private void ProcessSecurityLookupMessage(SecurityLookupMessage message)
{
var instruments = _restClient.GetInstruments(GetAccountId(),
message.SecurityId.IsDefault()
? ArrayHelper.Empty <string>()
: new[] { message.SecurityId.ToOanda() });
foreach (var instrument in instruments)
{
var secId = instrument.Code.ToSecurityId();
SendOutMessage(new SecurityMessage
{
OriginalTransactionId = message.TransactionId,
SecurityId = secId,
SecurityType = SecurityTypes.Currency,
Name = instrument.DisplayName,
PriceStep = 0.000001m
});
if (instrument.Halted)
{
SendOutMessage(new Level1ChangeMessage
{
ServerTime = CurrentTime.Convert(TimeZoneInfo.Utc),
SecurityId = secId,
}.Add(Level1Fields.State, SecurityStates.Stoped));
}
}
SendOutMessage(new SecurityLookupResultMessage {
OriginalTransactionId = message.TransactionId
});
}
private void OnPositionsResponse(PositionsResponse response)
{
foreach (var pos in response.MoneyPositions.GroupBy(p => p.Client))
{
SendOutMessage(
this.CreatePortfolioChangeMessage(pos.Key)
.Add(PositionChangeTypes.BeginValue, pos.Sum(p => p.SaldoIn))
.Add(PositionChangeTypes.CurrentValue, pos.Sum(p => p.Saldo))
.Add(PositionChangeTypes.Commission, pos.Sum(p => p.Commission)));
}
foreach (var pos in response.SecPositions)
{
SendOutMessage(
new PositionChangeMessage
{
PortfolioName = pos.Client,
SecurityId = new SecurityId {
Native = pos.SecId
},
DepoName = pos.Register,
ServerTime = CurrentTime.Convert(TimeHelper.Moscow),
}
.Add(PositionChangeTypes.BeginValue, pos.SaldoIn)
.Add(PositionChangeTypes.CurrentValue, pos.Saldo)
.Add(PositionChangeTypes.BlockedValue, pos.SaldoMin));
}
foreach (var fortsMoney in response.FortsMoneys)
{
SendOutMessage(
this
.CreatePortfolioChangeMessage(fortsMoney.Client)
.Add(PositionChangeTypes.BeginValue, fortsMoney.Free)
.Add(PositionChangeTypes.CurrentValue, fortsMoney.Current)
.Add(PositionChangeTypes.BlockedValue, fortsMoney.Blocked)
.Add(PositionChangeTypes.VariationMargin, fortsMoney.VarMargin));
}
foreach (var pos in response.FortsPositions)
{
SendOutMessage(this
.CreatePositionChangeMessage(pos.Client, new SecurityId {
Native = pos.SecId
})
.Add(PositionChangeTypes.BeginValue, (decimal)pos.StartNet)
.Add(PositionChangeTypes.CurrentValue, (decimal)pos.TotalNet)
.Add(PositionChangeTypes.VariationMargin, pos.VarMargin));
}
//foreach (var fortsCollaterals in response.FortsCollateralses)
//{
//}
//foreach (var spotLimit in response.SpotLimits)
//{
//}
}
private void OnSessionOrderBookStatusChanged(OrderBookStatusEvent orderBookStatusEvent)
{
SecurityStates state;
switch (orderBookStatusEvent.Status)
{
case OrderBookStatus.New:
case OrderBookStatus.Opened:
state = SecurityStates.Trading;
break;
case OrderBookStatus.Suspended:
case OrderBookStatus.Closed:
case OrderBookStatus.Settled:
case OrderBookStatus.Withdrawn:
state = SecurityStates.Stoped;
break;
default:
throw new ArgumentOutOfRangeException();
}
SendOutMessage(
new Level1ChangeMessage
{
SecurityId = new SecurityId {
Native = orderBookStatusEvent.InstrumentId
},
ServerTime = CurrentTime.Convert(TimeZoneInfo.Utc),
}
.Add(Level1Fields.State, state));
}
private void OnSecuritiesResponse(SecuritiesResponse response)
{
foreach (var security in response.Securities)
{
var securityId = new SecurityId
{
Native = security.SecId,
SecurityCode = security.SecCode,
BoardCode = security.Board.FixBoardName(),
};
SendOutMessage(new SecurityMessage
{
Name = security.ShortName,
SecurityId = securityId,
Multiplier = security.LotSize,
PriceStep = security.MinStep,
Decimals = security.Decimals,
ShortName = security.ShortName,
SecurityType = security.Type.FromTransaq(),
});
SendOutMessage(
new Level1ChangeMessage
{
SecurityId = securityId,
ServerTime = CurrentTime.Convert(TimeHelper.Moscow),
}
.Add(Level1Fields.State, security.Active ? SecurityStates.Trading : SecurityStates.Stoped)
.TryAdd(Level1Fields.StepPrice, security.PointCost));
}
}
private void OnSessionOrderExecuted(Execution execution)
{
var transactionId = TryParseTransactionId(execution.Order.InstructionId);
if (transactionId == null)
{
return;
}
SendOutMessage(new ExecutionMessage
{
SecurityId = new SecurityId {
Native = execution.Order.InstrumentId
},
OriginalTransactionId = transactionId.Value,
TradeId = execution.ExecutionId,
TradePrice = execution.Price,
TradeVolume = execution.Quantity.Abs(),
ExecutionType = ExecutionTypes.Transaction,
Side = execution.Order.Quantity > 0 ? Sides.Buy : Sides.Sell,
Commission = execution.Order.Commission,
