void ISnapshotSerializer <ExecutionMessage> .Serialize(Version version, ExecutionMessage message, byte[] buffer)
{
if (version == null)
{
throw new ArgumentNullException(nameof(version));
}
if (message == null)
{
throw new ArgumentNullException(nameof(message));
}
var snapshot = new TransactionSnapshot
{
SecurityId = message.SecurityId.ToStringId(),
Portfolio = message.PortfolioName,
ServerTime = message.ServerTime.To <long>(),
LocalTime = message.LocalTime.To <long>(),
};
var ptr = snapshot.StructToPtr();
Marshal.Copy(ptr, buffer, 0, _snapshotSize);
Marshal.FreeHGlobal(ptr);
}
private CategoryMonthKey GetCategoryMonthKey(TransactionSnapshot transaction, SubTransactionSnapshot subTransaction)
{
if (subTransaction.Category == null)
{
return(null);
}
return(new CategoryMonthKey(subTransaction.Category, transaction.TransactionDate));
}
void ISnapshotSerializer <ExecutionMessage> .Serialize(Version version, ExecutionMessage message, byte[] buffer)
{
if (version == null)
{
throw new ArgumentNullException(nameof(version));
}
if (message == null)
{
throw new ArgumentNullException(nameof(message));
}
var snapshot = new TransactionSnapshot
{
SecurityId = message.SecurityId.ToStringId(),
Portfolio = message.PortfolioName,
LastChangeServerTime = message.ServerTime.To <long>(),
LastChangeLocalTime = message.LocalTime.To <long>(),
BrokerCode = message.BrokerCode,
ClientCode = message.ClientCode,
Comment = message.Comment,
SystemComment = message.SystemComment,
Currency = message.Currency == null ? (short)-1 : (short)message.Currency.Value,
// TODO
//Condition = message.Condition,
DepoName = message.DepoName,
Error = message.Error?.Message,
ExpiryDate = message.ExpiryDate?.To <long>() ?? 0,
PortfolioName = message.PortfolioName,
IsMarketMaker = message.IsMarketMaker,
IsMargin = message.IsMargin,
Side = (byte)message.Side,
OrderStringId = message.OrderStringId,
OrderBoardId = message.OrderBoardId,
OrderPrice = message.OrderPrice,
OrderVolume = message.OrderVolume ?? 0,
VisibleVolume = message.VisibleVolume,
OrderState = message.OrderState == null ? (sbyte)-1 : (sbyte)message.OrderState.Value,
OrderStatus = message.OrderStatus ?? 0,
Balance = message.Balance ?? 0,
UserOrderId = message.UserOrderId,
OriginSide = message.OriginSide == null ? (sbyte)-1 : (sbyte)message.OriginSide.Value,
Latency = (int)(message.Latency?.Ticks ?? 0),
PnL = message.PnL ?? 0,
Position = message.Position ?? 0,
Slippage = message.Slippage ?? 0,
Commission = message.Commission ?? 0,
TradePrice = message.TradePrice ?? 0,
TradeVolume = message.TradeVolume ?? 0,
TradeStatus = message.TradeStatus ?? 0,
TradeId = message.TradeId ?? 0,
TradeStringId = message.TradeStringId,
OpenInterest = message.OpenInterest ?? 0,
OriginalTransactionId = message.OriginalTransactionId,
TransactionId = message.TransactionId,
};
var ptr = snapshot.StructToPtr();
Marshal.Copy(ptr, buffer, 0, _snapshotSize);
Marshal.FreeHGlobal(ptr);
}
byte[] ISnapshotSerializer <string, ExecutionMessage> .Serialize(Version version, ExecutionMessage message)
{
if (version == null)
{
throw new ArgumentNullException(nameof(version));
}
if (message == null)
{
throw new ArgumentNullException(nameof(message));
}
if (message.ExecutionType != ExecutionTypes.Transaction)
{
throw new ArgumentOutOfRangeException(nameof(message), message.ExecutionType, LocalizedStrings.Str1695Params.Put(message));
