protected override bool?OnProcess(FixSession session, string msgType, IFixReader reader)
{
switch (msgType)
{
case QuikFixMessages.NewStopOrderSingle:
{
var condition = new QuikOrderCondition();
var dto = TimeHelper.Moscow.BaseUtcOffset;
var regMsg = reader.ReadOrderRegisterMessage(dto,
tag => reader.ReadOrderCondition(tag, dto, condition));
if (regMsg == null)
{
return(null);
}
regMsg.TransactionId = CreateTransactionId(session, regMsg.TransactionId.To <string>());
regMsg.Condition = condition;
RaiseNewOutMessage(regMsg);
return(true);
}
}
return(base.OnProcess(session, msgType, reader));
}
/// <summary>
/// Метод вызывается при обработке полученного сообщения.
/// </summary>
/// <param name="msgType">Тип FIX сообщения.</param>
/// <param name="reader">Читатель данных, записанных в формате FIX протокола.</param>
/// <returns>Успешно ли обработаны данные.</returns>
protected override bool?ProcessTransactionMessage(string msgType, IFixReader reader)
{
switch (msgType)
{
case QuikFixMessages.StopOrderExecutionReport:
{
var condition = new QuikOrderCondition();
var executions = reader.ReadExecutionMessage(this,
tag => reader.ReadOrderCondition(tag, UtcOffset, condition));
if (executions == null)
{
return(null);
}
var exec = executions.First();
exec.Condition = condition;
SendOutMessage(exec);
return(true);
}
}
return(base.ProcessTransactionMessage(msgType, reader));
}
protected override bool ReadOrderCondition(IFixReader reader, FixTags tag, Func <OrderCondition> getCondition)
{
return(reader.ReadOrderCondition(tag, TimeHelper.Moscow, TransactionSession.DateTimeFormat, () => (QuikOrderCondition)getCondition()));
}
public static bool ReadOrderCondition(this IFixReader reader, FixTags tag, TimeZoneInfo timeZone, string dateTimeFormat, Func <QuikOrderCondition> getCondition)
{
if (getCondition == null)
{
throw new ArgumentNullException(nameof(getCondition));
}
switch ((QuikFixTags)tag)
{
case QuikFixTags.Type:
getCondition().Type = (QuikOrderConditionTypes)reader.ReadInt();
return(true);
case QuikFixTags.StopPriceCondition:
getCondition().StopPriceCondition = (QuikStopPriceConditions)reader.ReadInt();
return(true);
case QuikFixTags.ConditionOrderSide:
getCondition().ConditionOrderSide = (Sides)reader.ReadInt();
return(true);
case QuikFixTags.LinkedOrderCancel:
getCondition().LinkedOrderCancel = reader.ReadBool();
return(true);
case QuikFixTags.Result:
getCondition().Result = (QuikOrderConditionResults)reader.ReadInt();
return(true);
case QuikFixTags.OtherSecurityCode:
getCondition().OtherSecurityId = new SecurityId {
SecurityCode = reader.ReadString()
};
return(true);
case QuikFixTags.StopPrice:
getCondition().StopPrice = reader.ReadDecimal();
return(true);
case QuikFixTags.StopLimitPrice:
getCondition().StopLimitPrice = reader.ReadDecimal();
return(true);
case QuikFixTags.IsMarketStopLimit:
getCondition().IsMarketStopLimit = reader.ReadBool();
return(true);
case QuikFixTags.ActiveTimeFrom:
if (getCondition().ActiveTime == null)
{
getCondition().ActiveTime = new Range <DateTimeOffset>();
}
getCondition().ActiveTime.Min = reader.ReadDateTime(dateTimeFormat).ToDateTimeOffset(timeZone);
return(true);
case QuikFixTags.ActiveTimeTo:
if (getCondition().ActiveTime == null)
{
getCondition().ActiveTime = new Range <DateTimeOffset>();
}
getCondition().ActiveTime.Max = reader.ReadDateTime(dateTimeFormat).ToDateTimeOffset(timeZone);
return(true);
case QuikFixTags.ConditionOrderId:
getCondition().ConditionOrderId = reader.ReadLong();
return(true);
case QuikFixTags.ConditionOrderPartiallyMatched:
getCondition().ConditionOrderPartiallyMatched = reader.ReadBool();
return(true);
case QuikFixTags.ConditionOrderUseMatchedBalance:
getCondition().ConditionOrderUseMatchedBalance = reader.ReadBool();
return(true);
case QuikFixTags.LinkedOrderPrice:
getCondition().LinkedOrderPrice = reader.ReadDecimal();
return(true);
case QuikFixTags.Offset:
getCondition().Offset = reader.ReadString().ToUnit();
return(true);
case QuikFixTags.StopSpread:
getCondition().Spread = reader.ReadString().ToUnit();
return(true);
case QuikFixTags.IsMarketTakeProfit:
getCondition().IsMarketTakeProfit = reader.ReadBool();
return(true);
default:
return(false);
}
}
/// <summary>
/// Прочитать условие заявки <see cref="OrderCondition"/>.