ServerTime = CurrentTime.Convert(TimeZoneInfo.Utc),
HasTradeInfo = true,
});
}
private void OnQuotationsResponse(QuotationsResponse response)
{
foreach (var quote in response.Quotations)
{
var message = new Level1ChangeMessage
{
SecurityId = new SecurityId {
Native = quote.SecId
},
ServerTime = CurrentTime.Convert(TimeHelper.Moscow),
};
message.TryAdd(Level1Fields.AccruedCouponIncome, quote.AccruedIntValue);
message.TryAdd(Level1Fields.OpenPrice, quote.Open);
message.TryAdd(Level1Fields.HighPrice, quote.High);
message.TryAdd(Level1Fields.LowPrice, quote.Low);
message.TryAdd(Level1Fields.ClosePrice, quote.ClosePrice);
message.TryAdd(Level1Fields.BidsCount, quote.BidsCount);
message.TryAdd(Level1Fields.BidsVolume, (decimal?)quote.BidsVolume);
message.TryAdd(Level1Fields.AsksCount, quote.AsksCount);
message.TryAdd(Level1Fields.AsksVolume, (decimal?)quote.AsksVolume);
message.TryAdd(Level1Fields.HighBidPrice, quote.HighBid);
message.TryAdd(Level1Fields.LowAskPrice, quote.LowAsk);
message.TryAdd(Level1Fields.Yield, quote.Yield);
message.TryAdd(Level1Fields.MarginBuy, quote.BuyDeposit);
message.TryAdd(Level1Fields.MarginSell, quote.SellDeposit);
message.TryAdd(Level1Fields.HistoricalVolatility, quote.Volatility);
message.TryAdd(Level1Fields.TheorPrice, quote.TheoreticalPrice);
message.TryAdd(Level1Fields.Change, quote.Change);
message.TryAdd(Level1Fields.Volume, (decimal?)quote.VolToday);
message.TryAdd(Level1Fields.StepPrice, quote.PointCost);
message.TryAdd(Level1Fields.OpenInterest, (decimal?)quote.OpenInterest);
message.TryAdd(Level1Fields.TradesCount, quote.TradesCount);
if (quote.Status != null)
{
message.Add(Level1Fields.State, quote.Status.Value.FromTransaq());
}
// Transaq передает только изменения (например, передать только цену сделки, если объем при этом не изменился)
message.TryAdd(Level1Fields.LastTradePrice, quote.LastTradePrice);
message.TryAdd(Level1Fields.LastTradeVolume, (decimal?)quote.LastTradeVolume);
if (quote.LastTradeTime != null)
{
message.Add(Level1Fields.LastTradeTime, quote.LastTradeTime.Value.ToDto());
}
message.TryAdd(Level1Fields.BestBidPrice, quote.BestBidPrice);
message.TryAdd(Level1Fields.BestBidVolume, (decimal?)quote.BestBidVolume);
message.TryAdd(Level1Fields.BestAskPrice, quote.BestAskPrice);
message.TryAdd(Level1Fields.BestAskVolume, (decimal?)quote.BestAskVolume);
SendOutMessage(message);
}
}
private void SessionOnUserMessage(OEC.API.User user, string message)
{
SendOutMessage(new Messages.NewsMessage
{
Source = user.Name,
Headline = message,
ServerTime = CurrentTime.Convert(TimeHelper.Est)
});
}
private void SessionOnNewsMessage(string channel, string message)
{
SendOutMessage(new Messages.NewsMessage
{
BoardCode = channel,
Headline = message,
ServerTime = CurrentTime.Convert(TimeHelper.Est)
});
}
private void OnNewsBodyResponse(NewsBodyResponse response)
{
SendOutMessage(new NewsMessage
{
Id = response.Id.To <string>(),
Story = response.Text,
ServerTime = CurrentTime.Convert(TimeHelper.Moscow)
});
}
private void SessionOnNewOrderBook(OrderBook book)
{
SendOutMessage(new QuoteChangeMessage
{
SecurityId = _btcUsd,
Bids = book.Bids.Select(b => b.ToStockSharp(Sides.Buy)),
Asks = book.Asks.Select(b => b.ToStockSharp(Sides.Sell)),
ServerTime = CurrentTime.Convert(TimeZoneInfo.Utc),
});
}
private void OnNewsHeaderResponse(NewsHeaderResponse response)
{
SendOutMessage(new NewsMessage
{
Source = response.Source,
Headline = response.Title,
Id = response.Id.To <string>(),
Story = response.Text,
ServerTime = response.TimeStamp?.ToDto() ?? CurrentTime.Convert(TimeHelper.Moscow),
});
}
private void SessionOnNewTrade(Trade trade)
{
SendOutMessage(new ExecutionMessage
{
ExecutionType = ExecutionTypes.Tick,
SecurityId = _btcUsd,
TradeId = trade.Id,
TradePrice = (decimal)trade.Price,
TradeVolume = (decimal)trade.Amount,
ServerTime = CurrentTime.Convert(TimeZoneInfo.Utc),
});
}
private void OnProcessQuotes(string where, string[] quotes)
{
// paper_no нужно парсить из условия where, так как в поле paper_no передается всегда 0
var paperNo = where.Split('=')[1].Trim().To <int>();
var f = Wrapper.FieldsDepth;
var bids = new List <QuoteChange>();
var asks = new List <QuoteChange>();
foreach (var quoteStr in quotes)
{
var cols = quoteStr.ToColumns();
var sellQty = f.SellQty.GetValue(cols);
var price = f.Price.GetValue(cols);
var buyQty = f.BuyQty.GetValue(cols);
if (sellQty == 0 && buyQty == 0)
{
// If the sellQty and buyQty are 0 - that is our limit order
// which is not a part of the market depth. Just skip it.