}
if (message.TransactionId == 0)
{
throw new InvalidOperationException("TransId == 0");
}
var snapshot = new TransactionSnapshot
{
SecurityId = message.SecurityId.ToStringId().VerifySize(Sizes.S100),
PortfolioName = message.PortfolioName.VerifySize(Sizes.S100),
LastChangeServerTime = message.ServerTime.To <long>(),
LastChangeLocalTime = message.LocalTime.To <long>(),
//OriginalTransactionId = message.OriginalTransactionId,
TransactionId = message.TransactionId,
HasOrderInfo = message.HasOrderInfo,
HasTradeInfo = message.HasTradeInfo,
BrokerCode = message.BrokerCode.VerifySize(Sizes.S100),
ClientCode = message.ClientCode.VerifySize(Sizes.S100),
Comment = message.Comment.VerifySize(Sizes.S100),
SystemComment = message.SystemComment.VerifySize(Sizes.S100),
Currency = message.Currency == null ? (short?)null : (short)message.Currency.Value,
DepoName = message.DepoName.VerifySize(Sizes.S100),
Error = (message.Error?.Message).VerifySize(Sizes.S200),
ExpiryDate = message.ExpiryDate?.To <long>(),
IsMarketMaker = message.IsMarketMaker == null ? (byte?)null : (byte)(message.IsMarketMaker.Value ? 1 : 0),
IsMargin = message.IsMargin == null ? (byte?)null : (byte)(message.IsMargin.Value ? 1 : 0),
IsManual = message.IsManual == null ? (byte?)null : (byte)(message.IsManual.Value ? 1 : 0),
Side = (byte)message.Side,
OrderId = message.OrderId,
OrderStringId = message.OrderStringId.VerifySize(Sizes.S100),
OrderBoardId = message.OrderBoardId.VerifySize(Sizes.S100),
OrderPrice = (BlittableDecimal)message.OrderPrice,
OrderVolume = (BlittableDecimal?)message.OrderVolume,
VisibleVolume = (BlittableDecimal?)message.VisibleVolume,
OrderType = message.OrderType == null ? (byte?)null : (byte)message.OrderType.Value,
OrderState = message.OrderState == null ? (byte?)null : (byte)message.OrderState.Value,
OrderStatus = message.OrderStatus,
Balance = (BlittableDecimal?)message.Balance,
UserOrderId = message.UserOrderId.VerifySize(Sizes.S100),
OriginSide = message.OriginSide == null ? (byte?)null : (byte)message.OriginSide.Value,
Latency = message.Latency?.Ticks,
PnL = (BlittableDecimal?)message.PnL,
Position = (BlittableDecimal?)message.Position,
Slippage = (BlittableDecimal?)message.Slippage,
Commission = (BlittableDecimal?)message.Commission,
TradePrice = (BlittableDecimal?)message.TradePrice,
TradeVolume = (BlittableDecimal?)message.TradeVolume,
TradeStatus = message.TradeStatus,
TradeId = message.TradeId,
TradeStringId = message.TradeStringId.VerifySize(Sizes.S100),
OpenInterest = (BlittableDecimal?)message.OpenInterest,
IsSystem = message.IsSystem == null ? (byte?)null : (byte)(message.IsSystem.Value ? 1 : 0),
OrderTif = message.TimeInForce == null ? (byte?)null : (byte)message.TimeInForce.Value,
ConditionType = (message.Condition?.GetType().GetTypeName(false)).VerifySize(Sizes.S256),
};
var conParams = message.Condition?.Parameters.Where(p => p.Value != null).ToArray() ?? ArrayHelper.Empty <KeyValuePair <string, object> >();
snapshot.ConditionParamsCount = conParams.Length;
var paramSize = typeof(TransactionConditionParamV21).SizeOf();
var result = new List <byte>();
var buffer = new byte[typeof(TransactionSnapshot).SizeOf()];
var ptr = snapshot.StructToPtr();
ptr.CopyTo(buffer);
ptr.FreeHGlobal();
result.AddRange(buffer);
foreach (var conParam in conParams)
{
var paramType = conParam.Value.GetType();
