/// <inheritdoc />
protected override TCandleMessage Read(FastCsvReader reader, IMarketDataMetaInfo metaInfo)
{
var message = new TCandleMessage
{
SecurityId = SecurityId,
Arg = Arg,
OpenTime = reader.ReadTime(metaInfo.Date),
OpenPrice = reader.ReadDecimal(),
HighPrice = reader.ReadDecimal(),
LowPrice = reader.ReadDecimal(),
ClosePrice = reader.ReadDecimal(),
TotalVolume = reader.ReadDecimal(),
State = CandleStates.Finished
};
if ((reader.ColumnCurr + 1) < reader.ColumnCount)
{
message.BuildFrom = reader.ReadBuildFrom();
}
if ((reader.ColumnCurr + 1) < reader.ColumnCount)
{
message.SeqNum = reader.ReadNullableLong() ?? 0L;
}
return(message);
}
/// <inheritdoc />
protected override ExecutionMessage Read(FastCsvReader reader, IMarketDataMetaInfo metaInfo)
{
var ol = new ExecutionMessage
{
SecurityId = SecurityId,
ExecutionType = ExecutionTypes.OrderLog,
ServerTime = reader.ReadTime(metaInfo.Date),
TransactionId = reader.ReadLong(),
OrderId = reader.ReadLong(),
OrderPrice = reader.ReadDecimal(),
OrderVolume = reader.ReadDecimal(),
Side = reader.ReadEnum <Sides>(),
OrderState = reader.ReadEnum <OrderStates>(),
TimeInForce = reader.ReadNullableEnum <TimeInForce>(),
TradeId = reader.ReadNullableLong(),
TradePrice = reader.ReadNullableDecimal(),
PortfolioName = reader.ReadString(),
IsSystem = reader.ReadNullableBool(),
};
if ((reader.ColumnCurr + 1) < reader.ColumnCount)
{
ol.Balance = reader.ReadNullableDecimal();
}
return(ol);
}
/// <summary>
/// Read data from the specified reader.
/// </summary>
/// <param name="reader">CSV reader.</param>
/// <param name="date">Date.</param>
/// <returns>Data.</returns>
protected override TimeQuoteChange Read(FastCsvReader reader, DateTime date)
{
return(new TimeQuoteChange
{
ServerTime = ReadTime(reader, date),
Price = reader.ReadDecimal(),
Volume = reader.ReadDecimal(),
Side = reader.ReadEnum <Sides>()
});
}
/// <summary>
/// Read data from the specified reader.
/// </summary>
/// <param name="reader">CSV reader.</param>
/// <param name="metaInfo">Meta-information on data for one day.</param>
/// <returns>Data.</returns>
protected override TimeQuoteChange Read(FastCsvReader reader, IMarketDataMetaInfo metaInfo)
{
return(new TimeQuoteChange
{
ServerTime = reader.ReadTime(metaInfo.Date),
Price = reader.ReadDecimal(),
Volume = reader.ReadDecimal(),
Side = reader.ReadEnum <Sides>()
});
}
/// <summary>
/// Read data from the specified reader.
/// </summary>
/// <param name="reader">CSV reader.</param>
/// <param name="date">Date.</param>
/// <returns>Data.</returns>
protected override TCandleMessage Read(FastCsvReader reader, DateTime date)
{
return(new TCandleMessage
{
SecurityId = SecurityId,
Arg = Arg,
OpenTime = ReadTime(reader, date),
OpenPrice = reader.ReadDecimal(),
HighPrice = reader.ReadDecimal(),
LowPrice = reader.ReadDecimal(),
ClosePrice = reader.ReadDecimal(),
TotalVolume = reader.ReadDecimal(),
});
}
/// <summary>
/// Read data from the specified reader.