continue;
}
QuoteChange quote;
if (sellQty == 0)
{
quote = new QuoteChange(Sides.Buy, price, buyQty);
bids.Insert(0, quote);
}
else
{
quote = new QuoteChange(Sides.Sell, price, sellQty);
asks.Add(quote);
}
}
if (bids.Count > 0 || asks.Count > 0)
{
SendOutMessage(new QuoteChangeMessage
{
Bids = bids,
Asks = asks,
SecurityId = new SecurityId {
Native = paperNo
},
IsSorted = true,
ServerTime = CurrentTime.Convert(TimeHelper.Moscow),
});
}
}
private void OnMessagesResponse(MessagesResponse response)
{
foreach (var message in response.Messages)
{
SendOutMessage(new NewsMessage
{
Source = message.From,
Headline = message.Text,
Story = message.Text,
ServerTime = message.Date?.ToDto() ?? CurrentTime.Convert(TimeHelper.Moscow),
});
}
}
private void OnQuoteChanged(string smartId, int row, int rowCount, decimal?bidPrice, decimal?bidVolume, decimal?askPrice, decimal?askVolume)
{
//Debug.Write("Row = " + row + " Bid = " + bidPrice + " BidVolume = " + bidVolume + " Ask = " + askPrice + " AskVolume = " + askVolume);
var secId = new SecurityId {
Native = smartId
};
var tempDepth = _tempDepths.SafeAdd(secId, key => Tuple.Create(new List <QuoteChange>(), new List <QuoteChange>()));
var bestQuotes = _bestQuotes.SafeAdd(secId);
try
{
if (bidPrice > 0)
{
tempDepth.Item1.Add(new QuoteChange(Sides.Buy, bidPrice.Value, bidVolume ?? 0));
if (row == 0)
{
bestQuotes.First = Tuple.Create(bidPrice.Value, bidVolume ?? 0);
}
}
if (askPrice > 0)
{
tempDepth.Item2.Add(new QuoteChange(Sides.Sell, askPrice.Value, askVolume ?? 0));
if (row == 0)
{
bestQuotes.Second = Tuple.Create(askPrice.Value, askVolume ?? 0);
}
}
}
finally
{
if ((row + 1) == rowCount)
{
SendOutMessage(new QuoteChangeMessage
{
Bids = tempDepth.Item1.ToArray(),
Asks = tempDepth.Item2.ToArray(),
SecurityId = secId,
ServerTime = CurrentTime.Convert(TimeHelper.Moscow),
});
tempDepth.Item1.Clear();
tempDepth.Item2.Clear();
}
}
}
private void OnQuotesResponse(QuotesResponse response)
{
foreach (var group in response.Quotes.GroupBy(q => q.SecId))
{
var tuple = _quotes.SafeAdd(group.Key, key => Tuple.Create(new Dictionary <decimal, decimal>(), new Dictionary <decimal, decimal>()));
foreach (var quote in group)
{
if (quote.Price == 0)
{
continue;
}
if (quote.Buy != null)
{
if (quote.Buy == -1)
{
tuple.Item1.Remove(quote.Price);
}
else
{
tuple.Item1[quote.Price] = (decimal)quote.Buy;
}
}
if (quote.Sell != null)
{
if (quote.Sell == -1)
{
tuple.Item2.Remove(quote.Price);
}
else
{
tuple.Item2[quote.Price] = (decimal)quote.Sell;
}
}
}
SendOutMessage(new QuoteChangeMessage
{
SecurityId = new SecurityId {
Native = group.Key
},
Bids = tuple.Item1.Select(p => new QuoteChange(Sides.Buy, p.Key, p.Value)).ToArray(),
Asks = tuple.Item2.Select(p => new QuoteChange(Sides.Sell, p.Key, p.Value)).ToArray(),
ServerTime = CurrentTime.Convert(TimeHelper.Moscow),
});
}
}
private void OnMessagesResponse(MessagesResponse response)
{
foreach (var message in response.Messages)
{
SendOutMessage(new NewsMessage
{
Source = message.From,
Headline = message.Text,
Story = message.Text,
ServerTime = message.Date == null
? CurrentTime.Convert(TimeHelper.Moscow)
: message.Date.Value.ApplyTimeZone(TimeHelper.Moscow),
});
}
}
private void OnSecInfoResponse(SecInfoResponse response)
{
var securityId = new SecurityId
{
Native = response.SecId,
SecurityCode = response.SecCode,
BoardCode = _boards[response.Market],
};
SendOutMessage(new SecurityMessage
{
SecurityId = securityId,
ExpiryDate = response.MatDate?.ApplyTimeZone(TimeHelper.Moscow),
OptionType = response.PutCall?.FromTransaq(),
});
var l1Msg = new Level1ChangeMessage
{
SecurityId = new SecurityId {
Native = response.SecId
},
ServerTime = CurrentTime.Convert(TimeHelper.Moscow),
};
l1Msg.TryAdd(Level1Fields.MinPrice, response.MinPrice);
l1Msg.TryAdd(Level1Fields.MaxPrice, response.MaxPrice);
var marginBuy = response.BuyDeposit;
if (marginBuy == null || marginBuy == 0m)
{
marginBuy = response.BgoBuy;
}
var marginSell = response.SellDeposit;
if (marginSell == null || marginSell == 0m)
{
marginSell = response.BgoC;
}
l1Msg.TryAdd(Level1Fields.MarginBuy, marginBuy);
l1Msg.TryAdd(Level1Fields.MarginSell, marginSell);
SendOutMessage(l1Msg);
}
private void ProcessOrderCancel(OrderCancelMessage cancelMsg)
{
if (cancelMsg.OrderId == null)
{
throw new InvalidOperationException(LocalizedStrings.Str2252Params.Put(cancelMsg.OrderTransactionId));
}
var isOk = _httpClient.CancelOrder(cancelMsg.OrderId.Value);
SendOutMessage(new ExecutionMessage
{
ServerTime = CurrentTime.Convert(TimeZoneInfo.Utc),
ExecutionType = ExecutionTypes.Transaction,
OriginalTransactionId = cancelMsg.TransactionId,
OrderState = isOk ? OrderStates.Done : OrderStates.Failed,
Error = isOk ? null : new InvalidOperationException(LocalizedStrings.Str3300),
