/// <summary>
/// Send message.
/// </summary>
/// <param name="message">Message.</param>
protected override void OnSendInMessage(Message message)
{
switch (message.Type)
{
case MessageTypes.Reset:
{
if (_session != null)
{
try
{
DisposeSession();
}
catch (Exception ex)
{
SendOutError(ex);
}
_session = null;
}
SendOutMessage(new ResetMessage());
break;
}
case MessageTypes.Connect:
{
if (_session != null)
throw new InvalidOperationException(LocalizedStrings.Str1619);
_session = new CQGCELClass();
_session.CELStarted += SessionOnCelStarted;
_session.DataError += SessionOnDataError;
_session.AccountChanged += SessionOnAccountChanged;
_session.AlgorithmicOrderPlaced += SessionOnAlgorithmicOrderPlaced;
_session.AlgorithmicOrderRegistrationComplete += SessionOnAlgorithmicOrderRegistrationComplete;
_session.OrderChanged += SessionOnOrderChanged;
_session.PositionsStatementResolved += SessionOnPositionsStatementResolved;
_session.InstrumentDOMChanged += SessionOnInstrumentDomChanged;
_session.InstrumentChanged += SessionOnInstrumentChanged;
_session.TicksAdded += SessionOnTicksAdded;
_session.IncorrectSymbol += SessionOnIncorrectSymbol;
_session.InstrumentSubscribed += SessionOnInstrumentSubscribed;
_session.ConstantVolumeBarsAdded += SessionOnConstantVolumeBarsAdded;
_session.ConstantVolumeBarsUpdated += SessionOnConstantVolumeBarsUpdated;
_session.PointAndFigureBarsAdded += SessionOnPointAndFigureBarsAdded;
_session.PointAndFigureBarsUpdated += SessionOnPointAndFigureBarsUpdated;
_session.TimedBarsAdded += SessionOnTimedBarsAdded;
_session.TimedBarsUpdated += SessionOnTimedBarsUpdated;
_session.TFlowBarsAdded += SessionOnFlowBarsAdded;
_session.TFlowBarsUpdated += SessionOnFlowBarsUpdated;
_session.Startup();
break;
}
case MessageTypes.Disconnect:
{
if (_session == null)
throw new InvalidOperationException(LocalizedStrings.Str1856);
DisposeSession();
_session = null;
SendOutMessage(new DisconnectMessage());
break;
}
case MessageTypes.MarketData:
{
var mdMsg = (MarketDataMessage)message;
switch (mdMsg.DataType)
{
case MarketDataTypes.Level1:
{
var instrument = _instruments.TryGetValue(mdMsg.SecurityId.SecurityCode);
//SessionHolder.Session.CreateInstrumentRequest().;
break;
}
case MarketDataTypes.MarketDepth:
break;
case MarketDataTypes.Trades:
break;
case MarketDataTypes.OrderLog:
break;
case MarketDataTypes.CandleTimeFrame:
break;
default:
{
SendOutMarketDataNotSupported(mdMsg.TransactionId);
return;
}
}
var reply = (MarketDataMessage)mdMsg.Clone();
reply.OriginalTransactionId = mdMsg.TransactionId;
SendOutMessage(reply);
break;
}
case MessageTypes.OrderRegister:
{
var regMsg = (OrderRegisterMessage)message;
var instrument = _instruments.TryGetValue(regMsg.SecurityId.SecurityCode);
if (instrument == null)
throw new InvalidOperationException(LocalizedStrings.Str3792Params.Put(regMsg.SecurityId.SecurityCode));
var account = _accounts.TryGetValue(regMsg.PortfolioName);
if (account == null)
throw new InvalidOperationException(LocalizedStrings.Str3793Params.Put(regMsg.PortfolioName));
var stopPrice = regMsg.OrderType == OrderTypes.Conditional
? ((CQGOrderCondition)regMsg.Condition).StopPrice
: null;
var order = _session.CreateOrder(regMsg.OrderType.ToCQG(stopPrice), instrument, account, (int)regMsg.Volume, regMsg.Side.ToCQG(), (double)regMsg.Price, (double)(stopPrice ?? 0));
_orders.Add(regMsg.TransactionId, order);
order.Place();
break;
}
case MessageTypes.OrderCancel:
{
var cancelMsg = (OrderCancelMessage)message;
var order = _orders.TryGetValue(cancelMsg.OrderTransactionId);
if (order == null)
throw new InvalidOperationException(LocalizedStrings.Str3794Params.Put(cancelMsg.OrderTransactionId));
else
order.Cancel();
break;
}
case MessageTypes.OrderReplace:
{
var replaceMsg = (OrderReplaceMessage)message;
var order = _orders.TryGetValue(replaceMsg.OldTransactionId);
if (order == null)
{
throw new InvalidOperationException(LocalizedStrings.Str3794Params.Put(replaceMsg.OldTransactionId));
}
else
{
var modify = order.PrepareModify();
modify.Properties[eOrderProperty.opLimitPrice].Value = replaceMsg.Price;
modify.Properties[eOrderProperty.opQuantity].Value = replaceMsg.Volume;
order.Modify(modify);
}
break;
}
}
}
/// <summary>
/// Send message.
