private void SessionOnStil2Reply(ref Array arrayL2Update)
{
var asksUpdate = new List <QuoteChange>();
var bidsUpdate = new List <QuoteChange>();
foreach (structSTIL2Update structL2Update in arrayL2Update)
{
switch (structL2Update.bstrSide.ToSide())
{
case Sides.Buy:
{
bidsUpdate.Add(new QuoteChange(structL2Update.bstrSide.ToSide(), (decimal)structL2Update.fPrice, structL2Update.nQty)
{
BoardCode = structL2Update.bstrMaker
});
break;
}
case Sides.Sell:
{
asksUpdate.Add(new QuoteChange(structL2Update.bstrSide.ToSide(), (decimal)structL2Update.fPrice, structL2Update.nQty)
{
BoardCode = structL2Update.bstrMaker
});
break;
}
}
}
var quote = (structSTIL2Update)arrayL2Update.GetValue(0);
if (_depths.ContainsKey(quote.bstrSymbol))
{
_depths.Remove(quote.bstrSymbol);
}
_depths.Add(quote.bstrSymbol, new Tuple <List <QuoteChange>, List <QuoteChange> >(asksUpdate, bidsUpdate));
var message = new QuoteChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = quote.bstrSymbol,
BoardCode = AssociatedBoardCode,
},
Asks = asksUpdate,
Bids = bidsUpdate,
ServerTime = quote.bstrTime.StrToTime(),
};
SendOutMessage(message);
}
/// <summary>
/// Initializes a new instance of the <see cref="DepthCandleBuilderSourceValue"/>.
/// </summary>
/// <param name="message">Messages containing quotes.</param>
/// <param name="type">Type of candle depth based data.</param>
public QuoteCandleBuilderSourceValue(QuoteChangeMessage message, DepthCandleSourceTypes type)
{
QuoteChange = message;
Type = type;
switch (Type)
{
case DepthCandleSourceTypes.BestBid:
{
var bid = message.GetBestBid();
if (bid != null)
{
_price = bid.Price;
_volume = bid.Volume;
}
break;
}
case DepthCandleSourceTypes.BestAsk:
{
var ask = message.GetBestAsk();
if (ask != null)
{
_price = ask.Price;
_volume = ask.Volume;
}
break;
}
case DepthCandleSourceTypes.Middle:
{
var bid = message.GetBestBid();
var ask = message.GetBestAsk();
if (bid != null && ask != null)
{
_price = (ask.Price + bid.Price) / 2;
//_volume = pair.Bid.Volume;
}
break;
}
default:
throw new ArgumentOutOfRangeException();
}
}
/// <summary>
/// Initializes a new instance of the <see cref="TimeQuoteChange"/>.
/// </summary>
/// <param name="side">Direction (buy or sell).</param>
/// <param name="quote">The quote, from which changes will be copied.</param>
/// <param name="message">The message with quotes.</param>
public TimeQuoteChange(Sides side, QuoteChange quote, QuoteChangeMessage message)
{
if (message is null)
{
throw new ArgumentNullException(nameof(message));
}
SecurityId = message.SecurityId;
ServerTime = message.ServerTime;
LocalTime = message.LocalTime;
Quote = quote;
Side = side;
}
public NullableTimeQuoteChange(QuoteChange quote, QuoteChangeMessage message)
{
if (quote == null)
{
throw new ArgumentNullException(nameof(quote));
}
ServerTime = message.ServerTime;
LocalTime = message.LocalTime;
Price = quote.Price;
Volume = quote.Volume;
Side = quote.Side;
}
private void SessionOnStil2Update(ref structSTIL2Update structL2Update)
{
var depth = _depths[structL2Update.bstrSymbol];
var quote = new QuoteChange(structL2Update.bstrSide.ToSide(), (decimal)structL2Update.fPrice, structL2Update.nQty);
var quotes = quote.Side == Sides.Sell ? depth.Item1 : depth.Item2;
switch (structL2Update.bstrAction)
{
case "A": // add
{
quotes.Add(quote);
break;
}
case "C": // change
{
quotes.RemoveWhere(q => q.Price == quote.Price && q.BoardCode == quote.BoardCode);
quotes.Add(quote);
break;
}
case "D": // delete
{
quotes.RemoveWhere(q => q.Price == quote.Price && q.BoardCode == quote.BoardCode);
break;
}
}
var board = structL2Update.bstrMaker;
if (board.IsEmpty())
{
board = AssociatedBoardCode;
}
var message = new QuoteChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = structL2Update.bstrSymbol,
BoardCode = board,
},
Asks = depth.Item1.ToArray(),
Bids = depth.Item2.ToArray(),
ServerTime = structL2Update.bstrTime.StrToTime(),
};
SendOutMessage(message);
}
/// <summary>
/// Создать <see cref="TimeQuoteChange"/>.
/// </summary>
/// <param name="quote">Котировка, из которой будут скопированы изменения.</param>
/// <param name="message">Сообщение с котировками.</param>
public TimeQuoteChange(QuoteChange quote, QuoteChangeMessage message)
{
if (quote == null)
{
throw new ArgumentNullException("quote");
}
SecurityId = message.SecurityId;
ServerTime = message.ServerTime;
LocalTime = message.LocalTime;
Price = quote.Price;
Volume = quote.Volume;
Side = quote.Side;
}
public NullableTimeQuoteChange(Sides side, QuoteChange quote, QuoteChangeMessage message)
{
if (quote == null)
{
throw new ArgumentNullException(nameof(quote));
}
ServerTime = message.ServerTime;
LocalTime = message.LocalTime;
Price = quote.Price;
Volume = quote.Volume;
Side = side;
OrdersCount = quote.OrdersCount;
Condition = quote.Condition;
}
private static string QuotesToString(QuoteChangeMessage quotes)
{
var sb = new StringBuilder();
foreach (var quote in quotes.Bids)
{
sb.Append($"Bid:{quote.Price}:{quote.Volume};");
}
foreach (var quote in quotes.Asks)
{
sb.Append($"Ask:{quote.Price}:{quote.Volume};");
}
return($"{quotes.ServerTime};{quotes.SecurityId.SecurityCode};{sb}");
}
/// <summary>
/// Обновить стакан.
