private void InfoClient_OnInfoTrade(InfoTrade trade)
{
if (trade.acc_id == 0 || !mapAccountIdToAccount.ContainsKey(trade.acc_id))
{
return;
}
var code = trade.security + "|" + trade.board;
var instrument = connector.ResolveSymbolAsync(code).Result;
if (instrument == null)
{
Logger.Error().Print($"Unable to resolve instrument for {code}");
return;
}
var fill = new FillMessage
{
Account = mapAccountIdToAccount[trade.acc_id].code,
Instrument = instrument,
ExchangeId = trade.code,
Operation = trade.buy_sell == BuySell.BUY ? OrderOperation.Buy : OrderOperation.Sell,
Price = PriceHelper.ToPrice(trade.price),
Quantity = trade.qty,
DateTime = DateTime.FromFileTime((long)trade.trade_time),
ExchangeOrderId = trade.order_id
};
OnMessageReceived(fill);
}
public async Task <List <AssetModel> > HarvestAssetList(string strServiceUri)
{
var objMessage = new FillMessage();
var lstUris = new List <Uri>();
var lstAssets = new List <AssetModel>();
try
{
var resultObject = await GetHarvestList(strServiceUri);
var bulkUpdates = resultObject.Products.FirstOrDefault()?.BulkUpdates;
bulkUpdates.ForEach(
bf => bf.BulkFiles.ForEach(
harvest => Helpers.ExtractFileInformation(harvest.Location, lstUris, lstAssets)
));
return(lstAssets);
}
catch (Exception ex)
{
Console.WriteLine(ex.Message);
}
return(null);
}
public override void execDetails(int reqId, Contract contract, Execution execution)
{
//Сделки с нулевым количеством
//Пропускаем BAG, т.к. это контракт для конструкций. Сейчас мы его не используем.
//BAG is the security type for COMBO order
//https://www.interactivebrokers.com/en/software/api/apiguide/c/placing_a_combination_order.htm
//https://www.interactivebrokers.com/en/software/api/apiguide/tables/api_message_codes.htm
if (contract.SecType == "BAG")
{
return;
}
Log.Debug().PrintFormat("< execDetails {0} {1} {2} {3}", reqId, contract.ConId, execution.ExecId);
connector.ContractContainer.GetInstrumentAsync(
contract,
string.Format("A fill on order \"{0}\", account \"{1}\"", execution.ExecId, execution.AcctNumber),
async instrument =>
{
var fill = new FillMessage
{
Account = execution.AcctNumber,
Instrument = instrument,
DateTime = ParseExecutionTime(execution.Time),
ExchangeId = execution.ExecId,
ExchangeOrderId = execution.PermId.ToString(CultureInfo.InvariantCulture),
Operation = execution.Side == "BOT" ? OrderOperation.Buy : OrderOperation.Sell,
Price = (decimal)execution.Price,
Quantity = (uint)execution.CumQty
};
// В случае частичного исполнения заявки мы запоминаем прежнее значение CumQty
// и в соответствии с ним пересчитываем fill.Quantity
using (lastExecCumQtiesLock.Lock())
{
var orderKey = new Tuple <Instrument, int>(instrument, execution.PermId);
int lastQty;
if (lastExecCumQties.TryGetValue(orderKey, out lastQty))
{
fill.Quantity = (uint)(execution.CumQty - lastQty);
}
lastExecCumQties[orderKey] = execution.CumQty;
}
// Ждём пока в наш адаптер не придут данные по заявке
await orderInfoContainer.WaitOrderForFill(execution);
// Выплевываем наружу сообщение
connector.IBOrderRouter.Transmit(fill);
});
}
/// <summary>
/// Сгенерировать <see cref="FillMessage"/>
/// </summary>
private void TryEmitFills(OrderStatus orderStatus, Order order)
{
if (orderStatus.transaction_status != null)
{
foreach (var transactionStatus in orderStatus.transaction_status)
{
switch ((TransactionStatus.Status)transactionStatus.status)
{
case TransactionStatus.Status.FILL:
if (transactionStatus.trade == null)
{
continue;
}
foreach (var trade in transactionStatus.trade)
{
if (trade != null)
{
using (processedFillsLock.Lock())
{
if (!processedFillIds.Add(trade.trade_id))
{
// Сделка уже обработана
continue;
}
}
var fill = new FillMessage
{
Instrument = order.Instrument,
DateTime = adapter.ResolveDateTime(trade.trade_utc_time),
Account = order.Account,
Operation = ConvertionHelper.GetOrderOperation((WebAPI.Order.Side)trade.side),
Price = instrumentResolver.ConvertPriceBack(trade.contract_id, trade.price),
Quantity = trade.qty,
ExchangeId = trade.trade_id,
ExchangeOrderId = order.OrderExchangeId
};
OnMessageReceived(fill);
}
}
break;
}
}
}
}
/// <summary>
/// Сохраняет свою сделку.
