/// <summary>
/// Обновить контракт по его метаданным
/// </summary>
/// <param name="metadata">
/// Метаданные контракта
/// </param>
/// <param name="dependentObjectDescription">
/// Строковое описание объекта, который зависит от инструмента
/// </param>
public async Task HandleMetadataAsync(ContractMetadata metadata, string dependentObjectDescription = null)
{
using (LogManager.Scope())
{
_Log.Debug().Print(
"Contract metadata received",
LogFields.ContractId(metadata.contract_id),
LogFields.Symbol(metadata.contract_symbol),
LogFields.CorrectPriceScale(metadata.correct_price_scale),
LogFields.DisplayPriceScale(metadata.display_price_scale)
);
using (cacheLock.Lock())
{
if (cachedContracts.ContainsKey(metadata.contract_id))
{
_Log.Debug().Print("Already cached", LogFields.ContractId(metadata.contract_id));
return;
}
}
Instrument instrument = await InstrumentConverter.ResolveSymbolAsync(adapter, metadata.contract_symbol, dependentObjectDescription);
if (instrument == null)
{
_Log.Warn().Print("Instrument not resolved", LogFields.Symbol(metadata.contract_symbol));
return;
}
using (cacheLock.Lock())
{
_Log.Debug().Print(
"Caching instrument",
LogFields.ContractId(metadata.contract_id),
LogFields.Symbol(metadata.contract_symbol),
LogFields.Instrument(instrument)
);
cachedContractIds[instrument] = metadata.contract_id;
cachedContracts[metadata.contract_id] = instrument;
cachedContractPriceScales[metadata.contract_id] = (decimal)metadata.correct_price_scale;
}
OnInstrumentResolved(metadata.contract_id);
}
}
/// <summary>
/// Преобразовать цену из формата CQG
/// </summary>
/// <param name="contractId">
/// Contract ID
/// </param>
/// <param name="price">
/// Цена в нотации CQG
/// </param>
/// <returns>
/// Цена
/// </returns>
public decimal ConvertPriceBack(uint contractId, long price)
{
using (cacheLock.Lock())
{
decimal scale;
if (!cachedContractPriceScales.TryGetValue(contractId, out scale))
{
_Log.Error().Print(
"Can't find price scale for contract",
LogFields.ContractId(contractId),
LogFields.Instrument(GetInstrument(contractId)?.Code)
);
return(price);
}
var correctedPrice = scale != 0 ? price * scale : price;
return(correctedPrice);
}
}
/// <summary>
/// Обновить контракт по его метаданным
/// </summary>
/// <param name="metadata">
/// Метаданные контракта
/// </param>
public void HandleMetadata(ContractMetadata metadata)
{
_Log.Debug().Print(
"Contract metadata received",
LogFields.ContractId(metadata.contract_id),
LogFields.Symbol(metadata.contract_symbol),
LogFields.CorrectPriceScale(metadata.correct_price_scale),
LogFields.DisplayPriceScale(metadata.display_price_scale)
);
using (cacheLock.Lock())
{
if (cachedContracts.ContainsKey(metadata.contract_id))
{
_Log.Debug().Print("Already cached", LogFields.ContractId(metadata.contract_id));
return;
}
}
var instrument = InstrumentConverter.ResolveSymbolAsync(adapter, metadata.contract_symbol).Result;
if (instrument == null)
{
_Log.Warn().Print("Instrument not resolved", LogFields.Symbol(metadata.contract_symbol));
return;
}
using (cacheLock.Lock())
{
_Log.Debug().Print(
"Caching instrument",
LogFields.ContractId(metadata.contract_id),
LogFields.Symbol(metadata.contract_symbol),
LogFields.Instrument(instrument)
);
cachedContractIds[instrument] = metadata.contract_id;
cachedContracts[metadata.contract_id] = instrument;
cachedContractPriceScales[metadata.contract_id] = (decimal)metadata.correct_price_scale;
}
OnInstrumentResolved(metadata.contract_id);
}
/// <summary>
/// Подписаться на исторические данные
/// </summary>
/// <param name="consumer">
/// Потребитель исторических данных
/// </param>
/// <param name="instrument">
/// Инструмент
/// </param>
/// <param name="begin">
/// Начало диапазона
/// </param>
/// <param name="span">
/// Интервал свечей для исторических данных
/// </param>
/// <returns>
/// Подписка на исторические данные
/// </returns>
/// <remarks>
/// Провайдер вправе переопределить параметры исторических графиков - диапазон, интервал,
/// если он не в состоянии предоставить запрошенные данные.