});
}
private IEnumerable <Message> ToSecurityFundamentalMessages(string value)
{
var parts = value.SplitByComma();
var pe = parts[2].To <decimal?>();
var beta = parts[26].To <decimal?>();
var precision = parts[39].To <int>();
var sic = parts[40].To <int?>();
var historicalVolatility = parts[41].To <decimal?>();
var securityType = parts[42].To <int>();
var listedMarket = parts[43].To <int>();
var maturityDate = parts[49].TryToDateTime("MM/dd/yyyy").ToEst();
var expirationDate = parts[51].TryToDateTime("MM/dd/yyyy").ToEst();
var strikePrice = parts[52].To <decimal?>();
var naics = parts[53].To <int?>();
var exchangeRoot = parts[54];
var secId = CreateSecurityId(parts[0], listedMarket);
yield return(new SecurityMessage
{
SecurityId = secId,
Decimals = precision,
Strike = strikePrice ?? 0,
ExpiryDate = expirationDate ?? maturityDate,
SecurityType = _securityTypes[securityType],
UnderlyingSecurityCode = exchangeRoot,
ExtensionInfo = new Dictionary <object, object>
{
{ "SIC", sic },
{ "NAICS", naics },
}
});
yield return(new Level1ChangeMessage
{
SecurityId = secId,
ServerTime = CurrentTime.Convert(TimeHelper.Est)
}
.TryAdd(Level1Fields.HistoricalVolatility, historicalVolatility)
.TryAdd(Level1Fields.Beta, beta)
.TryAdd(Level1Fields.PriceEarnings, pe));
}
private void ProcessLevel1()
{
var currTime = CurrentTime;
if ((currTime - _prevLevel1Time) < _level1Interval)
{
return;
}
_prevLevel1Time = currTime;
var btcUsd = _httpClient.RequestBtcUsd();
if (btcUsd != null)
{
SendOutMessage(new Level1ChangeMessage
{
SecurityId = _btcUsd,
ServerTime = btcUsd.Time.ApplyTimeZone(TimeZoneInfo.Utc)
}
.TryAdd(Level1Fields.HighBidPrice, (decimal)btcUsd.High)
.TryAdd(Level1Fields.LowAskPrice, (decimal)btcUsd.Low)
.TryAdd(Level1Fields.VWAP, (decimal)btcUsd.VWAP)
.TryAdd(Level1Fields.LastTradePrice, (decimal)btcUsd.Last)
.TryAdd(Level1Fields.Volume, (decimal)btcUsd.Volume)
.TryAdd(Level1Fields.BestBidPrice, (decimal)btcUsd.Bid)
.TryAdd(Level1Fields.BestAskPrice, (decimal)btcUsd.Ask));
}
var eurUsd = _httpClient.RequestEurUsd();
if (eurUsd != null)
{
SendOutMessage(new Level1ChangeMessage
{
SecurityId = _eurUsd,
ServerTime = CurrentTime.Convert(TimeZoneInfo.Utc),
}
.TryAdd(Level1Fields.BestBidPrice, (decimal)eurUsd.Buy)
.TryAdd(Level1Fields.BestAskPrice, (decimal)eurUsd.Sell));
}
}
private void OnSessionInstructionRejected(InstructionRejectedEvent evt)
{
var transactionId = TryParseTransactionId(evt.InstructionId);
if (transactionId == null)
{
return;
}
SendOutMessage(new ExecutionMessage
{
ExecutionType = ExecutionTypes.Order,
SecurityId = new SecurityId {
Native = evt.InstrumentId
},
OriginalTransactionId = transactionId.Value,
OrderState = OrderStates.Failed,
Error = new InvalidOperationException(evt.Reason),
PortfolioName = evt.AccountId.To <string>(),
ServerTime = CurrentTime.Convert(TimeZoneInfo.Utc)
});
}
private void OnSecurityChanged(string smartId, Tuple <decimal?, decimal?, DateTime> lastTrade, decimal?open, decimal?high, decimal?low, decimal?close, decimal?volume, QuoteChange bid, QuoteChange ask,
decimal?openInt, Tuple <decimal?, decimal?> goBuySell, Tuple <decimal?, decimal?> goBase, Tuple <decimal?, decimal?> limits, int tradingStatus, Tuple <decimal?, decimal?> volatTheorPrice)
{
var secId = new SecurityId {
Native = smartId
};
var message = new Level1ChangeMessage
{
SecurityId = secId,
ExtensionInfo = new Dictionary <object, object>
{
{ SmartComExtensionInfoHelper.SecurityOptionsMargin, goBase.Item1 },
{ SmartComExtensionInfoHelper.SecurityOptionsSyntheticMargin, goBase.Item2 }
},
ServerTime = CurrentTime.Convert(TimeHelper.Moscow),
};
message.TryAdd(Level1Fields.LastTradePrice, lastTrade.Item1);
message.TryAdd(Level1Fields.LastTradeVolume, lastTrade.Item2);
message.Add(Level1Fields.LastTradeTime, lastTrade.Item3.ApplyTimeZone(TimeHelper.Moscow));
var prevQuotes = _bestQuotes.TryGetValue(secId);
if (bid.Price != 0)
{
message.Add(Level1Fields.BestBidPrice, bid.Price);
if (prevQuotes != null && prevQuotes.First != null && prevQuotes.First.Item1 == bid.Price)
{
message.Add(Level1Fields.BestBidVolume, prevQuotes.First.Item2);
}
}
if (ask.Price != 0)
{
message.Add(Level1Fields.BestAskPrice, ask.Price);
if (prevQuotes != null && prevQuotes.Second != null && prevQuotes.Second.Item1 == ask.Price)
{
message.Add(Level1Fields.BestAskVolume, prevQuotes.Second.Item2);
}
}
message.TryAdd(Level1Fields.BidsVolume, bid.Volume);
message.TryAdd(Level1Fields.AsksVolume, ask.Volume);
message.TryAdd(Level1Fields.OpenPrice, open);
message.TryAdd(Level1Fields.LowPrice, low);
message.TryAdd(Level1Fields.HighPrice, high);
message.TryAdd(Level1Fields.ClosePrice, close);
message.TryAdd(Level1Fields.MinPrice, limits.Item1);
message.TryAdd(Level1Fields.MaxPrice, limits.Item2);