/// </summary>
/// <param name="message">Стакан.</param>
public void UpdateDepth(QuoteChangeMessage message)
{
if (message == null)
{
throw new ArgumentNullException("message");
}
var clone = new QuoteChangeMessage
{
Bids = message.Bids,
Asks = message.Asks,
IsSorted = message.IsSorted,
};
lock (_lastDepthSync)
_lastQuoteMsg = clone;
}
public QuoteChangeMessage Process(QuoteChangeMessage message)
{
if (message == null)
{
throw new ArgumentNullException(nameof(message));
}
return(new QuoteChangeMessage
{
SecurityId = message.SecurityId,
ServerTime = message.ServerTime,
LocalTime = message.LocalTime,
IsSorted = message.IsSorted,
IsByLevel1 = message.IsByLevel1,
IsFiltered = true,
Bids = Filter(message.Bids),
Asks = Filter(message.Asks),
});
}
private void CreateAssociatedSecurityQuotes(QuoteChangeMessage quoteMsg)
{
if (!CreateAssociatedSecurity)
return;
if (quoteMsg.SecurityId.IsDefault())
return;
if (IsAssociated(quoteMsg.SecurityId.BoardCode))
return;
var builder = _quoteChangeDepthBuilders
.SafeAdd(quoteMsg.SecurityId.SecurityCode, c => new QuoteChangeDepthBuilder(c, AssociatedBoardCode));
quoteMsg = builder.Process(quoteMsg);
var security = LookupSecurity(quoteMsg.SecurityId);
ProcessQuotesMessage(security, quoteMsg, false);
}
private static string QuotesToString(QuoteChangeMessage quotes)
{
var sb = new StringBuilder();
foreach (var quote in quotes.Bids)
{
sb.Append(string.Format("Bid:{0}:{1};", quote.Price, quote.Volume));
}
foreach (var quote in quotes.Asks)
{
sb.Append(string.Format("Ask:{0}:{1};", quote.Price, quote.Volume));
}
return(string.Format("{0};{1};{2}",
quotes.ServerTime,
quotes.SecurityId.SecurityCode,
sb
));
}
public QuoteChangeMessage Process(QuoteChangeMessage message)
{
if (message is null)
{
throw new ArgumentNullException(nameof(message));
}
return(new QuoteChangeMessage
{
SecurityId = message.SecurityId,
ServerTime = message.ServerTime,
LocalTime = message.LocalTime,
IsSorted = message.IsSorted,
BuildFrom = message.BuildFrom,
Currency = message.Currency,
IsFiltered = true,
Bids = Filter(Sides.Buy, message.Bids),
Asks = Filter(Sides.Sell, message.Asks),
});
}
public QuoteChangeMessage Process(QuoteChangeMessage message)
{
_feeds[message.SecurityId] = message;
var bids = _feeds.SelectMany(f => f.Value.Bids).ToArray();
var asks = _feeds.SelectMany(f => f.Value.Asks).ToArray();
return(new QuoteChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = _securityCode,
BoardCode = _boardCode
},
ServerTime = message.ServerTime,
LocalTime = message.LocalTime,
Bids = bids,
Asks = asks
});
}
/// <summary>
/// To convert quotes.
/// </summary>
/// <param name="message">Quotes.</param>
/// <returns>Stream <see cref="ExecutionMessage"/>.</returns>
public IEnumerable <ExecutionMessage> ToExecutionLog(QuoteChangeMessage message)
{
if (message == null)
{
throw new ArgumentNullException(nameof(message));
}
if (!_priceStepUpdated || !_volumeStepUpdated)
{
var quote = message.GetBestBid() ?? message.GetBestAsk();
if (quote != null)
{
if (!_priceStepUpdated)
{
_securityDefinition.PriceStep = quote.Price.GetDecimalInfo().EffectiveScale.GetPriceStep();
_priceStepUpdated = true;
}
if (!_volumeStepUpdated)
{
_securityDefinition.VolumeStep = quote.Volume.GetDecimalInfo().EffectiveScale.GetPriceStep();
_volumeStepUpdated = true;
}
}
}
_lastDepthDate = message.LocalTime.Date;
// чтобы склонировать внутренние котировки
//message = message.TypedClone();
// TODO для ускорения идет shallow copy котировок
var newBids = message.IsSorted ? (IEnumerable <QuoteChange>)message.Bids : message.Bids.OrderByDescending(q => q.Price);
var newAsks = message.IsSorted ? (IEnumerable <QuoteChange>)message.Asks : message.Asks.OrderBy(q => q.Price);
return(ProcessQuoteChange(message.LocalTime, message.ServerTime, newBids.ToArray(), newAsks.ToArray()));
}
/// <inheritdoc />
protected override void OnInnerAdapterNewOutMessage(Message message)
{
switch (message.Type)
{
case MessageTypes.SubscriptionResponse:
{
var responseMsg = (SubscriptionResponseMessage)message;
if (!_infos.TryGetValue(responseMsg.OriginalTransactionId, out var info))
{
break;
}
if (responseMsg.Error == null)
{
info.State = SubscriptionStates.Active;
}
else
{
info.State = SubscriptionStates.Error;
_infos.Remove(responseMsg.OriginalTransactionId);
_infosBySecId.TryGetValue(info.Origin.SecurityId)?.Remove(responseMsg.OriginalTransactionId);
}
break;
}
case MessageTypes.SubscriptionFinished:
{
var finishMsg = (SubscriptionFinishedMessage)message;
if (_infos.TryGetAndRemove(finishMsg.OriginalTransactionId, out var info))
{
info.State = SubscriptionStates.Finished;
_infosBySecId.TryGetValue(info.Origin.SecurityId)?.Remove(finishMsg.OriginalTransactionId);
}
break;
}
case MessageTypes.SubscriptionOnline:
{
var onlineMsg = (SubscriptionOnlineMessage)message;
if (_infos.TryGetValue(onlineMsg.OriginalTransactionId, out var info))
{
info.State = SubscriptionStates.Online;
}
break;
}
case MessageTypes.QuoteChange:
{
if (_infos.Count == 0)
{
break;
}
var quoteMsg = (QuoteChangeMessage)message;
var ids = quoteMsg.GetSubscriptionIds();
var set = new HashSet <long>(quoteMsg.GetSubscriptionIds());
QuoteChangeMessage filtered = null;
foreach (var id in ids)
{
if (_infos.TryGetValue(id, out var info) && info.State.IsActive())
{
var newIds = _infosBySecId[info.Origin.SecurityId].Cache;
filtered = info.Process(quoteMsg);
filtered.SetSubscriptionIds(newIds);
set.RemoveRange(newIds);
break;
}
}
if (set.Count > 0)
{
quoteMsg.SetSubscriptionIds(set.ToArray());
}
else
{
// subscription for origin book was initialized only by filtered book
message = null;
}
if (filtered != null)
{
base.OnInnerAdapterNewOutMessage(filtered);
}
break;
}
case MessageTypes.Execution:
{
if (_infosBySecId.Count == 0 || _infos.Count == 0)
{
break;
}
var execMsg = (ExecutionMessage)message;
if (
execMsg.ExecutionType != ExecutionTypes.Transaction ||
!execMsg.HasOrderInfo() ||
execMsg.OrderPrice == 0 || // ignore market orders
execMsg.OriginalTransactionId == 0 // ignore unknown orders
)
{
break;
}
if (execMsg.OrderState == OrderStates.Active || execMsg.OrderState == OrderStates.Done)
{
if (!_infosBySecId.TryGetValue(execMsg.SecurityId, out var set))
{
break;
}
foreach (var id in set.Cache)
{
_infos.TryGetValue(id)?.Process(execMsg);
}
}
break;
}
}
if (message != null)
{
base.OnInnerAdapterNewOutMessage(message);
}
}
/// <summary>
/// Try create full book.