/// </remarks>
public async Task <IHistoryDataSubscription> SubscribeToHistoryDataAsync(
IHistoryDataConsumer consumer,
Instrument instrument,
DateTime begin,
HistoryProviderSpan span)
{
using (LogManager.Scope())
{
var message = await PrepareTimeBarRequestAsync(instrument, begin, DateTime.Now, span, TimeBarRequest.RequestType.SUBSCRIBE);
if (message == null)
{
throw new ArgumentException($"Unable to resolve instrument {instrument}");
}
message.time_bar_parameters.to_utc_time = 0;
var request = new HistoryDataSubscription(
this,
new HistoryData(instrument, begin, DateTime.Now, span),
consumer,
message.time_bar_parameters.contract_id,
message.request_id);
using (requestsLock.Lock())
{
requests[message.request_id] = request;
}
CQGCAdapter.Log.Debug().Print(
"Requesting history data stream",
LogFields.RequestId(message.request_id),
LogFields.ContractId(message.time_bar_parameters.contract_id));
adapter.SendMessage(message);
return(request);
}
}
/// <summary>
/// Получить исторические данные
/// </summary>
/// <param name="consumer">
/// Потребитель исторических данных
/// </param>
/// <param name="instrument">
/// Инструмент
/// </param>
/// <param name="begin">
/// Начало диапазона
/// </param>
/// <param name="end">
/// Конец диапазона
/// </param>
/// <param name="span">
/// Интервал свечей для исторических данных
/// </param>
/// <param name="cancellationToken">
/// Токен отмены
/// </param>
/// <returns>
/// Исторические данные
/// </returns>
/// <remarks>
/// Провайдер вправе переопределить параметры исторических графиков - диапазон, интервал,
/// если он не в состоянии предоставить запрошенные данные.
/// </remarks>
/// <exception cref="NoHistoryDataException">
/// Бросается, если исторические данные за указанный период недоступны
/// </exception>
public async Task GetHistoryDataAsync(
IHistoryDataConsumer consumer,
Instrument instrument,
DateTime begin,
DateTime end,
HistoryProviderSpan span,
CancellationToken cancellationToken = new CancellationToken())
{
var message =
await PrepareTimeBarRequestAsync(instrument, begin, end, span, TimeBarRequest.RequestType.GET);
if (message == null)
{
throw new ArgumentException($"Unable to resolve instrument {instrument}");
}
var request = new HistoryDataRequest(this, consumer, instrument, begin, end, span, message);
using (requestsLock.Lock())
{
requests[message.request_id] = request;
}
CQGCAdapter.Log.Debug().Print(
"Requesting history data block",
LogFields.RequestId(message.request_id),
LogFields.ContractId(message.time_bar_parameters.contract_id));
adapter.SendMessage(message);
// Поддержка отмены запроса
cancellationToken.RegisterSafe(() => request.TrySetCanceled());
var data = await request.Task;
consumer.Update(data, HistoryDataUpdateType.Batch);
}
private void MarketDataResolved(AdapterEventArgs <InformationReport> args)
{
var contractId = args.Message.symbol_resolution_report.contract_metadata.contract_id;
ResolutionRequest request;
using (resolutionRequestsLock.Lock())
{
if (!resolutionRequestsById.TryGetValue(args.Message.id, out request))
{
return;
}
using (cacheLock.Lock())
{
cachedContractIds[request.Instrument] = contractId;
cachedContracts[contractId] = request.Instrument;