var paramTypeName = paramType.GetTypeAsString(false);
var param = new TransactionConditionParamV21
{
ValueTypeLen = paramTypeName.UTF8().Length,
Name = conParam.Key.VerifySize(Sizes.S32)
};
byte[] stringValue = null;
switch (conParam.Value)
{
case byte b:
param.NumValue = b;
break;
case sbyte sb:
param.NumValue = sb;
break;
case int i:
param.NumValue = i;
break;
case short s:
param.NumValue = s;
break;
case long l:
param.NumValue = l;
break;
case uint ui:
param.NumValue = ui;
break;
case ushort us:
param.NumValue = us;
break;
case ulong ul:
param.NumValue = (long)ul;
break;
case DateTimeOffset dto:
param.NumValue = dto.To <long>();
break;
case DateTime dt:
param.NumValue = dt.To <long>();
break;
case TimeSpan ts:
param.NumValue = ts.To <long>();
break;
case float f:
param.DecimalValue = (BlittableDecimal)(decimal)f;
break;
case double d:
param.DecimalValue = (BlittableDecimal)(decimal)d;
break;
case decimal dec:
param.DecimalValue = (BlittableDecimal)dec;
break;
case bool bln:
param.BoolValue = bln;
break;
case Enum e:
param.NumValue = e.To <long>();
break;
case IRange r:
{
var storage = new SettingsStorage();
if (r.HasMinValue)
{
storage.SetValue(nameof(r.Min), r.Min);
}
if (r.HasMaxValue)
{
storage.SetValue(nameof(r.Max), r.Max);
}
if (storage.Count > 0)
{
stringValue = new XmlSerializer <SettingsStorage>().Serialize(storage);
}
break;
}
case IPersistable p:
{
var storage = p.Save();
if (storage.Count > 0)
{
stringValue = new XmlSerializer <SettingsStorage>().Serialize(storage);
}
break;
}
default:
stringValue = typeof(XmlSerializer <>).Make(paramType).CreateInstance <ISerializer>().Serialize(conParam.Value);
break;
}
if (stringValue != null)
{
param.StringValueLen = stringValue.Length;
}
var paramBuff = new byte[paramSize];
var rowPtr = param.StructToPtr();
rowPtr.CopyTo(paramBuff);
rowPtr.FreeHGlobal();
result.AddRange(paramBuff);
if (version > SnapshotVersions.V20)
{
result.AddRange(paramTypeName.UTF8());
}
if (stringValue == null)
{
continue;
}
result.AddRange(stringValue);
}
return(result.ToArray());
}
private decimal GetTransactionAmount(TransactionSnapshot snapshot)
{
return(CurrencyConverter.ToDecimalValue(snapshot.Amount, snapshot.Amount_Denominator));
}
byte[] ISnapshotSerializer <string, ExecutionMessage> .Serialize(Version version, ExecutionMessage message)
{
if (version == null)
{
throw new ArgumentNullException(nameof(version));
}
if (message == null)
{
throw new ArgumentNullException(nameof(message));
}
if (message.ExecutionType != ExecutionTypes.Transaction)
{
throw new ArgumentOutOfRangeException(nameof(message), message.ExecutionType, LocalizedStrings.Str1695Params.Put(message));
}
if (message.TransactionId == 0)
{
throw new InvalidOperationException("TransId == 0");
}
var snapshot = new TransactionSnapshot
{
SecurityId = message.SecurityId.ToStringId(),
Portfolio = message.PortfolioName,
LastChangeServerTime = message.ServerTime.To <long>(),
LastChangeLocalTime = message.LocalTime.To <long>(),
//OriginalTransactionId = message.OriginalTransactionId,
TransactionId = message.TransactionId,
HasOrderInfo = message.HasOrderInfo,
HasTradeInfo = message.HasTradeInfo,
BrokerCode = message.BrokerCode,
ClientCode = message.ClientCode,
Comment = message.Comment,
SystemComment = message.SystemComment,
Currency = message.Currency == null ? (short?)null : (short)message.Currency.Value,