/// </summary>
/// <param name="reader">Читатель данных.</param>
/// <param name="tag">Тэг.</param>
/// <param name="getCondition">Функция, возвращающая условие заявки.</param>
/// <returns>Успешно ли обработаны данные.</returns>
protected override bool ReadOrderCondition(IFixReader reader, FixTags tag, Func <OrderCondition> getCondition)
{
return(reader.ReadOrderCondition(tag, TimeZone, TimeStampFormat, () => (QuikOrderCondition)getCondition()));
}
protected override bool ReadOrderCondition(IFixReader reader, FixTags tag, Func<OrderCondition> getCondition)
{
return reader.ReadOrderCondition(tag, TimeHelper.Moscow, TransactionSession.DateTimeFormat, () => (QuikOrderCondition)getCondition());
}
/// <inheritdoc />
protected override bool?OnRead(IFixReader reader, string msgType, Action <Message> messageHandler)
{
switch (msgType)
{
// reading custom CFH message (not compatible with FIX standard)
case CfhFixMessages.AccountInfo:
{
string account = null;
var sendingTime = default(DateTimeOffset);
decimal? closedPnL = null;
decimal? openPnL = null;
decimal? balance = null;
CurrencyTypes?currency = null;
var isOk = reader.ReadMessage(tag =>
{
switch (tag)
{
case FixTags.Account:
account = reader.ReadString();
return(true);
case FixTags.SendingTime:
sendingTime = reader.ReadUtc(TimeStampParser);
return(true);
case CfhFixTags.ClosedPnL:
closedPnL = reader.ReadDecimal();
return(true);
case CfhFixTags.OpenPnL:
openPnL = reader.ReadDecimal();
return(true);
case CfhFixTags.Balance:
balance = reader.ReadDecimal();
return(true);
case FixTags.Currency:
currency = reader.ReadString().FromMicexCurrencyName(this.AddErrorLog);
return(true);
default:
return(false);
}
});
if (!isOk)
{
return(null);
}
var msg = new PositionChangeMessage
{
SecurityId = SecurityId.Money,
PortfolioName = account,
ServerTime = sendingTime
}
.TryAdd(PositionChangeTypes.RealizedPnL, closedPnL, true)
.TryAdd(PositionChangeTypes.UnrealizedPnL, openPnL, true)
.TryAdd(PositionChangeTypes.CurrentValue, balance, true);
if (currency != null)
{
msg.Add(PositionChangeTypes.Currency, currency.Value);
}
messageHandler(msg);
return(true);
}
default:
return(base.OnRead(reader, msgType, messageHandler));
}
}
protected override bool ReadOrderCondition(IFixReader reader, FixTags tag, Func<OrderCondition> getCondition)
{
return reader.ReadOrderCondition(tag, TimeHelper.Moscow.BaseUtcOffset, () => (QuikOrderCondition)getCondition());
}
/// <summary>
/// Прочитать условие регистрации заявки <see cref="OrderRegisterMessage.Condition"/>.
/// </summary>
/// <param name="reader">Читатель данных.</param>
/// <param name="tag">Тэг.</param>
/// <param name="getCondition">Функция, возвращающая условие заявки.</param>
/// <returns>Успешно ли обработаны данные.</returns>
protected override bool ReadOrderCondition(IFixReader reader, FixTags tag, Func<OrderCondition> getCondition)
{
return reader.ReadOrderCondition(tag, UtcOffset, DateTimeFormat, () => (QuikOrderCondition)getCondition());
}
/// <summary>
/// Прочитать условие регистрации заявки <see cref="OrderRegisterMessage.Condition"/>.
