStrings.Str1006Params.Put(value, prevValue));
}
writer.Write(diff >= 0);
if (diff < 0)
{
diff = -diff;
}
var decBits = decimal.GetBits(diff);
writer.WriteInt(decBits[0]);
writer.WriteInt(decBits[1]);
writer.WriteInt(decBits[2]);
writer.WriteInt((decBits[3] >> 16) & 0xff);
return(value);
}
protected void WriteItemLocalTime(BitArrayWriter writer, TMetaInfo metaInfo, Message message)
{
var lastLocalOffset = metaInfo.LastItemLocalOffset;
metaInfo.LastItemLocalTime = writer.WriteTime(message.LocalTime, metaInfo.LastItemLocalTime, "local time", true, true, metaInfo.LocalOffset, true, ref lastLocalOffset);
metaInfo.LastItemLocalOffset = lastLocalOffset;
}
public static void WritePriceEx(this BitArrayWriter writer, decimal price, BinaryMetaInfo info, SecurityId securityId, bool useLong = false)
{
if (info.Version < MarketDataVersions.Version41)
{
var prevPrice = info.LastPrice;
writer.WritePrice(price, ref prevPrice, info, securityId);
info.LastPrice = price;
}
else
{
var isAligned = (price % info.LastPriceStep) == 0;
writer.Write(isAligned);
if (isAligned)
{
if (info.FirstPrice == 0)
{
info.FirstPrice = info.LastPrice = price;
}
var prevPrice = info.LastPrice;
writer.WritePrice(price, ref prevPrice, info, securityId, useLong);
info.LastPrice = price;
}
else
{
if (info.FirstFractionalPrice == 0)
{
info.FirstFractionalPrice = info.LastFractionalPrice = price;
}
info.LastFractionalPrice = writer.WriteDecimal(price, info.LastFractionalPrice);
}
}
}
public static void WriteString(this BitArrayWriter writer, string value)
{
var bits = Encoding.UTF8.GetBytes(value).To <BitArray>().To <bool[]>();
writer.WriteInt(bits.Length);
bits.ForEach(writer.Write);
}
public static void WritePrice <T>(this BitArrayWriter writer, decimal price, decimal prevPrice, MetaInfo <T> info, SecurityId securityId, bool useLong = false)
where T : MetaInfo <T>
{
if ((price % info.PriceStep) != 0)
{
throw new ArgumentException(LocalizedStrings.Str1007Params.Put(info.PriceStep, securityId, price), "info");
}
try
{
var stepCount = (long)((price - prevPrice) / info.PriceStep);
// ОЛ может содержать заявки с произвольно большими ценами
if (useLong)
{
writer.WriteLong(stepCount);
}
else
{
writer.WriteInt((int)stepCount);
}
}
catch (OverflowException ex)
{
throw new ArgumentException(LocalizedStrings.Str1008Params.Put(price, prevPrice, info.PriceStep, useLong), ex);
}
}
public static void WritePrice(this BitArrayWriter writer, decimal price, decimal prevPrice, MetaInfo info, SecurityId securityId, bool useLong = false)
{
var priceStep = info.PriceStep;
if (priceStep == 0)
{
throw new InvalidOperationException(LocalizedStrings.Str2925);
}
if ((price % priceStep) != 0)
{
throw new ArgumentException(LocalizedStrings.Str1007Params.Put(priceStep, securityId, price), nameof(info));
}
try
{
var stepCount = (long)((price - prevPrice) / priceStep);
// ОЛ может содержать заявки с произвольно большими ценами
if (useLong)
{
writer.WriteLong(stepCount);
}
else
{
writer.WriteInt((int)stepCount);
}
}
catch (OverflowException ex)
{
throw new ArgumentException(LocalizedStrings.Str1008Params.Put(price, prevPrice, priceStep, useLong), ex);
}
}
public byte[] Serialize(IEnumerable <TData> data, IMarketDataMetaInfo metaInfo)
{
var writer = new BitArrayWriter(DataSize * data.Count() * 2);
OnSave(writer, data, (TMetaInfo)metaInfo);
return(writer.GetBytes());
}
public void Serialize(Stream stream, IEnumerable <TData> data, IMarketDataMetaInfo metaInfo)
{
//var temp = new MemoryStream { Capacity = DataSize * data.Count() * 2 };
using (var writer = new BitArrayWriter(stream))
OnSave(writer, data, (TMetaInfo)metaInfo);
//return stream.To<byte[]>();
}
public byte[] Serialize(IEnumerable <TData> data, IMarketDataMetaInfo metaInfo)
{
var stream = new MemoryStream {
Capacity = DataSize * data.Count() * 2
};
using (var writer = new BitArrayWriter(stream))
OnSave(writer, data, (TMetaInfo)metaInfo);
return(stream.To <byte[]>());
}
