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 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);
}
}
}
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 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);
}
}
protected override void OnSave(BitArrayWriter writer, IEnumerable <QuoteChangeMessage> messages, QuoteMetaInfo metaInfo)
{
if (metaInfo.IsEmpty())
{
var firstDepth = messages.FirstOrDefault(d => !d.Bids.IsEmpty() || !d.Asks.IsEmpty());
if (firstDepth == null)
{
throw new ArgumentException(LocalizedStrings.Str931, "messages");
}
metaInfo.LastPrice = metaInfo.FirstPrice = GetDepthPrice(firstDepth);
//pyh: будет баг если первый стакан пустой и с другим временем.
//metaInfo.FirstTime = firstDepth.LastChangeTime;
metaInfo.ServerOffset = firstDepth.ServerTime.Offset;
}
writer.WriteInt(messages.Count());
QuoteChangeMessage prevQuoteMsg = null;
var allowNonOrdered = metaInfo.Version >= MarketDataVersions.Version47;
var isUtc = metaInfo.Version >= MarketDataVersions.Version50;
foreach (var quoteMsg in messages)
{
//if (depth.IsFullEmpty())
// throw new ArgumentException("Переданный стакан является пустым.", "depths");
var bid = quoteMsg.GetBestBid();
var ask = quoteMsg.GetBestAsk();
// у LMAX бид и оффер могут быть равны
if (bid != null && ask != null && bid.Price > ask.Price)
{
throw new ArgumentException(LocalizedStrings.Str932Params.Put(bid.Price, ask.Price, quoteMsg.ServerTime), "messages");
}
metaInfo.LastTime = writer.WriteTime(quoteMsg.ServerTime, metaInfo.LastTime, LocalizedStrings.MarketDepth, allowNonOrdered, isUtc, metaInfo.ServerOffset);
var isFull = prevQuoteMsg == null;
writer.Write(isFull); // пишем, полный ли стакан или это дельта
var delta = isFull ? quoteMsg : prevQuoteMsg.GetDelta(quoteMsg);
prevQuoteMsg = quoteMsg;
SerializeQuotes(writer, delta.Bids, metaInfo /*, isFull*/);
SerializeQuotes(writer, delta.Asks, metaInfo /*, isFull*/);
metaInfo.LastPrice = GetDepthPrice(quoteMsg);
if (metaInfo.Version < MarketDataVersions.Version40)
{
continue;
}
if (metaInfo.Version < MarketDataVersions.Version46)
{
writer.WriteLong(SecurityId.GetLatency(quoteMsg.ServerTime, quoteMsg.LocalTime).Ticks);
}
else
{
var hasLocalTime = true;
if (metaInfo.Version >= MarketDataVersions.Version49)
{
hasLocalTime = !quoteMsg.LocalTime.IsDefault() && quoteMsg.LocalTime != quoteMsg.ServerTime;
writer.Write(hasLocalTime);
}
if (hasLocalTime)
{
metaInfo.LastLocalTime = writer.WriteTime(quoteMsg.LocalTime, metaInfo.LastLocalTime, LocalizedStrings.Str934, allowNonOrdered, isUtc, metaInfo.LocalOffset);
}
}
}
}
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);
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;
if (metaInfo.Version < MarketDataVersions.Version48)
{
continue;
}
writer.Write(news.Priority != null);
if (news.Priority != null)
{
writer.WriteInt((int)news.Priority.Value);
}
if (metaInfo.Version < MarketDataVersions.Version49)
{
continue;
}
writer.WriteStringEx(news.Language);
if (metaInfo.Version < MarketDataVersions.Version50)
{
continue;
}
writer.Write(news.ExpiryDate != null);
if (news.ExpiryDate != null)
{
writer.WriteLong(news.ExpiryDate.Value.To <long>());
}
writer.WriteStringEx(news.SecurityId?.BoardCode);
}
}
protected override void OnSave(BitArrayWriter writer, IEnumerable <ExecutionMessage> messages, TickMetaInfo metaInfo)
{
if (metaInfo.IsEmpty())
{
var first = messages.First();
metaInfo.FirstId = metaInfo.PrevId = first.TradeId ?? 0;
metaInfo.ServerOffset = first.ServerTime.Offset;
}
writer.WriteInt(messages.Count());
var allowNonOrdered = metaInfo.Version >= MarketDataVersions.Version48;
var isUtc = metaInfo.Version >= MarketDataVersions.Version50;
var allowDiffOffsets = metaInfo.Version >= MarketDataVersions.Version54;
var isTickPrecision = metaInfo.Version >= MarketDataVersions.Version55;
var useLong = metaInfo.Version >= MarketDataVersions.Version56;
foreach (var msg in messages)
{
if (msg.ExecutionType != ExecutionTypes.Tick)
{
throw new ArgumentOutOfRangeException(nameof(messages), msg.ExecutionType, LocalizedStrings.Str1695Params.Put(msg));
}
var tradeId = msg.TradeId ?? 0;
// сделки для индексов имеют нулевой номер
if (tradeId < 0)
{
throw new ArgumentOutOfRangeException(nameof(messages), tradeId, LocalizedStrings.Str1020);
}
// execution ticks (like option execution) may be a zero cost
// ticks for spreads may be a zero cost or less than zero
//if (msg.TradePrice < 0)
// throw new ArgumentOutOfRangeException(nameof(messages), msg.TradePrice, LocalizedStrings.Str1021Params.Put(msg.TradeId));
metaInfo.PrevId = writer.SerializeId(tradeId, metaInfo.PrevId);
// pyhta4og.