message.TryAdd(Level1Fields.MarginBuy, goBuySell.Item1);
message.TryAdd(Level1Fields.MarginSell, goBuySell.Item2);
message.TryAdd(Level1Fields.OpenInterest, openInt);
message.TryAdd(Level1Fields.ImpliedVolatility, volatTheorPrice.Item1);
message.TryAdd(Level1Fields.TheorPrice, volatTheorPrice.Item2);
message.TryAdd(Level1Fields.Volume, volume);
message.Add(Level1Fields.State, tradingStatus == 0 ? SecurityStates.Trading : SecurityStates.Stoped);
SendOutMessage(message);
}
private void OnNewSecurity(int row, int rowCount, string smartId, string name, string secCode, string secClass, int decimals, int lotSize,
decimal?stepPrice, decimal?priceStep, string isin, string board, DateTime?expiryDate, decimal?daysBeforeExpiry, decimal?strike)
{
//AMU: заглушка. 11.01.2013 обнаружил, что через SmartCom стали приходить инструменты (класс EQBR и FISS) с пустым secCode - "longName" в понятии АйтиИнвеста
if (secCode.IsEmpty())
{
secCode = smartId;
}
var securityId = new SecurityId
{
SecurityCode = secCode,
BoardCode = board,
Native = smartId,
Isin = isin
};
if (secClass.IsEmpty())
{
secClass = board;
}
var secMsg = new SecurityMessage
{
PriceStep = priceStep,
Decimals = decimals,
Multiplier = lotSize,
Name = name,
ShortName = name,
ExpiryDate = expiryDate?.ApplyTimeZone(TimeHelper.Moscow),
ExtensionInfo = new Dictionary <object, object>
{
{ "Class", secClass }
},
OriginalTransactionId = _lookupSecuritiesId
};
if (secClass.CompareIgnoreCase("IDX"))
{
secMsg.SecurityType = SecurityTypes.Index;
switch (secMsg.SecurityId.BoardCode)
{
case "RUSIDX":
securityId.BoardCode = secCode.ContainsIgnoreCase("MICEX") || secCode.ContainsIgnoreCase("MCX") ? ExchangeBoard.Micex.Code : ExchangeBoard.Forts.Code;
break;
//default:
// security.Board = ExchangeBoard.Test;
// break;
}
}
else
{
var info = SecurityClassInfo.GetSecurityClassInfo(secClass);
secMsg.SecurityType = info.Item1;
securityId.BoardCode = info.Item2;
// http://stocksharp.com/forum/yaf_postsm16847_Vopros-po-vystavlieniiu-zaiavok.aspx#post16847
if (ExchangeBoard.GetOrCreateBoard(info.Item2).IsMicex
&&
/* проверяем, что не началась ли трансляция правильных дробных шагов */
secMsg.PriceStep != null && secMsg.PriceStep == (int)secMsg.PriceStep)
{
// http://stocksharp.com/forum/yaf_postsm21245_Sokhranieniie-stakanov-po-GAZP-EQNE.aspx#post21245
secMsg.PriceStep = 1m / 10m.Pow(secMsg.PriceStep.Value);
}
}
secMsg.SecurityId = securityId;
if (secMsg.SecurityType == SecurityTypes.Option)
{
var optionInfo = secMsg.Name.GetOptionInfo(ExchangeBoard.Forts);
if (optionInfo != null)
{
// http://stocksharp.com/forum/yaf_postst1355_Exception-Change-Set-11052.aspx
if (!secCode.IsEmpty())
{
var futureInfo = optionInfo.UnderlyingSecurityId.GetFutureInfo(secCode, ExchangeBoard.Forts);
if (futureInfo != null)
{
secMsg.UnderlyingSecurityCode = futureInfo.SecurityId.SecurityCode;
}
}
secMsg.ExpiryDate = optionInfo.ExpiryDate;
secMsg.OptionType = optionInfo.OptionType;
secMsg.Strike = optionInfo.Strike;
}
}
SendOutMessage(secMsg);
if (stepPrice != null)
{
SendOutMessage(
new Level1ChangeMessage
{
SecurityId = securityId,
ServerTime = CurrentTime.Convert(TimeHelper.Moscow),
}
.TryAdd(Level1Fields.StepPrice, stepPrice.Value));
}
if ((row + 1) < rowCount)
{
return;
}
SendOutMessage(new SecurityLookupResultMessage {
OriginalTransactionId = _lookupSecuritiesId
});
_lookupSecuritiesId = 0;
}
private void OnSessionOrderChanged(LmaxOrder lmaxOrder)
{
var transactionId = TryParseTransactionId(lmaxOrder.InstructionId);
if (transactionId == null)
{
return;
}
LmaxOrderCondition condition = null;
decimal price = 0;
OrderTypes orderType;
switch (lmaxOrder.OrderType)
{
case OrderType.MARKET:
orderType = OrderTypes.Market;
break;
case OrderType.LIMIT:
orderType = OrderTypes.Limit;
if (lmaxOrder.LimitPrice == null)
{
throw new ArgumentException(LocalizedStrings.Str3394Params.Put(transactionId), nameof(lmaxOrder));
}
price = (decimal)lmaxOrder.LimitPrice;
break;
case OrderType.STOP_ORDER:
case OrderType.STOP_LOSS_MARKET_ORDER:
case OrderType.STOP_PROFIT_LIMIT_ORDER:
orderType = OrderTypes.Conditional;
if (lmaxOrder.StopPrice == null)
{
throw new ArgumentException(LocalizedStrings.Str3395Params.Put(transactionId), nameof(lmaxOrder));
}
price = (decimal)lmaxOrder.StopPrice;
condition = new LmaxOrderCondition
{
StopLossOffset = lmaxOrder.StopLossOffset,
TakeProfitOffset = lmaxOrder.StopProfitOffset,
};
break;
case OrderType.CLOSE_OUT_ORDER_POSITION:
case OrderType.CLOSE_OUT_POSITION:
case OrderType.SETTLEMENT_ORDER:
case OrderType.OFF_ORDERBOOK:
case OrderType.REVERSAL:
case OrderType.UNKNOWN:
orderType = OrderTypes.Execute;
break;
default:
throw new ArgumentOutOfRangeException();
}
DateTimeOffset?expiryDate = null;
