public override NewsMessage MoveNext(MarketDataEnumerator enumerator)
{
var reader = enumerator.Reader;
var metaInfo = enumerator.MetaInfo;
var message = new NewsMessage
{
Id = reader.Read() ? reader.ReadString() : null,
Headline = reader.ReadString(),
Story = reader.Read() ? reader.ReadString() : null,
Source = reader.Read() ? reader.ReadString() : null,
BoardCode = reader.Read() ? reader.ReadString() : null,
SecurityId = reader.Read() ? new SecurityId {
SecurityCode = reader.ReadString()
} : (SecurityId?)null,
Url = reader.Read() ? reader.ReadString().To <Uri>() : null,
};
var prevTime = metaInfo.FirstTime;
message.ServerTime = reader.ReadTime(ref prevTime, true, true, metaInfo.ServerOffset);
metaInfo.FirstTime = prevTime;
return(message);
}
public override NewsMessage MoveNext(MarketDataEnumerator enumerator)
{
var reader = enumerator.Reader;
var metaInfo = enumerator.MetaInfo;
var message = new NewsMessage
{
Id = reader.ReadStringEx(),
Headline = reader.ReadString(),
Story = reader.ReadStringEx(),
Source = reader.ReadStringEx(),
BoardCode = reader.ReadStringEx(),
SecurityId = reader.Read() ? new SecurityId {
SecurityCode = reader.ReadString()
} : (SecurityId?)null,
Url = reader.ReadStringEx().To <Uri>(),
};
var allowDiffOffsets = metaInfo.Version >= MarketDataVersions.Version46;
var isTickPrecision = metaInfo.Version >= MarketDataVersions.Version47;
var prevTime = metaInfo.FirstTime;
var lastOffset = metaInfo.FirstServerOffset;
message.ServerTime = reader.ReadTime(ref prevTime, true, true, metaInfo.ServerOffset, allowDiffOffsets, isTickPrecision, ref lastOffset);
metaInfo.FirstTime = prevTime;
metaInfo.FirstServerOffset = lastOffset;
return(message);
}
public override BoardStateMessage MoveNext(MarketDataEnumerator enumerator)
{
var reader = enumerator.Reader;
var metaInfo = enumerator.MetaInfo;
var message = new BoardStateMessage();
var prevTime = metaInfo.FirstTime;
var lastOffset = metaInfo.FirstServerOffset;
message.ServerTime = reader.ReadTime(ref prevTime, true, true, metaInfo.ServerOffset, true, true, ref lastOffset);
metaInfo.FirstTime = prevTime;
metaInfo.FirstServerOffset = lastOffset;
message.BoardCode = reader.ReadStringEx();
message.State = (SessionStates)reader.ReadInt();
return(message);
}
public override NewsMessage MoveNext(MarketDataEnumerator enumerator)
{
var reader = enumerator.Reader;
var metaInfo = enumerator.MetaInfo;
var message = new NewsMessage
{
Id = reader.ReadStringEx(),
Headline = reader.ReadString(),
Story = reader.ReadStringEx(),
Source = reader.ReadStringEx(),
BoardCode = reader.ReadStringEx(),
SecurityId = reader.Read() ? new SecurityId {
SecurityCode = reader.ReadString()
} : (SecurityId?)null,
Url = reader.ReadStringEx(),
};
var allowDiffOffsets = metaInfo.Version >= MarketDataVersions.Version46;
var isTickPrecision = metaInfo.Version >= MarketDataVersions.Version47;
var prevTime = metaInfo.FirstTime;
var lastOffset = metaInfo.FirstServerOffset;
message.ServerTime = reader.ReadTime(ref prevTime, true, true, metaInfo.ServerOffset, allowDiffOffsets, isTickPrecision, ref lastOffset);
metaInfo.FirstTime = prevTime;
metaInfo.FirstServerOffset = lastOffset;
if (metaInfo.Version < MarketDataVersions.Version48)
{
return(message);
}
if (reader.Read())
{
message.Priority = (NewsPriorities)reader.ReadInt();
}
if (metaInfo.Version < MarketDataVersions.Version49)
{
return(message);
}
message.Language = reader.ReadStringEx();
if (metaInfo.Version < MarketDataVersions.Version50)
{
return(message);
}
message.ExpiryDate = reader.Read() ? reader.ReadLong().To <DateTimeOffset>() : (DateTimeOffset?)null;
var secBoard = reader.ReadStringEx();
if (!secBoard.IsEmpty() && message.SecurityId != null)
{
var secId = message.SecurityId.Value;
secId.BoardCode = secBoard;
message.SecurityId = secId;
}
return(message);
}
public override ExecutionMessage MoveNext(MarketDataEnumerator enumerator)
{
var reader = enumerator.Reader;
var metaInfo = enumerator.MetaInfo;
var allowNonOrdered = metaInfo.Version >= MarketDataVersions.Version48;
var isUtc = metaInfo.Version >= MarketDataVersions.Version50;
var allowDiffOffsets = metaInfo.Version >= MarketDataVersions.Version54;
var isTickPrecision = metaInfo.Version >= MarketDataVersions.Version55;
var useLong = metaInfo.Version >= MarketDataVersions.Version56;
metaInfo.FirstId += reader.ReadLong();
var volume = metaInfo.Version < MarketDataVersions.Version53
? reader.ReadVolume(metaInfo)
: reader.Read() ? reader.ReadVolume(metaInfo) : (decimal?)null;
var price = reader.ReadPriceEx(metaInfo, useLong);
var orderDirection = reader.Read() ? (reader.Read() ? Sides.Buy : Sides.Sell) : (Sides?)null;
var prevTime = metaInfo.FirstTime;
var lastOffset = metaInfo.FirstServerOffset;
var serverTime = reader.ReadTime(ref prevTime, allowNonOrdered, isUtc, metaInfo.GetTimeZone(isUtc, SecurityId, ExchangeInfoProvider), allowDiffOffsets, isTickPrecision, ref lastOffset);
metaInfo.FirstTime = prevTime;
metaInfo.FirstServerOffset = lastOffset;
var msg = new ExecutionMessage
{
//LocalTime = metaInfo.FirstTime,
ExecutionType = ExecutionTypes.Tick,
SecurityId = SecurityId,
TradeId = metaInfo.FirstId == 0 ? (long?)null : metaInfo.FirstId,
TradeVolume = volume,
OriginSide = orderDirection,
TradePrice = price,
ServerTime = serverTime,
};
if (metaInfo.Version < MarketDataVersions.Version40)
{
return(msg);
}
if (metaInfo.Version < MarketDataVersions.Version47)
{
msg.LocalTime = msg.ServerTime - reader.ReadLong().To <TimeSpan>() + metaInfo.LocalOffset;
}
else
{
var hasLocalTime = true;
if (metaInfo.Version >= MarketDataVersions.Version49)
{
hasLocalTime = reader.Read();
}
if (hasLocalTime)
{
var prevLocalTime = metaInfo.FirstLocalTime;
lastOffset = metaInfo.FirstLocalOffset;
var localTime = reader.ReadTime(ref prevLocalTime, allowNonOrdered, isUtc, metaInfo.LocalOffset, allowDiffOffsets, isTickPrecision, ref lastOffset);
metaInfo.FirstLocalTime = prevLocalTime;
metaInfo.FirstLocalOffset = lastOffset;
msg.LocalTime = localTime;
}
//else
// msg.LocalTime = msg.ServerTime;
}
if (metaInfo.Version < MarketDataVersions.Version42)
{
return(msg);
}
msg.IsSystem = metaInfo.Version < MarketDataVersions.Version51
? reader.Read()
: (reader.Read() ? reader.Read() : (bool?)null);
if (msg.IsSystem == false)
{
msg.TradeStatus = metaInfo.Version < MarketDataVersions.Version51
? reader.ReadInt()
: reader.ReadNullableInt();
}
if (metaInfo.Version < MarketDataVersions.Version46 || reader.Read())
{
msg.OpenInterest = reader.ReadVolume(metaInfo);
}
if (metaInfo.Version < MarketDataVersions.Version45)
{
return(msg);
}
if (reader.Read())
{
msg.IsUpTick = reader.Read();
}
if (metaInfo.Version >= MarketDataVersions.Version52)
{
if (reader.Read())
{
msg.Currency = (CurrencyTypes)reader.ReadInt();
}
}
return(msg);
}
public override ExecutionMessage MoveNext(MarketDataEnumerator enumerator)
{
var reader = enumerator.Reader;
var metaInfo = enumerator.MetaInfo;