/// </summary>
/// <param name="fill">Данные своей сделки.</param>
protected void AddFill(FillMessage fill)
{
if (!storeFillsInMemory)
{
return;
}
if (!IsPermittedAccount(fill.Account))
{
return;
}
using (SyncRoot.Lock())
{
Dictionary <Instrument, List <FillMessage> > accountFills;
if (!AvailableAccounts.Contains(fill.Account))
{
AvailableAccounts.Add(fill.Account);
accountFills = new Dictionary <Instrument, List <FillMessage> >();
Fills.Add(fill.Account, accountFills);
}
else
{
accountFills = Fills[fill.Account];
}
List <FillMessage> instrumentFills;
if (!accountFills.TryGetValue(fill.Instrument, out instrumentFills))
{
instrumentFills = new List <FillMessage>();
accountFills.Add(fill.Instrument, instrumentFills);
}
instrumentFills.Add(fill);
}
}
/// <summary>
/// Выплюнуть из раутера сообщение
/// </summary>
/// <param name="message">
/// Сообщение
/// </param>
internal void Transmit(FillMessage message)
{
OnMessageReceived(message);
}
private async void Handle(ExecutionReport msg)
{
var clOrderId = msg.ClOrdID.Obj;
string origClOrderId = null;
if (msg.IsSetOrigClOrdID())
{
origClOrderId = msg.OrigClOrdID.Obj;
}
var state = msg.IsSetOrdStatus() ? ConvertOrderState(msg.OrdStatus) : null;
var price = msg.IsSetPrice() ? msg.Price.Obj : (decimal?)null;
price = price != 0M ? price : null;
var qty = msg.IsSetOrderQty() ? (uint)msg.OrderQty.Obj : (uint?)null;
var filledQty = msg.IsSetLastQty() ? (uint)msg.LastQty.Obj : (uint?)null;
var activeQty = msg.IsSetLeavesQty() ? (uint)msg.LeavesQty.Obj : (uint?)null;
var time = msg.IsSetTransactTime() ? ParseTransactTime() : DateTime.Now;
var orderExchangeId = msg.IsSetOrderID() ? msg.OrderID.Obj : null;
var transactionId = _orders.GetOrCreateOrderTransactionId(origClOrderId ?? clOrderId);
var oscm = new OrderStateChangeMessage
{
TransactionId = transactionId,
State = state,
Price = price,
Quantity = qty,
FilledQuantity = filledQty,
ActiveQuantity = activeQty,
ChangeTime = time,
OrderExchangeId = orderExchangeId
};
switch (msg.ExecType.Obj)
{
case ExecType.NEW:
_newOrderTransactions.Accept(clOrderId);
_orders.SaveOrderExchangeId(transactionId, orderExchangeId);
SendMessage(oscm);
break;
case ExecType.TRADE:
_newOrderTransactions.Accept(clOrderId);
_orders.SaveOrderExchangeId(transactionId, orderExchangeId);
SendMessage(oscm);
await EmitFillAsync();
if (oscm.State == OrderState.Filled)
{
_newOrderTransactions.Forget(transactionId);
_killOrderTransactions.Forget(msg.ClOrdID.Obj);
_orders.ForgetOrder(transactionId);
}
break;
case ExecType.FILL:
_newOrderTransactions.Accept(clOrderId);
_orders.SaveOrderExchangeId(transactionId, orderExchangeId);
SendMessage(oscm);
await EmitFillAsync();
if (oscm.State == OrderState.Filled)
{
_newOrderTransactions.Forget(transactionId);
_killOrderTransactions.Forget(msg.ClOrdID.Obj);
_orders.ForgetOrder(transactionId);
}
break;
case ExecType.PARTIAL_FILL:
_newOrderTransactions.Accept(clOrderId);
_orders.SaveOrderExchangeId(transactionId, orderExchangeId);
SendMessage(oscm);
await EmitFillAsync();
break;
case ExecType.REJECTED:
string rejectReason;
switch (msg.OrdRejReason.Obj)
{
case OrdRejReason.UNKNOWN_SYMBOL:
