private static string TryGetPrimaryExch(IBInstrumentData instrumentData)
{
var exchange = instrumentData.ExchangeCode;
switch (exchange)
{
case "NYSE_ARCA":
return("ARCA");
case "NYSE_MKT":
return("AMEX");
case "NCM":
case "NGM":
case "NGSM":
case "NSDQ":
return("NASDAQ");
case "NYSE":
return("NYSE");
default:
return(null);
}
}
public static Contract GetAssetContractStub(IBInstrumentData instrumentData)
{
// Мы ожидаем, что внешний конвертер сформирует код в формате LOCALSYMBOL
var symbol = instrumentData.Symbol;
GetCustomSymbolAndExchangeCode(instrumentData, SMART, ref symbol, out string exchangeCode);
var contract = new Contract
{
Exchange = exchangeCode,
LocalSymbol = symbol,
PrimaryExch = TryGetPrimaryExch(instrumentData)
};
switch (instrumentData.InstrumentType)
{
case IBInstrumentType.Index:
contract.SecType = "IND";
break;
case IBInstrumentType.FX:
contract.SecType = "CASH";
break;
default:
contract.SecType = "STK";
break;
}
return(contract);
}
/// <summary>
/// Если узел принадлежит пользовательской (созданной руками) бирже, метод возвращает её код.
/// Для бирж из символ-сервиса возвращается <paramref name="defaultExchange"/>.
/// </summary>
private static void GetCustomSymbolAndExchangeCode([CanBeNull] IBInstrumentData instrumentData, string defaultExchange, ref string symbol, [NotNull] out string exchangeCode)
{
var match = _SymbolRegex.Match(symbol);
// Если площадка явно указана в символе
if (match.Success)
{
symbol = match.Groups["symbol"].Value;
exchangeCode = match.Groups["exchange"].Value;
if (!string.IsNullOrEmpty(exchangeCode))
{
return;
}
}
if (instrumentData == null)
{
exchangeCode = defaultExchange;
return;
}
exchangeCode = instrumentData?.ExchangeCode ?? defaultExchange;
// Хардкод для CBOT
if (exchangeCode == "CBT")
{
exchangeCode = "ECBOT";
return;
}
if (exchangeCode == "HKEX")
{
exchangeCode = "HKFE";
return;
}
switch (instrumentData.InstrumentType)
{
case IBInstrumentType.Equity:
// Для акций
exchangeCode = defaultExchange;
break;
case IBInstrumentType.AssetOption:
case IBInstrumentType.FutureOption:
case IBInstrumentType.Future:
// Для опционов и фьючерсов не CBOT
exchangeCode = defaultExchange;
break;
}
}
public static Contract GetFutureOptionContractStub(IBInstrumentData instrumentData)
{
// Мы ожидаем, что внешний конвертер сформирует код в формате LOCALSYMBOL
var symbol = instrumentData.Symbol;
GetCustomSymbolAndExchangeCode(instrumentData, GLOBEX, ref symbol, out string exchangeCode);
var contract = new Contract
{
Exchange = exchangeCode,
LocalSymbol = symbol,
SecType = "FOP"
};
return(contract);
}
private static Contract GetContractStub(IBInstrumentData instrumentData)
{
switch (instrumentData.InstrumentType)
{
case IBInstrumentType.Equity:
case IBInstrumentType.Commodity:
case IBInstrumentType.Index:
case IBInstrumentType.FX:
return(GetAssetContractStub(instrumentData));
case IBInstrumentType.Future:
return(GetFutureContractStub(instrumentData));
case IBInstrumentType.FutureOption:
return(GetFutureOptionContractStub(instrumentData));
case IBInstrumentType.AssetOption:
return(GetAssetOptionContractStub(instrumentData));
default:
throw new ArgumentOutOfRangeException();
}
}