var execType = (ExecutionTypes)reader.ReadInt();
var isTrade = execType == ExecutionTypes.Trade;
metaInfo.FirstTransactionId += reader.ReadLong();
metaInfo.FirstOriginalTransactionId += reader.ReadLong();
string orderBoardId = null;
string orderStringId = null;
string tradeStringId = null;
if (!isTrade)
{
if (metaInfo.Version < MarketDataVersions.Version50)
{
metaInfo.FirstOrderId += reader.ReadLong();
}
else
{
if (reader.Read())
{
metaInfo.FirstOrderId += reader.ReadLong();
}
else
{
if (reader.Read())
{
orderStringId = reader.ReadString();
}
}
if (reader.Read())
{
orderBoardId = reader.ReadString();
}
}
}
else
{
if (metaInfo.Version < MarketDataVersions.Version50)
{
metaInfo.FirstTradeId += reader.ReadLong();
}
else
{
if (reader.Read())
{
metaInfo.FirstTradeId += reader.ReadLong();
}
else
{
if (reader.Read())
{
tradeStringId = reader.ReadString();
}
}
}
}
var side = reader.Read() ? Sides.Buy : Sides.Sell;
var price = reader.ReadPriceEx(metaInfo);
var volume = (metaInfo.Version < MarketDataVersions.Version57 || reader.Read())
? reader.ReadVolume(metaInfo) : (decimal?)null;
var visibleVolume = (metaInfo.Version < MarketDataVersions.Version54 || reader.Read())
? reader.ReadVolume(metaInfo) : (decimal?)null;
var balance = (metaInfo.Version < MarketDataVersions.Version54 || reader.Read())
? reader.ReadVolume(metaInfo) : (decimal?)null;
var allowNonOrdered = metaInfo.Version >= MarketDataVersions.Version48;
var isUtc = metaInfo.Version >= MarketDataVersions.Version51;
var allowDiffOffsets = metaInfo.Version >= MarketDataVersions.Version56;
var prevTime = metaInfo.FirstTime;
var lastOffset = metaInfo.FirstServerOffset;
var serverTime = reader.ReadTime(ref prevTime, allowNonOrdered, isUtc, metaInfo.GetTimeZone(isUtc, SecurityId), allowDiffOffsets, ref lastOffset);
metaInfo.FirstTime = prevTime;
metaInfo.FirstServerOffset = lastOffset;
var type = reader.ReadInt().To <OrderTypes>();
var state = reader.ReadNullableInt <OrderStates>();
var status = reader.ReadNullableInt <OrderStatus>();
var tradeStatus = metaInfo.Version < MarketDataVersions.Version52
? reader.ReadInt()
: reader.ReadNullableInt <int>();
var timeInForce = metaInfo.Version < MarketDataVersions.Version53
? reader.ReadInt().To <TimeInForce>()
: reader.Read() ? reader.ReadInt().To <TimeInForce>() : (TimeInForce?)null;
var isSystem = metaInfo.Version < MarketDataVersions.Version52
? reader.Read()
: (reader.Read() ? reader.Read() : (bool?)null);
var expDate = reader.ReadLong();
var commission = ReadCommission(reader, metaInfo);
var portfolio = ReadString(reader, metaInfo.Portfolios);
var userOrderId = ReadString(reader, metaInfo.StrategyIds);
var comment = ReadString(reader, metaInfo.Comments);
var error = ReadString(reader, metaInfo.Errors);
var msg = new ExecutionMessage
{
ExecutionType = execType,
SecurityId = SecurityId,
ServerTime = serverTime,
TransactionId = metaInfo.FirstTransactionId,
OriginalTransactionId = metaInfo.FirstOriginalTransactionId,
Side = side,
Volume = volume,
VisibleVolume = visibleVolume,
Balance = balance,
OrderType = type,
OrderState = state,
OrderStatus = status,
TimeInForce = timeInForce,
IsSystem = isSystem,
ExpiryDate = expDate == 0 ? (DateTimeOffset?)null : expDate.To <DateTimeOffset>(),
Commission = commission,
PortfolioName = portfolio,
UserOrderId = userOrderId,
Comment = comment,
TradeStatus = tradeStatus,
};
if (!isTrade)
{
if (orderStringId == null)
{
msg.OrderId = metaInfo.FirstOrderId;
}
else
{
msg.OrderStringId = orderStringId;
}
msg.OrderBoardId = orderBoardId;
msg.OrderPrice = price;
}
else
{
if (tradeStringId == null)
{
msg.TradeId = metaInfo.FirstTradeId;
}
else
{
msg.TradeStringId = tradeStringId;
}
msg.TradePrice = price;
}
if (!error.IsEmpty())
{
msg.Error = new InvalidOperationException(error);
}
if (metaInfo.Version >= MarketDataVersions.Version55)
{
if (reader.Read())
{
msg.Currency = (CurrencyTypes)reader.ReadInt();
}
}
return(msg);
}
public override ExecutionMessage MoveNext(MarketDataEnumerator enumerator)
{
var reader = enumerator.Reader;
var metaInfo = enumerator.MetaInfo;
metaInfo.FirstTransactionId += reader.ReadLong();
metaInfo.FirstOriginalTransactionId += reader.ReadLong();
var hasOrderInfo = reader.Read();
var hasTradeInfo = reader.Read();
long?orderId = null;
long?tradeId = null;
string orderStringId = null;
string tradeStringId = null;
if (reader.Read())
{
metaInfo.FirstOrderId += reader.ReadLong();
orderId = metaInfo.FirstOrderId;
}
else
{
orderStringId = reader.ReadStringEx();
}
var orderBoardId = reader.ReadStringEx();
if (reader.Read())
{
metaInfo.FirstTradeId += reader.ReadLong();
tradeId = metaInfo.FirstTradeId;
}
else
{
tradeStringId = reader.ReadStringEx();
}
var orderPrice = reader.Read() ? reader.ReadPriceEx(metaInfo) : (decimal?)null;
var tradePrice = reader.Read() ? reader.ReadPriceEx(metaInfo) : (decimal?)null;
var side = reader.Read() ? Sides.Buy : Sides.Sell;
var orderVolume = reader.Read() ? reader.ReadVolume(metaInfo) : (decimal?)null;
var tradeVolume = reader.Read() ? reader.ReadVolume(metaInfo) : (decimal?)null;
var visibleVolume = reader.Read() ? reader.ReadVolume(metaInfo) : (decimal?)null;
var balance = reader.Read() ? reader.ReadVolume(metaInfo) : (decimal?)null;
var isTickPrecision = metaInfo.Version >= MarketDataVersions.Version60;
var prevTime = metaInfo.FirstTime;
var lastOffset = metaInfo.FirstServerOffset;
var serverTime = reader.ReadTime(ref prevTime, true, true, metaInfo.GetTimeZone(true, SecurityId, ExchangeInfoProvider), true, isTickPrecision, ref lastOffset);
metaInfo.FirstTime = prevTime;
metaInfo.FirstServerOffset = lastOffset;
var type = (OrderTypes?)reader.ReadNullableInt();
var state = (OrderStates?)reader.ReadNullableInt();
var status = reader.ReadNullableLong();
var tradeStatus = reader.ReadNullableInt();
var timeInForce = (TimeInForce?)reader.ReadNullableInt();
var isSystem = reader.Read() ? reader.Read() : (bool?)null;
var isUpTick = reader.Read() ? reader.Read() : (bool?)null;
var expDate = reader.ReadDto();
var commission = reader.Read() ? metaInfo.FirstCommission = reader.ReadDecimal(metaInfo.FirstCommission) : (decimal?)null;
var pnl = reader.Read() ? metaInfo.FirstPnL = reader.ReadDecimal(metaInfo.FirstPnL) : (decimal?)null;
var position = reader.Read() ? metaInfo.FirstPosition = reader.ReadDecimal(metaInfo.FirstPosition) : (decimal?)null;
var slippage = reader.Read() ? metaInfo.FirstSlippage = reader.ReadDecimal(metaInfo.FirstSlippage) : (decimal?)null;
var portfolio = ReadString(reader, metaInfo.Portfolios);
var clientCode = ReadString(reader, metaInfo.ClientCodes);
var brokerCode = ReadString(reader, metaInfo.BrokerCodes);
var depoName = ReadString(reader, metaInfo.DepoNames);
var userOrderId = ReadString(reader, metaInfo.UserOrderIds);
var comment = ReadString(reader, metaInfo.Comments);
var sysComment = ReadString(reader, metaInfo.SystemComments);
var msg = new ExecutionMessage