/// </summary>
/// <param name="reader">Читатель данных.</param>
/// <param name="tag">Тэг.</param>
/// <param name="getCondition">Функция, возвращающая условие заявки.</param>
/// <returns>Успешно ли обработаны данные.</returns>
protected override bool ReadOrderCondition(IFixReader reader, FixTags tag, Func <OrderCondition> getCondition)
{
return(reader.ReadOrderCondition(tag, UtcOffset, DateTimeFormat, () => (QuikOrderCondition)getCondition()));
}
/// <summary>
/// Прочитать условие регистрации заявки <see cref="OrderRegisterMessage.Condition"/>.
/// </summary>
/// <param name="reader">Читатель данных.</param>
/// <param name="tag">Тэг.</param>
/// <param name="getCondition">Функция, возвращающая условие заявки.</param>
/// <returns>Успешно ли обработаны данные.</returns>
protected override bool ReadOrderCondition(IFixReader reader, FixTags tag, Func<OrderCondition> getCondition)
{
return reader.ReadOrderCondition(tag, TimeZone, TimeStampFormat, () => (QuikOrderCondition)getCondition());
}
public static bool ReadOrderCondition(this IFixReader reader, FixTags tag, TimeSpan dateTimeOffset, QuikOrderCondition condition)
{
switch ((QuikFixTags)tag)
{
case QuikFixTags.Type:
condition.Type = (QuikOrderConditionTypes)reader.ReadInt();
return(true);
case QuikFixTags.StopPriceCondition:
condition.StopPriceCondition = (QuikStopPriceConditions)reader.ReadInt();
return(true);
case QuikFixTags.ConditionOrderSide:
condition.ConditionOrderSide = (Sides)reader.ReadInt();
return(true);
case QuikFixTags.LinkedOrderCancel:
condition.LinkedOrderCancel = reader.ReadBool();
return(true);
case QuikFixTags.Result:
condition.Result = (QuikOrderConditionResults)reader.ReadInt();
return(true);
case QuikFixTags.OtherSecurityCode:
condition.OtherSecurityId = new SecurityId {
SecurityCode = reader.ReadString()
};
return(true);
case QuikFixTags.StopPrice:
condition.StopPrice = reader.ReadDecimal();
return(true);
case QuikFixTags.StopLimitPrice:
condition.StopLimitPrice = reader.ReadDecimal();
return(true);
case QuikFixTags.IsMarketStopLimit:
condition.IsMarketStopLimit = reader.ReadBool();
return(true);
case QuikFixTags.ActiveTimeFrom:
if (condition.ActiveTime == null)
{
condition.ActiveTime = new Range <DateTimeOffset>();
}
condition.ActiveTime.Min = reader.ReadDateTime().ApplyTimeZone(dateTimeOffset);
return(true);
case QuikFixTags.ActiveTimeTo:
if (condition.ActiveTime == null)
{
condition.ActiveTime = new Range <DateTimeOffset>();
}
condition.ActiveTime.Max = reader.ReadDateTime().ApplyTimeZone(dateTimeOffset);
return(true);
case QuikFixTags.ConditionOrderId:
condition.ConditionOrderId = reader.ReadLong();
return(true);
case QuikFixTags.ConditionOrderPartiallyMatched:
condition.ConditionOrderPartiallyMatched = reader.ReadBool();
return(true);
case QuikFixTags.ConditionOrderUseMatchedBalance:
condition.ConditionOrderUseMatchedBalance = reader.ReadBool();
return(true);
case QuikFixTags.LinkedOrderPrice:
condition.LinkedOrderPrice = reader.ReadDecimal();
return(true);
case QuikFixTags.Offset:
condition.Offset = reader.ReadString().ToUnit();
return(true);
case QuikFixTags.StopSpread:
condition.Spread = reader.ReadString().ToUnit();
return(true);
case QuikFixTags.IsMarketTakeProfit:
condition.IsMarketTakeProfit = reader.ReadBool();
return(true);
default:
return(false);
}
}
