protected override Position Read(FastCsvReader reader)
{
var pfName = reader.ReadString();
var secId = reader.ReadString();
var position = new Position
{
Portfolio = Registry.Portfolios.ReadById(pfName),
Security = Registry.Securities.ReadById(secId),
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 = _dateTimeParser.Parse(reader.ReadString()).ChangeKind(DateTimeKind.Utc),
LocalTime = _dateTimeParser.Parse(reader.ReadString()).ChangeKind(DateTimeKind.Utc)
};
if (position.Security == null)
{
throw new InvalidOperationException(LocalizedStrings.Str1218Params.Put(secId));
}
if (position.Portfolio == null)
{
throw new InvalidOperationException(LocalizedStrings.Str891);
}
return(position);
}
protected override Exchange Read(FastCsvReader reader)
{
var board = new Exchange
{
Name = reader.ReadString(),
CountryCode = reader.ReadNullableEnum <CountryCodes>(),
//EngName = reader.ReadString(),
//RusName = reader.ReadString(),
//ExtensionInfo = Deserialize<Dictionary<object, object>>(reader.ReadString())
};
var engName = reader.ReadString();
reader.Skip();
if ((reader.ColumnCurr + 1) < reader.ColumnCount)
{
board.FullNameLoc = reader.ReadString();
}
else
{
board.FullNameLoc = LocalizedStrings.LocalizationManager.GetResourceId(engName) ?? engName;
}
return(board);
}
/// <inheritdoc />
protected override PositionChangeMessage Read(FastCsvReader reader, IMarketDataMetaInfo metaInfo)
{
var posMsg = new PositionChangeMessage
{
SecurityId = SecurityId,
ServerTime = reader.ReadTime(metaInfo.Date),
PortfolioName = reader.ReadString(),
ClientCode = reader.ReadString(),
DepoName = reader.ReadString(),
LimitType = reader.ReadString().To <TPlusLimits?>(),
};
foreach (var type in _types)
{
switch (type)
{
case PositionChangeTypes.Currency:
{
var currency = reader.ReadNullableEnum <CurrencyTypes>();
if (currency != null)
{
posMsg.Changes.Add(type, currency);
}
break;
}
case PositionChangeTypes.State:
{
var state = reader.ReadNullableEnum <PortfolioStates>();
if (state != null)
{
posMsg.Changes.Add(type, state);
}
break;
}
default:
{
var value = reader.ReadNullableDecimal();
if (value != null)
{
posMsg.Changes.Add(type, value);
}
break;
}
}
}
return(posMsg);
}
/// <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);
}
}
public void Init()
{
if (!File.Exists(_fileName))
{
return;
}
CultureInfo.InvariantCulture.DoInCulture(() =>
{
using (var stream = new FileStream(_fileName, FileMode.Open, FileAccess.Read))
{
var reader = new FastCsvReader(stream, Encoding.UTF8);
reader.NextLine();
reader.Skip();
var fields = new string[reader.ColumnCount - 1];
for (var i = 0; i < reader.ColumnCount - 1; i++)
{
fields[i] = reader.ReadString();
}
reader.NextLine();
reader.Skip();
var types = new Type[reader.ColumnCount - 1];
for (var i = 0; i < reader.ColumnCount - 1; i++)
{
types[i] = reader.ReadString().To <Type>();
_fieldTypes.Add(fields[i], types[i]);
}
var idGenerator = new SecurityIdGenerator();
while (reader.NextLine())
{
var secId = idGenerator.Split(reader.ReadString());
var values = new Dictionary <object, object>();
for (var i = 0; i < fields.Length; i++)
{
values[fields[i]] = reader.ReadString().To(types[i]);
}
_cache.Add(secId, values);
}
}
});
}
protected override Exchange Read(FastCsvReader reader)
{
var board = new Exchange
{
Name = reader.ReadString(),
CountryCode = reader.ReadNullableEnum <CountryCodes>(),
EngName = reader.ReadString(),
RusName = reader.ReadString(),
//ExtensionInfo = Deserialize<Dictionary<object, object>>(reader.ReadString())
};
return(board);
}
protected override ExchangeBoard Read(FastCsvReader reader)
{
var board = new ExchangeBoard
{
Code = reader.ReadString(),
Exchange = GetExchange(reader.ReadString()),
ExpiryTime = reader.ReadString().ToTime(),
//IsSupportAtomicReRegister = reader.ReadBool(),
//IsSupportMarketOrders = reader.ReadBool(),