{
ExecutionType = ExecutionTypes.Transaction,
SecurityId = SecurityId,
ServerTime = serverTime,
TransactionId = metaInfo.FirstTransactionId,
OriginalTransactionId = metaInfo.FirstOriginalTransactionId,
Side = side,
OrderVolume = orderVolume,
TradeVolume = tradeVolume,
VisibleVolume = visibleVolume,
Balance = balance,
OrderType = type,
OrderState = state,
OrderStatus = status,
TimeInForce = timeInForce,
IsSystem = isSystem,
IsUpTick = isUpTick,
ExpiryDate = expDate,
Commission = commission,
PnL = pnl,
Position = position,
Slippage = slippage,
PortfolioName = portfolio,
ClientCode = clientCode,
BrokerCode = brokerCode,
DepoName = depoName,
UserOrderId = userOrderId,
Comment = comment,
SystemComment = sysComment,
TradeStatus = tradeStatus,
HasOrderInfo = hasOrderInfo,
HasTradeInfo = hasTradeInfo,
OrderPrice = orderPrice ?? 0,
TradePrice = tradePrice,
OrderId = orderId,
TradeId = tradeId,
OrderBoardId = orderBoardId,
OrderStringId = orderStringId,
TradeStringId = tradeStringId,
};
var error = ReadString(reader, metaInfo.Errors);
if (!error.IsEmpty())
{
msg.Error = new InvalidOperationException(error);
}
msg.Currency = (CurrencyTypes?)reader.ReadNullableInt();
if (reader.Read())
{
msg.Latency = reader.ReadLong().To <TimeSpan>();
}
if (reader.Read())
{
msg.OriginSide = reader.Read() ? Sides.Buy : Sides.Sell;
}
if (metaInfo.Version < MarketDataVersions.Version59)
{
return(msg);
}
msg.LocalTime = ReadItemLocalTime(reader, metaInfo, isTickPrecision);
if (metaInfo.Version < MarketDataVersions.Version61)
{
return(msg);
}
if (reader.Read())
{
msg.IsMarketMaker = reader.Read();
}
if (metaInfo.Version < MarketDataVersions.Version62)
{
return(msg);
}
if (reader.Read())
{
msg.IsMargin = reader.Read();
}
if (metaInfo.Version < MarketDataVersions.Version63)
{
return(msg);
}
msg.CommissionCurrency = reader.ReadStringEx();
if (metaInfo.Version < MarketDataVersions.Version64)
{
return(msg);
}
if (reader.Read())
{
msg.IsManual = reader.Read();
}
if (metaInfo.Version < MarketDataVersions.Version65)
{
return(msg);
}
if (reader.Read())
{
msg.PositionEffect = (OrderPositionEffects)reader.ReadInt();
}
if (reader.Read())
{
msg.PostOnly = reader.Read();
}
if (reader.Read())
{
msg.Initiator = reader.Read();
}
if (metaInfo.Version < MarketDataVersions.Version66)
{
return(msg);
}
msg.SeqNum = reader.ReadLong();
msg.StrategyId = ReadString(reader, metaInfo.StrategyIds);
if (metaInfo.Version < MarketDataVersions.Version67)
{
return(msg);
}
msg.BuildFrom = reader.ReadBuildFrom();
if (metaInfo.Version < MarketDataVersions.Version68)
{
return(msg);
}
msg.Leverage = reader.ReadNullableInt();
return(msg);
}
public abstract TData MoveNext(MarketDataEnumerator enumerator);
public override ExecutionMessage MoveNext(MarketDataEnumerator enumerator)
{
var reader = enumerator.Reader;
var metaInfo = enumerator.MetaInfo;
metaInfo.FirstTransactionId += reader.ReadLong();
metaInfo.FirstOriginalTransactionId += reader.ReadLong();
var hasOrderInfo = reader.Read();
var hasTradeInfo = reader.Read();
long?orderId = null;
long?tradeId = null;
string orderBoardId = null;
string orderStringId = null;
string tradeStringId = null;
if (reader.Read())
{
metaInfo.FirstOrderId += reader.ReadLong();
orderId = metaInfo.FirstOrderId;
}
else
{
if (reader.Read())
{
orderStringId = reader.ReadString();
}
}
if (reader.Read())
{
orderBoardId = reader.ReadString();
}
if (reader.Read())
{
metaInfo.FirstTradeId += reader.ReadLong();
tradeId = metaInfo.FirstTradeId;
}
else
{
if (reader.Read())
{
tradeStringId = reader.ReadString();
}
}
var orderPrice = reader.Read() ? reader.ReadPriceEx(metaInfo) : (decimal?)null;
var tradePrice = reader.Read() ? reader.ReadPriceEx(metaInfo) : (decimal?)null;
var side = reader.Read() ? Sides.Buy : Sides.Sell;
var orderVolume = reader.Read() ? reader.ReadVolume(metaInfo) : (decimal?)null;
var tradeVolume = reader.Read() ? reader.ReadVolume(metaInfo) : (decimal?)null;
var visibleVolume = reader.Read() ? reader.ReadVolume(metaInfo) : (decimal?)null;
var balance = reader.Read() ? reader.ReadVolume(metaInfo) : (decimal?)null;
var prevTime = metaInfo.FirstTime;
var lastOffset = metaInfo.FirstServerOffset;
var serverTime = reader.ReadTime(ref prevTime, true, true, metaInfo.GetTimeZone(true, SecurityId), true, ref lastOffset);
metaInfo.FirstTime = prevTime;
metaInfo.FirstServerOffset = lastOffset;
var type = reader.ReadNullableInt <OrderTypes>();
var state = reader.ReadNullableInt <OrderStates>();
var status = reader.ReadNullableInt <OrderStatus>();
var tradeStatus = reader.ReadNullableInt <int>();
var timeInForce = reader.ReadNullableInt <TimeInForce>();
var isSystem = reader.Read() ? reader.Read() : (bool?)null;
var isUpTick = reader.Read() ? reader.Read() : (bool?)null;
var expDate = reader.Read() ? reader.ReadLong().To <DateTime>().ApplyTimeZone(new TimeSpan(reader.ReadInt(), reader.ReadInt(), 0)) : (DateTimeOffset?)null;
var commission = reader.Read() ? metaInfo.FirstCommission = reader.ReadDecimal(metaInfo.FirstCommission) : (decimal?)null;
var pnl = reader.Read() ? metaInfo.FirstPnL = reader.ReadDecimal(metaInfo.FirstPnL) : (decimal?)null;
var position = reader.Read() ? metaInfo.FirstPosition = reader.ReadDecimal(metaInfo.FirstPosition) : (decimal?)null;
var slippage = reader.Read() ? metaInfo.FirstSlippage = reader.ReadDecimal(metaInfo.FirstSlippage) : (decimal?)null;
var portfolio = ReadString(reader, metaInfo.Portfolios);
var clientCode = ReadString(reader, metaInfo.ClientCodes);
var brokerCode = ReadString(reader, metaInfo.BrokerCodes);
var depoName = ReadString(reader, metaInfo.DepoNames);
var userOrderId = ReadString(reader, metaInfo.UserOrderIds);
var comment = ReadString(reader, metaInfo.Comments);
var sysComment = ReadString(reader, metaInfo.SystemComments);
var msg = new ExecutionMessage
{
ExecutionType = ExecutionTypes.Transaction,
SecurityId = SecurityId,
ServerTime = serverTime,
TransactionId = metaInfo.FirstTransactionId,
OriginalTransactionId = metaInfo.FirstOriginalTransactionId,
Side = side,
OrderVolume = orderVolume,
TradeVolume = tradeVolume,
VisibleVolume = visibleVolume,
Balance = balance,
OrderType = type,
OrderState = state,
OrderStatus = status,
TimeInForce = timeInForce,
IsSystem = isSystem,
IsUpTick = isUpTick,
ExpiryDate = expDate,
Commission = commission,
PnL = pnl,
Position = position,
Slippage = slippage,
PortfolioName = portfolio,
ClientCode = clientCode,
BrokerCode = brokerCode,
DepoName = depoName,
UserOrderId = userOrderId,
Comment = comment,
SystemComment = sysComment,
TradeStatus = tradeStatus,
HasOrderInfo = hasOrderInfo,
HasTradeInfo = hasTradeInfo,
OrderPrice = orderPrice ?? 0,
TradePrice = tradePrice,
OrderId = orderId,
TradeId = tradeId,
OrderBoardId = orderBoardId,
OrderStringId = orderStringId,
TradeStringId = tradeStringId,
};
var error = ReadString(reader, metaInfo.Errors);
if (!error.IsEmpty())
{
msg.Error = new InvalidOperationException(error);
