/// <summary>
/// Read <see cref="DateTimeOffset"/>.
/// </summary>
/// <param name="reader">CSV reader.</param>
/// <param name="date">Date.</param>
/// <returns><see cref="DateTimeOffset"/>.</returns>
public static DateTimeOffset ReadTime(this FastCsvReader reader, DateTime date)
{
if (reader == null)
{
throw new ArgumentNullException(nameof(reader));
}
return((date + reader.ReadDateTime(TimeFormat).TimeOfDay).ToDateTimeOffset(TimeSpan.Parse(reader.ReadString().Replace("+", string.Empty))));
}
protected override Position Read(FastCsvReader reader)
{
var position = new Position
{
Portfolio = Registry.Portfolios.ReadById(reader.ReadString()),
Security = Registry.Securities.ReadById(reader.ReadString()),
DepoName = reader.ReadString(),
LimitType = reader.ReadNullableEnum <TPlusLimits>(),
BeginValue = reader.ReadNullableDecimal(),
CurrentValue = reader.ReadNullableDecimal(),
BlockedValue = reader.ReadNullableDecimal(),
VariationMargin = reader.ReadNullableDecimal(),
Commission = reader.ReadNullableDecimal(),
Currency = reader.ReadNullableEnum <CurrencyTypes>(),
LastChangeTime = reader.ReadDateTime(_dateTimeFormat),
LocalTime = reader.ReadDateTime(_dateTimeFormat)
};
return(position);
}
protected override Portfolio Read(FastCsvReader reader)
{
var portfolio = new Portfolio
{
Name = reader.ReadString(),
Board = Registry.ExchangeBoards.ReadById(reader.ReadString()),
Leverage = reader.ReadNullableDecimal(),
BeginValue = reader.ReadNullableDecimal(),
CurrentValue = reader.ReadNullableDecimal(),
BlockedValue = reader.ReadNullableDecimal(),
VariationMargin = reader.ReadNullableDecimal(),
Commission = reader.ReadNullableDecimal(),
Currency = reader.ReadNullableEnum <CurrencyTypes>(),
State = reader.ReadNullableEnum <PortfolioStates>(),
Description = reader.ReadString(),
LastChangeTime = reader.ReadDateTime(_dateTimeFormat),
LocalTime = reader.ReadDateTime(_dateTimeFormat)
};
return(portfolio);
}
/// <summary>
/// Load data from the specified reader.
/// </summary>
/// <param name="reader">CSV reader.</param>
/// <param name="date">Date.</param>
/// <returns>Data.</returns>
protected override ExecutionMessage Read(FastCsvReader reader, DateTime date)
{
var msg = new ExecutionMessage
{
SecurityId = SecurityId,
ExecutionType = ExecutionTypes.Transaction,
ServerTime = reader.ReadTime(date),
TransactionId = reader.ReadLong(),
OriginalTransactionId = reader.ReadLong(),
OrderId = reader.ReadNullableLong(),
OrderStringId = reader.ReadString(),
OrderBoardId = reader.ReadString(),
UserOrderId = reader.ReadString(),
OrderPrice = reader.ReadDecimal(),
OrderVolume = reader.ReadNullableDecimal(),
Balance = reader.ReadNullableDecimal(),
VisibleVolume = reader.ReadNullableDecimal(),
Side = reader.ReadEnum <Sides>(),
OriginSide = reader.ReadNullableEnum <Sides>(),
OrderState = reader.ReadNullableEnum <OrderStates>(),
OrderType = reader.ReadNullableEnum <OrderTypes>(),
TimeInForce = reader.ReadNullableEnum <TimeInForce>(),
TradeId = reader.ReadNullableLong(),
TradeStringId = reader.ReadString(),
TradePrice = reader.ReadNullableDecimal(),
TradeVolume = reader.ReadNullableDecimal(),
PortfolioName = reader.ReadString(),
ClientCode = reader.ReadString(),
BrokerCode = reader.ReadString(),
DepoName = reader.ReadString(),
IsSystem = reader.ReadNullableBool(),
HasOrderInfo = reader.ReadBool(),
HasTradeInfo = reader.ReadBool(),
Commission = reader.ReadNullableDecimal(),
Currency = reader.ReadNullableEnum <CurrencyTypes>(),
Comment = reader.ReadString(),
SystemComment = reader.ReadString(),
DerivedOrderId = reader.ReadNullableLong(),
DerivedOrderStringId = reader.ReadString(),
IsUpTick = reader.ReadNullableBool(),
IsCancelled = reader.ReadBool(),
OpenInterest = reader.ReadNullableDecimal(),
PnL = reader.ReadNullableDecimal(),
Position = reader.ReadNullableDecimal(),
Slippage = reader.ReadNullableDecimal(),
TradeStatus = reader.ReadNullableInt(),
OrderStatus = reader.ReadNullableEnum <OrderStatus>(),
Latency = reader.ReadNullableLong().To <TimeSpan?>(),
};
var error = reader.ReadString();
if (!error.IsEmpty())
{
msg.Error = new InvalidOperationException(error);
}
var dt = reader.ReadNullableDateTime(DateFormat);
if (dt != null)
{
msg.ExpiryDate = (dt.Value + reader.ReadDateTime(TimeFormat).TimeOfDay).ToDateTimeOffset(TimeSpan.Parse(reader.ReadString().Replace("+", string.Empty)));
}
return(msg);
}
/// <summary>
/// Read data from the specified reader.
/// </summary>
/// <param name="reader">CSV reader.</param>
/// <param name="date">Date.</param>
/// <returns>Data.</returns>
protected override Level1ChangeMessage Read(FastCsvReader reader, DateTime date)
{
var level1 = new Level1ChangeMessage
{
SecurityId = SecurityId,
ServerTime = reader.ReadTime(date),
};
foreach (var field in _level1Fields)
{
switch (field)
{
case Level1Fields.BestAskTime:
case Level1Fields.BestBidTime:
case Level1Fields.LastTradeTime:
var dt = reader.ReadNullableDateTime(DateFormat);
if (dt != null)
{
level1.Changes.Add(field, (dt.Value + reader.ReadDateTime(TimeFormat).TimeOfDay).ToDateTimeOffset(TimeSpan.Parse(reader.ReadString().Replace("+", string.Empty))));
}
else
{
reader.Skip(2);
}
break;
case Level1Fields.LastTradeId:
var id = reader.ReadNullableLong();
if (id != null)
{
level1.Changes.Add(field, id);
}
break;
case Level1Fields.AsksCount:
case Level1Fields.BidsCount:
case Level1Fields.TradesCount:
var count = reader.ReadNullableLong();
if (count != null)
{
level1.Changes.Add(field, count);
}
break;
case Level1Fields.LastTradeUpDown:
case Level1Fields.IsSystem:
var flag = reader.ReadNullableBool();
if (flag != null)
{
level1.Changes.Add(field, flag);
}
break;
default:
var value = reader.ReadNullableDecimal();
if (value != null)
{
level1.Changes.Add(field, value);
}
break;
}
}
return(level1);
}