// http://stocksharp.com/forum/yaf_postsm6450_Oshibka-pri-importie-instrumientov-s-Finama.aspx#post6450
var volume = msg.TradeVolume;
if (metaInfo.Version < MarketDataVersions.Version53)
{
if (volume == null)
{
throw new ArgumentException(LocalizedStrings.Str1022Params.Put((object)msg.TradeId ?? msg.TradeStringId), nameof(messages));
}
if (volume < 0)
{
throw new ArgumentOutOfRangeException(nameof(messages), volume, LocalizedStrings.Str1022Params.Put(msg.TradeId));
}
writer.WriteVolume(volume.Value, metaInfo, SecurityId);
}
else
{
writer.Write(volume != null);
if (volume != null)
{
if (volume < 0)
{
throw new ArgumentOutOfRangeException(nameof(messages), volume, LocalizedStrings.Str1022Params.Put(msg.TradeId));
}
writer.WriteVolume(volume.Value, metaInfo, SecurityId);
}
}
writer.WritePriceEx(msg.GetTradePrice(), metaInfo, SecurityId, useLong);
writer.WriteSide(msg.OriginSide);
var lastOffset = metaInfo.LastServerOffset;
metaInfo.LastTime = writer.WriteTime(msg.ServerTime, metaInfo.LastTime, LocalizedStrings.Str985, allowNonOrdered, isUtc, metaInfo.ServerOffset, allowDiffOffsets, isTickPrecision, ref lastOffset);
metaInfo.LastServerOffset = lastOffset;
if (metaInfo.Version < MarketDataVersions.Version40)
{
continue;
}
if (metaInfo.Version < MarketDataVersions.Version47)
{
writer.WriteLong((msg.LocalTime - msg.ServerTime).Ticks);
}
else
{
var hasLocalTime = true;
if (metaInfo.Version >= MarketDataVersions.Version49)
{
hasLocalTime = msg.HasLocalTime(msg.ServerTime);
writer.Write(hasLocalTime);
}
if (hasLocalTime)
{
lastOffset = metaInfo.LastLocalOffset;
metaInfo.LastLocalTime = writer.WriteTime(msg.LocalTime, metaInfo.LastLocalTime, LocalizedStrings.Str1024, allowNonOrdered, isUtc, metaInfo.LocalOffset, allowDiffOffsets, isTickPrecision, ref lastOffset, true);
metaInfo.LastLocalOffset = lastOffset;
}
}
if (metaInfo.Version < MarketDataVersions.Version42)
{
continue;
}
if (metaInfo.Version >= MarketDataVersions.Version51)
{
writer.Write(msg.IsSystem != null);
if (msg.IsSystem != null)
{
writer.Write(msg.IsSystem.Value);
}
}
else
{
writer.Write(msg.IsSystem ?? true);
}
if (msg.IsSystem == false)
{
if (metaInfo.Version >= MarketDataVersions.Version51)
{
writer.WriteNullableInt(msg.TradeStatus);
}
else
{
writer.WriteInt(msg.TradeStatus ?? 0);
}
}
var oi = msg.OpenInterest;
if (metaInfo.Version < MarketDataVersions.Version46)
{
writer.WriteVolume(oi ?? 0m, metaInfo, SecurityId);
}
else
{
writer.Write(oi != null);
if (oi != null)
{
writer.WriteVolume(oi.Value, metaInfo, SecurityId);
}
}
if (metaInfo.Version < MarketDataVersions.Version45)
{
continue;
}
writer.Write(msg.IsUpTick != null);
if (msg.IsUpTick != null)
{
writer.Write(msg.IsUpTick.Value);
}
if (metaInfo.Version < MarketDataVersions.Version52)
{
continue;
}
writer.Write(msg.Currency != null);
if (msg.Currency != null)
{
writer.WriteInt((int)msg.Currency.Value);
}
}
}
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.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;
foreach (var msg in messages)
{
var isTrade = msg.ExecutionType == ExecutionTypes.Trade;
if (msg.ExecutionType != ExecutionTypes.Order && msg.ExecutionType != ExecutionTypes.Trade)
{
throw new ArgumentOutOfRangeException(nameof(messages), msg.ExecutionType, LocalizedStrings.Str1695Params.Put(msg.OrderId ?? msg.TradeId));
}
// 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 (isTrade)
{
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));
}
}
writer.WriteInt((int)msg.ExecutionType);
metaInfo.LastTransactionId = writer.SerializeId(msg.TransactionId, metaInfo.LastTransactionId);
metaInfo.LastOriginalTransactionId = writer.SerializeId(msg.OriginalTransactionId, metaInfo.LastOriginalTransactionId);
if (!isTrade)
{
if (metaInfo.Version < MarketDataVersions.Version50)
{
metaInfo.LastOrderId = writer.SerializeId(msg.OrderId ?? 0, metaInfo.LastOrderId);
}
else
{
writer.Write(msg.OrderId != null);
if (msg.OrderId != null)
{
metaInfo.LastOrderId = writer.SerializeId(msg.OrderId.Value, metaInfo.LastOrderId);
}
else
{
writer.Write(!msg.OrderStringId.IsEmpty());
if (!msg.OrderStringId.IsEmpty())
{
writer.WriteString(msg.OrderStringId);
}
}
writer.Write(!msg.OrderBoardId.IsEmpty());
if (!msg.OrderBoardId.IsEmpty())
{
writer.WriteString(msg.OrderBoardId);
}
}
}
else
{
if (metaInfo.Version < MarketDataVersions.Version50)
{
metaInfo.LastTradeId = writer.SerializeId(msg.TradeId ?? 0, metaInfo.LastTradeId);
}
else
{
writer.Write(msg.TradeId != null);
if (msg.TradeId != null)
{
metaInfo.LastTradeId = writer.SerializeId(msg.TradeId.Value, metaInfo.LastTradeId);
}
else
{
writer.Write(!msg.TradeStringId.IsEmpty());
if (!msg.TradeStringId.IsEmpty())
{
writer.WriteString(msg.TradeStringId);
}
}
}
}
writer.Write(msg.Side == Sides.Buy);
writer.WritePriceEx(!isTrade ? msg.OrderPrice : msg.GetTradePrice(), metaInfo, SecurityId);
if (metaInfo.Version < MarketDataVersions.Version57)
{
writer.WriteVolume(volume ?? 0, metaInfo, SecurityId);
}
else
{
writer.Write(volume != null);
if (volume != null)
{
writer.WriteVolume(volume.Value, metaInfo, SecurityId);
}
}
if (metaInfo.Version < MarketDataVersions.Version54)
{
writer.WriteVolume(msg.VisibleVolume ?? 0, metaInfo, SecurityId);
writer.WriteVolume(msg.Balance ?? 0, metaInfo, SecurityId);
}
else
{
