internal HistoricalBidAskTick(ResponseReader r)
{
Time = r.ReadLong();
TickAttribBidAsk.Set(r.ReadInt());
PriceBid = r.ReadDouble();
PriceAsk = r.ReadDouble();
SizeBid = r.ReadLong();
SizeAsk = r.ReadLong();
}
internal HistoricalDataUpdate(ResponseReader r)
{
RequestId = r.ReadInt();
BarCount = r.ReadInt();
Date = r.ReadString();
Open = r.ReadDouble();
Close = r.ReadDouble();
High = r.ReadDouble();
Low = r.ReadDouble();
WAP = r.ReadDouble();
Volume = r.ReadLong();
}
internal RealtimeBar(ResponseReader r)
{
r.IgnoreVersion();
RequestId = r.ReadInt();
Time = Instant.FromUnixTimeSeconds(long.Parse(r.ReadString(), NumberFormatInfo.InvariantInfo));
Open = r.ReadDouble();
High = r.ReadDouble();
Low = r.ReadDouble();
Close = r.ReadDouble();
Volume = r.ReadLong();
Wap = r.ReadDouble();
Count = r.ReadInt();
}
internal ExchangeForPhysicalTick(ResponseReader r)
{
r.IgnoreVersion();
RequestId = r.ReadInt();
TickType = r.ReadEnum <TickType>();
BasisPoints = r.ReadDouble();
FormattedBasisPoints = r.ReadString();
ImpliedFuturesPrice = r.ReadDouble();
HoldDays = r.ReadInt();
FutureLastTradeDate = r.ReadString();
DividendImpact = r.ReadDouble();
DividendsToLastTradeDate = r.ReadDouble();
}
internal PnL(ResponseReader r)
{
RequestId = r.ReadInt();
DailyPnL = r.ReadDouble();
if (r.Builder.SupportsServerVersion(ServerVersion.UNREALIZED_PNL))
{
UnrealizedPnL = r.ReadDouble();
}
if (r.Builder.SupportsServerVersion(ServerVersion.REALIZED_PNL))
{
RealizedPnL = r.ReadDouble();
}
}
internal HistoricalDataBar(ResponseReader r)
{
Date = r.ReadLocalDateTime(HistoricalData.DateTimePattern);
Open = r.ReadDouble();
High = r.ReadDouble();
Low = r.ReadDouble();
Close = r.ReadDouble();
Volume = r.ReadLong();
WeightedAveragePrice = r.ReadDouble();
if (!r.Builder.SupportsServerVersion(ServerVersion.SYNT_REALTIME_BARS))
{
r.ReadString(); /*string hasGaps = */
}
Count = r.ReadInt();
}
internal HistoricalTick(ResponseReader r)
{
Time = r.ReadLong();
r.ReadInt(); // ?
Price = r.ReadDouble();
Size = r.ReadLong();
}
internal ReqParamsTick(ResponseReader r)
{
RequestId = r.ReadInt();
MinTick = r.ReadDouble();
BboExchange = r.ReadString();
SnapshotPermissions = r.ReadInt();
}
internal CommissionReport(ResponseReader r)
{
r.IgnoreVersion();
ExecutionId = r.ReadString();
Commission = r.ReadDouble();
Currency = r.ReadString();
RealizedPnl = r.ReadDouble();
Yield = r.ReadDouble();
YieldRedemptionDate = r.ReadInt();
if (Execution.Executions.TryGetValue(ExecutionId, out Execution? execution))
{
Execution = execution;
OrderId = execution.OrderId;
RequestId = execution.RequestId;
}
}
public void ReadContract()
{
if (MessageVersion >= 17)
{
Contract.ContractId = R.ReadInt();
}
Contract.Symbol = R.ReadString();
Contract.SecurityType = R.ReadStringEnum <SecurityType>();
Contract.LastTradeDateOrContractMonth = R.ReadString();
Contract.Strike = R.ReadDouble();
Contract.Right = R.ReadStringEnum <OptionRightType>();
if (MessageVersion >= 32)
{
Contract.Multiplier = R.ReadString();
}
Contract.Exchange = R.ReadString();
Contract.Currency = R.ReadString();
if (MessageVersion >= 2)
{
Contract.LocalSymbol = R.ReadString();
}
if (MessageVersion >= 32)
{
Contract.TradingClass = R.ReadString();
}
}
internal PriceTick(ResponseReader r)
{
r.RequireVersion(3);
RequestId = r.ReadInt();
TickType = r.ReadEnum <TickType>();
Price = r.ReadDouble();
Size = r.ReadLong();
TickAttrib = new TickAttrib(r);
}
internal static Tick Create(ResponseReader r)
{
r.IgnoreVersion();
int requestId = r.ReadInt();
TickType tickType = r.ReadEnum <TickType>();
double value = r.ReadDouble();
if (tickType == TickType.Halted)
{
return(new HaltedTick(requestId, tickType, value == 0 ? HaltType.NotHalted : HaltType.GeneralHalt));
}
return(new GenericTick(requestId, tickType, value));
}
internal OrderStatusReport(ResponseReader r)
{
if (!r.Builder.SupportsServerVersion(ServerVersion.MARKET_CAP_PRICE))
{
r.IgnoreVersion();
}
OrderId = r.ReadInt();
Status = r.ReadStringEnum <OrderStatus>();
Filled = r.ReadDouble();
Remaining = r.ReadDouble();
AverageFillPrice = r.ReadDouble();
PermanentId = r.ReadInt();
ParentId = r.ReadInt();
LastFillPrice = r.ReadDouble();
ClientId = r.ReadInt();
WhyHeld = r.ReadString();
if (r.Builder.SupportsServerVersion(ServerVersion.MARKET_CAP_PRICE))
{
MktCapPrice = r.ReadDouble();
}
}
internal MarketDepth(ResponseReader r, bool isLevel2)
{
r.IgnoreVersion();
RequestId = r.ReadInt();
Position = r.ReadInt();
MarketMaker = isLevel2 ? r.ReadString() : string.Empty;
Operation = r.ReadEnum <MarketDepthOperation>();
Side = r.ReadEnum <MarketDepthSide>();
Price = r.ReadDouble();
Size = r.ReadLong();
if (isLevel2 && r.Builder.SupportsServerVersion(ServerVersion.SMART_DEPTH))
{
IsSmartDepth = r.ReadBool();
}
}
internal SecurityDefinitionOptionParameter(ResponseReader r)
{
RequestId = r.ReadInt();
Exchange = r.ReadString();
UnderlyingContractId = r.ReadInt();
TradingClass = r.ReadString();
Multiplier = r.ReadString();
int n = r.ReadInt();
for (int i = 0; i < n; i++)
{
Expirations.Add(r.ReadString());
}
n = r.ReadInt();
for (int i = 0; i < n; i++)
{
Strikes.Add(r.ReadDouble());
}
}
internal HistogramItem(ResponseReader r)
{
Price = r.ReadDouble();
Size = r.ReadLong();
}
internal PriceIncrement(ResponseReader r)
{
LowEdge = r.ReadDouble();
Increment = r.ReadDouble();
}