/// </summary>
/// <param name="change">Book change.</param>
/// <param name="subscriptionId">Subscription.</param>
/// <returns>Full book.</returns>
public QuoteChangeMessage TryApply(QuoteChangeMessage change, long subscriptionId = default)
{
if (change is null)
{
throw new ArgumentNullException(nameof(change));
}
if (change.State is null)
{
throw new ArgumentException(nameof(change));
}
var currState = _state;
var newState = change.State.Value;
void WriteWarning()
{
var postfix = string.Empty;
if (subscriptionId != default)
{
if (!_invalidSubscriptions.Add(subscriptionId))
{
return;
}
postfix = $" (sub={subscriptionId})";
}
this.AddWarningLog($"{currState}->{newState}{postfix}");
}
bool CheckSwitch()
{
switch (currState)
{
case _none:
case QuoteChangeStates.SnapshotStarted:
{
if (newState != QuoteChangeStates.SnapshotBuilding && newState != QuoteChangeStates.SnapshotComplete)
{
WriteWarning();
return(false);
}
break;
}
case QuoteChangeStates.SnapshotBuilding:
{
if (newState != QuoteChangeStates.SnapshotBuilding && newState != QuoteChangeStates.SnapshotComplete)
{
WriteWarning();
return(false);
}
break;
}
case QuoteChangeStates.SnapshotComplete:
case QuoteChangeStates.Increment:
{
if (newState == QuoteChangeStates.SnapshotBuilding)
{
WriteWarning();
return(false);
}
break;
}
}
return(true);
}
var resetState = newState == QuoteChangeStates.SnapshotStarted || newState == QuoteChangeStates.SnapshotComplete;
if (currState != newState || resetState)
{
if (!CheckSwitch())
{
return(null);
}
if (currState == _none || resetState)
{
_bids.Clear();
_asks.Clear();
_bidsByPos.Clear();
_asksByPos.Clear();
}
_state = currState = newState;
}
private void ProcessQuotesMessage(Security security, QuoteChangeMessage message, bool fromLevel1)
{
if (MarketDepthChanged != null || MarketDepthsChanged != null)
{
var marketDepth = GetMarketDepth(security);
message.ToMarketDepth(marketDepth, GetSecurity);
if (_subscriptionManager.IsFilteredMarketDepthRegistered(security))
GetFilteredMarketDepthInfo(security).Process(message);
RaiseMarketDepthChanged(marketDepth);
}
else
{
lock (_marketDepths.SyncRoot)
{
var info = _marketDepths.SafeAdd(security, key => new MarketDepthInfo(EntityFactory.CreateMarketDepth(security)));
info.First.LocalTime = message.LocalTime;
info.First.LastChangeTime = message.ServerTime;
info.Second = message.Bids;
info.Third = message.Asks;
}
}
var bestBid = message.GetBestBid();
var bestAsk = message.GetBestAsk();
if (!fromLevel1 && (bestBid != null || bestAsk != null))
{
var values = GetSecurityValues(security);
var changes = new List<KeyValuePair<Level1Fields, object>>(4);
lock (values.SyncRoot)
{
if (bestBid != null)
{
values[(int)Level1Fields.BestBidPrice] = bestBid.Price;
changes.Add(new KeyValuePair<Level1Fields, object>(Level1Fields.BestBidPrice, bestBid.Price));
if (bestBid.Volume != 0)
{
values[(int)Level1Fields.BestBidVolume] = bestBid.Volume;
changes.Add(new KeyValuePair<Level1Fields, object>(Level1Fields.BestBidVolume, bestBid.Volume));
}
}
if (bestAsk != null)
{
values[(int)Level1Fields.BestAskPrice] = bestAsk.Price;
changes.Add(new KeyValuePair<Level1Fields, object>(Level1Fields.BestAskPrice, bestAsk.Price));
if (bestAsk.Volume != 0)
{
values[(int)Level1Fields.BestAskVolume] = bestAsk.Volume;
changes.Add(new KeyValuePair<Level1Fields, object>(Level1Fields.BestAskVolume, bestAsk.Volume));
}
}
}
RaiseValuesChanged(security, changes, message.ServerTime, message.LocalTime);
}
if (UpdateSecurityLastQuotes)
{
var updated = false;
if (!fromLevel1 || bestBid != null)
{
updated = true;
security.BestBid = bestBid == null ? null : new Quote(security, bestBid.Price, bestBid.Volume, Sides.Buy);
}
if (!fromLevel1 || bestAsk != null)
{
updated = true;
security.BestAsk = bestAsk == null ? null : new Quote(security, bestAsk.Price, bestAsk.Volume, Sides.Sell);
}
if (updated)
{
security.LocalTime = message.LocalTime;
security.LastChangeTime = message.ServerTime;
RaiseSecurityChanged(security);
// стаканы по ALL обновляют BestXXX по конкретным инструментам
if (security.Board.Code == AssociatedBoardCode)
{
var changedSecurities = new Dictionary<Security, RefPair<bool, bool>>();
foreach (var bid in message.Bids)
{
if (bid.BoardCode.IsEmpty())
continue;
var innerSecurity = GetSecurity(new SecurityId
{
SecurityCode = security.Code,
BoardCode = bid.BoardCode
});
var info = changedSecurities.SafeAdd(innerSecurity);
if (info.First)
continue;
info.First = true;
innerSecurity.BestBid = new Quote(innerSecurity, bid.Price, bid.Volume, Sides.Buy);
innerSecurity.LocalTime = message.LocalTime;
innerSecurity.LastChangeTime = message.ServerTime;
}
foreach (var ask in message.Asks)
{
if (ask.BoardCode.IsEmpty())
continue;
var innerSecurity = GetSecurity(new SecurityId
{
SecurityCode = security.Code,
BoardCode = ask.BoardCode
});
var info = changedSecurities.SafeAdd(innerSecurity);
if (info.Second)
continue;
info.Second = true;
innerSecurity.BestAsk = new Quote(innerSecurity, ask.Price, ask.Volume, Sides.Sell);
innerSecurity.LocalTime = message.LocalTime;
innerSecurity.LastChangeTime = message.ServerTime;
}
RaiseSecuritiesChanged(changedSecurities.Keys.ToArray());
}
}
}
if (CreateDepthFromLevel1)
GetBuilder(message.SecurityId).HasDepth = true;
CreateAssociatedSecurityQuotes(message);
}
private void ProcessQuotesMessage(QuoteChangeMessage message, bool fromLevel1)
{
var security = LookupSecurity(message.SecurityId);
ProcessQuotesMessage(security, message, fromLevel1);
}
private void SessionOnStil2Update(ref structSTIL2Update structL2Update)
{
var asksUpdate = _depths[structL2Update.bstrSymbol].Item1;
var bidsUpdate = _depths[structL2Update.bstrSymbol].Item2;
var quote = new QuoteChange(structL2Update.bstrSide.ToSide(), (decimal)structL2Update.fPrice, structL2Update.nQty)
{
BoardCode = structL2Update.bstrMaker
};
switch (structL2Update.bstrSide.ToSide())
{
case Sides.Buy:
{
switch (structL2Update.bstrAction)
{
case "A": // add
{
bidsUpdate.Add(quote);
break;
}
case "C": // change
{
bidsUpdate.RemoveWhere(q => q.Price == quote.Price && q.BoardCode == quote.BoardCode);
bidsUpdate.Add(quote);
break;
}
case "D": // delete
{
bidsUpdate.RemoveWhere(q => q.Price == quote.Price && q.BoardCode == quote.BoardCode);
break;
}
}
break;
}
case Sides.Sell:
{
switch (structL2Update.bstrAction)
{
case "A": // add
{
asksUpdate.Add(quote);
break;
}
case "C": // change
{
asksUpdate.RemoveWhere(q => q.Price == quote.Price && q.BoardCode == quote.BoardCode);
asksUpdate.Add(quote);
break;
}
case "D": // delete
{