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, ref lastOffset);
metaInfo.LastServerOffset = lastOffset;
writer.WriteInt((int)msg.OrderType);
writer.WriteNullableInt(msg.OrderState);
writer.WriteNullableInt(msg.OrderStatus);
if (metaInfo.Version < MarketDataVersions.Version52)
{
writer.WriteInt(msg.TradeStatus ?? 0);
}
else
{
writer.WriteNullableInt(msg.TradeStatus);
}
if (metaInfo.Version < MarketDataVersions.Version53)
{
writer.WriteInt((int)(msg.TimeInForce ?? TimeInForce.PutInQueue));
}
else
{
writer.Write(msg.TimeInForce != null);
if (msg.TimeInForce != null)
{
writer.WriteInt((int)msg.TimeInForce.Value);
}
}
if (metaInfo.Version < MarketDataVersions.Version52)
{
writer.Write(msg.IsSystem ?? true);
}
else
{
writer.Write(msg.IsSystem != null);
if (msg.IsSystem != null)
{
writer.Write(msg.IsSystem.Value);
}
}
writer.WriteLong(msg.ExpiryDate != null ? msg.ExpiryDate.Value.Ticks : 0L);
WriteCommission(writer, metaInfo, msg.Commission);
WriteString(writer, metaInfo.Portfolios, msg.PortfolioName);
WriteString(writer, metaInfo.StrategyIds, msg.UserOrderId);
WriteString(writer, metaInfo.Comments, msg.Comment);
WriteString(writer, metaInfo.Errors, msg.Error != null ? msg.Error.Message : null);
if (metaInfo.Version < MarketDataVersions.Version55)
{
continue;
}
writer.Write(msg.Currency != null);
if (msg.Currency != null)
{
writer.WriteInt((int)msg.Currency.Value);
}
}
}
protected override void OnSave(BitArrayWriter writer, IEnumerable <ExecutionMessage> items, OrderLogMetaInfo metaInfo)
{
if (metaInfo.IsEmpty() && !items.IsEmpty())
{
var item = items.First();
metaInfo.FirstOrderId = metaInfo.LastOrderId = item.OrderId;
metaInfo.FirstTransactionId = metaInfo.LastTransactionId = item.TransactionId;
metaInfo.ServerOffset = item.ServerTime.Offset;
}
writer.WriteInt(items.Count());
var allowNonOrdered = metaInfo.Version >= MarketDataVersions.Version47;
var isUtc = metaInfo.Version >= MarketDataVersions.Version48;
foreach (var item in items)
{
var hasTrade = item.TradeId != 0 || item.TradePrice != 0;
if (item.OrderId <= 0)
{
throw new ArgumentOutOfRangeException("items", item.OrderId, LocalizedStrings.Str925);
}
// sell market orders has zero price (if security do not have min allowed price)
// execution ticks (like option execution) may be a zero cost
// ticks for spreads may be a zero cost or less than zero
//if (item.Price < 0)
// throw new ArgumentOutOfRangeException("items", item.Price, LocalizedStrings.Str926Params.Put(item.OrderId));
if (item.Volume <= 0)
{
throw new ArgumentOutOfRangeException("items", item.Volume, LocalizedStrings.Str927Params.Put(item.OrderId));
}
if (hasTrade)
{
if (item.TradeId <= 0)
{
throw new ArgumentOutOfRangeException("items", item.TradeId, LocalizedStrings.Str1012Params.Put(item.OrderId));
}
// execution ticks (like option execution) may be a zero cost
// ticks for spreads may be a zero cost or less than zero
//if (item.TradePrice <= 0)
// throw new ArgumentOutOfRangeException("items", item.TradePrice, LocalizedStrings.Str929Params.Put(item.TradeId, item.OrderId));
}
metaInfo.LastOrderId = writer.SerializeId(item.OrderId, metaInfo.LastOrderId);
var orderPrice = item.Price;
if (metaInfo.Version < MarketDataVersions.Version45)
{
writer.WritePriceEx(orderPrice, metaInfo, SecurityId);
}
else
{
var isAligned = (orderPrice % metaInfo.PriceStep) == 0;
writer.Write(isAligned);
if (isAligned)
{
if (metaInfo.FirstOrderPrice == 0)
{
metaInfo.FirstOrderPrice = metaInfo.LastOrderPrice = orderPrice;
}
writer.WritePrice(orderPrice, metaInfo.LastOrderPrice, metaInfo, SecurityId, true);
metaInfo.LastOrderPrice = orderPrice;
}
else
{
if (metaInfo.FirstNonSystemPrice == 0)
{
metaInfo.FirstNonSystemPrice = metaInfo.LastNonSystemPrice = orderPrice;
}
metaInfo.LastNonSystemPrice = writer.WriteDecimal(orderPrice, metaInfo.LastNonSystemPrice);
}
}
writer.WriteVolume(item.Volume, metaInfo, SecurityId);
writer.Write(item.Side == Sides.Buy);
metaInfo.LastTime = writer.WriteTime(item.ServerTime, metaInfo.LastTime, LocalizedStrings.Str1013, allowNonOrdered, isUtc, metaInfo.ServerOffset);
if (hasTrade)
{
writer.Write(true);
if (metaInfo.FirstTradeId == 0)
{
metaInfo.FirstTradeId = metaInfo.LastTradeId = item.TradeId;
}
metaInfo.LastTradeId = writer.SerializeId(item.TradeId, metaInfo.LastTradeId);
writer.WritePriceEx(item.TradePrice, metaInfo, SecurityId);
}
else
{
writer.Write(false);
writer.Write(item.OrderState == OrderStates.Active);
}
if (metaInfo.Version < MarketDataVersions.Version31)
{
continue;
}
var status = item.OrderStatus;
if (status == null)
{
writer.Write(false);
}
else
{
writer.Write(true);
writer.WriteInt((int)status);
}
if (metaInfo.Version < MarketDataVersions.Version33)
{
continue;
}
writer.WriteInt((int)item.TimeInForce);
writer.Write(item.IsSystem);
if (metaInfo.Version < MarketDataVersions.Version34)
{
continue;
}
metaInfo.LastTransactionId = writer.SerializeId(item.TransactionId, metaInfo.LastTransactionId);
if (metaInfo.Version < MarketDataVersions.Version40)
{
continue;
}
if (metaInfo.Version < MarketDataVersions.Version46)
{
writer.WriteLong(0 /*item.Latency.Ticks*/);
}
var portfolio = item.PortfolioName;
var isEmptyPf = portfolio == null || portfolio == Portfolio.AnonymousPortfolio.Name;
writer.Write(!isEmptyPf);
if (isEmptyPf)
{
