private void SessionHolderOnOrderBook(OrderBookInfo info)
{
if (!ProcessErrorCode(info.RpCode))
{
return;
}
SendOutMessage(new QuoteChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = info.Symbol,
BoardCode = info.Exchange ?? AssociatedBoardCode
},
Bids = info.Bids.Select(b => new QuoteChange(Sides.Buy, b.Price.ToDecimal() ?? 0, b.Size)
{
BoardCode = b.Exchange
}).ToArray(),
Asks = info.Asks.Select(b => new QuoteChange(Sides.Sell, b.Price.ToDecimal() ?? 0, b.Size)
{
BoardCode = b.Exchange
}).ToArray(),
ServerTime = RithmicUtils.ToTime(info.Ssboe, info.Usecs),
});
}
private void ProcessTick(TradeInfo info)
{
var secId = new SecurityId
{
SecurityCode = info.Symbol,
BoardCode = info.Exchange
};
SendOutMessage(new ExecutionMessage
{
ExecutionType = ExecutionTypes.Tick,
SecurityId = secId,
ServerTime = RithmicUtils.ToTime(info.SourceSsboe, info.SourceUsecs),
LocalTime = RithmicUtils.ToTime(info.Ssboe, info.Usecs),
TradePrice = info.Price.ToDecimal(),
Volume = info.Size,
OriginSide = RithmicUtils.ToOriginSide(info.AggressorSide)
});
SendOutMessage(new Level1ChangeMessage
{
SecurityId = secId,
ServerTime = RithmicUtils.ToTime(info.Ssboe, info.Usecs),
}.TryAdd(Level1Fields.Change, info.NetChange.ToDecimal()));
}
private void SessionHolderOnSettlementPrice(SettlementPriceInfo info)
{
var price = info.Price.ToDecimal();
if (price == null)
{
return;
}
Level1Fields field;
if (info.PriceType == Constants.SETTLEMENT_PRICE_TYPE_FINAL)
{
field = Level1Fields.SettlementPrice;
}
else if (info.PriceType == Constants.SETTLEMENT_PRICE_TYPE_THEORETICAL)
{
field = Level1Fields.TheorPrice;
}
else
{
field = Level1Fields.LastTradePrice;
}
SendOutMessage(new Level1ChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = info.Symbol,
BoardCode = info.Exchange
},
ServerTime = RithmicUtils.ToTime(info.Ssboe, info.Usecs),
}.TryAdd(field, price.Value));
}
private void SessionHolderOnAccountSodUpdate(SodReport report)
{
ProcessAccount(report.Account);
SendOutMessage(new PositionChangeMessage
{
PortfolioName = report.Account.AccountId,
SecurityId = new SecurityId
{
SecurityCode = report.Symbol,
BoardCode = report.Exchange,
},
ServerTime = RithmicUtils.ToTime(report.Ssboe)
}
.Add(PositionChangeTypes.CurrentValue, (decimal)report.CarriedSize)
.TryAdd(PositionChangeTypes.CurrentPrice, report.PrevClosePrice.ToDecimal()));
}
private void SessionHolderOnTradeVolume(TradeVolumeInfo info)
{
if (!info.TotalVolumeFlag)
{
return;
}
SendOutMessage(new Level1ChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = info.Symbol,
BoardCode = info.Exchange
},
ServerTime = RithmicUtils.ToTime(info.Ssboe, info.Usecs),
}.TryAdd(Level1Fields.LastTradeVolume, (decimal)info.TotalVolume));
}
private void ProcessRefData(RefDataInfo info, long?originalTransactionId)
{
SendOutMessage(new SecurityMessage
{
SecurityId = new SecurityId
{
SecurityCode = info.Symbol,
BoardCode = info.Exchange,
},
ExpiryDate = RithmicUtils.ToDateTime(info.Expiration, info.ExpirationTime),
Currency = info.Currency.To <CurrencyTypes?>(),
Strike = info.StrikePrice.ToDecimal(),
OptionType = RithmicUtils.ToOptionType(info.PutCallIndicator),
BinaryOptionType = info.BinaryContractType,
Name = info.Description,
SecurityType = RithmicUtils.ToSecurityType(info.InstrumentType),
UnderlyingSecurityCode = info.Underlying,
LocalTime = RithmicUtils.ToTime(info.Ssboe),
Class = info.ProductCode,
PriceStep = info.SinglePointValue.ToDecimal(),
OriginalTransactionId = originalTransactionId ?? 0,
});
}
private void SessionHolderOnTimeBar(TimeBarInfo info)
{
SendOutMessage(new TimeFrameCandleMessage
{
SecurityId = new SecurityId
{
SecurityCode = info.Symbol,
BoardCode = info.Exchange
},
OriginalTransactionId = (long?)info.Context ?? 0,
OpenPrice = info.OpenPrice.ToDecimal() ?? 0,
OpenVolume = info.OpenSize,
HighPrice = info.HighPrice.ToDecimal() ?? 0,
HighVolume = info.HighVolume,
LowPrice = info.LowPrice.ToDecimal() ?? 0,
LowVolume = info.LowVolume,
ClosePrice = info.ClosePrice.ToDecimal() ?? 0,
CloseVolume = info.CloseSize,
CloseTime = RithmicUtils.ToTime(info.Ssboe),
TotalTicks = info.NumTrades,
UpTicks = info.HighNumTrades,
DownTicks = info.LowNumTrades
});
}
private void ProcessBestQuote(string symbol, string exchange, double price, int size, int numOfOrders, UpdateType updateType, int ssboe, int usecs, Level1Fields priceField, Level1Fields volumeField)
{
var secId = new SecurityId
{
SecurityCode = symbol,
BoardCode = exchange
};
var time = RithmicUtils.ToTime(ssboe, usecs);
SendOutMessage(new Level1ChangeMessage
{
SecurityId = secId,
ServerTime = time,
}
.TryAdd(priceField, price.ToDecimal())
.TryAdd(volumeField, (decimal)size));
switch (updateType)
{
// [gene.sato] For best bid/ask the update type does not apply.
