/// <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();
}
if ((reader.ColumnCurr + 1) < reader.ColumnCount)
{
ol.SeqNum = reader.ReadNullableLong() ?? 0L;
}
return(ol);
}
/// <inheritdoc />
protected override ExecutionMessage Read(FastCsvReader reader, IMarketDataMetaInfo metaInfo)
{
var execMsg = new ExecutionMessage
{
SecurityId = SecurityId,
ExecutionType = ExecutionTypes.Tick,
ServerTime = reader.ReadTime(metaInfo.Date),
TradeId = reader.ReadNullableLong(),
TradePrice = reader.ReadNullableDecimal(),
TradeVolume = reader.ReadNullableDecimal(),
OriginSide = reader.ReadNullableEnum <Sides>(),
OpenInterest = reader.ReadNullableDecimal(),
IsSystem = reader.ReadNullableBool(),
};
if ((reader.ColumnCurr + 1) < reader.ColumnCount)
{
execMsg.IsUpTick = reader.ReadNullableBool();
execMsg.TradeStringId = reader.ReadString();
execMsg.Currency = reader.ReadNullableEnum <CurrencyTypes>();
}
if ((reader.ColumnCurr + 1) < reader.ColumnCount)
{
execMsg.BuildFrom = reader.ReadBuildFrom();
}
if ((reader.ColumnCurr + 1) < reader.ColumnCount)
{
execMsg.SeqNum = reader.ReadNullableLong() ?? 0L;
}
return(execMsg);
}
/// <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 NewsMessage Read(FastCsvReader reader, IMarketDataMetaInfo metaInfo)
{
var news = new NewsMessage
{
ServerTime = reader.ReadTime(metaInfo.Date),
Headline = reader.ReadString(),
Source = reader.ReadString(),
Url = reader.ReadString(),
Id = reader.ReadString(),
BoardCode = reader.ReadString(),
};
var secCode = reader.ReadString();
if (!secCode.IsEmpty())
{
news.SecurityId = new SecurityId {
SecurityCode = secCode
}
}
;
if ((reader.ColumnCurr + 1) < reader.ColumnCount)
{
news.Priority = reader.ReadNullableEnum <NewsPriorities>();
}
if ((reader.ColumnCurr + 1) < reader.ColumnCount)
{
news.Language = reader.ReadString();
}
if ((reader.ColumnCurr + 1) < reader.ColumnCount)
{
var boardCode = reader.ReadString();
if (news.SecurityId != null)
{
var secId = news.SecurityId.Value;
secId.BoardCode = boardCode;
news.SecurityId = secId;
}
}
if ((reader.ColumnCurr + 1) < reader.ColumnCount)
{
news.ExpiryDate = reader.ReadString().TryToDateTimeOffset(_expiryFormat);
}
if ((reader.ColumnCurr + 1) < reader.ColumnCount)
{
news.SeqNum = reader.ReadNullableLong() ?? 0L;
}
return(news);
}
}
/// <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.Tick,
ServerTime = reader.ReadTime(date),
TradeId = reader.ReadNullableLong(),
TradePrice = reader.ReadNullableDecimal(),
TradeVolume = reader.ReadNullableDecimal(),
OriginSide = reader.ReadNullableEnum <Sides>(),
OpenInterest = reader.ReadNullableDecimal(),
IsSystem = reader.ReadNullableBool(),
});
}
/// <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(),
});
}
/// <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);
}
/// <inheritdoc />
protected override Level1ChangeMessage Read(FastCsvReader reader, IMarketDataMetaInfo metaInfo)
{
var level1 = new Level1ChangeMessage
{
SecurityId = SecurityId,
ServerTime = reader.ReadTime(metaInfo.Date),
};
foreach (var pair in _level1Fields)
{
// backward compatibility
if (reader.ColumnCurr == reader.ColumnCount)
{
break;
}
var field = pair.Key;
if (pair.Value == typeof(DateTimeOffset))
{
var dtStr = reader.ReadString();
if (dtStr != null)
{
level1.Changes.Add(field, (dtStr.ToDateTime() + reader.ReadString().ToTimeMls()).ToDateTimeOffset(TimeSpan.Parse(reader.ReadString().Remove("+"))));
}
else
{
reader.Skip(2);
}
}
else if (pair.Value == typeof(int))
{
var value = reader.ReadNullableInt();
if (value != null)
{
level1.Changes.Add(field, value.Value);
}
}
else if (pair.Value == typeof(long))
{
var value = reader.ReadNullableLong();
if (value != null)
{
level1.Changes.Add(field, value.Value);
}
}
else if (pair.Value == typeof(bool))
{
var value = reader.ReadNullableBool();
if (value != null)
{
level1.Changes.Add(field, value.Value);
}
}