continue;
}
metaInfo.Portfolios.TryAdd(item.PortfolioName);
writer.WriteInt(metaInfo.Portfolios.IndexOf(item.PortfolioName));
}
}
protected override void OnSave(BitArrayWriter writer, IEnumerable <QuoteChangeMessage> messages, QuoteMetaInfo metaInfo)
{
if (metaInfo.IsEmpty())
{
var firstDepth = messages.FirstOrDefault(d => !d.Bids.IsEmpty() || !d.Asks.IsEmpty());
//var price = firstDepth != null ? GetDepthPrice(firstDepth) : 0;
//if (price != 0)
//{
// if ((price % metaInfo.PriceStep) == 0)
// metaInfo.LastPrice = metaInfo.FirstPrice = price;
// else
// metaInfo.LastFractionalPrice = metaInfo.FirstFractionalPrice = price;
//}
metaInfo.ServerOffset = (firstDepth ?? messages.First()).ServerTime.Offset;
}
writer.WriteInt(messages.Count());
QuoteChangeMessage prevQuoteMsg = null;
var allowNonOrdered = metaInfo.Version >= MarketDataVersions.Version47;
var isUtc = metaInfo.Version >= MarketDataVersions.Version50;
var allowDiffOffsets = metaInfo.Version >= MarketDataVersions.Version52;
var isTickPrecision = metaInfo.Version >= MarketDataVersions.Version53;
var nonAdjustPrice = metaInfo.Version >= MarketDataVersions.Version54;
var useLong = metaInfo.Version >= MarketDataVersions.Version55;
foreach (var m in messages)
{
var quoteMsg = m;
//if (m.IsFullEmpty())
// throw new ArgumentException(LocalizedStrings.Str1309, nameof(messages));
if (!quoteMsg.IsSorted)
{
quoteMsg = (QuoteChangeMessage)quoteMsg.Clone();
quoteMsg.Bids = quoteMsg.Bids.OrderByDescending(q => q.Price).ToArray();
quoteMsg.Asks = quoteMsg.Asks.OrderBy(q => q.Price).ToArray();
}
//var bid = quoteMsg.GetBestBid();
//var ask = quoteMsg.GetBestAsk();
// LMAX has equals best bid and ask
//if (bid != null && ask != null && bid.Price > ask.Price)
// throw new ArgumentException(LocalizedStrings.Str932Params.Put(bid.Price, ask.Price, quoteMsg.ServerTime), nameof(messages));
var lastOffset = metaInfo.LastServerOffset;
metaInfo.LastTime = writer.WriteTime(quoteMsg.ServerTime, metaInfo.LastTime, LocalizedStrings.MarketDepth, allowNonOrdered, isUtc, metaInfo.ServerOffset, allowDiffOffsets, isTickPrecision, ref lastOffset);
metaInfo.LastServerOffset = lastOffset;
var isFull = prevQuoteMsg == null;
writer.Write(isFull);
var delta = isFull ? quoteMsg : prevQuoteMsg.GetDelta(quoteMsg);
prevQuoteMsg = quoteMsg;
SerializeQuotes(writer, delta.Bids, metaInfo /*, isFull*/, useLong, nonAdjustPrice);
SerializeQuotes(writer, delta.Asks, metaInfo /*, isFull*/, useLong, nonAdjustPrice);
//metaInfo.LastPrice = GetDepthPrice(quoteMsg);
if (metaInfo.Version < MarketDataVersions.Version40)
{
continue;
}
if (metaInfo.Version < MarketDataVersions.Version46)
{
writer.WriteLong((quoteMsg.LocalTime - quoteMsg.ServerTime).Ticks);
}
else
{
var hasLocalTime = true;
if (metaInfo.Version >= MarketDataVersions.Version49)
{
hasLocalTime = quoteMsg.HasLocalTime(quoteMsg.ServerTime);
writer.Write(hasLocalTime);
}
if (hasLocalTime)
{
lastOffset = metaInfo.LastLocalOffset;
metaInfo.LastLocalTime = writer.WriteTime(quoteMsg.LocalTime, metaInfo.LastLocalTime, LocalizedStrings.Str934, allowNonOrdered, isUtc, metaInfo.LocalOffset, allowDiffOffsets, isTickPrecision, ref lastOffset, true);
metaInfo.LastLocalOffset = lastOffset;
}
}
if (metaInfo.Version < MarketDataVersions.Version51)
{
continue;
}
writer.Write(quoteMsg.Currency != null);
if (quoteMsg.Currency != null)
{
writer.WriteInt((int)quoteMsg.Currency.Value);
}
}
}
protected override void OnSave(BitArrayWriter writer, IEnumerable <ExecutionMessage> messages, TradeMetaInfo metaInfo)
{
if (metaInfo.IsEmpty())
{
var first = messages.First();
metaInfo.FirstId = metaInfo.PrevId = first.TradeId;
metaInfo.ServerOffset = first.ServerTime.Offset;
}
writer.WriteInt(messages.Count());
var allowNonOrdered = metaInfo.Version >= MarketDataVersions.Version48;
var isUtc = metaInfo.Version >= MarketDataVersions.Version50;
foreach (var msg in messages)
{
if (msg.ExecutionType != ExecutionTypes.Tick)
{
throw new ArgumentOutOfRangeException("messages", msg.ExecutionType, LocalizedStrings.Str1019Params.Put(msg.TradeId));
}
// сделки для индексов имеют нулевой номер
if (msg.TradeId < 0)
{
throw new ArgumentOutOfRangeException("messages", msg.TradeId, LocalizedStrings.Str1020);
}
// execution ticks (like option execution) may be a zero cost
// ticks for spreads may be a zero cost or less than zero
//if (msg.TradePrice < 0)
// throw new ArgumentOutOfRangeException("messages", msg.TradePrice, LocalizedStrings.Str1021Params.Put(msg.TradeId));
// pyhta4og.
// http://stocksharp.com/forum/yaf_postsm6450_Oshibka-pri-importie-instrumientov-s-Finama.aspx#post6450
if (msg.Volume < 0)
{
throw new ArgumentOutOfRangeException("messages", msg.Volume, LocalizedStrings.Str1022Params.Put(msg.TradeId));
}
metaInfo.PrevId = writer.SerializeId(msg.TradeId, metaInfo.PrevId);
writer.WriteVolume(msg.Volume, metaInfo, SecurityId);
writer.WritePriceEx(msg.TradePrice, metaInfo, SecurityId);
writer.WriteSide(msg.OriginSide);
metaInfo.LastTime = writer.WriteTime(msg.ServerTime, metaInfo.LastTime, LocalizedStrings.Str1023, allowNonOrdered, isUtc, metaInfo.ServerOffset);
if (metaInfo.Version < MarketDataVersions.Version40)
{
continue;
}
if (metaInfo.Version < MarketDataVersions.Version47)
{
writer.WriteLong(SecurityId.GetLatency(msg.ServerTime, msg.LocalTime).Ticks);