}
msg.Currency = reader.ReadNullableInt <CurrencyTypes>();
if (reader.Read())
{
msg.Latency = reader.ReadLong().To <TimeSpan>();
}
if (reader.Read())
{
msg.OriginSide = reader.Read() ? Sides.Buy : Sides.Sell;
}
return(msg);
}
public override QuoteChangeMessage MoveNext(MarketDataEnumerator enumerator)
{
var metaInfo = enumerator.MetaInfo;
var reader = enumerator.Reader;
var allowNonOrdered = metaInfo.Version >= MarketDataVersions.Version47;
var isUtc = metaInfo.Version >= MarketDataVersions.Version50;
var allowDiffOffsets = metaInfo.Version >= MarketDataVersions.Version52;
var isTickPrecision = metaInfo.Version >= MarketDataVersions.Version53;
var nonAdjustPrice = metaInfo.Version >= MarketDataVersions.Version54;
var useLong = metaInfo.Version >= MarketDataVersions.Version55;
var prevTime = metaInfo.FirstTime;
var lastOffset = metaInfo.FirstServerOffset;
var serverTime = reader.ReadTime(ref prevTime, allowNonOrdered, isUtc, metaInfo.GetTimeZone(isUtc, SecurityId, ExchangeInfoProvider), allowDiffOffsets, isTickPrecision, ref lastOffset);
metaInfo.FirstTime = prevTime;
metaInfo.FirstServerOffset = lastOffset;
var isFull = reader.Read();
var prevDepth = enumerator.Previous;
var bids = DeserializeQuotes(reader, metaInfo, useLong, nonAdjustPrice);
var asks = DeserializeQuotes(reader, metaInfo, useLong, nonAdjustPrice);
var diff = new QuoteChangeMessage
{
LocalTime = metaInfo.FirstTime,
SecurityId = SecurityId,
ServerTime = serverTime,
Bids = bids,
Asks = asks,
IsSorted = true,
};
if (metaInfo.Version < MarketDataVersions.Version48)
{
diff.Bids = diff.Bids.OrderByDescending(q => q.Price).ToArray();
diff.Asks = diff.Asks.OrderBy(q => q.Price).ToArray();
}
var quoteMsg = isFull ? diff : prevDepth.AddDelta(diff);
//if (depth.BestBid != null && depth.BestAsk != null && depth.BestBid.Price >= depth.BestAsk.Price)
// throw new InvalidOperationException("Лучший бид {0} больше или равен лучшему офферу {1}.".Put(depth.BestBid.Price, depth.BestAsk.Price));
//metaInfo.FirstPrice = GetDepthPrice(quoteMsg);
if (metaInfo.Version < MarketDataVersions.Version40)
{
return(quoteMsg);
}
if (metaInfo.Version < MarketDataVersions.Version46)
{
quoteMsg.LocalTime = quoteMsg.ServerTime - reader.ReadLong().To <TimeSpan>() + metaInfo.LocalOffset;
}
else
{
var hasLocalTime = true;
if (metaInfo.Version >= MarketDataVersions.Version49)
{
hasLocalTime = reader.Read();
}
if (hasLocalTime)
{
var prevLocalTime = metaInfo.FirstLocalTime;
lastOffset = metaInfo.FirstLocalOffset;
var localTime = reader.ReadTime(ref prevLocalTime, allowNonOrdered, isUtc, metaInfo.LocalOffset, allowDiffOffsets, isTickPrecision, ref lastOffset);
metaInfo.FirstLocalTime = prevLocalTime;
quoteMsg.LocalTime = localTime;
metaInfo.FirstLocalOffset = lastOffset;
}
//else
// quoteMsg.LocalTime = quoteMsg.Time;
}
if (metaInfo.Version >= MarketDataVersions.Version51)
{
if (reader.Read())
{
quoteMsg.Currency = (CurrencyTypes)reader.ReadInt();
}
}
return(quoteMsg);
}
public override ExecutionMessage MoveNext(MarketDataEnumerator enumerator)
{
var reader = enumerator.Reader;
var metaInfo = enumerator.MetaInfo;
metaInfo.FirstOrderId += reader.ReadLong();
decimal price;
if (metaInfo.Version < MarketDataVersions.Version45)
{
price = reader.ReadPriceEx(metaInfo);
}
else
{
if (reader.Read())
{
price = metaInfo.FirstOrderPrice = reader.ReadPrice(metaInfo.FirstOrderPrice, metaInfo, true);
}
else
{
price = metaInfo.FirstNonSystemPrice = reader.ReadDecimal(metaInfo.FirstNonSystemPrice);
}
}
var volume = reader.ReadVolume(metaInfo);
var orderDirection = reader.Read() ? Sides.Buy : Sides.Sell;
var allowNonOrdered = metaInfo.Version >= MarketDataVersions.Version47;
var isUtc = metaInfo.Version >= MarketDataVersions.Version48;
var prevTime = metaInfo.FirstTime;
var serverTime = reader.ReadTime(ref prevTime, allowNonOrdered, isUtc, metaInfo.GetTimeZone(isUtc, SecurityId));
metaInfo.FirstTime = prevTime;
var execMsg = new ExecutionMessage
{
//LocalTime = metaInfo.FirstTime,
ExecutionType = ExecutionTypes.OrderLog,
SecurityId = SecurityId,
OrderId = metaInfo.FirstOrderId,
Volume = volume,
Side = orderDirection,
ServerTime = serverTime,
Price = price,
};
if (reader.Read())
{
metaInfo.FirstTradeId += reader.ReadLong();
price = reader.ReadPriceEx(metaInfo);
execMsg.TradeId = metaInfo.FirstTradeId;
execMsg.TradePrice = price;
execMsg.OrderState = OrderStates.Done;
}
else
{
var active = reader.Read();
execMsg.OrderState = active ? OrderStates.Active : OrderStates.Done;
execMsg.IsCancelled = !active;
}
if (metaInfo.Version >= MarketDataVersions.Version31)
{
execMsg.OrderStatus = reader.ReadNullableInt <OrderStatus>();
if (execMsg.OrderStatus != null)
{
var status = (int)execMsg.OrderStatus.Value;
if (status.HasBits(0x01))
{
execMsg.TimeInForce = TimeInForce.PutInQueue;
}
else if (status.HasBits(0x02))
{
execMsg.TimeInForce = TimeInForce.CancelBalance;
}
}
// Лучше ExecCond писать отдельным полем так как возможно только Плаза пишет это в статус
if (metaInfo.Version >= MarketDataVersions.Version33)
{
execMsg.TimeInForce = (TimeInForce)reader.ReadInt();
execMsg.IsSystem = metaInfo.Version < MarketDataVersions.Version49
? reader.Read()
: (reader.Read() ? reader.Read() : (bool?)null);
if (metaInfo.Version >= MarketDataVersions.Version34)
{
metaInfo.FirstTransactionId += reader.ReadLong();
execMsg.TransactionId = metaInfo.FirstTransactionId;
}
}
else
{
if (execMsg.OrderStatus != null)
{
execMsg.IsSystem = !((int)execMsg.OrderStatus).HasBits(0x04);
}
}
}
if (metaInfo.Version >= MarketDataVersions.Version40)
{
if (metaInfo.Version < MarketDataVersions.Version46)
{
/*item.Latency =*/ reader.ReadLong(); //.To<TimeSpan>();
}
if (reader.Read())
{
execMsg.PortfolioName = metaInfo.Portfolios[reader.ReadInt()];
}
}
//if (order.Portfolio == null)
// order.Portfolio = Portfolio.AnonymousPortfolio;
return(execMsg);
}
public override ExecutionMessage MoveNext(MarketDataEnumerator enumerator)
{
var reader = enumerator.Reader;
var metaInfo = enumerator.MetaInfo;
metaInfo.FirstId += reader.ReadLong();
var volume = reader.ReadVolume(metaInfo);
var price = reader.ReadPriceEx(metaInfo);
var orderDirection = reader.Read() ? (reader.Read() ? Sides.Buy : Sides.Sell) : (Sides?)null;
var allowNonOrdered = metaInfo.Version >= MarketDataVersions.Version48;
var isUtc = metaInfo.Version >= MarketDataVersions.Version50;
var prevTime = metaInfo.FirstTime;
var serverTime = reader.ReadTime(ref prevTime, allowNonOrdered, isUtc, metaInfo.GetTimeZone(isUtc, SecurityId));
metaInfo.FirstTime = prevTime;
var msg = new ExecutionMessage
{
//LocalTime = metaInfo.FirstTime,
ExecutionType = ExecutionTypes.Tick,
SecurityId = SecurityId,
TradeId = metaInfo.FirstId,
Volume = volume,
OriginSide = orderDirection,
TradePrice = price,
ServerTime = serverTime,
};
if (metaInfo.Version < MarketDataVersions.Version40)
{
return(msg);
}
if (metaInfo.Version < MarketDataVersions.Version47)
{