/// </summary>
/// <param name="reader">CSV reader.</param>
/// <param name="metaInfo">Meta-information on data for one day.</param>
/// <returns>Data.</returns>
protected override TCandleMessage Read(FastCsvReader reader, IMarketDataMetaInfo metaInfo)
{
return(new TCandleMessage
{
SecurityId = SecurityId,
Arg = Arg,
OpenTime = reader.ReadTime(metaInfo.Date),
OpenPrice = reader.ReadDecimal(),
HighPrice = reader.ReadDecimal(),
LowPrice = reader.ReadDecimal(),
ClosePrice = reader.ReadDecimal(),
TotalVolume = reader.ReadDecimal(),
State = CandleStates.Finished
});
}
public TCandleMessage Read(FastCsvReader reader)
{
return(new TCandleMessage
{
SecurityId = _securityId,
Arg = _arg,
OpenTime = reader.ReadTime(Date),
OpenPrice = reader.ReadDecimal(),
HighPrice = reader.ReadDecimal(),
LowPrice = reader.ReadDecimal(),
ClosePrice = reader.ReadDecimal(),
TotalVolume = reader.ReadDecimal(),
State = CandleStates.Finished
});
}
/// <inheritdoc />
protected override ExecutionMessage Read(FastCsvReader reader, IMarketDataMetaInfo metaInfo)
{
var ol = new ExecutionMessage
{
SecurityId = SecurityId,
DataTypeEx = DataType.OrderLog,
ServerTime = reader.ReadTime(metaInfo.Date),
TransactionId = reader.ReadLong(),
OrderId = reader.ReadNullableLong(),
OrderPrice = reader.ReadDecimal(),
OrderVolume = reader.ReadDecimal(),
Side = reader.ReadEnum <Sides>(),
OrderState = reader.ReadEnum <OrderStates>(),
TimeInForce = reader.ReadNullableEnum <TimeInForce>(),
TradeId = reader.ReadNullableLong(),
TradePrice = reader.ReadNullableDecimal(),
PortfolioName = reader.ReadString(),
IsSystem = reader.ReadNullableBool(),
};
if ((reader.ColumnCurr + 1) < reader.ColumnCount)
{
ol.Balance = reader.ReadNullableDecimal();
}
if ((reader.ColumnCurr + 1) < reader.ColumnCount)
{
ol.SeqNum = reader.ReadNullableLong() ?? 0L;
}
if ((reader.ColumnCurr + 1) < reader.ColumnCount)
{
ol.OrderStringId = reader.ReadString();
ol.TradeStringId = reader.ReadString();
ol.OrderBuyId = reader.ReadNullableLong();
ol.OrderSellId = reader.ReadNullableLong();
ol.IsUpTick = reader.ReadNullableBool();
ol.Yield = reader.ReadNullableDecimal();
ol.TradeStatus = reader.ReadNullableInt();
ol.OpenInterest = reader.ReadNullableDecimal();
ol.OriginSide = reader.ReadNullableEnum <Sides>();
}
return(ol);
}
/// <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)
{
return(new ExecutionMessage
{
SecurityId = SecurityId,
ExecutionType = ExecutionTypes.OrderLog,
ServerTime = reader.ReadTime(date),
TransactionId = reader.ReadLong(),
OrderId = reader.ReadLong(),
OrderPrice = reader.ReadDecimal(),
OrderVolume = reader.ReadDecimal(),
Side = reader.ReadEnum <Sides>(),
OrderState = reader.ReadEnum <OrderStates>(),
TimeInForce = reader.ReadNullableEnum <TimeInForce>(),
TradeId = reader.ReadNullableLong(),
TradePrice = reader.ReadNullableDecimal(),
PortfolioName = reader.ReadString(),
IsSystem = reader.ReadNullableBool(),
});
}
public static DataType ReadBuildFrom(this FastCsvReader reader)
{
if (reader is null)
{
throw new ArgumentNullException(nameof(reader));
}
var str = reader.ReadString();
if (str.IsEmpty())
{
reader.Skip(3);
return(null);
}
return(str.To <int>().ToDataType(reader.ReadLong(), reader.ReadDecimal(), reader.ReadInt()));
}
/// <inheritdoc />
protected override NullableTimeQuoteChange Read(FastCsvReader reader, IMarketDataMetaInfo metaInfo)
{
var quote = new NullableTimeQuoteChange
{
ServerTime = reader.ReadTime(metaInfo.Date),
Price = reader.ReadNullableDecimal(),
Volume = reader.ReadDecimal(),
Side = reader.ReadEnum <Sides>()
};
if ((reader.ColumnCurr + 1) < reader.ColumnCount)
{
quote.OrdersCount = reader.ReadNullableInt();
}
return(quote);
}
/// <inheritdoc />
protected override ExecutionMessage Read(FastCsvReader reader, IMarketDataMetaInfo metaInfo)
{
var msg = new ExecutionMessage
{
SecurityId = SecurityId,
ExecutionType = ExecutionTypes.Transaction,
ServerTime = reader.ReadTime(metaInfo.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(),
};
reader.ReadNullableLong();
reader.ReadString();
msg.IsUpTick = reader.ReadNullableBool();
msg.IsCancellation = reader.ReadBool();
msg.OpenInterest = reader.ReadNullableDecimal();
msg.PnL = reader.ReadNullableDecimal();
msg.Position = reader.ReadNullableDecimal();
msg.Slippage = reader.ReadNullableDecimal();
msg.TradeStatus = reader.ReadNullableInt();
msg.OrderStatus = reader.ReadNullableLong();
msg.Latency = reader.ReadNullableLong().To <TimeSpan?>();
var error = reader.ReadString();
if (!error.IsEmpty())
{
msg.Error = new InvalidOperationException(error);
}
var dtStr = reader.ReadString();
if (dtStr != null)
{
msg.ExpiryDate = (dtStr.ToDateTime() + reader.ReadString().ToTimeMls()).ToDateTimeOffset(TimeSpan.Parse(reader.ReadString().Remove("+")));
}
else
{
reader.Skip(2);
}
msg.LocalTime = reader.ReadTime(metaInfo.Date);
msg.IsMarketMaker = reader.ReadNullableBool();
if ((reader.ColumnCurr + 1) < reader.ColumnCount)
{
msg.CommissionCurrency = reader.ReadString();
}
if ((reader.ColumnCurr + 1) < reader.ColumnCount)
{
msg.IsMargin = reader.ReadNullableBool();
msg.IsManual = reader.ReadNullableBool();
}
return(msg);
}
/// <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);
}