DepoName = message.DepoName,
Error = message.Error?.Message,
ExpiryDate = message.ExpiryDate?.To <long>(),
PortfolioName = message.PortfolioName,
IsMarketMaker = message.IsMarketMaker == null ? (byte?)null : (byte)(message.IsMarketMaker.Value ? 1 : 0),
IsMargin = message.IsMargin == null ? (byte?)null : (byte)(message.IsMargin.Value ? 1 : 0),
Side = (byte)message.Side,
OrderId = message.OrderId,
OrderStringId = message.OrderStringId,
OrderBoardId = message.OrderBoardId,
OrderPrice = message.OrderPrice,
OrderVolume = message.OrderVolume,
VisibleVolume = message.VisibleVolume,
OrderType = message.OrderType == null ? (byte?)null : (byte)message.OrderType.Value,
OrderState = message.OrderState == null ? (byte?)null : (byte)message.OrderState.Value,
OrderStatus = message.OrderStatus,
Balance = message.Balance,
UserOrderId = message.UserOrderId,
OriginSide = message.OriginSide == null ? (byte?)null : (byte)message.OriginSide.Value,
Latency = message.Latency?.Ticks,
PnL = message.PnL,
Position = message.Position,
Slippage = message.Slippage,
Commission = message.Commission,
TradePrice = message.TradePrice,
TradeVolume = message.TradeVolume,
TradeStatus = message.TradeStatus,
TradeId = message.TradeId,
TradeStringId = message.TradeStringId,
OpenInterest = message.OpenInterest,
IsSystem = message.IsSystem == null ? (byte?)null : (byte)(message.IsSystem.Value ? 1 : 0),
OrderTif = message.TimeInForce == null ? (byte?)null : (byte)message.TimeInForce.Value,
ConditionType = message.Condition?.GetType().GetTypeName(false),
};
var conParams = message.Condition?.Parameters.Where(p => p.Value != null).ToArray() ?? ArrayHelper.Empty <KeyValuePair <string, object> >();
snapshot.ConditionParamsCount = conParams.Length;
var paramSize = typeof(TransactionConditionParam).SizeOf();
var snapshotSize = typeof(TransactionSnapshot).SizeOf();
var buffer = new byte[snapshotSize + snapshot.ConditionParamsCount * paramSize];
var ptr = snapshot.StructToPtr();
Marshal.Copy(ptr, buffer, 0, snapshotSize);
Marshal.FreeHGlobal(ptr);
var offset = snapshotSize;
foreach (var conParam in conParams)
{
var param = new TransactionConditionParam
{
Name = conParam.Key,
ValueType = conParam.Value.GetType().GetTypeAsString(false),
};
switch (conParam.Value)
{
case byte b:
param.NumValue = b;
break;
case sbyte sb:
param.NumValue = sb;
break;
case int i:
param.NumValue = i;
break;
case short s:
param.NumValue = s;
break;
case long l:
param.NumValue = l;
break;
case uint ui:
param.NumValue = ui;
break;
case ushort us:
param.NumValue = us;
break;
case ulong ul:
param.NumValue = (long)ul;
break;
case DateTimeOffset dto:
param.NumValue = dto.To <long>();
break;
case DateTime dt:
param.NumValue = dt.To <long>();
break;
case TimeSpan ts:
param.NumValue = ts.To <long>();
break;
case float f:
param.DecimalValue = (decimal)f;
break;
case double d:
param.DecimalValue = (decimal)d;
break;
case decimal dec:
param.DecimalValue = dec;
break;
case bool bln:
param.BoolValue = bln;
break;
case Enum e:
param.NumValue = e.To <long>();
break;
default:
param.StringValue = conParam.Value.To <string>();
break;
}
var rowPtr = param.StructToPtr();
Marshal.Copy(rowPtr, buffer, offset, paramSize);
Marshal.FreeHGlobal(rowPtr);
offset += paramSize;
}
return(buffer);
}
byte[] ISnapshotSerializer <long, ExecutionMessage> .Serialize(Version version, ExecutionMessage message)