msg.LocalTime = msg.ServerTime.LocalDateTime - reader.ReadLong().To <TimeSpan>() + metaInfo.LocalOffset;
}
else
{
var hasLocalTime = true;
if (metaInfo.Version >= MarketDataVersions.Version49)
{
hasLocalTime = reader.Read();
}
if (hasLocalTime)
{
var prevLocalTime = metaInfo.FirstLocalTime;
var localTime = reader.ReadTime(ref prevLocalTime, allowNonOrdered, isUtc, metaInfo.LocalOffset);
metaInfo.FirstLocalTime = prevLocalTime;
msg.LocalTime = localTime.LocalDateTime;
}
//else
// msg.LocalTime = msg.ServerTime;
}
if (metaInfo.Version < MarketDataVersions.Version42)
{
return(msg);
}
msg.IsSystem = metaInfo.Version < MarketDataVersions.Version51
? reader.Read()
: (reader.Read() ? reader.Read() : (bool?)null);
if (msg.IsSystem == false)
{
msg.TradeStatus = metaInfo.Version < MarketDataVersions.Version51
? reader.ReadInt()
: reader.ReadNullableInt <int>();
}
if (metaInfo.Version < MarketDataVersions.Version46 || reader.Read())
{
msg.OpenInterest = reader.ReadVolume(metaInfo);
}
if (metaInfo.Version < MarketDataVersions.Version45)
{
return(msg);
}
if (reader.Read())
{
msg.IsUpTick = reader.Read();
}
return(msg);
}
public override PositionChangeMessage MoveNext(MarketDataEnumerator enumerator)
{
var reader = enumerator.Reader;
var metaInfo = enumerator.MetaInfo;
var posMsg = new PositionChangeMessage {
SecurityId = SecurityId
};
var prevTime = metaInfo.FirstTime;
var lastOffset = metaInfo.FirstServerOffset;
posMsg.ServerTime = reader.ReadTime(ref prevTime, true, true, metaInfo.GetTimeZone(true, SecurityId, ExchangeInfoProvider), true, true, ref lastOffset);
metaInfo.FirstTime = prevTime;
metaInfo.FirstServerOffset = lastOffset;
if (reader.Read())
{
prevTime = metaInfo.FirstLocalTime;
lastOffset = metaInfo.FirstLocalOffset;
posMsg.LocalTime = reader.ReadTime(ref prevTime, true, true, metaInfo.LocalOffset, true, true, ref lastOffset);
metaInfo.FirstLocalTime = prevTime;
metaInfo.FirstLocalOffset = lastOffset;
}
posMsg.PortfolioName = metaInfo.Portfolios[reader.ReadInt()];
if (reader.Read())
{
posMsg.ClientCode = metaInfo.ClientCodes[reader.ReadInt()];
}
if (reader.Read())
{
posMsg.DepoName = metaInfo.DepoNames[reader.ReadInt()];
}
if (reader.Read())
{
posMsg.LimitType = (TPlusLimits)reader.ReadInt();
}
var changeCount = reader.ReadInt();
for (var i = 0; i < changeCount; i++)
{
var type = (PositionChangeTypes)reader.ReadInt();
switch (type)
{
case PositionChangeTypes.BeginValue:
posMsg.Add(type, DeserializeChange(reader, metaInfo.BeginValue));
break;
case PositionChangeTypes.CurrentValue:
posMsg.Add(type, DeserializeChange(reader, metaInfo.CurrentValue));
break;
case PositionChangeTypes.BlockedValue:
posMsg.Add(type, DeserializeChange(reader, metaInfo.BlockedValue));
break;
case PositionChangeTypes.CurrentPrice:
posMsg.Add(type, DeserializeChange(reader, metaInfo.CurrentPrice));
break;
case PositionChangeTypes.AveragePrice:
posMsg.Add(type, DeserializeChange(reader, metaInfo.AveragePrice));
break;
case PositionChangeTypes.UnrealizedPnL:
posMsg.Add(type, DeserializeChange(reader, metaInfo.UnrealizedPnL));
break;
case PositionChangeTypes.RealizedPnL:
posMsg.Add(type, DeserializeChange(reader, metaInfo.RealizedPnL));
break;
case PositionChangeTypes.VariationMargin:
posMsg.Add(type, DeserializeChange(reader, metaInfo.VariationMargin));
break;
case PositionChangeTypes.Currency:
posMsg.Add(type, (CurrencyTypes)reader.ReadInt());
break;
case PositionChangeTypes.Leverage:
posMsg.Add(type, DeserializeChange(reader, metaInfo.Leverage));
break;
case PositionChangeTypes.Commission:
posMsg.Add(type, DeserializeChange(reader, metaInfo.Commission));
break;
case PositionChangeTypes.CurrentValueInLots:
posMsg.Add(type, DeserializeChange(reader, metaInfo.CurrentValueInLots));
break;
case PositionChangeTypes.State:
posMsg.Add(type, (PortfolioStates)reader.ReadInt());
break;
default:
throw new ArgumentOutOfRangeException();
}
}
return(posMsg);
}
public override TCandleMessage MoveNext(MarketDataEnumerator enumerator)
{
var reader = enumerator.Reader;
var metaInfo = enumerator.MetaInfo;
var candle = new TCandleMessage
{
SecurityId = SecurityId,
TotalVolume = reader.ReadVolume(metaInfo),
RelativeVolume = metaInfo.Version < MarketDataVersions.Version52 || !reader.Read() ? (decimal?)null : reader.ReadVolume(metaInfo),
LowPrice = reader.ReadPrice(metaInfo.FirstPrice, metaInfo),
Arg = _arg
};
candle.OpenPrice = reader.ReadPrice(candle.LowPrice, metaInfo);
candle.ClosePrice = reader.ReadPrice(candle.LowPrice, metaInfo);
candle.HighPrice = reader.ReadPrice(candle.LowPrice, metaInfo);
var prevTime = metaInfo.FirstTime;
var allowNonOrdered = metaInfo.Version >= MarketDataVersions.Version49;
var isUtc = metaInfo.Version >= MarketDataVersions.Version50;
var timeZone = metaInfo.GetTimeZone(isUtc, SecurityId);
var allowDiffOffsets = metaInfo.Version >= MarketDataVersions.Version53;
var lastOffset = metaInfo.FirstServerOffset;
candle.OpenTime = reader.ReadTime(ref prevTime, allowNonOrdered, isUtc, timeZone, allowDiffOffsets, ref lastOffset);
metaInfo.FirstServerOffset = lastOffset;
if (metaInfo.Version >= MarketDataVersions.Version46)
{
if (reader.Read())
{
var isOrdered = reader.Read();
var first = reader.ReadTime(ref prevTime, allowNonOrdered, isUtc, timeZone, allowDiffOffsets, ref lastOffset);
var second = reader.ReadTime(ref prevTime, allowNonOrdered, isUtc, timeZone, allowDiffOffsets, ref lastOffset);
candle.HighTime = isOrdered ? first : second;
candle.LowTime = isOrdered ? second : first;
}
else
{
if (reader.Read())
{
candle.HighTime = reader.ReadTime(ref prevTime, allowNonOrdered, isUtc, timeZone, allowDiffOffsets, ref lastOffset);
}
if (reader.Read())
{
candle.LowTime = reader.ReadTime(ref prevTime, allowNonOrdered, isUtc, timeZone, allowDiffOffsets, ref lastOffset);
}
}
}
if (metaInfo.Version >= MarketDataVersions.Version47)
{
if (reader.Read())
{
candle.CloseTime = reader.ReadTime(ref prevTime, allowNonOrdered, isUtc, timeZone, allowDiffOffsets, ref lastOffset);
}
}
else
{
candle.CloseTime = reader.ReadTime(ref prevTime, allowNonOrdered, isUtc, metaInfo.LocalOffset, allowDiffOffsets, ref lastOffset);
}
if (metaInfo.Version >= MarketDataVersions.Version46)
{
if (metaInfo.Version < MarketDataVersions.Version51)
{
candle.OpenVolume = reader.ReadVolume(metaInfo);
candle.HighVolume = reader.ReadVolume(metaInfo);
candle.LowVolume = reader.ReadVolume(metaInfo);
candle.CloseVolume = reader.ReadVolume(metaInfo);
}
else
{
candle.OpenVolume = reader.Read() ? reader.ReadVolume(metaInfo) : (decimal?)null;
candle.HighVolume = reader.Read() ? reader.ReadVolume(metaInfo) : (decimal?)null;
candle.LowVolume = reader.Read() ? reader.ReadVolume(metaInfo) : (decimal?)null;
candle.CloseVolume = reader.Read() ? reader.ReadVolume(metaInfo) : (decimal?)null;
}
}
candle.State = (CandleStates)reader.ReadInt();
metaInfo.FirstPrice = candle.LowPrice;
metaInfo.FirstTime = metaInfo.Version <= MarketDataVersions.Version40 ? candle.OpenTime.LocalDateTime : prevTime;