var tif = StockSharpTimeInForce.PutInQueue;
switch (lmaxOrder.TimeInForce)
{
case LmaxTimeInForce.FillOrKill:
tif = StockSharpTimeInForce.MatchOrCancel;
break;
case LmaxTimeInForce.ImmediateOrCancel:
tif = StockSharpTimeInForce.CancelBalance;
break;
case LmaxTimeInForce.GoodForDay:
expiryDate = DateTime.Today.ApplyTimeZone(TimeZoneInfo.Utc);
break;
case LmaxTimeInForce.GoodTilCancelled:
break;
case LmaxTimeInForce.Unknown:
throw new NotSupportedException(LocalizedStrings.Str3396Params.Put(lmaxOrder.TimeInForce, transactionId.Value, lmaxOrder.OrderId));
default:
throw new InvalidOperationException(LocalizedStrings.Str3397Params.Put(lmaxOrder.TimeInForce, transactionId.Value, lmaxOrder.OrderId));
}
var msg = new ExecutionMessage
{
SecurityId = new SecurityId {
Native = lmaxOrder.InstrumentId
},
OriginalTransactionId = transactionId.Value,
OrderType = orderType,
OrderPrice = price,
Condition = condition,
OrderVolume = lmaxOrder.Quantity.Abs(),
Side = lmaxOrder.Quantity > 0 ? Sides.Buy : Sides.Sell,
Balance = lmaxOrder.Quantity - lmaxOrder.FilledQuantity,
PortfolioName = lmaxOrder.AccountId.To <string>(),
TimeInForce = tif,
ExpiryDate = expiryDate,
OrderStringId = lmaxOrder.OrderId,
ExecutionType = ExecutionTypes.Transaction,
Commission = lmaxOrder.Commission,
ServerTime = CurrentTime.Convert(TimeZoneInfo.Utc),
HasOrderInfo = true,
};
msg.OrderState = lmaxOrder.CancelledQuantity > 0
? OrderStates.Done
: (msg.Balance == 0 ? OrderStates.Done : OrderStates.Active);
//msg.Action = lmaxOrder.CancelledQuantity > 0
// ? ExecutionActions.Canceled
// : (lmaxOrder.FilledQuantity == 0 ? ExecutionActions.Registered : ExecutionActions.Matched);
SendOutMessage(msg);
}
private void SearchSecurities(string secCode, long transactionId, ICollection <Instrument> instruments, bool hasMoreResults)
{
if (secCode.IsEmpty())
{
throw new ArgumentNullException(nameof(secCode), LocalizedStrings.Str3391);
}
if (instruments == null)
{
throw new ArgumentNullException(nameof(instruments));
}
foreach (var instrument in instruments)
{
SecurityTypes type;
var typeName = instrument.Underlying.AssetClass.ToUpperInvariant();
switch (typeName)
{
case "COMMODITY":
type = SecurityTypes.Commodity;
break;
case "CURRENCY":
type = SecurityTypes.Currency;
break;
case "INDEX":
type = SecurityTypes.Index;
break;
default:
SendOutError(LocalizedStrings.Str2140Params.Put(typeName));
continue;
}
var securityId = new SecurityId
{
SecurityCode = instrument.Underlying.Symbol,
BoardCode = ExchangeBoard.Lmax.Code,
Native = instrument.Id
};
SendOutMessage(new SecurityMessage
{
SecurityId = securityId,
Name = instrument.Name,
PriceStep = instrument.OrderBook.PriceIncrement,
VolumeStep = instrument.OrderBook.QuantityIncrement,
Multiplier = instrument.Contract.ContractSize,
Currency = instrument.Contract.Currency.To <CurrencyTypes>(),
ExpiryDate = instrument.Calendar.ExpiryTime == null ? (DateTimeOffset?)null : instrument.Calendar.ExpiryTime.Value.ApplyTimeZone(TimeZoneInfo.Utc),
SecurityType = type,
OriginalTransactionId = transactionId,
});
SendOutMessage(
new Level1ChangeMessage
{
SecurityId = securityId,
ServerTime = CurrentTime.Convert(TimeZoneInfo.Utc),
}
.TryAdd(Level1Fields.StepPrice, instrument.Contract.UnitPrice));
}
if (hasMoreResults)
{
_session.SearchInstruments(new SearchRequest(secCode, instruments.Count), (i, h) => SearchSecurities(secCode, transactionId, i, h), CreateErrorHandler("SearchInstruments"));
}
else
{
SendOutMessage(new SecurityLookupResultMessage {
OriginalTransactionId = transactionId
});
}
}
private IEnumerable <Message> ToSecurityUpdateMessage(string value)
{
var parts = value.SplitByComma();
var index = 0;
var secCode = parts[index++];
var exchangeId = int.Parse(parts[index++], NumberStyles.HexNumber);
var tradeBoard = parts[index++].To <int?>();
var bidBoard = parts[index++].To <int?>();
var askBoard = parts[index++].To <int?>();
var l1Messages = new[] { exchangeId, tradeBoard, bidBoard, askBoard }
.Where(id => id != null)
.Select(id => id.Value)
.Distinct()
.ToDictionary(boardId => boardId, boardId => new Level1ChangeMessage
{
SecurityId = CreateSecurityId(secCode, boardId)
});
DateTime?lastTradeDate = null;
TimeSpan?lastTradeTime = null;
decimal? lastTradePrice = null;
decimal? lastTradeVolume = null;
long? lastTradeId = null;
var types = new HashSet <Level1Fields>(Enumerator.GetValues <Level1Fields>());
var messageContentsIndex = Level1Columns.IndexOf(Level1ColumnRegistry.MessageContents);
if (messageContentsIndex != -1)
{
types.Exclude(parts[messageContentsIndex + index]);
}
if (tradeBoard == null)
{
types.Remove(Level1Fields.LastTradeId);
types.Remove(Level1Fields.LastTradeTime);
types.Remove(Level1Fields.LastTradePrice);
types.Remove(Level1Fields.LastTradeVolume);