asksUpdate.RemoveWhere(q => q.Price == quote.Price && q.BoardCode == quote.BoardCode);
break;
}
}
break;
}
}
var message = new QuoteChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = structL2Update.bstrSymbol,
BoardCode = "All",
},
Asks = asksUpdate,
Bids = bidsUpdate,
ServerTime = structL2Update.bstrTime.StrToTime(),
};
SendOutMessage(message);
}
/// <inheritdoc />
protected override bool OnSendInMessage(Message message)
{
switch (message.Type)
{
case MessageTypes.Reset:
{
lock (_syncObject)
_infos.Clear();
break;
}
case MessageTypes.MarketData:
{
var mdMsg = (MarketDataMessage)message;
if (mdMsg.DataType != MarketDataTypes.MarketDepth)
{
break;
}
var isFilteredMsg = mdMsg is FilteredMarketDepthMessage;
var transId = mdMsg.TransactionId;
if (mdMsg.IsSubscribe)
{
if (!isFilteredMsg)
{
break;
}
var data = (Tuple <QuoteChangeMessage, ExecutionMessage[]>)mdMsg.Arg;
QuoteChangeMessage filtered = null;
lock (_syncObject)
{
var info = _infos.SafeAdd(mdMsg.SecurityId, key => new FilteredMarketDepthInfo(transId, data.Item2));
info.Subscriptions.Add(transId);
if (info.Subscriptions.Count == 1)
{
var clone = new MarketDataMessage();
mdMsg.CopyTo(clone);
message = clone;
filtered = info.Process(data.Item1);
}
}
if (filtered == null)
{
RaiseNewOutMessage(new SubscriptionResponseMessage {
OriginalTransactionId = transId
});
return(true);
}
else
{
RaiseNewOutMessage(filtered);
}
}
else
{
SubscriptionResponseMessage reply;
lock (_syncObject)
{
var info = _infos.FirstOrDefault(p => p.Value.Subscriptions.Contains(mdMsg.OriginalTransactionId)).Value;
if (info != null)
{
info.Subscriptions.Remove(mdMsg.OriginalTransactionId);
if (info.Subscriptions.Count > 0)
{
reply = new SubscriptionResponseMessage
{
OriginalTransactionId = transId,
};
}
else
{
message = new MarketDataMessage
{
IsSubscribe = false,
TransactionId = transId,
OriginalTransactionId = info.TransactionId,
};
break;
}
}
else
{
if (!isFilteredMsg)
{
break;
}
reply = transId.CreateSubscriptionResponse(new InvalidOperationException(LocalizedStrings.SubscriptionNonExist.Put(mdMsg.OriginalTransactionId)));
}
}
RaiseNewOutMessage(reply);
return(true);
}
break;
}
}
return(base.OnSendInMessage(message));
}
private void ConvertFile(string fileName, IStorageRegistry registry, StorageFormats format, ExchangeBoard board, string securityLike, Dictionary <SecurityId, IOrderLogMarketDepthBuilder> orderLog2OrderBookBuilders, int orderBookMaxDepth, TimeZoneInfo tz, TimeZoneInfo mz)
{
if (!_isStarted)
{
return;
}
var fileNameKey = format + "_" + fileName;
if (_convertedFiles.Contains(fileNameKey))
{
return;
}
_logManager.Application.AddInfoLog("Начата конвертация файла {0}.", fileName);
var securitiesStrings = securityLike.Split(",");
var data = new Dictionary <SecurityId, Tuple <List <QuoteChangeMessage>, List <ExecutionMessage>, List <Level1ChangeMessage>, List <ExecutionMessage> > >();
DateTimeOffset ToLocalDto(DateTime dt) => dt.ApplyTimeZone(tz);
DateTimeOffset ToServerDto(DateTime dt) => dt.ApplyTimeZone(mz);
using (var qr = QshReader.Open(fileName))
{
var reader = qr;
for (var i = 0; i < qr.StreamCount; i++)
{
var stream = (ISecurityStream)qr[i];
var securityId = GetSecurityId(stream.Security, board.Code);
var priceStep = (decimal)stream.Security.Step;
var lastTransactionId = 0L;
var builder = orderLog2OrderBookBuilders?.SafeAdd(securityId, key => new PlazaOrderLogMarketDepthBuilder(key));
if (securitiesStrings.Length > 0)
{
var secCode = securityId.SecurityCode;
var streamContainsSecurityFromMask = securitiesStrings.Any(mask =>
{
var isEndMulti = mask.EndsWith("*");
var isStartMulti = mask.StartsWith("*");
if (isStartMulti)
{
mask = mask.Substring(1);
}
if (isEndMulti)
{
mask = mask.Substring(0, mask.Length - 1);
}
if (isEndMulti)
{
if (isStartMulti)
{
return(secCode.ContainsIgnoreCase(mask));
}
else
{
return(secCode.StartsWith(mask, StringComparison.InvariantCultureIgnoreCase));
}
}
else if (isStartMulti)
{
return(secCode.EndsWith(mask, StringComparison.InvariantCultureIgnoreCase));
}
else
{
return(secCode.CompareIgnoreCase(mask));
}
});
if (!streamContainsSecurityFromMask)
{
continue;
}
}
var secData = data.SafeAdd(securityId, key => Tuple.Create(new List <QuoteChangeMessage>(), new List <ExecutionMessage>(), new List <Level1ChangeMessage>(), new List <ExecutionMessage>()));
switch (stream.Type)
{
case StreamType.Quotes:
{
((IQuotesStream)stream).Handler += quotes =>
{
var bids = new List <QuoteChange>();
var asks = new List <QuoteChange>();
foreach (var q in quotes)
{
switch (q.Type)
{
//case QuoteType.Unknown:
//case QuoteType.Free:
//case QuoteType.Spread:
// throw new ArgumentException(q.Type.ToString());
case QuoteType.Ask:
case QuoteType.BestAsk:
asks.Add(new QuoteChange(priceStep * q.Price, q.Volume));
break;
case QuoteType.Bid:
case QuoteType.BestBid:
bids.Add(new QuoteChange(priceStep * q.Price, q.Volume));
break;
default:
{
continue;
//throw new ArgumentException(q.Type.ToString());
}
}
}
var md = new QuoteChangeMessage
{
LocalTime = ToLocalDto(reader.CurrentDateTime),
SecurityId = securityId,
ServerTime = ToLocalDto(reader.CurrentDateTime),
Bids = bids.ToArray(),
Asks = asks.ToArray(),
};
//if (md.Verify())
//{
secData.Item1.Add(md);
TryFlushData(registry, securityId, format, null, secData.Item1, reader);
//}
//else
// _logManager.Application.AddErrorLog("Стакан для {0} в момент {1} не прошел валидацию. Лучший бид {2}, Лучший офер {3}.", security, qr.CurrentDateTime, md.BestBid, md.BestAsk);
};
break;
}
case StreamType.Deals:
{
((IDealsStream)stream).Handler += deal =>
{
secData.Item2.Add(new ExecutionMessage
{
LocalTime = ToLocalDto(reader.CurrentDateTime),
HasTradeInfo = true,
ExecutionType = ExecutionTypes.Tick,
SecurityId = securityId,
OpenInterest = deal.OI == 0 ? (long?)null : deal.OI,
ServerTime = ToServerDto(deal.DateTime),
TradeVolume = deal.Volume,
TradeId = deal.Id == 0 ? (long?)null : deal.Id,
TradePrice = deal.Price * priceStep,
OriginSide =
deal.Type == DealType.Buy
? Sides.Buy
: (deal.Type == DealType.Sell ? Sides.Sell : (Sides?)null)
});
TryFlushData(registry, securityId, format, ExecutionTypes.Tick, secData.Item2, reader);
};
break;
}
case StreamType.OrdLog:
{
((IOrdLogStream)stream).Handler += ol =>
{
var currTransactionId = ol.DateTime.Ticks;
if (lastTransactionId < currTransactionId)
{
lastTransactionId = currTransactionId;
}
else if (lastTransactionId >= currTransactionId)
{
lastTransactionId++;
}
var msg = new ExecutionMessage
{
LocalTime = ToLocalDto(reader.CurrentDateTime),
ExecutionType = ExecutionTypes.OrderLog,