public static void WriteNullableDecimal(this BitArrayWriter writer, decimal?value)
{
writer.Write(value != null);
if (value is null)
{
return;
}
writer.WriteDecimal(value.Value);
}
public static void WriteNullableSide(this BitArrayWriter writer, Sides?value)
{
writer.Write(value != null);
if (value is null)
{
return;
}
writer.Write(value.Value == Sides.Buy);
}
public static void WriteStringEx(this BitArrayWriter writer, string value)
{
if (value.IsEmpty())
{
writer.Write(false);
}
else
{
writer.Write(true);
writer.WriteString(value);
}
}
private static void SerializeChange(BitArrayWriter writer, RefPair <decimal, decimal> info, decimal price)
{
//if (price == 0)
// throw new ArgumentOutOfRangeException(nameof(price));
if (info.First == 0)
{
info.First = info.Second = price;
}
info.Second = writer.WriteDecimal(price, info.Second);
}
public static void WriteNullableLong(this BitArrayWriter writer, long?value)
{
if (value == null)
{
writer.Write(false);
}
else
{
writer.Write(true);
writer.WriteLong(value.Value);
}
}
public static void WriteSide(this BitArrayWriter writer, Sides?direction)
{
if (direction == null)
{
writer.Write(false);
}
else
{
writer.Write(true);
writer.Write(direction == Sides.Buy);
}
}
public static void WriteNullableInt(this BitArrayWriter writer, int?value)
{
if (value == null)
{
writer.Write(false);
}
else
{
writer.Write(true);
writer.WriteInt(value.Value);
}
}
public static decimal WriteDecimal(this BitArrayWriter writer, decimal value, decimal prevValue)
{
var diff = value - prevValue;
if (value != prevValue + diff)
{
throw new ArgumentOutOfRangeException(nameof(value), LocalizedStrings.Str1006Params.Put(value, prevValue));
}
writer.WriteDecimal(diff);
return(value);
}
public static void WriteNullableInt <T>(this BitArrayWriter writer, T?value)
where T : struct
{
if (value == null)
{
writer.Write(false);
}
else
{
writer.Write(true);
writer.WriteInt(value.To <int>());
}
}
public static void WriteBuildFrom(this BitArrayWriter writer, DataType buildFrom)
{
writer.Write(buildFrom != null);
if (buildFrom == null)
{
return;
}
if (buildFrom == DataType.Level1)
{
writer.WriteInt(0);
}
else if (buildFrom == DataType.MarketDepth)
{
writer.WriteInt(1);
}
else if (buildFrom == DataType.OrderLog)
{
writer.WriteInt(2);
}
else if (buildFrom == DataType.Ticks)
{
writer.WriteInt(3);
}
else if (buildFrom == DataType.Transactions)
{
writer.WriteInt(4);
}
else
{
writer.WriteInt(5);
var(messageType, arg1, arg2, arg3) = buildFrom.Extract();
writer.WriteInt(messageType);
writer.WriteLong(arg1);
if (arg2 == 0)
{
writer.Write(false);
}
else
{
writer.Write(true);
writer.WriteDecimal(arg2, 0);
}
writer.WriteInt(arg3);
}
}
public static void WriteDto(this BitArrayWriter writer, DateTimeOffset?dto)
{
if (dto != null)
{
writer.Write(true);
writer.WriteLong(dto.Value.Ticks);
writer.WriteInt(dto.Value.Offset.Hours);
writer.WriteInt(dto.Value.Offset.Minutes);
}
else
{
writer.Write(false);
}
}
private static void WriteString(BitArrayWriter writer, IList <string> items, string value)
{
if (value.IsEmpty())
{
writer.Write(false);
}
else
{
writer.Write(true);
items.TryAdd(value);
writer.WriteInt(items.IndexOf(value));
}
}
private static void WriteCommission(BitArrayWriter writer, TransactionSerializerMetaInfo metaInfo, decimal?value)
{
if (value == null)
{
writer.Write(false);
}
else
{
writer.Write(true);
writer.WriteDecimal((decimal)value, metaInfo.LastCommission);
metaInfo.LastCommission = (decimal)value;
}
}
private static decimal Write(BitArrayWriter writer, decimal?value, decimal last)
{
if (value == null)
{
writer.Write(false);
return(last);
}
else
{
writer.Write(true);
writer.WriteDecimal((decimal)value, last);
return(value.Value);
}
}
private void SerializeQuotes(BitArrayWriter writer, QuoteChange[] quotes, QuoteMetaInfo metaInfo /*, bool isFull*/, bool useLong, bool nonAdjustPrice)
{
if (writer == null)
{
throw new ArgumentNullException(nameof(writer));
}
if (quotes == null)
{
throw new ArgumentNullException(nameof(quotes));