}
else
{
var hasLocalTime = true;
if (metaInfo.Version >= MarketDataVersions.Version49)
{
hasLocalTime = !msg.LocalTime.IsDefault() && msg.LocalTime != msg.ServerTime;
writer.Write(hasLocalTime);
}
if (hasLocalTime)
{
metaInfo.LastLocalTime = writer.WriteTime(msg.LocalTime, metaInfo.LastLocalTime, LocalizedStrings.Str1024, allowNonOrdered, isUtc, metaInfo.LocalOffset);
}
}
if (metaInfo.Version < MarketDataVersions.Version42)
{
continue;
}
writer.Write(msg.IsSystem);
if (!msg.IsSystem)
{
writer.WriteInt(msg.TradeStatus);
}
var oi = msg.OpenInterest;
if (metaInfo.Version < MarketDataVersions.Version46)
{
writer.WriteVolume(oi ?? 0m, metaInfo, SecurityId);
}
else
{
writer.Write(oi != null);
if (oi != null)
{
writer.WriteVolume(oi.Value, metaInfo, SecurityId);
}
}
if (metaInfo.Version < MarketDataVersions.Version45)
{
continue;
}
writer.Write(msg.IsUpTick != null);
if (msg.IsUpTick != null)
{
writer.Write(msg.IsUpTick.Value);
}
}
}
protected override void OnSave(BitArrayWriter writer, IEnumerable <QuoteChangeMessage> messages, QuoteMetaInfo metaInfo)
{
if (metaInfo.IsEmpty())
{
var firstDepth = messages.First(); //FirstOrDefault(d => !d.Bids.IsEmpty() || !d.Asks.IsEmpty());
//var price = firstDepth != null ? GetDepthPrice(firstDepth) : 0;
//if (price != 0)
//{
// if ((price % metaInfo.PriceStep) == 0)
// metaInfo.LastPrice = metaInfo.FirstPrice = price;
// else
// metaInfo.LastFractionalPrice = metaInfo.FirstFractionalPrice = price;
//}
metaInfo.ServerOffset = firstDepth.ServerTime.Offset;
metaInfo.IncrementalOnly = firstDepth.State != null;
metaInfo.FirstSeqNum = metaInfo.PrevSeqNum = firstDepth.SeqNum;
}
writer.WriteInt(messages.Count());
QuoteChangeMessage prevQuoteMsg = null;
var allowNonOrdered = metaInfo.Version >= MarketDataVersions.Version47;
var isUtc = metaInfo.Version >= MarketDataVersions.Version50;
var allowDiffOffsets = metaInfo.Version >= MarketDataVersions.Version52;
var isTickPrecision = metaInfo.Version >= MarketDataVersions.Version53;
var nonAdjustPrice = metaInfo.Version >= MarketDataVersions.Version54;
var useLong = metaInfo.Version >= MarketDataVersions.Version55;
var buildFrom = metaInfo.Version >= MarketDataVersions.Version59;
var seqNumAndPos = metaInfo.Version >= MarketDataVersions.Version60;
foreach (var m in messages)
{
var quoteMsg = m;
if (metaInfo.IncrementalOnly)
{
if (quoteMsg.State == null)
{
throw new InvalidOperationException(LocalizedStrings.StorageRequiredIncremental.Put(true));
}
}
else
{
if (quoteMsg.State != null)
{
throw new InvalidOperationException(LocalizedStrings.StorageRequiredIncremental.Put(false));
}
}
//if (m.IsFullEmpty())
// throw new ArgumentException(LocalizedStrings.Str1309, nameof(messages));
//var bid = quoteMsg.GetBestBid();
//var ask = quoteMsg.GetBestAsk();
// LMAX has equals best bid and ask
//if (bid != null && ask != null && bid.Price > ask.Price)
// throw new ArgumentException(LocalizedStrings.Str932Params.Put(bid.Price, ask.Price, quoteMsg.ServerTime), nameof(messages));
var lastOffset = metaInfo.LastServerOffset;
metaInfo.LastTime = writer.WriteTime(quoteMsg.ServerTime, metaInfo.LastTime, LocalizedStrings.MarketDepth, allowNonOrdered, isUtc, metaInfo.ServerOffset, allowDiffOffsets, isTickPrecision, ref lastOffset);
metaInfo.LastServerOffset = lastOffset;
QuoteChangeMessage delta;
if (metaInfo.IncrementalOnly)
{
writer.WriteInt((int)quoteMsg.State.Value);
delta = quoteMsg;
}
else
{
var isFull = prevQuoteMsg == null;
writer.Write(isFull);
delta = isFull ? quoteMsg : prevQuoteMsg.GetDelta(quoteMsg);
prevQuoteMsg = quoteMsg;
}
SerializeQuotes(writer, delta.Bids, metaInfo /*, isFull*/, useLong, nonAdjustPrice);
SerializeQuotes(writer, delta.Asks, metaInfo /*, isFull*/, useLong, nonAdjustPrice);
//metaInfo.LastPrice = GetDepthPrice(quoteMsg);
if (metaInfo.Version < MarketDataVersions.Version40)
{
continue;
}
if (metaInfo.Version < MarketDataVersions.Version46)
{
writer.WriteLong((quoteMsg.LocalTime - quoteMsg.ServerTime).Ticks);
}
else
{
var hasLocalTime = true;
if (metaInfo.Version >= MarketDataVersions.Version49)
{
hasLocalTime = quoteMsg.HasLocalTime(quoteMsg.ServerTime);
writer.Write(hasLocalTime);
}
if (hasLocalTime)
{
lastOffset = metaInfo.LastLocalOffset;
metaInfo.LastLocalTime = writer.WriteTime(quoteMsg.LocalTime, metaInfo.LastLocalTime, LocalizedStrings.Str934, allowNonOrdered, isUtc, metaInfo.LocalOffset, allowDiffOffsets, isTickPrecision, ref lastOffset, true);
metaInfo.LastLocalOffset = lastOffset;
}
}
if (metaInfo.Version < MarketDataVersions.Version51)
{
continue;
}
writer.Write(quoteMsg.Currency != null);
if (quoteMsg.Currency != null)
{
writer.WriteInt((int)quoteMsg.Currency.Value);
}
if (!buildFrom)
{
continue;
}
writer.WriteBuildFrom(quoteMsg.BuildFrom);
if (!seqNumAndPos)
{
continue;
}
writer.WriteSeqNum(quoteMsg, metaInfo);
writer.Write(quoteMsg.HasPositions);
}
}
protected override void OnSave(BitArrayWriter writer, IEnumerable <ExecutionMessage> messages, OrderLogMetaInfo metaInfo)
{
if (metaInfo.IsEmpty() && !messages.IsEmpty())
{
var item = messages.First();
metaInfo.FirstOrderId = metaInfo.LastOrderId = item.SafeGetOrderId();
metaInfo.FirstTransactionId = metaInfo.LastTransactionId = item.TransactionId;
metaInfo.ServerOffset = item.ServerTime.Offset;