{
if (version == null)
{
throw new ArgumentNullException(nameof(version));
}
if (message == null)
{
throw new ArgumentNullException(nameof(message));
}
if (message.ExecutionType != ExecutionTypes.Transaction)
{
throw new ArgumentOutOfRangeException(nameof(message), message.ExecutionType, LocalizedStrings.Str1695Params.Put(message));
}
var snapshot = new TransactionSnapshot
{
SecurityId = message.SecurityId.ToStringId(),
Portfolio = message.PortfolioName,
LastChangeServerTime = message.ServerTime.To <long>(),
LastChangeLocalTime = message.LocalTime.To <long>(),
OriginalTransactionId = message.OriginalTransactionId,
TransactionId = message.TransactionId,
BrokerCode = message.BrokerCode,
ClientCode = message.ClientCode,
Comment = message.Comment,
SystemComment = message.SystemComment,
Currency = message.Currency == null ? (short?)null : (short)message.Currency.Value,
DepoName = message.DepoName,
Error = message.Error?.Message,
ExpiryDate = message.ExpiryDate?.To <long>(),
PortfolioName = message.PortfolioName,
IsMarketMaker = message.IsMarketMaker == null ? (byte?)null : (byte)(message.IsMarketMaker.Value ? 1 : 0),
IsMargin = message.IsMargin == null ? (byte?)null : (byte)(message.IsMargin.Value ? 1 : 0),
Side = (byte)message.Side,
OrderId = message.OrderId,
OrderStringId = message.OrderStringId,
OrderBoardId = message.OrderBoardId,
OrderPrice = message.OrderPrice,
OrderVolume = message.OrderVolume,
VisibleVolume = message.VisibleVolume,
OrderType = message.OrderType == null ? (byte?)null : (byte)message.OrderType.Value,
OrderState = message.OrderState == null ? (byte?)null : (byte)message.OrderState.Value,
OrderStatus = message.OrderStatus,
Balance = message.Balance,
UserOrderId = message.UserOrderId,
OriginSide = message.OriginSide == null ? (byte?)null : (byte)message.OriginSide.Value,
Latency = message.Latency?.Ticks,
PnL = message.PnL,
Position = message.Position,
Slippage = message.Slippage,
Commission = message.Commission,
TradePrice = message.TradePrice,
TradeVolume = message.TradeVolume,
TradeStatus = message.TradeStatus,
TradeId = message.TradeId,
TradeStringId = message.TradeStringId,
OpenInterest = message.OpenInterest,
IsSystem = message.IsSystem == null ? (byte?)null : (byte)(message.IsSystem.Value ? 1 : 0),
OrderTif = message.TimeInForce == null ? (byte?)null : (byte)message.TimeInForce.Value,
ConditionType = message.Condition?.GetType().GetTypeName(false),
};
var conParams = message.Condition?.Parameters.Where(p => p.Value != null).ToArray() ?? ArrayHelper.Empty <KeyValuePair <string, object> >();
snapshot.ConditionParamsCount = conParams.Length;
var paramSize = typeof(TransactionConditionParam).SizeOf();
var snapshotSize = typeof(TransactionSnapshot).SizeOf();
var buffer = new byte[snapshotSize + snapshot.ConditionParamsCount * paramSize];
var ptr = snapshot.StructToPtr();
Marshal.Copy(ptr, buffer, 0, snapshotSize);
Marshal.FreeHGlobal(ptr);
var offset = snapshotSize;
foreach (var conParam in conParams)
{
var param = new TransactionConditionParam
{
Name = conParam.Key,
ValueType = conParam.Value.GetType().GetTypeAsString(false),
Value = conParam.Value.To <string>(),
};
var rowPtr = param.StructToPtr();
Marshal.Copy(rowPtr, buffer, offset, paramSize);
Marshal.FreeHGlobal(rowPtr);
offset += paramSize;
}
return(buffer);
}