if (metaInfo.Version >= MarketDataVersions.Version45)
{
if (metaInfo.Version < MarketDataVersions.Version48 || reader.Read())
{
candle.OpenInterest = reader.ReadVolume(metaInfo);
}
}
if (metaInfo.Version >= MarketDataVersions.Version52)
{
candle.DownTicks = reader.Read() ? reader.ReadInt() : (int?)null;
candle.UpTicks = reader.Read() ? reader.ReadInt() : (int?)null;
candle.TotalTicks = reader.Read() ? reader.ReadInt() : (int?)null;
}
return(candle);
}
public override QuoteChangeMessage MoveNext(MarketDataEnumerator enumerator)
{
var metaInfo = enumerator.MetaInfo;
var reader = enumerator.Reader;
var allowNonOrdered = metaInfo.Version >= MarketDataVersions.Version47;
var isUtc = metaInfo.Version >= MarketDataVersions.Version50;
var prevTime = metaInfo.FirstTime;
var serverTime = reader.ReadTime(ref prevTime, allowNonOrdered, isUtc, metaInfo.GetTimeZone(isUtc, SecurityId));
metaInfo.FirstTime = prevTime;
var isFull = reader.Read();
var prevDepth = enumerator.Previous;
var bids = DeserializeQuotes(reader, metaInfo, Sides.Buy);
var asks = DeserializeQuotes(reader, metaInfo, Sides.Sell);
var diff = new QuoteChangeMessage
{
LocalTime = metaInfo.FirstTime,
SecurityId = SecurityId,
ServerTime = serverTime,
Bids = bids,
Asks = asks,
IsSorted = true,
};
if (metaInfo.Version < MarketDataVersions.Version48)
{
diff.Bids = diff.Bids.OrderByDescending(q => q.Price);
diff.Asks = diff.Asks.OrderBy(q => q.Price);
}
var quoteMsg = isFull ? diff : prevDepth.AddDelta(diff);
//if (depth.BestBid != null && depth.BestAsk != null && depth.BestBid.Price >= depth.BestAsk.Price)
// throw new InvalidOperationException("Лучший бид {0} больше или равен лучшему офферу {1}.".Put(depth.BestBid.Price, depth.BestAsk.Price));
metaInfo.FirstPrice = GetDepthPrice(quoteMsg);
if (metaInfo.Version < MarketDataVersions.Version40)
{
return(quoteMsg);
}
if (metaInfo.Version < MarketDataVersions.Version46)
{
quoteMsg.LocalTime = quoteMsg.ServerTime.LocalDateTime - reader.ReadLong().To <TimeSpan>() + metaInfo.LocalOffset;
}
else
{
var hasLocalTime = true;
if (metaInfo.Version >= MarketDataVersions.Version49)
{
hasLocalTime = reader.Read();
}
if (hasLocalTime)
{
var prevLocalTime = metaInfo.FirstLocalTime;
var localTime = reader.ReadTime(ref prevLocalTime, allowNonOrdered, isUtc, metaInfo.LocalOffset);
metaInfo.FirstLocalTime = prevLocalTime;
quoteMsg.LocalTime = localTime.LocalDateTime;
}
//else
// quoteMsg.LocalTime = quoteMsg.Time;
}
return(quoteMsg);
}
public override TCandleMessage MoveNext(MarketDataEnumerator enumerator)
{
var reader = enumerator.Reader;
var metaInfo = enumerator.MetaInfo;
var candle = new TCandleMessage
{
SecurityId = SecurityId,
TotalVolume = reader.ReadVolume(metaInfo),
RelativeVolume = metaInfo.Version < MarketDataVersions.Version52 || !reader.Read() ? (decimal?)null : reader.ReadVolume(metaInfo),
Arg = Arg
};
var prevTime = metaInfo.FirstTime;
var allowNonOrdered = metaInfo.Version >= MarketDataVersions.Version49;
var isUtc = metaInfo.Version >= MarketDataVersions.Version50;
var timeZone = metaInfo.GetTimeZone(isUtc, SecurityId, ExchangeInfoProvider);
var allowDiffOffsets = metaInfo.Version >= MarketDataVersions.Version53;
var useLevels = metaInfo.Version >= MarketDataVersions.Version54;
var isTickPrecision = metaInfo.Version >= MarketDataVersions.Version57;
var useLong = metaInfo.Version >= MarketDataVersions.Version58;
var buildFrom = metaInfo.Version >= MarketDataVersions.Version59;
var seqNum = metaInfo.Version >= MarketDataVersions.Version60;
if (metaInfo.Version < MarketDataVersions.Version56)
{
var prevPrice = metaInfo.FirstPrice;
candle.LowPrice = reader.ReadPrice(ref prevPrice, metaInfo);
metaInfo.FirstPrice = prevPrice;
prevPrice = metaInfo.FirstPrice;
candle.OpenPrice = reader.ReadPrice(ref prevPrice, metaInfo);
prevPrice = metaInfo.FirstPrice;
candle.ClosePrice = reader.ReadPrice(ref prevPrice, metaInfo);
prevPrice = metaInfo.FirstPrice;
candle.HighPrice = reader.ReadPrice(ref prevPrice, metaInfo);
}
else
{
candle.LowPrice = reader.ReadPriceEx(metaInfo, useLong);
if (reader.Read())
{
candle.OpenPrice = reader.ReadPriceEx(metaInfo, useLong);
candle.ClosePrice = reader.ReadPriceEx(metaInfo, useLong);
}
else
{
candle.ClosePrice = reader.ReadPriceEx(metaInfo, useLong);
candle.OpenPrice = reader.ReadPriceEx(metaInfo, useLong);
}
candle.HighPrice = reader.ReadPriceEx(metaInfo, useLong);
}
var lastOffset = metaInfo.FirstServerOffset;
candle.OpenTime = reader.ReadTime(ref prevTime, allowNonOrdered, isUtc, timeZone, allowDiffOffsets, isTickPrecision, ref lastOffset);
metaInfo.FirstServerOffset = lastOffset;
if (metaInfo.Version >= MarketDataVersions.Version46)
{
if (reader.Read())
{
var isOrdered = reader.Read();
var first = reader.ReadTime(ref prevTime, allowNonOrdered, isUtc, timeZone, allowDiffOffsets, isTickPrecision, ref lastOffset);
var second = reader.ReadTime(ref prevTime, allowNonOrdered, isUtc, timeZone, allowDiffOffsets, isTickPrecision, ref lastOffset);
candle.HighTime = isOrdered ? first : second;
candle.LowTime = isOrdered ? second : first;
}
else
{
if (reader.Read())
{
candle.HighTime = reader.ReadTime(ref prevTime, allowNonOrdered, isUtc, timeZone, allowDiffOffsets, isTickPrecision, ref lastOffset);
}
if (reader.Read())
{
candle.LowTime = reader.ReadTime(ref prevTime, allowNonOrdered, isUtc, timeZone, allowDiffOffsets, isTickPrecision, ref lastOffset);
}
}
}
if (metaInfo.Version >= MarketDataVersions.Version47)
{
if (reader.Read())
{
candle.CloseTime = reader.ReadTime(ref prevTime, allowNonOrdered, isUtc, timeZone, allowDiffOffsets, isTickPrecision, ref lastOffset);
}
}
else
{
candle.CloseTime = reader.ReadTime(ref prevTime, allowNonOrdered, isUtc, metaInfo.LocalOffset, allowDiffOffsets, false, ref lastOffset);
}
if (metaInfo.Version >= MarketDataVersions.Version46)
{
if (metaInfo.Version < MarketDataVersions.Version51)
{
candle.OpenVolume = reader.ReadVolume(metaInfo);
candle.HighVolume = reader.ReadVolume(metaInfo);
candle.LowVolume = reader.ReadVolume(metaInfo);
candle.CloseVolume = reader.ReadVolume(metaInfo);
}
else
{
candle.OpenVolume = reader.Read() ? reader.ReadVolume(metaInfo) : (decimal?)null;
candle.HighVolume = reader.Read() ? reader.ReadVolume(metaInfo) : (decimal?)null;
candle.LowVolume = reader.Read() ? reader.ReadVolume(metaInfo) : (decimal?)null;
candle.CloseVolume = reader.Read() ? reader.ReadVolume(metaInfo) : (decimal?)null;
}
}
candle.State = (CandleStates)reader.ReadInt();
metaInfo.FirstTime = metaInfo.Version <= MarketDataVersions.Version40 ? candle.OpenTime.LocalDateTime : prevTime;
if (metaInfo.Version >= MarketDataVersions.Version45)
{
if (metaInfo.Version < MarketDataVersions.Version48 || reader.Read())
{
candle.OpenInterest = reader.ReadVolume(metaInfo);
}
}
if (metaInfo.Version >= MarketDataVersions.Version52)
{
candle.DownTicks = reader.Read() ? reader.ReadInt() : (int?)null;