}
writer.WriteInt(messages.Count());
var allowNonOrdered = metaInfo.Version >= MarketDataVersions.Version47;
var isUtc = metaInfo.Version >= MarketDataVersions.Version48;
var allowDiffOffsets = metaInfo.Version >= MarketDataVersions.Version52;
var isTickPrecision = metaInfo.Version >= MarketDataVersions.Version53;
foreach (var message in messages)
{
var hasTrade = message.TradeId != null || message.TradePrice != null;
var orderId = message.SafeGetOrderId();
if (orderId < 0)
{
throw new ArgumentOutOfRangeException(nameof(messages), orderId, LocalizedStrings.Str925);
}
if (message.ExecutionType != ExecutionTypes.OrderLog)
{
throw new ArgumentOutOfRangeException(nameof(messages), message.ExecutionType, LocalizedStrings.Str1695Params.Put(orderId));
}
// sell market orders has zero price (if security do not have min allowed price)
// execution ticks (like option execution) may be a zero cost
// ticks for spreads may be a zero cost or less than zero
//if (item.Price < 0)
// throw new ArgumentOutOfRangeException(nameof(messages), item.Price, LocalizedStrings.Str926Params.Put(item.OrderId));
var volume = message.SafeGetVolume();
if (volume <= 0)
{
throw new ArgumentOutOfRangeException(nameof(messages), volume, LocalizedStrings.Str927Params.Put(message.OrderId));
}
long?tradeId = null;
if (hasTrade)
{
tradeId = message.GetTradeId();
if (tradeId <= 0)
{
throw new ArgumentOutOfRangeException(nameof(messages), tradeId, LocalizedStrings.Str1012Params.Put(message.OrderId));
}
// execution ticks (like option execution) may be a zero cost
// ticks for spreads may be a zero cost or less than zero
//if (item.TradePrice <= 0)
// throw new ArgumentOutOfRangeException(nameof(messages), item.TradePrice, LocalizedStrings.Str929Params.Put(item.TradeId, item.OrderId));
}
metaInfo.LastOrderId = writer.SerializeId(orderId, metaInfo.LastOrderId);
var orderPrice = message.OrderPrice;
if (metaInfo.Version < MarketDataVersions.Version45)
{
writer.WritePriceEx(orderPrice, metaInfo, SecurityId);
}
else
{
var isAligned = (orderPrice % metaInfo.PriceStep) == 0;
writer.Write(isAligned);
if (isAligned)
{
if (metaInfo.FirstOrderPrice == 0)
{
metaInfo.FirstOrderPrice = metaInfo.LastOrderPrice = orderPrice;
}
writer.WritePrice(orderPrice, metaInfo.LastOrderPrice, metaInfo, SecurityId, true);
metaInfo.LastOrderPrice = orderPrice;
}
else
{
if (metaInfo.FirstFractionalPrice == 0)
{
metaInfo.FirstFractionalPrice = metaInfo.LastFractionalPrice = orderPrice;
}
metaInfo.LastFractionalPrice = writer.WriteDecimal(orderPrice, metaInfo.LastFractionalPrice);
}
}
writer.WriteVolume(volume, metaInfo, SecurityId);
writer.Write(message.Side == Sides.Buy);
var lastOffset = metaInfo.LastServerOffset;
metaInfo.LastTime = writer.WriteTime(message.ServerTime, metaInfo.LastTime, LocalizedStrings.Str1013, allowNonOrdered, isUtc, metaInfo.ServerOffset, allowDiffOffsets, isTickPrecision, ref lastOffset);
metaInfo.LastServerOffset = lastOffset;
if (hasTrade)
{
writer.Write(true);
if (metaInfo.FirstTradeId == 0)
{
metaInfo.FirstTradeId = metaInfo.LastTradeId = tradeId.Value;
}
metaInfo.LastTradeId = writer.SerializeId(tradeId.Value, metaInfo.LastTradeId);
writer.WritePriceEx(message.GetTradePrice(), metaInfo, SecurityId);
}
else
{
writer.Write(false);
writer.Write(message.OrderState == OrderStates.Active);
}
if (metaInfo.Version < MarketDataVersions.Version31)
{
continue;
}
writer.WriteNullableInt(message.OrderStatus);
if (metaInfo.Version < MarketDataVersions.Version33)
{
continue;
}
if (metaInfo.Version < MarketDataVersions.Version50)
{
writer.WriteInt((int)(message.TimeInForce ?? TimeInForce.PutInQueue));
}
else
{
writer.Write(message.TimeInForce != null);
if (message.TimeInForce != null)
{
writer.WriteInt((int)message.TimeInForce.Value);
}
}
if (metaInfo.Version >= MarketDataVersions.Version49)
{
writer.Write(message.IsSystem != null);
if (message.IsSystem != null)
{
writer.Write(message.IsSystem.Value);
}
}
else
{
writer.Write(message.IsSystem ?? true);
}
if (metaInfo.Version < MarketDataVersions.Version34)
{
continue;
}
metaInfo.LastTransactionId = writer.SerializeId(message.TransactionId, metaInfo.LastTransactionId);
if (metaInfo.Version < MarketDataVersions.Version40)
{
continue;
}
if (metaInfo.Version < MarketDataVersions.Version46)
{
writer.WriteLong(0 /*item.Latency.Ticks*/);
}
var portfolio = message.PortfolioName;
var isEmptyPf = portfolio == null || portfolio == Portfolio.AnonymousPortfolio.Name;
writer.Write(!isEmptyPf);
if (!isEmptyPf)
{
metaInfo.Portfolios.TryAdd(message.PortfolioName);
writer.WriteInt(metaInfo.Portfolios.IndexOf(message.PortfolioName));
}
if (metaInfo.Version < MarketDataVersions.Version51)
{
continue;
}
writer.Write(message.Currency != null);
if (message.Currency != null)
{
writer.WriteInt((int)message.Currency.Value);
}
}
}
protected override void OnSave(BitArrayWriter writer, IEnumerable <QuoteChangeMessage> messages, QuoteMetaInfo metaInfo)
{
if (metaInfo.IsEmpty())
{
var firstDepth = messages.FirstOrDefault(d => !d.Bids.IsEmpty() || !d.Asks.IsEmpty());
if (firstDepth == null)
{
throw new ArgumentException(LocalizedStrings.Str931, "messages");
}
metaInfo.LastPrice = metaInfo.FirstPrice = GetDepthPrice(firstDepth);
//pyh: будет баг если первый стакан пустой и с другим временем.
