private void ProcessMyTradeMessage(Order order, Security security, ExecutionMessage message, long transactionId)
{
var tuple = _entityCache.ProcessMyTradeMessage(order, security, message, transactionId);
if (tuple == null)
{
List<ExecutionMessage> nonOrderedMyTrades;
if (message.OrderId != null)
nonOrderedMyTrades = _nonAssociatedByIdMyTrades.SafeAdd(message.OrderId.Value);
else if (message.OriginalTransactionId != 0)
nonOrderedMyTrades = _nonAssociatedByTransactionIdMyTrades.SafeAdd(message.OriginalTransactionId);
else
nonOrderedMyTrades = _nonAssociatedByStringIdMyTrades.SafeAdd(message.OrderStringId);
this.AddInfoLog("My trade delayed: {0}", message);
nonOrderedMyTrades.Add((ExecutionMessage)message.Clone());
return;
}
if (!tuple.Item2)
return;
RaiseNewMyTrade(tuple.Item1);
}
private void ProcessExecutionMessage(ExecutionMessage message)
{
if (message.ExecutionType == null)
throw new ArgumentException(LocalizedStrings.Str688Params.Put(message));
switch (message.ExecutionType)
{
case ExecutionTypes.Transaction:
{
if (_entityCache.IsMassCancelation(message.OriginalTransactionId))
{
if (message.Error == null)
RaiseMassOrderCanceled(message.OriginalTransactionId);
else
RaiseMassOrderCancelFailed(message.OriginalTransactionId, message.Error);
break;
}
long transactionId;
var order = _entityCache.GetOrder(message, out transactionId);
if (order == null)
{
var security = LookupSecurity(message.SecurityId);
ProcessTransactionMessage(null, security, message, transactionId);
}
else
{
ProcessTransactionMessage(order, order.Security, message, transactionId);
}
break;
}
case ExecutionTypes.Tick:
case ExecutionTypes.OrderLog:
//case null:
{
var security = LookupSecurity(message.SecurityId);
switch (message.ExecutionType)
{
case ExecutionTypes.Tick:
ProcessTradeMessage(security, message);
break;
case ExecutionTypes.OrderLog:
ProcessOrderLogMessage(security, message);
break;
}
if (CreateAssociatedSecurity && !IsAssociated(message.SecurityId.BoardCode))
{
var clone = (ExecutionMessage)message.Clone();
clone.SecurityId = CreateAssociatedId(clone.SecurityId);
ProcessExecutionMessage(clone);
}
break;
}
default:
throw new ArgumentOutOfRangeException(LocalizedStrings.Str1695Params.Put(message.ExecutionType));
}
}
/// <summary>
/// Обработать сообщение.
/// </summary>
/// <param name="message">Сообщение.</param>
/// <returns>Результат обработки. Если будет возрвщено <see langword="null"/>,
/// то генератору пока недостаточно данных для генерации нового сообщения.</returns>
protected override Message OnProcess(Message message)
{
DateTimeOffset time;
switch (message.Type)
{
case MessageTypes.Level1Change:
{
var l1Msg = (Level1ChangeMessage)message;
var value = l1Msg.Changes.TryGetValue(Level1Fields.LastTradePrice);
if (value != null)
{
_lastOrderPrice = (decimal)value;
}
TradeGenerator.Process(message);
time = l1Msg.ServerTime;
break;
}
case MessageTypes.Execution:
{
var execMsg = (ExecutionMessage)message;
switch (execMsg.ExecutionType)
{
case ExecutionTypes.Tick:
_lastOrderPrice = execMsg.GetTradePrice();
break;
default:
return(null);
}
time = execMsg.ServerTime;
break;
}
case MessageTypes.Time:
{
var timeMsg = (TimeMessage)message;
time = timeMsg.ServerTime;
break;
}
default:
return(null);
}
if (!IsTimeToGenerate(time))
{
return(null);
}
// TODO более реалистичную генерацию, так как сейчас объемы, цены и сделки c потолка
var action = RandomGen.GetInt(0, 5);
var isNew = action < 3 || _activeOrders.IsEmpty();
ExecutionMessage item;
if (isNew)
{
var priceStep = SecurityDefinition.PriceStep ?? 0.01m;
_lastOrderPrice += RandomGen.GetInt(-MaxPriceStepCount, MaxPriceStepCount) * priceStep;
if (_lastOrderPrice <= 0)
{
_lastOrderPrice = priceStep;
}
item = new ExecutionMessage
{
OrderId = IdGenerator.GetNextId(),
SecurityId = SecurityId,
ServerTime = time,
OrderState = OrderStates.Active,
Volume = Volumes.Next(),
Side = RandomGen.GetEnum <Sides>(),
Price = _lastOrderPrice,
ExecutionType = ExecutionTypes.OrderLog,
};
_activeOrders.Enqueue((ExecutionMessage)item.Clone());
}
else
{
var activeOrder = _activeOrders.Peek();
item = (ExecutionMessage)activeOrder.Clone();
item.ServerTime = time;
var isMatched = action == 5;
ExecutionMessage trade = null;
if (isMatched)
{
trade = (ExecutionMessage)TradeGenerator.Process(message);
}
if (isMatched && trade != null)
{
item.Volume = RandomGen.GetInt(1, (int)activeOrder.GetVolume());
item.TradeId = trade.TradeId;
item.TradePrice = trade.TradePrice;
item.TradeStatus = trade.TradeStatus;
// TODO
//quote.Trade = TradeGenerator.Generate(time);
//item.Volume = activeOrder.Volume;
//if (item.Side == Sides.Buy && quote.Trade.Price > quote.Order.Price)
// item.TradePrice = item.Price;
//else if (item.Side == Sides.Sell && quote.Trade.Price < quote.Order.Price)
// item.TradePrice = item.Price;
activeOrder.Volume -= item.Volume;
if (activeOrder.Volume == 0)
{
item.OrderState = OrderStates.Done;
_activeOrders.Dequeue();
}
else
{
item.OrderState = OrderStates.Active;
}
}
else
{
item.OrderState = OrderStates.Done;
item.IsCancelled = true;
_activeOrders.Dequeue();
}
}
LastGenerationTime = time;
return(item);
}
/// <summary>
/// Добавить новую строчку из лога заявок к стакану.