}
if (bidBoard == null)
{
types.Remove(Level1Fields.BestBidTime);
types.Remove(Level1Fields.BestBidPrice);
types.Remove(Level1Fields.BestBidVolume);
}
if (askBoard == null)
{
types.Remove(Level1Fields.BestAskTime);
types.Remove(Level1Fields.BestAskPrice);
types.Remove(Level1Fields.BestAskVolume);
}
foreach (var column in Level1Columns)
{
var colValue = parts[index++];
if (colValue.IsEmpty())
{
continue;
}
//colValue = colValue.To(column.Type);
switch (column.Field)
{
case IQFeedLevel1Column.DefaultField:
{
var typedColValue = column.Convert(colValue);
if (typedColValue != null)
{
l1Messages[exchangeId].AddValue(column.Name, typedColValue);
}
break;
}
case Level1Fields.LastTradeId:
if (types.Contains(column.Field))
{
lastTradeId = colValue.To <long?>();
if (lastTradeId != null && lastTradeId != 0)
{
l1Messages[tradeBoard.Value].Add(column.Field, lastTradeId.Value);
}
}
break;
case Level1Fields.LastTradeTime:
if (types.Contains(column.Field))
{
if (column == Level1ColumnRegistry.LastDate)
{
lastTradeDate = colValue.TryToDateTime(column.Format);
}
else if (column == Level1ColumnRegistry.LastTradeTime)
{
lastTradeTime = column.ConvertToTimeSpan(colValue);
}
if (lastTradeDate.HasValue && lastTradeTime.HasValue)
{
var l1Msg = l1Messages[tradeBoard.Value];
l1Msg.ServerTime = (lastTradeDate.Value + lastTradeTime.Value).ApplyTimeZone(TimeHelper.Est);
l1Msg.Add(Level1Fields.LastTradeTime, l1Msg.ServerTime);
}
}
break;
case Level1Fields.LastTradePrice:
case Level1Fields.LastTradeVolume:
if (types.Contains(column.Field))
{
var decValue = colValue.To <decimal?>();
l1Messages[tradeBoard.Value].TryAdd(column.Field, decValue);
if (column == Level1ColumnRegistry.LastTradePrice)
{
lastTradePrice = decValue;
}
else // if (column == SessionHolder.Level1ColumnRegistry.LastTradeVolume)
{
lastTradeVolume = decValue;
}
}
break;
case Level1Fields.BestBidTime:
if (types.Contains(column.Field))
{
var typedColValue = column.ConvertToTimeSpan(colValue);
if (typedColValue != null)
{
var l1Msg = l1Messages[bidBoard.Value];
l1Msg.ServerTime = (DateTime.Today + typedColValue.Value).ApplyTimeZone(TimeHelper.Est);
l1Msg.Add(Level1Fields.BestBidTime, l1Msg.ServerTime);
}
}
break;
case Level1Fields.BestBidPrice:
case Level1Fields.BestBidVolume:
if (types.Contains(column.Field))
{
l1Messages[bidBoard.Value].TryAdd(column.Field, colValue.To <decimal?>());
}
break;
case Level1Fields.BestAskTime:
if (types.Contains(column.Field))
{
var typedColValue = column.ConvertToTimeSpan(colValue);
if (typedColValue != null)
{
var l1Msg = l1Messages[askBoard.Value];
l1Msg.ServerTime = (DateTime.Today + typedColValue.Value).ApplyTimeZone(TimeHelper.Est);
l1Msg.Add(Level1Fields.BestAskTime, l1Msg.ServerTime);
}
}
break;
case Level1Fields.BestAskPrice:
case Level1Fields.BestAskVolume:
if (types.Contains(column.Field))
{
l1Messages[askBoard.Value].TryAdd(column.Field, colValue.To <decimal?>());
}
break;
case Level1Fields.OpenInterest:
case Level1Fields.OpenPrice:
case Level1Fields.HighPrice:
case Level1Fields.LowPrice:
case Level1Fields.ClosePrice:
case Level1Fields.SettlementPrice:
case Level1Fields.VWAP:
if (types.Contains(column.Field))
{
l1Messages[exchangeId].TryAdd(column.Field, colValue.To <decimal?>());
}
break;
default:
if (types.Contains(column.Field))
{
var typedColValue = column.Convert(colValue);
if (typedColValue != null)
{
l1Messages[exchangeId].Add(column.Field, typedColValue);
}
}
break;
}
}
foreach (var l1Msg in l1Messages.Values)
{
if (l1Msg.Changes.Count <= 0)
{
continue;
}
yield return(new SecurityMessage {
SecurityId = l1Msg.SecurityId
});
if (l1Msg.ServerTime.IsDefault())
{
l1Msg.ServerTime = CurrentTime.Convert(TimeHelper.Est);
}
yield return(l1Msg);
}
if (!types.Contains(Level1Fields.LastTrade) || !lastTradeDate.HasValue || !lastTradeTime.HasValue ||
!lastTradeId.HasValue || !lastTradePrice.HasValue || !lastTradeVolume.HasValue)
{
yield break;
}
yield return(new ExecutionMessage
{
SecurityId = l1Messages[tradeBoard.Value].SecurityId,
TradeId = lastTradeId.Value,
ServerTime = (lastTradeDate.Value + lastTradeTime.Value).ApplyTimeZone(TimeHelper.Est),
TradePrice = lastTradePrice.Value,
Volume = lastTradeVolume.Value,
ExecutionType = ExecutionTypes.Tick,
});
}
private void ProcessSubscriptions()
{
if (_subscribedLevel1.Count > 0)
{
var tickerReply = _client.GetTickers(_subscribedLevel1.Cache.Select(id => id.SecurityCode.ToBtceCode()));
foreach (var ticker in tickerReply.Items.Values)
{
var l1Msg = new Level1ChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = ticker.Instrument.ToStockSharpCode(),
BoardCode = _boardCode,
},
ServerTime = ticker.Timestamp.ApplyTimeZone(TimeHelper.Moscow)
}
.TryAdd(Level1Fields.Volume, (decimal)ticker.Volume)