//metaInfo.FirstTime = firstDepth.LastChangeTime;
metaInfo.ServerOffset = firstDepth.ServerTime.Offset;
}
writer.WriteInt(messages.Count());
QuoteChangeMessage prevQuoteMsg = null;
var allowNonOrdered = metaInfo.Version >= MarketDataVersions.Version47;
var isUtc = metaInfo.Version >= MarketDataVersions.Version50;
var allowDiffOffsets = metaInfo.Version >= MarketDataVersions.Version52;
foreach (var m in messages)
{
var quoteMsg = m;
//if (depth.IsFullEmpty())
// throw new ArgumentException("Переданный стакан является пустым.", "depths");
if (!quoteMsg.IsSorted)
{
quoteMsg = (QuoteChangeMessage)quoteMsg.Clone();
quoteMsg.Bids = quoteMsg.Bids.OrderByDescending(q => q.Price).ToArray();
quoteMsg.Asks = quoteMsg.Asks.OrderBy(q => q.Price).ToArray();
}
var bid = quoteMsg.GetBestBid();
var ask = quoteMsg.GetBestAsk();
// LMAX has equals best bid and ask
if (bid != null && ask != null && bid.Price > ask.Price)
{
throw new ArgumentException(LocalizedStrings.Str932Params.Put(bid.Price, ask.Price, quoteMsg.ServerTime), "messages");
}
var lastOffset = metaInfo.LastServerOffset;
metaInfo.LastTime = writer.WriteTime(quoteMsg.ServerTime, metaInfo.LastTime, LocalizedStrings.MarketDepth, allowNonOrdered, isUtc, metaInfo.ServerOffset, allowDiffOffsets, ref lastOffset);
metaInfo.LastServerOffset = lastOffset;
var isFull = prevQuoteMsg == null;
writer.Write(isFull);
var delta = isFull ? quoteMsg : prevQuoteMsg.GetDelta(quoteMsg);
prevQuoteMsg = quoteMsg;
SerializeQuotes(writer, delta.Bids, metaInfo /*, isFull*/);
SerializeQuotes(writer, delta.Asks, metaInfo /*, isFull*/);
metaInfo.LastPrice = GetDepthPrice(quoteMsg);
if (metaInfo.Version < MarketDataVersions.Version40)
{
continue;
}
if (metaInfo.Version < MarketDataVersions.Version46)
{
writer.WriteLong(SecurityId.GetLatency(quoteMsg.ServerTime, quoteMsg.LocalTime).Ticks);
}
else
{
var hasLocalTime = true;
if (metaInfo.Version >= MarketDataVersions.Version49)
{
hasLocalTime = !quoteMsg.LocalTime.IsDefault() && quoteMsg.LocalTime != quoteMsg.ServerTime;
writer.Write(hasLocalTime);
}
if (hasLocalTime)
{
lastOffset = metaInfo.LastLocalOffset;
metaInfo.LastLocalTime = writer.WriteTime(quoteMsg.LocalTime, metaInfo.LastLocalTime, LocalizedStrings.Str934, allowNonOrdered, isUtc, metaInfo.LocalOffset, allowDiffOffsets, ref lastOffset);
metaInfo.LastLocalOffset = lastOffset;
}
}
if (metaInfo.Version < MarketDataVersions.Version51)
{
continue;
}
writer.Write(quoteMsg.Currency != null);
if (quoteMsg.Currency != null)
{
writer.WriteInt((int)quoteMsg.Currency.Value);
}
}
}
public static long SerializeId(this BitArrayWriter writer, long id, long prevId)
{
writer.WriteLong(id - prevId);
return(id);
}
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);
}
}
public static void WritePrice(this BitArrayWriter writer, decimal price, ref decimal prevPrice, BinaryMetaInfo info, SecurityId securityId, bool useLong = false, bool nonAdjustPrice = false)
{
var priceStep = info.LastPriceStep;
if (priceStep == 0)
{
throw new InvalidOperationException(LocalizedStrings.Str2925);
}
if ((price % priceStep) != 0)
{
if (!nonAdjustPrice)
{
throw new ArgumentException(LocalizedStrings.Str1007Params.Put(priceStep, securityId, price), nameof(info));
}
writer.Write(false);
var priceStepChanged = false;
if ((price % info.LastPriceStep) != 0)
{
var newPriceStep = 1m;
var found = false;
for (var i = 0; i < 10; i++)
{
if ((price % newPriceStep) == 0)
{
found = true;
break;
}
newPriceStep /= 10;
}
if (!found)
{
throw new ArgumentException(LocalizedStrings.Str1007Params.Put(priceStep, securityId, price), nameof(info));
}
info.LastPriceStep = newPriceStep;
//if (info.FirstPriceStep == 0)
// info.FirstPriceStep = info.LastPriceStep;
priceStepChanged = true;
}
writer.Write(priceStepChanged);
if (priceStepChanged)
{
WriteDecimal(writer, info.LastPriceStep, 0);
}
if (info.FirstFractionalPrice == 0)
{
info.FirstFractionalPrice = info.LastFractionalPrice = price;
}
var stepCount = (long)((price - info.LastFractionalPrice) / info.LastPriceStep);
if (useLong)
{
writer.WriteLong(stepCount);
}
else
{
writer.WriteInt((int)stepCount);
}
info.LastFractionalPrice = price;
return;
}
if (nonAdjustPrice)
{
writer.Write(true);
}
try
{
var stepCount = (long)((price - prevPrice) / priceStep);
// ОЛ может содержать заявки с произвольно большими ценами
if (useLong)
{
writer.WriteLong(stepCount);
}
else
{
if (stepCount.Abs() > int.MaxValue)
{
throw new InvalidOperationException("Range is overflow.");
}
writer.WriteInt((int)stepCount);
}
prevPrice = price;
}
catch (OverflowException ex)
{
throw new ArgumentException(LocalizedStrings.Str1008Params.Put(price, prevPrice, priceStep, useLong), ex);
}
}
protected override void OnSave(BitArrayWriter writer, IEnumerable <ExecutionMessage> messages, OrderLogMetaInfo metaInfo)
{
if (metaInfo.IsEmpty() && !messages.IsEmpty())
{
var item = messages.First();
metaInfo.FirstOrderId = metaInfo.LastOrderId = item.OrderId ?? default;
metaInfo.FirstTransactionId = metaInfo.LastTransactionId = item.TransactionId;
metaInfo.ServerOffset = item.ServerTime.Offset;
metaInfo.FirstSeqNum = metaInfo.PrevSeqNum = item.SeqNum;
}
writer.WriteInt(messages.Count());
var allowNonOrdered = metaInfo.Version >= MarketDataVersions.Version47;
var isUtc = metaInfo.Version >= MarketDataVersions.Version48;
var allowDiffOffsets = metaInfo.Version >= MarketDataVersions.Version52;
var isTickPrecision = metaInfo.Version >= MarketDataVersions.Version53;
var useBalance = metaInfo.Version >= MarketDataVersions.Version54;
var buildFrom = metaInfo.Version >= MarketDataVersions.Version55;
var seqNum = metaInfo.Version >= MarketDataVersions.Version56;
var useLong = metaInfo.Version >= MarketDataVersions.Version57;
var largeDecimal = metaInfo.Version >= MarketDataVersions.Version57;
var stringId = metaInfo.Version >= MarketDataVersions.Version58;
foreach (var message in messages)
{
var hasTrade = message.TradeId != null || message.TradePrice != null || !message.TradeStringId.IsEmpty();
var orderId = message.OrderId;
if (orderId is null)
{
if (!stringId)
{