/// </summary>
/// <param name="message">Message.</param>
protected override void OnSendInMessage(Message message)
{
switch (message.Type)
{
case MessageTypes.Reset:
{
if (_session != null)
{
try
{
DisposeSession();
}
catch (Exception ex)
{
SendOutError(ex);
}
_session = null;
}
SendOutMessage(new ResetMessage());
break;
}
case MessageTypes.Connect:
{
if (_session != null)
{
throw new InvalidOperationException(LocalizedStrings.Str1619);
}
_session = new CQGCELClass();
_session.CELStarted += SessionOnCelStarted;
_session.DataError += SessionOnDataError;
_session.AccountChanged += SessionOnAccountChanged;
_session.AlgorithmicOrderPlaced += SessionOnAlgorithmicOrderPlaced;
_session.AlgorithmicOrderRegistrationComplete += SessionOnAlgorithmicOrderRegistrationComplete;
_session.OrderChanged += SessionOnOrderChanged;
_session.PositionsStatementResolved += SessionOnPositionsStatementResolved;
_session.InstrumentDOMChanged += SessionOnInstrumentDomChanged;
_session.InstrumentChanged += SessionOnInstrumentChanged;
_session.TicksAdded += SessionOnTicksAdded;
_session.IncorrectSymbol += SessionOnIncorrectSymbol;
_session.InstrumentSubscribed += SessionOnInstrumentSubscribed;
_session.ConstantVolumeBarsAdded += SessionOnConstantVolumeBarsAdded;
_session.ConstantVolumeBarsUpdated += SessionOnConstantVolumeBarsUpdated;
_session.PointAndFigureBarsAdded += SessionOnPointAndFigureBarsAdded;
_session.PointAndFigureBarsUpdated += SessionOnPointAndFigureBarsUpdated;
_session.TimedBarsAdded += SessionOnTimedBarsAdded;
_session.TimedBarsUpdated += SessionOnTimedBarsUpdated;
_session.TFlowBarsAdded += SessionOnFlowBarsAdded;
_session.TFlowBarsUpdated += SessionOnFlowBarsUpdated;
_session.Startup();
break;
}
case MessageTypes.Disconnect:
{
if (_session == null)
{
throw new InvalidOperationException(LocalizedStrings.Str1856);
}
DisposeSession();
_session = null;
SendOutMessage(new DisconnectMessage());
break;
}
case MessageTypes.MarketData:
{
var mdMsg = (MarketDataMessage)message;
switch (mdMsg.DataType)
{
case MarketDataTypes.Level1:
{
var instrument = _instruments.TryGetValue(mdMsg.SecurityId.SecurityCode);
//SessionHolder.Session.CreateInstrumentRequest().;
break;
}
case MarketDataTypes.MarketDepth:
break;
case MarketDataTypes.Trades:
break;
case MarketDataTypes.OrderLog:
break;
case MarketDataTypes.CandleTimeFrame:
break;
default:
{
SendOutMarketDataNotSupported(mdMsg.TransactionId);
return;
}
}
var reply = (MarketDataMessage)mdMsg.Clone();
reply.OriginalTransactionId = mdMsg.TransactionId;
SendOutMessage(reply);
break;
}
case MessageTypes.OrderRegister:
{
var regMsg = (OrderRegisterMessage)message;
var instrument = _instruments.TryGetValue(regMsg.SecurityId.SecurityCode);
if (instrument == null)
{
throw new InvalidOperationException(LocalizedStrings.Str3792Params.Put(regMsg.SecurityId.SecurityCode));
}
var account = _accounts.TryGetValue(regMsg.PortfolioName);
if (account == null)
{
throw new InvalidOperationException(LocalizedStrings.Str3793Params.Put(regMsg.PortfolioName));
}
if (regMsg.OrderType == null)
{
throw new InvalidOperationException();
}
var stopPrice = regMsg.OrderType == OrderTypes.Conditional
? ((CQGOrderCondition)regMsg.Condition).StopPrice
: null;
var order = _session.CreateOrder(regMsg.OrderType.Value.ToCQG(stopPrice), instrument, account, (int)regMsg.Volume, regMsg.Side.ToCQG(), (double)regMsg.Price, (double)(stopPrice ?? 0));
_orders.Add(regMsg.TransactionId, order);
order.Place();
break;
}
case MessageTypes.OrderCancel:
{
var cancelMsg = (OrderCancelMessage)message;
var order = _orders.TryGetValue(cancelMsg.OrderTransactionId);
if (order == null)
{
throw new InvalidOperationException(LocalizedStrings.Str3794Params.Put(cancelMsg.OrderTransactionId));
}
else
{
order.Cancel();
}
break;
}
case MessageTypes.OrderReplace:
{
var replaceMsg = (OrderReplaceMessage)message;
var order = _orders.TryGetValue(replaceMsg.OldTransactionId);
if (order == null)
{
throw new InvalidOperationException(LocalizedStrings.Str3794Params.Put(replaceMsg.OldTransactionId));
}
else
{
var modify = order.PrepareModify();
modify.Properties[eOrderProperty.opLimitPrice].Value = replaceMsg.Price;
modify.Properties[eOrderProperty.opQuantity].Value = replaceMsg.Volume;
order.Modify(modify);
}
break;
}
}
}