/// <summary>
/// To initialize the generator state.
/// </summary>
public override void Init()
{
base.Init();
_lastTradePrice = null;
_prevTradePrice = null;
_bestAskPrice = null;
_bestBidPrice = null;
_newTrades = false;
_currGenerations = MaxGenerations;
_boardDefinition = null;
}
/// <summary>
/// Process message.
/// </summary>
/// <param name="message">Message.</param>
/// <returns>The result of processing. If <see langword="null" /> is returned, then generator has no sufficient data to generate new message.</returns>
protected override Message OnProcess(Message message)
{
if (_boardDefinition == null)
{
if (message.Type == MessageTypes.Board)
_boardDefinition = (BoardMessage)message.Clone();
return null;
}
DateTimeOffset time;
switch (message.Type)
{
case MessageTypes.Level1Change:
{
var l1Msg = (Level1ChangeMessage)message;
var value = l1Msg.Changes.TryGetValue(Level1Fields.LastTradePrice);
if (value != null)
_lastTradePrice = (decimal)value;
value = l1Msg.Changes.TryGetValue(Level1Fields.BestBidPrice);
if (value != null)
_bestBidPrice = (decimal)value;
value = l1Msg.Changes.TryGetValue(Level1Fields.BestAskPrice);
if (value != null)
_bestAskPrice = (decimal)value;
time = l1Msg.ServerTime;
break;
}
case MessageTypes.Execution:
{
var execMsg = (ExecutionMessage)message;
switch (execMsg.ExecutionType)
{
case ExecutionTypes.Tick:
{
var tradePrice = execMsg.TradePrice;
if (null == _prevTradePrice)
{
_prevTradePrice = tradePrice;
_bestAskPrice = tradePrice;
_bestBidPrice = tradePrice;
}
switch (execMsg.OriginSide)
{
case null:
{
if (tradePrice > _prevTradePrice)
{
_bestAskPrice = tradePrice;
//BestBid = PrevTrade;
_prevTradePrice = tradePrice;
}
else if (tradePrice < _prevTradePrice)
{
_bestBidPrice = tradePrice;
//BestAsk = PrevTrade;
_prevTradePrice = tradePrice;
}
break;
}
case Sides.Buy:
_bestAskPrice = tradePrice;
break;
default:
_bestBidPrice = tradePrice;
break;
}
_lastTradePrice = tradePrice;
_newTrades = true;
break;
}
default:
return null;
}
time = execMsg.ServerTime;
break;
}
case MessageTypes.Time:
{
var timeMsg = (TimeMessage)message;
time = timeMsg.ServerTime;
break;
}
default:
return null;
}
if (_currGenerations == 0 || _bestBidPrice == null || _bestAskPrice == null)
return null;
var isTradeTime = _boardDefinition.IsTradeTime(time);
var canProcess = GenerateDepthOnEachTrade && _newTrades
? isTradeTime
: (IsTimeToGenerate(time) && isTradeTime);
if (!canProcess)
return null;
_currGenerations = MaxGenerations;
var depth = new QuoteChangeMessage
{
SecurityId = SecurityId,
ServerTime = time,
LocalTime = time.LocalDateTime,
};
if (_bestBidPrice == null || _bestAskPrice == null)
{
if (_lastTradePrice == null)
throw new InvalidOperationException(LocalizedStrings.Str1142);
_bestBidPrice = _bestAskPrice = _lastTradePrice;
}
if (_currGenerations == 0)
throw new InvalidOperationException(LocalizedStrings.Str1143);
var bidPrice = _bestBidPrice;
var askPrice = _bestAskPrice;
var minSpred = MinSpreadStepCount * SecurityDefinition.PriceStep;
var maxStread = MaxSpreadStepCount * SecurityDefinition.PriceStep;
if ((askPrice - bidPrice) < minSpred)
{
if (_bestBidPrice == _lastTradePrice) // up trend
askPrice = bidPrice + minSpred;
else
bidPrice = askPrice - minSpred;
}
else if ((askPrice - bidPrice) > maxStread)
{
if (_bestBidPrice == _lastTradePrice) // down trend
askPrice = bidPrice + maxStread;
else
bidPrice = askPrice - maxStread;
}
var bids = new List<QuoteChange>
{
new QuoteChange(Sides.Buy, bidPrice.Value, Volumes.Next())
};
var count = MaxBidsDepth - bids.Count;
for (var i = 0; i < count; i++)
{
var quote = CreateQuote(bidPrice.Value, Sides.Buy);
if (quote.Price <= 0)
break;
bids.Add(quote);
bidPrice = quote.Price;
}
var asks = new List<QuoteChange>
{
new QuoteChange(Sides.Sell, askPrice.Value, Volumes.Next())
};
count = MaxAsksDepth - asks.Count;
for (var i = 0; i < count; i++)
{
var quote = CreateQuote(askPrice.Value, Sides.Sell);
if (quote.Price <= 0)
break;
asks.Add(quote);
askPrice = quote.Price;
}
depth.Bids = bids;
depth.Asks = asks;
_newTrades = false;
_currGenerations--;
return depth;
}
public void UpdateBoardDefinition(BoardMessage message)
{
if (message == null)
throw new ArgumentNullException("message");
_timeZoneInfo = message.TimeZoneInfo;
}