SecurityId = securityId,
OpenInterest = ol.OI == 0 ? (long?)null : ol.OI,
OrderId = ol.OrderId,
OrderPrice = priceStep * ol.Price,
ServerTime = ToServerDto(ol.DateTime),
OrderVolume = ol.Amount,
Balance = ol.AmountRest,
TradeId = ol.DealId == 0 ? (long?)null : ol.DealId,
TradePrice = ol.DealPrice == 0 ? (decimal?)null : priceStep * ol.DealPrice,
TransactionId = lastTransactionId
};
var status = 0;
if (ol.Flags.Contains(OrdLogFlags.Add))
{
msg.OrderState = OrderStates.Active;
}
else if (ol.Flags.Contains(OrdLogFlags.Fill))
{
msg.OrderState = OrderStates.Done;
}
else if (ol.Flags.Contains(OrdLogFlags.Canceled))
{
msg.OrderState = OrderStates.Done;
status |= 0x200000;
}
else if (ol.Flags.Contains(OrdLogFlags.CanceledGroup))
{
msg.OrderState = OrderStates.Done;
status |= 0x400000;
}
else if (ol.Flags.Contains(OrdLogFlags.Moved))
{
status |= 0x100000;
}
if (ol.Flags.Contains(OrdLogFlags.Buy))
{
msg.Side = Sides.Buy;
}
else if (ol.Flags.Contains(OrdLogFlags.Sell))
{
msg.Side = Sides.Sell;
}
if (ol.Flags.Contains(OrdLogFlags.FillOrKill))
{
msg.TimeInForce = TimeInForce.MatchOrCancel;
status |= 0x00080000;
}
if (ol.Flags.Contains(OrdLogFlags.Quote))
{
msg.TimeInForce = TimeInForce.PutInQueue;
status |= 0x01;
}
if (ol.Flags.Contains(OrdLogFlags.Counter))
{
status |= 0x02;
}
if (ol.Flags.Contains(OrdLogFlags.CrossTrade))
{
status |= 0x20000000;
}
if (ol.Flags.Contains(OrdLogFlags.NonSystem))
{
msg.IsSystem = false;
status |= 0x04;
}
if (ol.Flags.Contains(OrdLogFlags.EndOfTransaction))
{
status |= 0x1000;
}
msg.OrderStatus = status;
if (builder == null)
{
secData.Item4.Add(msg);
TryFlushData(registry, securityId, format, ExecutionTypes.OrderLog, secData.Item4, reader);
}
else
{
//if (builder.Depth.Bids.Any() || builder.Depth.Asks.Any() || msg.ServerTime.TimeOfDay >= new TimeSpan(0, 18, 45, 00, 1))
{
bool updated;
try
{
updated = builder.Update(msg);
}
catch
{
updated = false;
}
if (updated)
{
secData.Item1.Add(new QuoteChangeMessage
{
SecurityId = securityId,
ServerTime = builder.Depth.ServerTime,
Bids = builder.Depth.Bids.Take(orderBookMaxDepth).ToArray(),
Asks = builder.Depth.Asks.Take(orderBookMaxDepth).ToArray(),
IsSorted = builder.Depth.IsSorted,
LocalTime = builder.Depth.LocalTime,
});
TryFlushData(registry, securityId, format, null, secData.Item1, reader);
}
}
}
};
break;
}
case StreamType.AuxInfo:
{
((IAuxInfoStream)stream).Handler += info =>
{
var l1Msg = new Level1ChangeMessage
{
LocalTime = ToLocalDto(reader.CurrentDateTime),
SecurityId = securityId,
ServerTime = ToLocalDto(reader.CurrentDateTime),
}
.TryAdd(Level1Fields.LastTradePrice, priceStep * info.Price)
.TryAdd(Level1Fields.BidsVolume, (decimal)info.BidTotal)
.TryAdd(Level1Fields.AsksVolume, (decimal)info.AskTotal)
.TryAdd(Level1Fields.HighPrice, priceStep * info.HiLimit)
.TryAdd(Level1Fields.LowPrice, priceStep * info.LoLimit)
.TryAdd(Level1Fields.StepPrice, (decimal)info.Rate)
.TryAdd(Level1Fields.OperatingMargin, (decimal)info.Deposit)
.TryAdd(Level1Fields.OpenInterest, (decimal)info.OI);
if (l1Msg.Changes.Count == 0)
{
return;
}
secData.Item3.Add(l1Msg);
TryFlushData(registry, securityId, format, null, secData.Item3, reader);
};
break;
}
case StreamType.OwnOrders:
case StreamType.OwnTrades:
case StreamType.Messages:
case StreamType.None:
{
continue;
}
default:
throw new ArgumentOutOfRangeException("Неподдерживаемый тип потока {0}.".Put(stream.Type));
}
}
if (data.Count > 0)
{
while (qr.CurrentDateTime != DateTime.MaxValue && _isStarted)
{
qr.Read(true);
}
}
}
if (!_isStarted)
{
return;
}
foreach (var pair in data)
{
if (pair.Value.Item1.Any())
{
registry.GetQuoteMessageStorage(pair.Key, registry.DefaultDrive, format).Save(pair.Value.Item1);
}
if (pair.Value.Item2.Any())
{
registry.GetTickMessageStorage(pair.Key, registry.DefaultDrive, format).Save(pair.Value.Item2);
}
if (pair.Value.Item3.Any())
{
registry.GetLevel1MessageStorage(pair.Key, registry.DefaultDrive, format).Save(pair.Value.Item3);
}
if (pair.Value.Item4.Any())
{
registry.GetOrderLogMessageStorage(pair.Key, registry.DefaultDrive, format).Save(pair.Value.Item4);
}
}
if (data.Count > 0)
{
//File.AppendAllLines(_convertedFilesFile, new[] { fileNameKey });
_convertedFiles.Add(fileNameKey);
_convertedPerTaskPoolFiles.Add(fileNameKey);
}
_logManager.Application.AddInfoLog("Завершена конвертация файла {0}.", fileName);
}
/// <inheritdoc />
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.TryGetDecimal(Level1Fields.LastTradePrice);
if (value != null)
{
_lastTradePrice = value.Value;
}
value = l1Msg.TryGetDecimal(Level1Fields.BestBidPrice);
if (value != null)
{
_bestBidPrice = value.Value;
}
value = l1Msg.TryGetDecimal(Level1Fields.BestAskPrice);
if (value != null)
{
_bestAskPrice = value.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,
};
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.ToArray();
depth.Asks = asks.ToArray();
_newTrades = false;
_currGenerations--;
return(depth);
}
private QuoteChangeMessage ApplyNewState(BookInfo info, QuoteChangeMessage quoteMsg, QuoteChangeStates newState)
{
var currState = info.State;
if (currState != newState)
{
switch (currState)
{
case _none:
case QuoteChangeStates.SnapshotStarted:
{
if (newState != QuoteChangeStates.SnapshotBuilding && newState != QuoteChangeStates.SnapshotComplete)
{
this.AddDebugLog($"{currState}->{newState}");
return(null);
}
info.Bids.Clear();
info.Asks.Clear();
break;
}
case QuoteChangeStates.SnapshotBuilding:
{
if (newState != QuoteChangeStates.SnapshotComplete)
{
this.AddDebugLog($"{currState}->{newState}");
return(null);
}
break;
}
case QuoteChangeStates.SnapshotComplete:
case QuoteChangeStates.Increment:
{
if (newState == QuoteChangeStates.SnapshotBuilding)
{
this.AddDebugLog($"{currState}->{newState}");
return(null);
}
break;
}
default:
throw new ArgumentOutOfRangeException(currState.ToString());
}
info.State = currState = newState;
}
void Copy(IEnumerable <QuoteChange> from, QuotesDict to)
{
foreach (var quote in from)
{
if (quote.Volume == 0)
{
to.Remove(quote.Price);
}
else
{
to[quote.Price] = quote.Volume;
}
}
}
Copy(quoteMsg.Bids, info.Bids);
Copy(quoteMsg.Asks, info.Asks);
if (currState == QuoteChangeStates.SnapshotStarted || currState == QuoteChangeStates.SnapshotBuilding)
{
return(null);
}
return(new QuoteChangeMessage
{
SecurityId = quoteMsg.SecurityId,
Bids = info.Bids.Select(p => new QuoteChange(Sides.Buy, p.Key, p.Value)).ToArray(),
Asks = info.Asks.Select(p => new QuoteChange(Sides.Sell, p.Key, p.Value)).ToArray(),
IsSorted = true,
ServerTime = quoteMsg.ServerTime,