}
if (metaInfo == null)
{
throw new ArgumentNullException(nameof(metaInfo));
}
writer.WriteInt(quotes.Count());
foreach (var quote in quotes)
{
// quotes for indices may have zero prices
//if (quote.Price <= 0)
// throw new ArgumentOutOfRangeException(nameof(quotes), quote.Price, LocalizedStrings.Str935);
// some forex connectors do not translate volume
//
if (quote.Volume < 0 /* || (isFull && quote.Volume == 0)*/)
{
throw new ArgumentOutOfRangeException(nameof(quotes), quote.Volume, LocalizedStrings.Str936);
}
var pricePrice = metaInfo.LastPrice;
writer.WritePrice(quote.Price, ref pricePrice, metaInfo, SecurityId, useLong, nonAdjustPrice);
metaInfo.LastPrice = pricePrice;
writer.WriteVolume(quote.Volume, metaInfo, SecurityId);
if (metaInfo.Version < MarketDataVersions.Version56)
{
continue;
}
writer.WriteNullableInt(quote.OrdersCount);
}
}
private static bool TryWriteLargeDecimal(this BitArrayWriter writer, bool largeDecimal, decimal value)
{
if (largeDecimal)
{
if (value.Abs() > _largeDecLimit)
{
writer.Write(true);
writer.WriteDecimal(value);
return(true);
}
else
{
writer.Write(false);
}
}
return(false);
}
public static void WriteVolume(this BitArrayWriter writer, decimal volume, BinaryMetaInfo info, bool largeDecimal)
{
if (info.Version < MarketDataVersions.Version44)
{
var intVolume = volume.Truncate();
if (intVolume == volume) // объем целочисленный
{
writer.Write(true);
writer.WriteLong((long)intVolume);
}
else
{
writer.Write(false);
throw new NotSupportedException(LocalizedStrings.Str1010Params.Put(volume));
}
}
else
{
if (writer.TryWriteLargeDecimal(largeDecimal, volume))
{
return;
}
var isAligned = (volume % info.VolumeStep) == 0;
writer.Write(isAligned);
if (isAligned)
{
writer.WriteLong((long)(volume / info.VolumeStep));
}
else
{
if (info.FirstFractionalVolume == 0)
{
info.FirstFractionalVolume = info.LastFractionalVolume = volume;
}
info.LastFractionalVolume = writer.WriteDecimal(volume, info.LastFractionalVolume);
}
}
}
private void SerializeQuotes(BitArrayWriter writer, IEnumerable <QuoteChange> quotes, QuoteMetaInfo metaInfo /*, bool isFull*/)
{
if (writer == null)
{
throw new ArgumentNullException(nameof(writer));
}
if (quotes == null)
{
throw new ArgumentNullException(nameof(quotes));
}
if (metaInfo == null)
{
throw new ArgumentNullException(nameof(metaInfo));
}
var prevPrice = metaInfo.LastPrice;
writer.WriteInt(quotes.Count());
foreach (var quote in quotes)
{
// quotes for spreads may be a zero cost or less than zero
//if (quote.Price <= 0)
// throw new ArgumentOutOfRangeException(nameof(quotes), quote.Price, LocalizedStrings.Str935);
// some forex connectors do not translate volume
//
if (quote.Volume < 0 /* || (isFull && quote.Volume == 0)*/)
{
throw new ArgumentOutOfRangeException(nameof(quotes), quote.Volume, LocalizedStrings.Str936);
}
writer.WritePrice(quote.Price, prevPrice, metaInfo, SecurityId);
writer.WriteVolume(quote.Volume, metaInfo, SecurityId);
prevPrice = quote.Price;
}
}
private void SerializeQuotes(BitArrayWriter writer, IEnumerable <QuoteChange> quotes, QuoteMetaInfo metaInfo /*, bool isFull*/)
{
if (writer == null)
{
throw new ArgumentNullException("writer");
}
if (quotes == null)
{
throw new ArgumentNullException("quotes");
}
if (metaInfo == null)
{
throw new ArgumentNullException("metaInfo");
}
var prevPrice = metaInfo.LastPrice;
writer.WriteInt(quotes.Count());
foreach (var quote in quotes)
{
// quotes for spreads may be a zero cost or less than zero
//if (quote.Price <= 0)
// throw new ArgumentOutOfRangeException("quotes", quote.Price, LocalizedStrings.Str935);
// котировки от Форекс истории не хранят объем
//
if (quote.Volume < 0 /* || (isFull && quote.Volume == 0)*/)
{
throw new ArgumentOutOfRangeException("quotes", quote.Volume, LocalizedStrings.Str936);
}
writer.WritePrice(quote.Price, prevPrice, metaInfo, SecurityId);
writer.WriteVolume(quote.Volume, metaInfo, SecurityId);
prevPrice = quote.Price;
}
}