/// </summary>
/// <param name="item">Строчка лога заявок.</param>
/// <returns>Был ли изменен стакан.</returns>
public bool Update(ExecutionMessage item)
{
if (item == null)
{
throw new ArgumentNullException("item");
}
if (item.ExecutionType != ExecutionTypes.OrderLog)
{
throw new ArgumentException("item");
}
var changed = false;
try
{
// Очистить стакан в вечерний клиринг
if (item.ServerTime.TimeOfDay >= _clearingBeginTime)
{
// Garic - переделал
// Очищаем только в рабочие дни поскольку в субботу/воскресенье допустима отмена заявок
if (_lastUpdateTime != null && _lastUpdateTime.Value.TimeOfDay < _clearingBeginTime && _exchange.WorkingTime.IsTradeDate(item.ServerTime.LocalDateTime, true))
{
_depth.ServerTime = item.ServerTime;
_depth.Bids = Enumerable.Empty <QuoteChange>();
_depth.Asks = Enumerable.Empty <QuoteChange>();
_matchingOrder = null;
changed = true;
}
}
_lastUpdateTime = item.ServerTime.LocalDateTime;
if (!item.IsSystem || item.TradePrice != 0 || item.Price == 0 /* нулевая цена может появится при поставке опционов */)
{
return(changed);
}
if (item.IsOrderLogRegistered())
{
changed = TryApplyTrades(null);
if (
(item.Side == Sides.Buy && (_depth.Asks.IsEmpty() || item.Price < _depth.Asks.First().Price)) ||
(item.Side == Sides.Sell && (_depth.Bids.IsEmpty() || item.Price > _depth.Bids.First().Price))
)
{
if (item.TimeInForce == TimeInForce.PutInQueue)
{
var quotes = (item.Side == Sides.Buy ? _bids : _asks);
var quote = quotes.TryGetValue(item.Price);
if (quote == null)
{
quote = new QuoteChange
{
Side = item.Side,
Price = item.Price,
Volume = item.Volume,
};
quotes.Add(item.Price, quote);
if (item.Side == Sides.Buy)
{
_depth.Bids = GetArray(quotes);
}
else
{
_depth.Asks = GetArray(quotes);
}
}
else
{
quote.Volume += item.Volume;
}
changed = true;
}
}
else
{
_matchingOrder = (ExecutionMessage)item.Clone();
// mika
// из-за того, что могут быть кросс-сделки, матчинг только по заявкам невозможен
// (сначала идет регистрация вглубь стакана, затем отмена по причине кросс-сделки)
// http://forum.rts.ru/viewtopic.asp?t=24197
//
}
}
else if (item.IsOrderLogCanceled())
{
var isSame = _matchingOrder != null && _matchingOrder.OrderId == item.OrderId;
changed = TryApplyTrades(item);
if (!isSame && item.TimeInForce == TimeInForce.PutInQueue)
{
// http://forum.rts.ru/viewtopic.asp?t=24197
if (item.GetOrderLogCancelReason() != OrderLogCancelReasons.CrossTrade)
{
var quotes = (item.Side == Sides.Buy ? _bids : _asks);
var quote = quotes.TryGetValue(item.Price);
if (quote != null)
{
quote.Volume -= item.Volume;
if (quote.Volume <= 0)
{
quotes.Remove(item.Price);
if (item.Side == Sides.Buy)
{
_depth.Bids = GetArray(quotes);
}
else
{
_depth.Asks = GetArray(quotes);
}
}
}
}
changed = true;
}
}
else
{
throw new ArgumentException(LocalizedStrings.Str943Params.Put(item), "item");
// для одной сделки соответствуют две строчки в ОЛ
//_trades[item.Trade.Id] = item;
}
}
finally
{
if (changed)
{
_depth.ServerTime = item.ServerTime;
}
}
return(changed);
}