.TryAdd(Level1Fields.HighPrice, (decimal)ticker.HighPrice)
.TryAdd(Level1Fields.LowPrice, (decimal)ticker.LowPrice)
.TryAdd(Level1Fields.LastTradePrice, (decimal)ticker.LastPrice)
// BTCE транслирует потенциальные цену для покупки и продажи
.TryAdd(Level1Fields.BestBidPrice, (decimal)ticker.Ask)
.TryAdd(Level1Fields.BestAskPrice, (decimal)ticker.Bid)
.TryAdd(Level1Fields.AveragePrice, (decimal)ticker.AveragePrice);
if (l1Msg.Changes.Count > 0)
{
SendOutMessage(l1Msg);
}
}
}
if (_subscribedDepths.Count > 0)
{
foreach (var group in _subscribedDepths.CachedPairs.GroupBy(p => p.Value))
{
var depthReply = _client.GetDepths(group.Key, group.Select(p => p.Key).Select(id => id.SecurityCode.ToBtceCode()));
foreach (var pair in depthReply.Items)
{
SendOutMessage(new QuoteChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = pair.Key.ToStockSharpCode(),
BoardCode = _boardCode,
},
Bids = pair.Value.Bids.Select(vp => vp.ToStockSharp(Sides.Buy)).ToArray(),
Asks = pair.Value.Asks.Select(vp => vp.ToStockSharp(Sides.Sell)).ToArray(),
ServerTime = CurrentTime.Convert(TimeHelper.Moscow),
});
}
}
}
if (_subscribedTicks.Count > 0)
{
var tradeReply = _client.GetTrades(_tickCount, _subscribedTicks.Cache.Select(id => id.SecurityCode.ToBtceCode()));
// меняем на глубину 50
_tickCount = 50;
foreach (var pair in tradeReply.Items)
{
foreach (var trade in pair.Value.OrderBy(t => t.Id))
{
if (_lastTickId >= trade.Id)
{
continue;
}
_lastTickId = trade.Id;
SendOutMessage(new ExecutionMessage
{
SecurityId = new SecurityId
{
SecurityCode = pair.Key.ToStockSharpCode(),
BoardCode = _boardCode,
},
ExecutionType = ExecutionTypes.Tick,
TradePrice = (decimal)trade.Price,
Volume = (decimal)trade.Volume,
TradeId = trade.Id,
ServerTime = trade.Timestamp.ApplyTimeZone(TimeHelper.Moscow),
OriginSide = trade.Side.ToStockSharp()
});
}
}
}
}
private IEnumerable <Message> ParseMessages(IQFeedWrapper feed, string str, MessageTypes type, long requestId)
{
switch (type)
{
case ExtendedMessageTypes.System:
yield return(new IQFeedSystemMessage(feed, str));
break;
case ExtendedMessageTypes.SecurityType:
{
var parts = str.SplitByComma();
yield return(new IQFeedSecurityTypeMessage(parts[0].To <int>(), parts[1], parts[2]));
break;
}
case ExtendedMessageTypes.ListedMarket:
{
var parts = str.SplitByComma();
yield return(new IQFeedListedMarketMessage(parts[0].To <int>(), parts[1], parts[2]));
break;
}
case ExtendedMessageTypes.Data:
yield return(new IQFeedDataMessage(str));
break;
case ExtendedMessageTypes.End:
yield return(new IQFeedEndMessage());
break;
case MessageTypes.Time:
yield return(new TimeMessage {
ServerTime = str.ToDateTime("yyyyMMdd HH:mm:ss").ApplyTimeZone(TimeHelper.Est)
});
break;
case MessageTypes.Security:
{
var parts = str.SplitByComma();
yield return(new SecurityMessage
{
SecurityId = CreateSecurityId(parts[0], parts[1].To <int>()),
Name = parts[3],
OriginalTransactionId = requestId,
SecurityType = _securityTypes[parts[2].To <int>()],
});
break;
}
case ExtendedMessageTypes.Fundamental:
{
foreach (var result in ToSecurityFundamentalMessages(str))
{
yield return(result);
}
break;
}
case MessageTypes.Level1Change:
{
foreach (var result in ToSecurityUpdateMessage(str))
{
yield return(result);
}
break;
}
case MessageTypes.Execution:
{
yield return(ToLevel1(str, _secIds[requestId]));
break;
}
case MessageTypes.News:
yield return(ToNewsMessage(str));
break;
case ExtendedMessageTypes.NewsStory:
{
yield return(new NewsMessage
{
Id = _newsIds[requestId],
Story = str.StripBrackets("<BEGIN>", "<END>"),
ServerTime = CurrentTime.Convert(TimeHelper.Est)
});
break;
}
case MessageTypes.CandleTimeFrame:
case MessageTypes.CandleTick:
case MessageTypes.CandleVolume:
case ExtendedMessageTypes.HistoryExtraDayCandle:
{
var parts = str.SplitByComma();
var tuple = _candleParsers[requestId];
var candleMsg = tuple.Item1(parts);
candleMsg.OriginalTransactionId = requestId;
candleMsg.SecurityId = _secIds[requestId];
if (tuple.Item2 is TimeSpan)
{
var tf = (TimeSpan)tuple.Item2;
if (tf == TimeSpan.FromDays(1))
{
candleMsg.OpenTime = candleMsg.CloseTime;
candleMsg.CloseTime = candleMsg.OpenTime.EndOfDay();
}
else // if (tf == TimeSpan.FromDays(7) || tf.Ticks == TimeHelper.TicksPerMonth)
{
candleMsg.CloseTime -= TimeSpan.FromTicks(1);
candleMsg.OpenTime = tf.GetCandleBounds(candleMsg.CloseTime.ToLocalTime(TimeHelper.Est)).Min;
}
}
else
{
candleMsg.OpenTime = candleMsg.CloseTime;
}
yield return(candleMsg);
break;
}
case MessageTypes.QuoteChange:
{
var l1Msg = ToLevel2(str);
if (l1Msg != null)
{
yield return(l1Msg);
}
break;
}
case MessageTypes.Error:
yield return(new ErrorMessage {
Error = new InvalidOperationException(str)
});
break;
default:
throw new InvalidOperationException(LocalizedStrings.Str2142Params.Put(type));
}
}