cachedContractPriceScales[contractId] = (decimal)args.Message.symbol_resolution_report.contract_metadata.correct_price_scale;
}
resolutionRequestsById.Remove(request.Id);
resolutionRequestsByInstrument.Remove(request.Instrument);
}
request.Resolve(contractId);
args.MarkHandled();
OnInstrumentResolved(contractId);
_Log.Debug().Print("Instrument is resolved", LogFields.Instrument(request.Instrument), LogFields.ContractId(contractId), LogFields.RequestId(request.Id));
}
/// <summary>
/// Обработка заявки как новой
/// </summary>
private Message HandleOrderStateAsNewOrder(OrderStatus message, out Order order)
{
Logger.Debug().Print(
"New order received",
LogFields.ExchangeOrderId(message.order_id),
LogFields.ChainOrderId(message.chain_order_id),
LogFields.State(ConvertionHelper.GetOrderState(message)),
LogFields.AccountId(message.account_id),
LogFields.ExecOrderId(message.exec_order_id)
);
// Ищем счет для заявки
string accountCode;
using (accountsLock.ReadLock())
{
if (!accountCodesById.TryGetValue(message.account_id, out accountCode))
{
Logger.Error().Print(
"Unable to process order: account is unknown",
LogFields.ExchangeOrderId(message.order_id),
LogFields.AccountId(message.account_id)
);
order = null;
return(null);
}
}
// Ищем инструмент для заявки
var instrument = instrumentResolver.GetInstrument(message.order.contract_id);
if (instrument == null)
{
// Пришла заявка по неизвестному инструменту
Logger.Error().Print(
"Received an order but no matching instrument is found. Put to pending orders",
LogFields.ExchangeOrderId(message.order_id),
LogFields.ContractId(message.order.contract_id),
LogFields.Account(accountCode)
);
using (ordersLock.Lock())
{
pendingOrders.Enqueue(message);
pendingOrderAddedEvent.Set();
}
order = null;
return(null);
}
using (ordersLock.Lock())
{
if (ordersByOrderExchangeId.TryGetValue(message.chain_order_id, out order))
{
// Race condition, такая заявка уже есть, надобно обработать ее через OSCM
return(HandleOrderStateAsOrderStateChange(order, message));
}
Guid transactionId;
if (Guid.TryParse(message.order.cl_order_id, out transactionId))
{
if (ordersByTransactionId.TryGetValue(transactionId, out order))
{
// Такая заявка уже есть, надобно обработать ее через OSCM
order.OrderExchangeId = message.chain_order_id;
ordersByOrderExchangeId.Add(message.chain_order_id, order);
return(HandleOrderStateAsOrderStateChange(order, message));
}
}
else
{
transactionId = Guid.Empty;
}
// Создаем новую внешнюю заявку
order = new Order
{
OrderExchangeId = message.chain_order_id,
Instrument = instrument,
Type = ConvertionHelper.GetOrderType(message),
Account = accountCode,
Price = instrumentResolver.ConvertPriceBack(message.order.contract_id, message.order.limit_price),
Quantity = message.order.qty,
ActiveQuantity = message.remaining_qty,
Operation = message.order.side == (uint)WebAPI.Order.Side.BUY ? OrderOperation.Buy : OrderOperation.Sell,
State = ConvertionHelper.GetOrderState(message),
DateTime = adapter.ResolveDateTime(message.status_utc_time),
Comment = ConvertionHelper.GetComment(message),
TransactionId = transactionId
};
ordersByOrderExchangeId.Add(message.chain_order_id, order);
orderStatusByChainOrderId[message.chain_order_id] = message;
return(new ExternalOrderMessage {
Order = order
});
}
}