OriginalTransactionId = quoteMsg.OriginalTransactionId,
});
}
/// <inheritdoc />
protected override void OnInnerAdapterNewOutMessage(Message message)
{
switch (message.Type)
{
case MessageTypes.SubscriptionResponse:
{
var responseMsg = (SubscriptionResponseMessage)message;
var id = responseMsg.OriginalTransactionId;
if (!responseMsg.IsOk())
{
if (TryRemoveSubscription(id, out var info))
{
lock (info.Lock)
info.State = info.State.ChangeSubscriptionState(SubscriptionStates.Error, id, this);
}
}
else
{
if (_subscriptionIds.TryGetValue(id, out var info))
{
lock (info.Lock)
info.State = info.State.ChangeSubscriptionState(SubscriptionStates.Active, id, this);
}
}
break;
}
case MessageTypes.SubscriptionFinished:
{
var id = ((SubscriptionFinishedMessage)message).OriginalTransactionId;
if (TryRemoveSubscription(id, out var info))
{
lock (info.Lock)
info.State = info.State.ChangeSubscriptionState(SubscriptionStates.Finished, id, this);
}
break;
}
case MessageTypes.SubscriptionOnline:
{
var onlineMsg = (SubscriptionOnlineMessage)message;
var id = onlineMsg.OriginalTransactionId;
QuoteChangeMessage snapshot = null;
if (_subscriptionIds.TryGetValue(id, out var info))
{
lock (info.Lock)
{
info.State = info.State.ChangeSubscriptionState(SubscriptionStates.Online, id, this);
if (!info.IsTicks)
{
snapshot = info.Builder.Snapshot?.TypedClone();
}
}
}
if (snapshot != null)
{
snapshot.SetSubscriptionIds(subscriptionId: id);
base.OnInnerAdapterNewOutMessage(snapshot);
}
break;
}
case MessageTypes.Execution:
{
if (_subscriptionIds.Count == 0)
{
break;
}
var execMsg = (ExecutionMessage)message;
if (execMsg.ExecutionType == ExecutionTypes.OrderLog && execMsg.IsSystem != false)
{
message = ProcessBuilders(execMsg);
}
break;
}
}
if (message != null)
{
base.OnInnerAdapterNewOutMessage(message);
}
}
private static string QuotesToString(QuoteChangeMessage quotes)
{
var sb = new StringBuilder();
foreach (var quote in quotes.Bids)
sb.Append($"Bid:{quote.Price}:{quote.Volume};");
foreach (var quote in quotes.Asks)
sb.Append($"Ask:{quote.Price}:{quote.Volume};");
return $"{quotes.ServerTime};{quotes.SecurityId.SecurityCode};{sb}";
}
private static string QuotesToString(QuoteChangeMessage quotes)
{
var sb = new StringBuilder();
foreach (var quote in quotes.Bids)
sb.Append(string.Format("Bid:{0}:{1};", quote.Price, quote.Volume));
foreach (var quote in quotes.Asks)
sb.Append(string.Format("Ask:{0}:{1};", quote.Price, quote.Volume));
return string.Format("{0};{1};{2}",
quotes.ServerTime,
quotes.SecurityId.SecurityCode,
sb
);
}
private void ConvertFile(string fileName, IStorageRegistry registry, StorageFormats format, ExchangeBoard board, string securityLike)
{
if (!_isStarted)
{
return;
}
var fileNameKey = format + "_" + fileName;
if (_convertedFiles.Contains(fileNameKey))
{
return;
}
_logManager.Application.AddInfoLog("Конвертация файла {0}.", fileName);
var isExact = !securityLike.EndsWith("*");
const int maxBufCount = 1000;
var data = new Dictionary <Security, Tuple <List <QuoteChangeMessage>, List <ExecutionMessage>, List <Level1ChangeMessage>, List <ExecutionMessage> > >();
using (var qr = QshReader.Open(fileName))
{
var currentDate = qr.CurrentDateTime;
for (var i = 0; i < qr.StreamCount; i++)
{
var stream = (ISecurityStream)qr[i];
var security = GetSecurity(stream.Security, board);
var priceStep = security.PriceStep ?? 1;
var securityId = security.ToSecurityId();
var lastTransactionId = 0L;
if (!securityLike.IsEmpty() &&
(isExact
? !securityId.SecurityCode.CompareIgnoreCase(securityLike)
: !securityId.SecurityCode.ContainsIgnoreCase(securityLike)))
{
continue;
}
var secData = data.SafeAdd(security, key => Tuple.Create(new List <QuoteChangeMessage>(), new List <ExecutionMessage>(), new List <Level1ChangeMessage>(), new List <ExecutionMessage>()));
switch (stream.Type)
{
case StreamType.Stock:
{
((IStockStream)stream).Handler += (key, quotes, spread) =>
{
var quotes2 = quotes.Select(q =>
{
Sides side;
switch (q.Type)
{
case QuoteType.Unknown:
case QuoteType.Free:
case QuoteType.Spread:
throw new ArgumentException(q.Type.ToString());
case QuoteType.Ask:
case QuoteType.BestAsk:
side = Sides.Sell;
break;
case QuoteType.Bid:
case QuoteType.BestBid:
side = Sides.Buy;
break;
default:
throw new ArgumentOutOfRangeException();
}
return(new QuoteChange(side, priceStep * q.Price, q.Volume));
}).ToArray();
var md = new QuoteChangeMessage
{
SecurityId = securityId,
ServerTime = currentDate.ApplyTimeZone(TimeHelper.Moscow),
Bids = quotes2.Where(q => q.Side == Sides.Buy),
Asks = quotes2.Where(q => q.Side == Sides.Sell),
};
//if (md.Verify())
//{
secData.Item1.Add(md);
if (secData.Item1.Count > maxBufCount)
{
registry.GetQuoteMessageStorage(security, format: format).Save(secData.Item1);
secData.Item1.Clear();
}
//}
//else
// _logManager.Application.AddErrorLog("Стакан для {0} в момент {1} не прошел валидацию. Лучший бид {2}, Лучший офер {3}.", security, qr.CurrentDateTime, md.BestBid, md.BestAsk);
};
break;
}
case StreamType.Deals:
{
((IDealsStream)stream).Handler += deal =>
{
secData.Item2.Add(new ExecutionMessage
{
ExecutionType = ExecutionTypes.Tick,
SecurityId = securityId,
OpenInterest = deal.OI == 0 ? (long?)null : deal.OI,
ServerTime = deal.DateTime.ApplyTimeZone(TimeHelper.Moscow),
Volume = deal.Volume,
TradeId = deal.Id == 0 ? (long?)null : deal.Id,
TradePrice = (decimal)deal.Price,
OriginSide =
deal.Type == DealType.Buy
? Sides.Buy
: (deal.Type == DealType.Sell ? Sides.Sell : (Sides?)null)
});
if (secData.Item2.Count > maxBufCount)
{
registry.GetTickMessageStorage(security, format: format).Save(secData.Item2);
secData.Item2.Clear();
}
};
break;
}
case StreamType.OrdLog:
{
((IOrdLogStream)stream).Handler += (key, ol) =>
{
var currTransactionId = ol.DateTime.Ticks;
if (lastTransactionId < currTransactionId)
{
lastTransactionId = currTransactionId;
}
else if (lastTransactionId >= currTransactionId)
{
lastTransactionId++;
}
var msg = new ExecutionMessage
{
ExecutionType = ExecutionTypes.OrderLog,
SecurityId = securityId,
OpenInterest = ol.OI == 0 ? (long?)null : ol.OI,
OrderId = ol.OrderId,
OrderPrice = priceStep * ol.Price,
ServerTime = ol.DateTime.ApplyTimeZone(TimeHelper.Moscow),
Volume = ol.Amount,
Balance = ol.AmountRest,
TradeId = ol.DealId == 0 ? (long?)null : ol.DealId,
TradePrice = ol.DealPrice == 0 ? (decimal?)null : priceStep * ol.DealPrice,
TransactionId = lastTransactionId
};
var status = 0;
if (ol.Flags.Contains(OrdLogFlags.Add))
{
msg.OrderState = OrderStates.Active;
}
else if (ol.Flags.Contains(OrdLogFlags.Fill))