TimeZone = TimeZoneInfo.FindSystemTimeZoneById(reader.ReadString()),
};
var time = board.WorkingTime;
if (reader.ColumnCount == 7)
{
time.Periods = Deserialize <List <WorkingTimePeriod> >(reader.ReadString());
time.SpecialWorkingDays = Deserialize <IEnumerable <DateTime> >(reader.ReadString()).ToArray();
time.SpecialHolidays = Deserialize <IEnumerable <DateTime> >(reader.ReadString()).ToArray();
}
else
{
time.Periods.AddRange(reader.ReadString().DecodeToPeriods());
time.SpecialDays.AddRange(reader.ReadString().DecodeToSpecialDays());
}
//ExtensionInfo = Deserialize<Dictionary<object, object>>(reader.ReadString())
return(board);
}
protected override ExchangeBoard Read(FastCsvReader reader)
{
var board = new ExchangeBoard
{
Code = reader.ReadString(),
Exchange = GetExchange(reader.ReadString()),
ExpiryTime = reader.ReadString().ToTime(),
//IsSupportAtomicReRegister = reader.ReadBool(),
//IsSupportMarketOrders = reader.ReadBool(),
TimeZone = reader.ReadString().To <TimeZoneInfo>(),
};
var time = board.WorkingTime;
if (reader.ColumnCount == 7)
{
time.Periods = Deserialize <List <WorkingTimePeriod> >(reader.ReadString());
time.SpecialWorkingDays = Deserialize <IEnumerable <DateTime> >(reader.ReadString()).ToArray();
time.SpecialHolidays = Deserialize <IEnumerable <DateTime> >(reader.ReadString()).ToArray();
}
else
{
time.Periods.AddRange(reader.ReadString().DecodeToPeriods());
time.SpecialDays.AddRange(reader.ReadString().DecodeToSpecialDays());
if ((reader.ColumnCurr + 1) < reader.ColumnCount)
{
reader.Skip();
time.IsEnabled = reader.ReadBool();
}
}
return(board);
}
/// <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();
}
return(execMsg);
}
/// <inheritdoc />
protected override Security Read(FastCsvReader reader)
{
var id = reader.ReadString();
var security = CreateSecurity(reader.ReadString());
var secId = id.ToSecurityId();
security.Id = id;
security.Code = secId.SecurityCode;
security.Board = Registry.GetBoard(secId.BoardCode);
security.Decimals = reader.ReadNullableInt();
security.PriceStep = reader.ReadNullableDecimal();
security.VolumeStep = reader.ReadNullableDecimal();
return(security);
}
/// <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);
}
/// <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);
}
/// <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();
}
return(news);
}
}
/// <summary>
/// Read <see cref="DateTimeOffset"/>.
/// </summary>
/// <param name="reader">CSV reader.</param>
/// <param name="date">Date.</param>
/// <returns><see cref="DateTimeOffset"/>.</returns>
internal static DateTimeOffset ReadTime(FastCsvReader reader, DateTime date)
{
if (reader == null)
{
throw new ArgumentNullException(nameof(reader));
}
return((date + TimeParser.Parse(reader.ReadString())).ToDateTimeOffset(TimeSpan.Parse(reader.ReadString().Remove("+"))));
}
/// <inheritdoc />
protected override BoardStateMessage Read(FastCsvReader reader, IMarketDataMetaInfo metaInfo)
{
var state = new BoardStateMessage
{
ServerTime = reader.ReadTime(metaInfo.Date),
BoardCode = reader.ReadString(),
State = reader.ReadEnum <SessionStates>()
};
return(state);
}
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);
}
private static DateTimeOffset?ReadNullableDateTime(FastCsvReader reader)
{
var str = reader.ReadString();
if (str == null)
{
return(null);
}
return(_dateTimeParser.Parse(str).ChangeKind(DateTimeKind.Utc));
}
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);
}
protected override Portfolio Read(FastCsvReader reader)
{
var portfolio = new Portfolio
{
Name = reader.ReadString(),
Board = GetBoard(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 = _dateTimeParser.Parse(reader.ReadString()).ChangeKind(DateTimeKind.Utc),
LocalTime = _dateTimeParser.Parse(reader.ReadString()).ChangeKind(DateTimeKind.Utc)
};
return(portfolio);
}
/// <summary>
/// Read data from the specified reader.