// The update type is for market depth/level 2 updates.
case UpdateType.Undefined:
// break;
case UpdateType.Solo:
{
//SendOutMessage(new Level1ChangeMessage
//{
// SecurityId = secId,
// ServerTime = time,
//}
//.TryAdd(priceField, price.ToDecimal())
//.TryAdd(volumeField, (decimal)size));
break;
}
case UpdateType.Begin:
case UpdateType.Middle:
case UpdateType.Aggregated:
{
var pair = _quotes
.SafeAdd(secId)
.SafeAdd(time, key => new RefPair <BidInfo, AskInfo>());
pair.Second = new AskInfo
{
Price = price,
NumOrders = numOfOrders,
Size = size,
};
break;
}
case UpdateType.End:
FlushQuotes(secId);
break;
case UpdateType.Clear:
break;
default:
throw new ArgumentOutOfRangeException();
}
}
private ExecutionMessage ProcessOrderReport(OrderReport report, ExecutionMessage message)
{
ProcessAccount(report.Account);
long transactionId;
if (!long.TryParse(report.Tag, out transactionId))
{
return(null);
}
message.PortfolioName = report.Account.AccountId;
message.SecurityId = new SecurityId
{
SecurityCode = report.Symbol,
BoardCode = report.Exchange,
};
message.OrderStringId = report.OrderNum;
message.OrderBoardId = report.ExchOrdId;
message.OriginalTransactionId = transactionId;
message.Comment = report.UserMsg;
message.OrderPrice = report.PriceToFill.ToDecimal() ?? 0;
message.OrderVolume = report.TotalFilled + report.TotalUnfilled;
message.OrderType = RithmicUtils.ToOrderType(report.OrderType);
message.Side = RithmicUtils.ToSide(report.BuySellType);
message.ServerTime = RithmicUtils.ToTime(report.GatewaySsboe, report.GatewayUsecs);
message.LocalTime = RithmicUtils.ToTime(report.Ssboe, report.Usecs);
message.TimeInForce = RithmicUtils.ToTif(report.OrderDuration);
if (report.OrderDuration == Constants.ORDER_DURATION_DAY)
{
message.ExpiryDate = DateTime.Today.ApplyTimeZone(TimeZoneInfo.Utc);
}
if (report.ReportType == Constants.REPORT_TYPE_BUST)
{
}
else if (report.ReportType == Constants.REPORT_TYPE_CANCEL)
{
message.OrderState = OrderStates.Done;
}
else if (report.ReportType == Constants.REPORT_TYPE_COMMISSION)
{
message.OrderState = report.TotalUnfilled > 0 ? OrderStates.Active : OrderStates.Done;
}
else if (report.ReportType == Constants.REPORT_TYPE_FAILURE)
{
message.OrderState = OrderStates.Failed;
message.Error = new InvalidOperationException(((OrderFailureReport)report).Status);
}
else if (report.ReportType == Constants.REPORT_TYPE_FILL)
{
message.OrderState = report.TotalUnfilled > 0 ? OrderStates.Active : OrderStates.Done;
}
else if (report.ReportType == Constants.REPORT_TYPE_MODIFY)
{
message.OrderState = report.TotalUnfilled > 0 ? OrderStates.Active : OrderStates.Done;
}
else if (report.ReportType == Constants.REPORT_TYPE_NOT_CNCLLD)
{
message.OrderState = OrderStates.Failed;
message.Error = new InvalidOperationException(LocalizedStrings.Str3496);
}
else if (report.ReportType == Constants.REPORT_TYPE_NOT_MODIFIED)
{
message.OrderState = OrderStates.Failed;
message.Error = new InvalidOperationException(LocalizedStrings.Str3497);
}
else if (report.ReportType == Constants.REPORT_TYPE_REJECT)
{
message.OrderState = OrderStates.Failed;
message.Error = new InvalidOperationException(LocalizedStrings.Str3498);
}
else if (report.ReportType == Constants.REPORT_TYPE_SOD)
{
}
else if (report.ReportType == Constants.REPORT_TYPE_SOD_MODIFY)
{
}
else if (report.ReportType == Constants.REPORT_TYPE_STATUS)
{
message.OrderState = report.TotalUnfilled > 0 ? OrderStates.Active : OrderStates.Done;
}
else if (report.ReportType == Constants.REPORT_TYPE_TRADE_CORRECT)
{
message.OrderState = report.TotalUnfilled > 0 ? OrderStates.Active : OrderStates.Done;
}
else if (report.ReportType == Constants.REPORT_TYPE_TRIGGER)
{
}
else if (report.ReportType == Constants.REPORT_TYPE_TRIGGER_PULLED)
{
}
return(message);
}
public override void OpenInterest(OpenInterestInfo info)
{
if (!info.QuantityFlag)
{
return;
}
_client.Level1.SafeInvoke(info.Symbol, info.Exchange, Level1Fields.OpenInterest, info.Quantity, RithmicUtils.ToTime(info.Ssboe, info.Usecs));
}
public override void ClosePrice(ClosePriceInfo info)
{
_receiver.AddLog(LogLevels.Debug, info.DumpableToString);
_client.Level1.SafeInvoke(info.Symbol, info.Exchange, Level1Fields.ClosePrice, (decimal)info.Price, RithmicUtils.ToTime(info.Ssboe, info.Usecs));
}