{
msg.OrderState = OrderStates.Done;
}
else if (ol.Flags.Contains(OrdLogFlags.Canceled))
{
msg.OrderState = OrderStates.Done;
status |= 0x200000;
}
else if (ol.Flags.Contains(OrdLogFlags.CanceledGroup))
{
msg.OrderState = OrderStates.Done;
status |= 0x400000;
}
else if (ol.Flags.Contains(OrdLogFlags.Moved))
{
status |= 0x100000;
}
if (ol.Flags.Contains(OrdLogFlags.Buy))
{
msg.Side = Sides.Buy;
}
else if (ol.Flags.Contains(OrdLogFlags.Sell))
{
msg.Side = Sides.Sell;
}
if (ol.Flags.Contains(OrdLogFlags.FillOrKill))
{
msg.TimeInForce = TimeInForce.MatchOrCancel;
status |= 0x00080000;
}
if (ol.Flags.Contains(OrdLogFlags.Quote))
{
msg.TimeInForce = TimeInForce.PutInQueue;
status |= 0x01;
}
if (ol.Flags.Contains(OrdLogFlags.Counter))
{
status |= 0x02;
}
if (ol.Flags.Contains(OrdLogFlags.CrossTrade))
{
status |= 0x20000000;
}
if (ol.Flags.Contains(OrdLogFlags.NonSystem))
{
msg.IsSystem = false;
status |= 0x04;
}
if (ol.Flags.Contains(OrdLogFlags.EndOfTransaction))
{
status |= 0x1000;
}
msg.OrderStatus = (OrderStatus)status;
secData.Item4.Add(msg);
if (secData.Item4.Count > maxBufCount)
{
registry.GetOrderLogMessageStorage(security, format: format).Save(secData.Item4);
secData.Item4.Clear();
}
};
break;
}
case StreamType.AuxInfo:
{
((IAuxInfoStream)stream).Handler += (key, info) =>
{
secData.Item3.Add(new Level1ChangeMessage
{
SecurityId = securityId,
ServerTime = info.DateTime.ApplyTimeZone(TimeHelper.Moscow),
}
.TryAdd(Level1Fields.LastTradePrice, priceStep * info.Price)
.TryAdd(Level1Fields.BidsVolume, (decimal)info.BidTotal)
.TryAdd(Level1Fields.AsksVolume, (decimal)info.AskTotal)
.TryAdd(Level1Fields.HighPrice, priceStep * info.HiLimit)
.TryAdd(Level1Fields.LowPrice, priceStep * info.LoLimit)
.TryAdd(Level1Fields.OpenInterest, (decimal)info.OI));
if (secData.Item3.Count > maxBufCount)
{
registry.GetLevel1MessageStorage(security, format: format).Save(secData.Item3);
secData.Item3.Clear();
}
};
break;
}
case StreamType.Orders:
case StreamType.Trades:
case StreamType.Messages:
case StreamType.None:
{
continue;
}
default:
throw new ArgumentOutOfRangeException("Неподдерживаемый тип потока {0}.".Put(stream.Type));
}
}
if (data.Count > 0)
{
while (qr.CurrentDateTime != DateTime.MaxValue && _isStarted)
{
qr.Read(true);
}
}
}
if (!_isStarted)
{
return;
}
foreach (var pair in data)
{
if (pair.Value.Item1.Any())
{
registry.GetQuoteMessageStorage(pair.Key, format: format).Save(pair.Value.Item1);
}
if (pair.Value.Item2.Any())
{
registry.GetTickMessageStorage(pair.Key, format: format).Save(pair.Value.Item2);
}
if (pair.Value.Item3.Any())
{
registry.GetLevel1MessageStorage(pair.Key, format: format).Save(pair.Value.Item3);
}
if (pair.Value.Item4.Any())
{
registry.GetOrderLogMessageStorage(pair.Key, format: format).Save(pair.Value.Item4);
}
}
if (data.Count > 0)
{
File.AppendAllLines(_convertedFilesFile, new[] { fileNameKey });
_convertedFiles.Add(fileNameKey);
}
}
private QuoteChangeMessage ApplyNewState(BookInfo info, QuoteChangeMessage quoteMsg, QuoteChangeStates newState)
{
var currState = info.State;
void CheckSwitch()
{
switch (currState)
{
case _none:
case QuoteChangeStates.SnapshotStarted:
{
if (newState != QuoteChangeStates.SnapshotBuilding && newState != QuoteChangeStates.SnapshotComplete)
{
this.AddDebugLog($"{currState}->{newState}");
}
break;
}
case QuoteChangeStates.SnapshotBuilding:
{
if (newState != QuoteChangeStates.SnapshotBuilding && newState != QuoteChangeStates.SnapshotComplete)
{
this.AddDebugLog($"{currState}->{newState}");
}
break;
}
case QuoteChangeStates.SnapshotComplete:
case QuoteChangeStates.Increment:
{
if (newState == QuoteChangeStates.SnapshotBuilding)
{
this.AddDebugLog($"{currState}->{newState}");
}
break;
}
}
}
if (currState != newState)
{
CheckSwitch();
if (newState == QuoteChangeStates.SnapshotStarted)
{
info.Bids.Clear();
info.Asks.Clear();
}
switch (currState)
{
case _none:
{
info.Bids.Clear();
info.Asks.Clear();
break;
}
case QuoteChangeStates.SnapshotStarted:
break;
case QuoteChangeStates.SnapshotBuilding:
break;
case QuoteChangeStates.SnapshotComplete:
{
if (newState == QuoteChangeStates.SnapshotComplete)
{
info.Bids.Clear();
info.Asks.Clear();
}
break;
}
case QuoteChangeStates.Increment:
break;
default:
throw new ArgumentOutOfRangeException(currState.ToString());
}
info.State = currState = newState;
}
void Apply(IEnumerable <QuoteChange> from, QuotesDict to)
{
foreach (var quote in from)
{
if (quote.Volume == 0)
{
to.Remove(quote.Price);
}
else
{
to[quote.Price] = Tuple.Create(quote.Volume, quote.OrdersCount, quote.Condition);
}
}
}
void ApplyByPos(IEnumerable <QuoteChange> from, QuotesByPosList to)
{
foreach (var quote in from)
{
var startPos = quote.StartPosition.Value;
switch (quote.Action)
{
case QuoteChangeActions.New:
{
var tuple = Tuple.Create(quote.Price, quote.Volume, quote.OrdersCount, quote.Condition);
if (startPos > to.Count)
{
throw new InvalidOperationException($"Pos={startPos}>Count={to.Count}");
}
else if (startPos == to.Count)
{
to.Add(tuple);
}
else
{
to.Insert(startPos, tuple);
}
break;
}
case QuoteChangeActions.Update:
{
to[startPos] = Tuple.Create(quote.Price, quote.Volume, quote.OrdersCount, quote.Condition);
break;
}
case QuoteChangeActions.Delete:
{
if (quote.EndPosition == null)
{
to.RemoveAt(startPos);
}
else
{
to.RemoveRange(startPos, (quote.EndPosition.Value - startPos) + 1);
}
break;
}
default:
throw new ArgumentOutOfRangeException(nameof(from), quote.Action, LocalizedStrings.Str1219);
}
}
}
if (quoteMsg.HasPositions)
{
ApplyByPos(quoteMsg.Bids, info.BidsByPos);
ApplyByPos(quoteMsg.Asks, info.AsksByPos);
}
else
{
Apply(quoteMsg.Bids, info.Bids);
Apply(quoteMsg.Asks, info.Asks);
}
if (currState == QuoteChangeStates.SnapshotStarted || currState == QuoteChangeStates.SnapshotBuilding)
{
return(null);
}
IEnumerable <QuoteChange> bids;
IEnumerable <QuoteChange> asks;
if (quoteMsg.HasPositions)
{
bids = info.BidsByPos.Select(p => new QuoteChange(p.Item1, p.Item2, p.Item3, p.Item4));
asks = info.AsksByPos.Select(p => new QuoteChange(p.Item1, p.Item2, p.Item3, p.Item4));
}
else
{
bids = info.Bids.Select(p => new QuoteChange(p.Key, p.Value.Item1, p.Value.Item2, p.Value.Item3));
asks = info.Asks.Select(p => new QuoteChange(p.Key, p.Value.Item1, p.Value.Item2, p.Value.Item3));
}
return(new QuoteChangeMessage
{
SecurityId = quoteMsg.SecurityId,
Bids = bids.ToArray(),
Asks = asks.ToArray(),
IsSorted = true,
ServerTime = quoteMsg.ServerTime,
OriginalTransactionId = quoteMsg.OriginalTransactionId,
});
}
/// <summary>
/// Try create full book.