candle.UpTicks = reader.Read() ? reader.ReadInt() : (int?)null;
candle.TotalTicks = reader.Read() ? reader.ReadInt() : (int?)null;
}
if (!useLevels)
{
return(candle);
}
if (reader.Read())
{
var priceLevels = new CandlePriceLevel[reader.ReadInt()];
for (var i = 0; i < priceLevels.Length; i++)
{
var prevPrice = metaInfo.FirstPrice;
var priceLevel = new CandlePriceLevel
{
Price = metaInfo.Version < MarketDataVersions.Version56
? reader.ReadPrice(ref prevPrice, metaInfo)
: reader.ReadPriceEx(metaInfo),
BuyCount = reader.ReadInt(),
SellCount = reader.ReadInt(),
BuyVolume = reader.ReadVolume(metaInfo),
SellVolume = reader.ReadVolume(metaInfo)
};
if (metaInfo.Version >= MarketDataVersions.Version55)
{
priceLevel.TotalVolume = reader.ReadVolume(metaInfo);
}
if (reader.Read())
{
var volumes = new decimal[reader.ReadInt()];
for (var j = 0; j < volumes.Length; j++)
{
volumes[j] = reader.ReadVolume(metaInfo);
}
priceLevel.BuyVolumes = volumes;
}
if (reader.Read())
{
var volumes = new decimal[reader.ReadInt()];
for (var j = 0; j < volumes.Length; j++)
{
volumes[j] = reader.ReadVolume(metaInfo);
}
priceLevel.SellVolumes = volumes;
}
priceLevels[i] = priceLevel;
}
candle.PriceLevels = priceLevels;
}
if (!buildFrom)
{
return(candle);
}
candle.BuildFrom = reader.ReadBuildFrom();
if (!seqNum)
{
return(candle);
}
reader.ReadSeqNum(candle, metaInfo);
return(candle);
}
public override PositionChangeMessage MoveNext(MarketDataEnumerator enumerator)
{
var reader = enumerator.Reader;
var metaInfo = enumerator.MetaInfo;
var buildFrom = metaInfo.Version >= MarketDataVersions.Version35;
var side = metaInfo.Version >= MarketDataVersions.Version36;
var posMsg = new PositionChangeMessage {
SecurityId = SecurityId
};
var prevTime = metaInfo.FirstTime;
var lastOffset = metaInfo.FirstServerOffset;
posMsg.ServerTime = reader.ReadTime(ref prevTime, true, true, metaInfo.GetTimeZone(true, SecurityId, ExchangeInfoProvider), true, true, ref lastOffset);
metaInfo.FirstTime = prevTime;
metaInfo.FirstServerOffset = lastOffset;
if (reader.Read())
{
prevTime = metaInfo.FirstLocalTime;
lastOffset = metaInfo.FirstLocalOffset;
posMsg.LocalTime = reader.ReadTime(ref prevTime, true, true, metaInfo.LocalOffset, true, true, ref lastOffset);
metaInfo.FirstLocalTime = prevTime;
metaInfo.FirstLocalOffset = lastOffset;
}
posMsg.PortfolioName = metaInfo.Portfolios[reader.ReadInt()];
if (reader.Read())
{
posMsg.ClientCode = metaInfo.ClientCodes[reader.ReadInt()];
}
if (reader.Read())
{
posMsg.DepoName = metaInfo.DepoNames[reader.ReadInt()];
}
if (reader.Read())
{
posMsg.LimitType = (TPlusLimits)reader.ReadInt();
}
var changeCount = reader.ReadInt();
for (var i = 0; i < changeCount; i++)
{
var type = (PositionChangeTypes)reader.ReadInt();
switch (type)
{
case PositionChangeTypes.BeginValue:
posMsg.Add(type, DeserializeChange(reader, metaInfo.BeginValue));
break;
case PositionChangeTypes.CurrentValue:
posMsg.Add(type, DeserializeChange(reader, metaInfo.CurrentValue));
break;
case PositionChangeTypes.BlockedValue:
posMsg.Add(type, DeserializeChange(reader, metaInfo.BlockedValue));
break;
case PositionChangeTypes.CurrentPrice:
posMsg.Add(type, DeserializeChange(reader, metaInfo.CurrentPrice));
break;
case PositionChangeTypes.AveragePrice:
posMsg.Add(type, DeserializeChange(reader, metaInfo.AveragePrice));
break;
case PositionChangeTypes.UnrealizedPnL:
posMsg.Add(type, DeserializeChange(reader, metaInfo.UnrealizedPnL));
break;
case PositionChangeTypes.RealizedPnL:
posMsg.Add(type, DeserializeChange(reader, metaInfo.RealizedPnL));
break;
case PositionChangeTypes.VariationMargin:
posMsg.Add(type, DeserializeChange(reader, metaInfo.VariationMargin));
break;
case PositionChangeTypes.Currency:
posMsg.Add(type, (CurrencyTypes)reader.ReadInt());
break;
case PositionChangeTypes.Leverage:
posMsg.Add(type, DeserializeChange(reader, metaInfo.Leverage));
break;
case PositionChangeTypes.Commission:
posMsg.Add(type, DeserializeChange(reader, metaInfo.Commission));
break;
case PositionChangeTypes.CurrentValueInLots:
posMsg.Add(type, DeserializeChange(reader, metaInfo.CurrentValueInLots));
break;
case PositionChangeTypes.State:
posMsg.Add(type, (PortfolioStates)reader.ReadInt());
break;
case PositionChangeTypes.ExpirationDate:
posMsg.Add(type, reader.ReadDto().Value);
break;
case PositionChangeTypes.CommissionMaker:
case PositionChangeTypes.CommissionTaker:
case PositionChangeTypes.BuyOrdersMargin:
case PositionChangeTypes.SellOrdersMargin:
case PositionChangeTypes.OrdersMargin:
posMsg.Add(type, reader.ReadDecimal(0));
break;
case PositionChangeTypes.SettlementPrice:
posMsg.Add(type, DeserializeChange(reader, metaInfo.SettlementPrice));
break;
case PositionChangeTypes.BuyOrdersCount:
case PositionChangeTypes.SellOrdersCount:
case PositionChangeTypes.OrdersCount:
case PositionChangeTypes.TradesCount:
posMsg.Add(type, reader.ReadInt());
break;
default:
throw new ArgumentOutOfRangeException();
}
}
if (metaInfo.Version < MarketDataVersions.Version34)
{
return(posMsg);
}
posMsg.Description = reader.ReadStringEx();
posMsg.StrategyId = reader.ReadStringEx();
if (!buildFrom)
{
return(posMsg);
}
posMsg.BuildFrom = reader.ReadBuildFrom();
if (!side)
{
return(posMsg);
}
posMsg.Side = reader.ReadNullableSide();
return(posMsg);
}
public override ExecutionMessage MoveNext(MarketDataEnumerator enumerator)
{
var reader = enumerator.Reader;
var metaInfo = enumerator.MetaInfo;
metaInfo.FirstOrderId += reader.ReadLong();
decimal price;
if (metaInfo.Version < MarketDataVersions.Version45)
{
price = reader.ReadPriceEx(metaInfo);
}
else
{
if (reader.Read())
{
price = metaInfo.FirstOrderPrice = reader.ReadPrice(metaInfo.FirstOrderPrice, metaInfo, true);
}
else
{
price = metaInfo.FirstFractionalPrice = reader.ReadDecimal(metaInfo.FirstFractionalPrice);
}
}
var volume = reader.ReadVolume(metaInfo);
var orderDirection = reader.Read() ? Sides.Buy : Sides.Sell;
var allowNonOrdered = metaInfo.Version >= MarketDataVersions.Version47;
var isUtc = metaInfo.Version >= MarketDataVersions.Version48;
var allowDiffOffsets = metaInfo.Version >= MarketDataVersions.Version52;
var isTickPrecision = metaInfo.Version >= MarketDataVersions.Version53;
var prevTime = metaInfo.FirstTime;
var lastOffset = metaInfo.FirstServerOffset;
var serverTime = reader.ReadTime(ref prevTime, allowNonOrdered, isUtc, metaInfo.GetTimeZone(isUtc, SecurityId, ExchangeInfoProvider), allowDiffOffsets, isTickPrecision, ref lastOffset);
metaInfo.FirstTime = prevTime;
metaInfo.FirstServerOffset = lastOffset;
var execMsg = new ExecutionMessage
{
//LocalTime = metaInfo.FirstTime,
ExecutionType = ExecutionTypes.OrderLog,
SecurityId = SecurityId,
OrderId = metaInfo.FirstOrderId,
OrderVolume = volume,
Side = orderDirection,
ServerTime = serverTime,
OrderPrice = price,
};
if (reader.Read())
{
metaInfo.FirstTradeId += reader.ReadLong();
price = reader.ReadPriceEx(metaInfo);