rejectReason = "Unknown symbol";
break;
case OrdRejReason.EXCHANGE_CLOSED:
rejectReason = "Exchange closed";
break;
case OrdRejReason.ORDER_EXCEEDS_LIMIT:
rejectReason = "Order exceeds limit";
break;
case OrdRejReason.DUPLICATE_ORDER:
rejectReason = "Duplicate order";
break;
default:
rejectReason = $"#{msg.OrdRejReason.Obj}";
break;
}
if (!string.IsNullOrEmpty(msg.Text?.Obj))
{
rejectReason = $"{rejectReason}. {msg.Text?.Obj}";
}
_newOrderTransactions.Reject(clOrderId, rejectReason);
_orders.ForgetOrder(transactionId);
break;
case ExecType.PENDING_CANCEL:
_killOrderTransactions.Accept(msg.ClOrdID.Obj);
SendMessage(oscm);
break;
case ExecType.CANCELED:
_killOrderTransactions.Accept(msg.ClOrdID.Obj);
_newOrderTransactions.Forget(transactionId);
_killOrderTransactions.Forget(msg.ClOrdID.Obj);
_orders.ForgetOrder(transactionId);
SendMessage(oscm);
break;
case ExecType.PENDING_REPLACE:
_modifyOrderTransactions.Accept(clOrderId);
break;
case ExecType.REPLACED:
_newOrderTransactions.Forget(origClOrderId);
_killOrderTransactions.Forget(clOrderId);
_orders.UpdateOrderParams(
orderExchangeId: orderExchangeId,
origClOrderId: origClOrderId,
clOrderId: clOrderId,
symbol: msg.Symbol.Obj,
qty: msg.OrderQty.Obj,
side: msg.Side.Obj);
SendMessage(oscm);
break;
default:
_Log.Warn().PrintFormat("Unknown ExecType: {0}", msg.ExecType.Obj);
break;
}
OrderState?ConvertOrderState(OrdStatus field)
{
switch (field.Obj)
{
case OrdStatus.PENDING_NEW: return(OrderState.New);
case OrdStatus.NEW: return(OrderState.Active);
case OrdStatus.CANCELED: return(OrderState.Cancelled);
case OrdStatus.FILLED: return(OrderState.Filled);
case OrdStatus.PARTIALLY_FILLED: return(OrderState.PartiallyFilled);
case OrdStatus.REJECTED: return(OrderState.Error);
case OrdStatus.PENDING_CANCEL: return(null);
case OrdStatus.PENDING_REPLACE: return(null);
default:
_Log.Warn().PrintFormat("Unknown OrdStatus: {0}", field.Obj);
return(null);
}
}
DateTime ParseTransactTime()
{
var maxLen = "20170912-09:39:57.2761221".Length;
var str = msg.GetString(60 /*TransactTime*/);
if (str.Length > maxLen)
{
str = str.Substring(0, maxLen);
}
var t = DateTime.ParseExact(str, "yyyyMMdd-HH:mm:ss.fffffff", null, DateTimeStyles.AssumeUniversal);
return(t);
}
async Task EmitFillAsync()
{
if (!msg.IsSetSecondaryExecID())
{
return;
}
var fillExchangeId = msg.SecondaryExecID.Obj;
var fillPrice = msg.IsSetLastPx() ? msg.LastPx.Obj : (decimal?)null;
price = price != 0M ? price : null;
var fillQty = msg.IsSetLastQty() ? (uint)msg.LastQty.Obj : (uint?)null;
if (fillPrice == null || fillQty == null)
{
return;
}
Instrument instrument;
try
{
instrument = await _settings.InstrumentConverter.ResolveSymbolAsync(this, msg.Symbol.Obj);
}
catch (Exception e)
{
_Log.Error().Print(e, $"Failed to resolve instrument {msg.Symbol.Obj}");
return;
}
var fill = new FillMessage
{
Price = fillPrice.Value,
Quantity = fillQty.Value,
DateTime = time,
Instrument = instrument,
Account = msg.Account.Obj,
Operation = msg.Side.Obj == Side.BUY ? OrderOperation.Buy : OrderOperation.Sell,
ExchangeId = fillExchangeId,
ExchangeOrderId = orderExchangeId
};
SendMessage(fill);
}
}