else if (pair.Value == typeof(SecurityStates))
{
var value = reader.ReadNullableEnum <SecurityStates>();
if (value != null)
{
level1.Changes.Add(field, value.Value);
}
}
else if (pair.Value == typeof(Sides))
{
var value = reader.ReadNullableEnum <Sides>();
if (value != null)
{
level1.Changes.Add(field, value.Value);
}
}
else
{
var value = reader.ReadNullableDecimal();
if (value != null)
{
level1.Changes.Add(field, value.Value);
}
}
}
return(level1);
}
/// <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 Level1ChangeMessage Read(FastCsvReader reader, IMarketDataMetaInfo metaInfo)
{
var level1 = new Level1ChangeMessage
{
SecurityId = SecurityId,
ServerTime = reader.ReadTime(metaInfo.Date),
};
foreach (var field in _level1Fields)
{
// backward compatibility
if (reader.ColumnCurr == reader.ColumnCount)
{
break;
}
switch (field)
{
case Level1Fields.BestAskTime:
case Level1Fields.BestBidTime:
case Level1Fields.LastTradeTime:
case Level1Fields.BuyBackDate:
var dtStr = reader.ReadString();
if (dtStr != null)
{
level1.Changes.Add(field, (dtStr.ToDateTime() + reader.ReadString().ToTimeMls()).ToDateTimeOffset(TimeSpan.Parse(reader.ReadString().Remove("+"))));
}
else
{
reader.Skip(2);
}
break;
case Level1Fields.LastTradeId:
var id = reader.ReadNullableLong();
if (id != null)
{
level1.Changes.Add(field, id.Value);
}
break;
case Level1Fields.AsksCount:
case Level1Fields.BidsCount:
case Level1Fields.TradesCount:
case Level1Fields.Decimals:
var count = reader.ReadNullableInt();
if (count != null)
{
level1.Changes.Add(field, count.Value);
}
break;
case Level1Fields.LastTradeUpDown:
case Level1Fields.IsSystem:
var flag = reader.ReadNullableBool();
if (flag != null)
{
level1.Changes.Add(field, flag.Value);
}
break;
case Level1Fields.State:
var state = reader.ReadNullableEnum <SecurityStates>();
if (state != null)
{
level1.Changes.Add(field, state.Value);
}
break;
case Level1Fields.LastTradeOrigin:
var side = reader.ReadNullableEnum <Sides>();
if (side != null)
{
level1.Changes.Add(field, side.Value);
}
break;
default:
var value = reader.ReadNullableDecimal();
if (value != null)
{
level1.Changes.Add(field, value.Value);
}
break;
}
}
return(level1);
}
/// <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 dtStr = reader.ReadString();
if (dtStr != null)
{
level1.Changes.Add(field, (dtStr.ToDateTime() + reader.ReadString().ToTimeMls()).ToDateTimeOffset(TimeSpan.Parse(reader.ReadString().Remove("+"))));
}
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);
}
/// <inheritdoc />
protected override NullableTimeQuoteChange Read(FastCsvReader reader, IMarketDataMetaInfo metaInfo)
{
var quote = new NullableTimeQuoteChange
{
ServerTime = reader.ReadTime(metaInfo.Date),
};
var price = reader.ReadNullableDecimal();
var volume = reader.ReadNullableDecimal();
quote.Side = reader.ReadEnum <Sides>();
int?ordersCount = null;
if ((reader.ColumnCurr + 1) < reader.ColumnCount)
{
ordersCount = reader.ReadNullableInt();
}
QuoteConditions condition = default;
if ((reader.ColumnCurr + 1) < reader.ColumnCount)
{
condition = reader.ReadNullableEnum <QuoteConditions>() ?? default;
}
QuoteChange?qq = null;
if (price != null)
{
qq = quote.Quote = new QuoteChange
{
Price = price.Value,
Volume = volume ?? 0,
OrdersCount = ordersCount,
Condition = condition,
};
}
if ((reader.ColumnCurr + 1) < reader.ColumnCount)
{
var startPosition = reader.ReadNullableInt();
var endPosition = reader.ReadNullableInt();
var action = reader.ReadNullableEnum <QuoteChangeActions>();
if (qq != null)
{
var temp = qq.Value;
temp.StartPosition = startPosition;
temp.EndPosition = endPosition;
temp.Action = action;
quote.Quote = temp;
}
}
if ((reader.ColumnCurr + 1) < reader.ColumnCount)
{
quote.State = reader.ReadNullableEnum <QuoteChangeStates>();
quote.SeqNum = reader.ReadNullableLong();
quote.BuildFrom = reader.ReadBuildFrom();
}
return(quote);
}