execMsg.TradeId = metaInfo.FirstTradeId;
execMsg.TradePrice = price;
execMsg.OrderState = OrderStates.Done;
}
else
{
var active = reader.Read();
execMsg.OrderState = active ? OrderStates.Active : OrderStates.Done;
execMsg.IsCancelled = !active;
}
if (metaInfo.Version >= MarketDataVersions.Version31)
{
execMsg.OrderStatus = reader.ReadNullableInt <long>();
if (execMsg.OrderStatus != null)
{
execMsg.TimeInForce = execMsg.OrderStatus.Value.GetPlazaTimeInForce();
}
// Лучше ExecCond писать отдельным полем так как возможно только Плаза пишет это в статус
if (metaInfo.Version >= MarketDataVersions.Version33)
{
if (metaInfo.Version < MarketDataVersions.Version50)
{
execMsg.TimeInForce = (TimeInForce)reader.ReadInt();
}
else
{
execMsg.TimeInForce = reader.Read() ? (TimeInForce)reader.ReadInt() : (TimeInForce?)null;
}
execMsg.IsSystem = metaInfo.Version < MarketDataVersions.Version49
? reader.Read()
: (reader.Read() ? reader.Read() : (bool?)null);
if (metaInfo.Version >= MarketDataVersions.Version34)
{
metaInfo.FirstTransactionId += reader.ReadLong();
execMsg.TransactionId = metaInfo.FirstTransactionId;
}
}
else
{
if (execMsg.OrderStatus != null)
{
execMsg.IsSystem = execMsg.OrderStatus.Value.IsPlazaSystem();
}
}
}
if (metaInfo.Version >= MarketDataVersions.Version40)
{
if (metaInfo.Version < MarketDataVersions.Version46)
{
/*item.Latency =*/ reader.ReadLong(); //.To<TimeSpan>();
}
if (reader.Read())
{
execMsg.PortfolioName = metaInfo.Portfolios[reader.ReadInt()];
}
}
//if (order.Portfolio == null)
// order.Portfolio = Portfolio.AnonymousPortfolio;
if (metaInfo.Version >= MarketDataVersions.Version51)
{
if (reader.Read())
{
execMsg.Currency = (CurrencyTypes)reader.ReadInt();
}
}
return(execMsg);
}
public override ExecutionMessage MoveNext(MarketDataEnumerator enumerator)
{
var reader = enumerator.Reader;
var metaInfo = enumerator.MetaInfo;
var allowNonOrdered = metaInfo.Version >= MarketDataVersions.Version47;
var isUtc = metaInfo.Version >= MarketDataVersions.Version48;
var allowDiffOffsets = metaInfo.Version >= MarketDataVersions.Version52;
var isTickPrecision = metaInfo.Version >= MarketDataVersions.Version53;
var useBalance = metaInfo.Version >= MarketDataVersions.Version54;
var buildFrom = metaInfo.Version >= MarketDataVersions.Version55;
var seqNum = metaInfo.Version >= MarketDataVersions.Version56;
var useLong = metaInfo.Version >= MarketDataVersions.Version57;
var largeDecimal = metaInfo.Version >= MarketDataVersions.Version57;
var stringId = metaInfo.Version >= MarketDataVersions.Version58;
metaInfo.FirstOrderId += reader.ReadLong();
decimal price;
if (metaInfo.Version < MarketDataVersions.Version45)
{
price = reader.ReadPriceEx(metaInfo, false, false);
}
else
{
if (reader.Read())
{
var prevPrice = metaInfo.FirstOrderPrice;
price = reader.ReadPrice(ref prevPrice, metaInfo, true);
metaInfo.FirstOrderPrice = prevPrice;
}
else
{
price = metaInfo.FirstFractionalPrice = reader.ReadDecimal(metaInfo.FirstFractionalPrice);
}
}
var volume = reader.ReadVolume(metaInfo, largeDecimal);
var orderDirection = reader.Read() ? Sides.Buy : Sides.Sell;
var prevTime = metaInfo.FirstTime;
var lastOffset = metaInfo.FirstServerOffset;
var serverTime = reader.ReadTime(ref prevTime, allowNonOrdered, isUtc, metaInfo.GetTimeZone(isUtc, SecurityId, ExchangeInfoProvider), allowDiffOffsets, isTickPrecision, ref lastOffset);
metaInfo.FirstTime = prevTime;
metaInfo.FirstServerOffset = lastOffset;
var execMsg = new ExecutionMessage
{
//LocalTime = metaInfo.FirstTime,
DataTypeEx = DataType.OrderLog,
SecurityId = SecurityId,
OrderId = metaInfo.FirstOrderId,
OrderVolume = volume,
Side = orderDirection,
ServerTime = serverTime,
OrderPrice = price,
};
if (reader.Read())
{
metaInfo.FirstTradeId += reader.ReadLong();
price = reader.ReadPriceEx(metaInfo, useLong, largeDecimal);
execMsg.TradeId = metaInfo.FirstTradeId;
execMsg.TradePrice = price;
if (metaInfo.Version >= MarketDataVersions.Version54)
{
execMsg.OrderState = (OrderStates)reader.ReadInt();
}
else
{
execMsg.OrderState = OrderStates.Done;
}
}
else
{
if (metaInfo.Version >= MarketDataVersions.Version54)
{
execMsg.OrderState = (OrderStates)reader.ReadInt();
}
else
{
execMsg.OrderState = reader.Read() ? OrderStates.Active : OrderStates.Done;
}
}
if (metaInfo.Version >= MarketDataVersions.Version31)
{
execMsg.OrderStatus = reader.ReadNullableInt();
if (execMsg.OrderStatus != null)
{
execMsg.TimeInForce = execMsg.OrderStatus.Value.GetPlazaTimeInForce();
}
// Лучше ExecCond писать отдельным полем так как возможно только Плаза пишет это в статус
if (metaInfo.Version >= MarketDataVersions.Version33)
{
if (metaInfo.Version < MarketDataVersions.Version50)
{
execMsg.TimeInForce = (TimeInForce)reader.ReadInt();
}
else
{
execMsg.TimeInForce = reader.Read() ? (TimeInForce)reader.ReadInt() : null;
}
execMsg.IsSystem = metaInfo.Version < MarketDataVersions.Version49
? reader.Read()
: (reader.Read() ? reader.Read() : (bool?)null);
if (metaInfo.Version >= MarketDataVersions.Version34)
{
metaInfo.FirstTransactionId += reader.ReadLong();
execMsg.TransactionId = metaInfo.FirstTransactionId;
}
}
else
{
if (execMsg.OrderStatus != null)
{
execMsg.IsSystem = execMsg.OrderStatus.Value.IsPlazaSystem();
}
}
}
if (metaInfo.Version >= MarketDataVersions.Version40)
{
if (metaInfo.Version < MarketDataVersions.Version46)
{
/*item.Latency =*/ reader.ReadLong(); //.To<TimeSpan>();
}
if (reader.Read())
{
if (metaInfo.Version >= MarketDataVersions.Version54)
{
if (reader.Read())
{
execMsg.PortfolioName = Portfolio.AnonymousPortfolio.Name;
}
else
{
execMsg.PortfolioName = metaInfo.Portfolios[reader.ReadInt()];
}
}
else
{
execMsg.PortfolioName = metaInfo.Portfolios[reader.ReadInt()];
}
}
}
//if (order.Portfolio == null)
// order.Portfolio = Portfolio.AnonymousPortfolio;
if (metaInfo.Version >= MarketDataVersions.Version51)
{
if (reader.Read())
{
execMsg.Currency = (CurrencyTypes)reader.ReadInt();
}
}
if (!useBalance)
{
return(execMsg);
}
if (reader.Read())
{
execMsg.Balance = reader.Read() ? reader.ReadDecimal(0) : 0M;
}
if (!buildFrom)
{
return(execMsg);
}
execMsg.BuildFrom = reader.ReadBuildFrom();
if (!seqNum)
{
return(execMsg);
}
reader.ReadSeqNum(execMsg, metaInfo);
if (!stringId)
{
return(execMsg);
}
if (reader.Read())
{
execMsg.OrderId = null;
}
execMsg.OrderStringId = reader.ReadStringEx();
if (reader.Read())
{
execMsg.TradeId = null;
}
execMsg.TradeStringId = reader.ReadStringEx();
if (reader.Read())
{
metaInfo.FirstOrderId += reader.ReadLong();
execMsg.OrderBuyId = metaInfo.FirstOrderId;
}
if (reader.Read())
{
metaInfo.FirstOrderId += reader.ReadLong();
execMsg.OrderSellId = metaInfo.FirstOrderId;
}
execMsg.IsUpTick = reader.ReadNullableBool();
execMsg.Yield = reader.ReadNullableDecimal();
execMsg.TradeStatus = reader.ReadNullableInt();
execMsg.OpenInterest = reader.ReadNullableDecimal();
execMsg.OriginSide = (Sides?)reader.ReadNullableInt();
return(execMsg);
}