/// </summary>
/// <param name="reader">CSV reader.</param>
/// <param name="date">Date.</param>
/// <returns>Data.</returns>
protected override NewsMessage Read(FastCsvReader reader, DateTime date)
{
var news = new NewsMessage
{
ServerTime = reader.ReadTime(date),
Headline = reader.ReadString(),
Source = reader.ReadString(),
Url = reader.ReadString().To <Uri>(),
Id = reader.ReadString(),
BoardCode = reader.ReadString(),
};
var secCode = reader.ReadString();
if (!secCode.IsEmpty())
{
news.SecurityId = new SecurityId {
SecurityCode = secCode
}
}
;
return(news);
}
}
private void LoadFile(string fileName)
{
CultureInfo.InvariantCulture.DoInCulture(() =>
{
if (!File.Exists(fileName))
{
return;
}
var name = Path.GetFileNameWithoutExtension(fileName);
var pairs = new List <Tuple <SecurityId, object> >();
using (var stream = new FileStream(fileName, FileMode.Open, FileAccess.Read))
{
var reader = new FastCsvReader(stream, Encoding.UTF8);
reader.NextLine();
reader.Skip(2);
var type1 = reader.ReadString().To <Type>();
var type2 = reader.ReadString().To <Type>();
var isTuple = type2 != null;
while (reader.NextLine())
{
var securityId = new SecurityId
{
SecurityCode = reader.ReadString(),
BoardCode = reader.ReadString()
};
var nativeId = reader.ReadString().To(type1);
if (isTuple)
{
var nativeId2 = reader.ReadString().To(type2);
nativeId = typeof(Tuple <,>).MakeGenericType(type1, type2).CreateInstance(new[] { nativeId, nativeId2 });
}
pairs.Add(Tuple.Create(securityId, nativeId));
}
}
lock (_sync)
{
var nativeIds = _nativeIds.SafeAdd(name);
foreach (var tuple in pairs)
{
nativeIds.Add(tuple.Item1, tuple.Item2);
}
}
});
}
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()));
}
protected override ExchangeBoard Read(FastCsvReader reader)
{
var board = new ExchangeBoard
{
Code = reader.ReadString(),
Exchange = Registry.Exchanges.ReadById(reader.ReadString()),
ExpiryTime = reader.ReadString().ToTime(),
//IsSupportAtomicReRegister = reader.ReadBool(),
//IsSupportMarketOrders = reader.ReadBool(),
TimeZone = TimeZoneInfo.FindSystemTimeZoneById(reader.ReadString()),
WorkingTime =
{
Periods = Deserialize <List <WorkingTimePeriod> >(reader.ReadString()),
SpecialWorkingDays = Deserialize <List <DateTime> >(reader.ReadString()),
SpecialHolidays = Deserialize <List <DateTime> >(reader.ReadString())
},
ExtensionInfo = Deserialize <Dictionary <object, object> >(reader.ReadString())
};
return(board);
}
/// <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(),
});
}
/// <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);
}
protected override Security Read(FastCsvReader reader)
{
var security = new Security
{
Id = reader.ReadString(),
Name = reader.ReadString(),
Code = reader.ReadString(),
Class = reader.ReadString(),
ShortName = reader.ReadString(),
Board = Registry.ExchangeBoards.ReadById(reader.ReadString()),
UnderlyingSecurityId = reader.ReadString(),
PriceStep = reader.ReadNullableDecimal(),
VolumeStep = reader.ReadNullableDecimal(),
Multiplier = reader.ReadNullableDecimal(),
Decimals = reader.ReadNullableInt(),
Type = reader.ReadNullableEnum <SecurityTypes>(),
ExpiryDate = ReadNullableDateTime(reader),
SettlementDate = ReadNullableDateTime(reader),
Strike = reader.ReadNullableDecimal(),
OptionType = reader.ReadNullableEnum <OptionTypes>(),
Currency = reader.ReadNullableEnum <CurrencyTypes>(),
ExternalId = new SecurityExternalId
{
Sedol = reader.ReadString(),
Cusip = reader.ReadString(),
Isin = reader.ReadString(),
Ric = reader.ReadString(),
Bloomberg = reader.ReadString(),
IQFeed = reader.ReadString(),
InteractiveBrokers = reader.ReadNullableInt(),
Plaza = reader.ReadString()
},
ExtensionInfo = Deserialize <Dictionary <object, object> >(reader.ReadString())
};
return(security);
}
/// <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);
}
/// <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);
}
public void Init()
{
if (File.Exists(_fileName))
{
CultureInfo.InvariantCulture.DoInCulture(() =>
{
using (var stream = new FileStream(_fileName, FileMode.Open, FileAccess.Read))
{
var reader = new FastCsvReader(stream, Encoding.UTF8);
reader.NextLine();
reader.Skip();
var fields = new string[reader.ColumnCount - 1];
for (var i = 0; i < fields.Length; i++)
{
fields[i] = reader.ReadString();
}
reader.NextLine();
reader.Skip();
var types = new Type[reader.ColumnCount - 1];
for (var i = 0; i < types.Length; i++)
{
types[i] = reader.ReadString().To <Type>();
//_fieldTypes.Add(fields[i], types[i]);
}
if (_fields == null)
{
if (fields.Length != types.Length)
{
throw new InvalidOperationException($"{fields.Length} != {types.Length}");
}
_fields = fields.Select((f, i) => Tuple.Create(f, types[i])).ToArray();
}
while (reader.NextLine())
{
var secId = reader.ReadString().ToSecurityId();
var values = new Dictionary <string, object>();
for (var i = 0; i < fields.Length; i++)
{
values[fields[i]] = reader.ReadString().To(types[i]);
}
_cache.Add(secId, values);
}
}
});
}
else
{
if (_fields == null)
{
throw new InvalidOperationException();
}
Write(Enumerable.Empty <Tuple <SecurityId, IDictionary <string, object> > >());
}
}
/// <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);
}