throw new ArgumentOutOfRangeException(nameof(messages), message.TransactionId, LocalizedStrings.Str925);
}
}
if (message.DataType != DataType.OrderLog)
{
throw new ArgumentOutOfRangeException(nameof(messages), message.DataType, LocalizedStrings.Str1695Params.Put(message));
}
// sell market orders has zero price (if security do not have min allowed price)
// execution ticks (like option execution) may be a zero cost
// ticks for spreads may be a zero cost or less than zero
//if (item.Price < 0)
// throw new ArgumentOutOfRangeException(nameof(messages), item.Price, LocalizedStrings.Str926Params.Put(item.OrderId));
var volume = message.SafeGetVolume();
if (volume <= 0 && message.OrderState != OrderStates.Done)
{
throw new ArgumentOutOfRangeException(nameof(messages), volume, LocalizedStrings.Str927Params.Put(message.TransactionId));
}
long?tradeId = null;
if (hasTrade)
{
tradeId = message.TradeId;
if (tradeId is null or <= 0)
{
if (!stringId)
{
throw new ArgumentOutOfRangeException(nameof(messages), tradeId, LocalizedStrings.Str1012Params.Put(message.TransactionId));
}
}
// execution ticks (like option execution) may be a zero cost
// ticks for spreads may be a zero cost or less than zero
//if (item.TradePrice <= 0)
// throw new ArgumentOutOfRangeException(nameof(messages), item.TradePrice, LocalizedStrings.Str929Params.Put(item.TradeId, item.OrderId));
}
metaInfo.LastOrderId = writer.SerializeId(orderId ?? 0, metaInfo.LastOrderId);
var orderPrice = message.OrderPrice;
if (metaInfo.Version < MarketDataVersions.Version45)
{
writer.WritePriceEx(orderPrice, metaInfo, SecurityId, false, false);
}
else
{
var isAligned = (orderPrice % metaInfo.LastPriceStep) == 0;
writer.Write(isAligned);
if (isAligned)
{
if (metaInfo.FirstOrderPrice == 0)
{
metaInfo.FirstOrderPrice = metaInfo.LastOrderPrice = orderPrice;
}
var prevPrice = metaInfo.LastOrderPrice;
writer.WritePrice(orderPrice, ref prevPrice, metaInfo, SecurityId, true);
metaInfo.LastOrderPrice = prevPrice;
}
else
{
if (metaInfo.FirstFractionalPrice == 0)
{
metaInfo.FirstFractionalPrice = metaInfo.LastFractionalPrice = orderPrice;
}
metaInfo.LastFractionalPrice = writer.WriteDecimal(orderPrice, metaInfo.LastFractionalPrice);
}
}
writer.WriteVolume(volume, metaInfo, largeDecimal);
writer.Write(message.Side == Sides.Buy);
var lastOffset = metaInfo.LastServerOffset;
metaInfo.LastTime = writer.WriteTime(message.ServerTime, metaInfo.LastTime, LocalizedStrings.Str1013, allowNonOrdered, isUtc, metaInfo.ServerOffset, allowDiffOffsets, isTickPrecision, ref lastOffset);
metaInfo.LastServerOffset = lastOffset;
if (hasTrade)
{
writer.Write(true);
if (metaInfo.FirstTradeId == 0)
{
metaInfo.FirstTradeId = metaInfo.LastTradeId = tradeId ?? default;
}
metaInfo.LastTradeId = writer.SerializeId(tradeId ?? default, metaInfo.LastTradeId);
writer.WritePriceEx(message.GetTradePrice(), metaInfo, SecurityId, useLong, largeDecimal);
if (metaInfo.Version >= MarketDataVersions.Version54)
{
writer.WriteInt((int)message.OrderState);
}
}
else
{
writer.Write(false);
if (metaInfo.Version >= MarketDataVersions.Version54)
{
writer.WriteInt((int)message.OrderState);
}
else
{
writer.Write(message.OrderState == OrderStates.Active);
}
}
if (metaInfo.Version < MarketDataVersions.Version31)
{
continue;
}
writer.WriteNullableInt((int?)message.OrderStatus);
if (metaInfo.Version < MarketDataVersions.Version33)
{
continue;
}
if (metaInfo.Version < MarketDataVersions.Version50)
{
writer.WriteInt((int)(message.TimeInForce ?? TimeInForce.PutInQueue));
}
else
{
writer.Write(message.TimeInForce != null);
if (message.TimeInForce != null)
{
writer.WriteInt((int)message.TimeInForce.Value);
}
}
if (metaInfo.Version >= MarketDataVersions.Version49)
{
writer.Write(message.IsSystem != null);
if (message.IsSystem != null)
{
writer.Write(message.IsSystem.Value);
}
}
else
{
writer.Write(message.IsSystem ?? true);
}
if (metaInfo.Version < MarketDataVersions.Version34)
{
continue;
}
metaInfo.LastTransactionId = writer.SerializeId(message.TransactionId, metaInfo.LastTransactionId);
if (metaInfo.Version < MarketDataVersions.Version40)
{
continue;
}
if (metaInfo.Version < MarketDataVersions.Version46)
{
writer.WriteLong(0 /*item.Latency.Ticks*/);
}
var portfolio = message.PortfolioName;
var isEmptyPf = portfolio == null;
var isAnonymous = !isEmptyPf && portfolio == Portfolio.AnonymousPortfolio.Name;
if (isEmptyPf)
{
writer.Write(false);
}
else
{
if (isAnonymous)
{
if (metaInfo.Version < MarketDataVersions.Version54)
{
writer.Write(false);
}
else
{
writer.Write(true);
writer.Write(true); // is anonymous
}
}
else
{
writer.Write(true);
if (metaInfo.Version > MarketDataVersions.Version54)
{
writer.Write(false); // not anonymous
}
metaInfo.Portfolios.TryAdd(message.PortfolioName);
writer.WriteInt(metaInfo.Portfolios.IndexOf(message.PortfolioName));
}
}
if (metaInfo.Version < MarketDataVersions.Version51)
{
continue;
}
writer.WriteNullableInt((int?)message.Currency);
if (!useBalance)
{
continue;
}
if (message.Balance == null)
{
writer.Write(false);
}
else
{
writer.Write(true);
if (message.Balance.Value == 0)
{
writer.Write(false);
}
else
{
writer.Write(true);
writer.WriteDecimal(message.Balance.Value, 0);
}
}
if (!buildFrom)
{
continue;
}
writer.WriteBuildFrom(message.BuildFrom);
if (!seqNum)
{
continue;
}
writer.WriteSeqNum(message, metaInfo);
if (!stringId)
{
continue;
}
writer.Write(orderId is null);
writer.WriteStringEx(message.OrderStringId);
writer.Write(tradeId is null);
writer.WriteStringEx(message.TradeStringId);
if (message.OrderBuyId != null)
{
writer.Write(true);
metaInfo.LastOrderId = writer.SerializeId(message.OrderBuyId.Value, metaInfo.LastOrderId);
}
else
{
writer.Write(false);
}
if (message.OrderSellId != null)
{
writer.Write(true);
metaInfo.LastOrderId = writer.SerializeId(message.OrderSellId.Value, metaInfo.LastOrderId);
}
else
{
writer.Write(false);
}
writer.WriteNullableBool(message.IsUpTick);
writer.WriteNullableDecimal(message.Yield);
writer.WriteNullableInt(message.TradeStatus);
writer.WriteNullableDecimal(message.OpenInterest);
writer.WriteNullableInt((int?)message.OriginSide);
}
}