/// </summary>
/// <param name="change">Book change.</param>
/// <returns>Full book.</returns>
public QuoteChangeMessage TryApply(QuoteChangeMessage change)
{
if (change is null)
{
throw new ArgumentNullException(nameof(change));
}
if (change.State is null)
{
throw new ArgumentException(nameof(change));
}
var currState = _state;
var newState = change.State.Value;
bool CheckSwitch()
{
switch (currState)
{
case _none:
case QuoteChangeStates.SnapshotStarted:
{
if (newState != QuoteChangeStates.SnapshotBuilding && newState != QuoteChangeStates.SnapshotComplete)
{
this.AddDebugLog($"{currState}->{newState}");
return(false);
}
break;
}
case QuoteChangeStates.SnapshotBuilding:
{
if (newState != QuoteChangeStates.SnapshotBuilding && newState != QuoteChangeStates.SnapshotComplete)
{
this.AddDebugLog($"{currState}->{newState}");
return(false);
}
break;
}
case QuoteChangeStates.SnapshotComplete:
case QuoteChangeStates.Increment:
{
if (newState == QuoteChangeStates.SnapshotBuilding)
{
this.AddDebugLog($"{currState}->{newState}");
return(false);
}
break;
}
}
return(true);
}
var resetState = newState == QuoteChangeStates.SnapshotStarted || newState == QuoteChangeStates.SnapshotComplete;
if (currState != newState || resetState)
{
if (!CheckSwitch())
{
return(null);
}
if (currState == _none || resetState)
{
_bids.Clear();
_asks.Clear();
_bidsByPos.Clear();
_asksByPos.Clear();
}
_state = currState = newState;
}
/// <summary>
/// Try create full book.
/// </summary>
/// <param name="change">Book change.</param>
/// <returns>Full book.</returns>
public QuoteChangeMessage TryApply(QuoteChangeMessage change)
{
if (change is null)
{
throw new ArgumentNullException(nameof(change));
}
if (change.State == null)
{
throw new ArgumentException(nameof(change));
}
var currState = _state;
var newState = change.State.Value;
void CheckSwitch()
{
switch (currState)
{
case _none:
case QuoteChangeStates.SnapshotStarted:
{
if (newState != QuoteChangeStates.SnapshotBuilding && newState != QuoteChangeStates.SnapshotComplete)
{
_logs.AddDebugLog($"{currState}->{newState}");
}
break;
}
case QuoteChangeStates.SnapshotBuilding:
{
if (newState != QuoteChangeStates.SnapshotBuilding && newState != QuoteChangeStates.SnapshotComplete)
{
_logs.AddDebugLog($"{currState}->{newState}");
}
break;
}
case QuoteChangeStates.SnapshotComplete:
case QuoteChangeStates.Increment:
{
if (newState == QuoteChangeStates.SnapshotBuilding)
{
_logs.AddDebugLog($"{currState}->{newState}");
}
break;
}
}
}
if (currState != newState || newState == QuoteChangeStates.SnapshotComplete)
{
CheckSwitch();
if (newState == QuoteChangeStates.SnapshotStarted)
{
_bids.Clear();
_asks.Clear();
}
switch (currState)
{
case _none:
{
_bids.Clear();
_asks.Clear();
break;
}
case QuoteChangeStates.SnapshotStarted:
break;
case QuoteChangeStates.SnapshotBuilding:
break;
case QuoteChangeStates.SnapshotComplete:
{
if (newState == QuoteChangeStates.SnapshotComplete)
{
_bids.Clear();
_asks.Clear();
}
break;
}
case QuoteChangeStates.Increment:
break;
default:
throw new ArgumentOutOfRangeException(currState.ToString());
}
_state = currState = newState;
}
void Apply(IEnumerable <QuoteChange> from, SortedList <decimal, QuoteChange> to)
{
foreach (var quote in from)
{
if (quote.Volume == 0)
{
to.Remove(quote.Price);
}
else
{
to[quote.Price] = quote;
}
}
}
void ApplyByPos(IEnumerable <QuoteChange> from, List <QuoteChange> to)
{
foreach (var quote in from)
{
var startPos = quote.StartPosition.Value;
switch (quote.Action)
{
case QuoteChangeActions.New:
{
var tuple = new QuoteChange(quote.Price, quote.Volume, quote.OrdersCount, quote.Condition);
if (startPos > to.Count)
{
throw new InvalidOperationException($"Pos={startPos}>Count={to.Count}");
}
else if (startPos == to.Count)
{
to.Add(tuple);
}
else
{
to.Insert(startPos, tuple);
}
break;
}
case QuoteChangeActions.Update:
{
to[startPos] = new QuoteChange(quote.Price, quote.Volume, quote.OrdersCount, quote.Condition);
break;
}
case QuoteChangeActions.Delete:
{
if (quote.EndPosition == null)
{
to.RemoveAt(startPos);
}
else
{
to.RemoveRange(startPos, (quote.EndPosition.Value - startPos) + 1);
}
break;
}
default:
throw new ArgumentOutOfRangeException(nameof(from), quote.Action, LocalizedStrings.Str1219);
}
}
}
if (change.HasPositions)
{
ApplyByPos(change.Bids, _bidsByPos);
ApplyByPos(change.Asks, _asksByPos);
}
else
{
Apply(change.Bids, _bids);
Apply(change.Asks, _asks);
}
if (currState == QuoteChangeStates.SnapshotStarted || currState == QuoteChangeStates.SnapshotBuilding)
{
return(null);
}
QuoteChange[] bids;
QuoteChange[] asks;
if (change.HasPositions)
{
bids = _bidsByPos.ToArray();
asks = _asksByPos.ToArray();
}
else
{
bids = _bids.Values.ToArray();
asks = _asks.Values.ToArray();
}
return(new QuoteChangeMessage
{
SecurityId = SecurityId,
Bids = bids,
Asks = asks,
ServerTime = change.ServerTime,
OriginalTransactionId = change.OriginalTransactionId,
});
}
public static void WriteMarketDepth(this QuoteChangeMessage quotes)
{
MemoryToFile(QuotesToString(quotes), Path.Combine(_outputFolder, string.Format("{0}_depth.txt", quotes.SecurityId.SecurityCode)));
}
