public static bool TryParse(string message, out TickMessage tickMessage)
{
tickMessage = default;
DateTime timestamp = default;
double last = default;
int lastSize = default;
int totalVolume = default;
double bid = default;
double ask = default;
long tickId = default;
char basisForLast = default;
int tradeMarketCenter = default;
var values = message.SplitFeedMessage();
var parsed = values.Length >= 10 &&
DateTime.TryParseExact(values[0], TickDateTimeFormat, CultureInfo.InvariantCulture, DateTimeStyles.None, out timestamp) &&
double.TryParse(values[1], NumberStyles.Any, CultureInfo.InvariantCulture, out last) &&
int.TryParse(values[2], NumberStyles.Any, CultureInfo.InvariantCulture, out lastSize) &&
int.TryParse(values[3], NumberStyles.Any, CultureInfo.InvariantCulture, out totalVolume) &&
double.TryParse(values[4], NumberStyles.Any, CultureInfo.InvariantCulture, out bid) &&
double.TryParse(values[5], NumberStyles.Any, CultureInfo.InvariantCulture, out ask) &&
long.TryParse(values[6], NumberStyles.Any, CultureInfo.InvariantCulture, out tickId) &&
char.TryParse(values[7], out basisForLast) &&
int.TryParse(values[8], NumberStyles.Any, CultureInfo.InvariantCulture, out tradeMarketCenter);
if (!parsed)
{
return(false);
}
tickMessage = new TickMessage(timestamp, last, lastSize, totalVolume, bid, ask, tickId, basisForLast, tradeMarketCenter, values[9]);
return(true);
}
public static TickMessage ParseWithRequestId(string message)
{
if (TickMessage.TryParseWithRequestId(message, out var tickMessage))
{
return(tickMessage);
}
throw new Exception($"Unable to parse message into TickMessage with requestId\nmessage={message}");
}
private static bool TryParseInnerParser(string[] values, out TickMessage tickMessage,
int indexBase, bool hasRequestId, int tradeAggressor,
int dayCode, bool parsedTradeAggressor, bool parsedDayCode)
{
tickMessage = null;
DateTime timestamp = default;
double last = default;
int lastSize = default;
int totalVolume = default;
double bid = default;
double ask = default;
long tickId = default;
char basisForLast = default;
int tradeMarketCenter = default;
var parsed =
DateTime.TryParseExact(values[indexBase + Field_TimeStamp], TickDateTimeFormat, CultureInfo.InvariantCulture, DateTimeStyles.None, out timestamp) &&
double.TryParse(values[indexBase + Field_Last], NumberStyles.Any, CultureInfo.InvariantCulture, out last) &&
int.TryParse(values[indexBase + Field_LastSize], NumberStyles.Any, CultureInfo.InvariantCulture, out lastSize) &&
int.TryParse(values[indexBase + Field_TotalVolume], NumberStyles.Any, CultureInfo.InvariantCulture, out totalVolume) &&
double.TryParse(values[indexBase + Field_Bid], NumberStyles.Any, CultureInfo.InvariantCulture, out bid) &&
double.TryParse(values[indexBase + Field_Ask], NumberStyles.Any, CultureInfo.InvariantCulture, out ask) &&
long.TryParse(values[indexBase + Field_TickId], NumberStyles.Any, CultureInfo.InvariantCulture, out tickId) &&
char.TryParse(values[indexBase + Field_BasisForLast], out basisForLast) &&
int.TryParse(values[indexBase + Field_TradeMarketCenter], NumberStyles.Any, CultureInfo.InvariantCulture, out tradeMarketCenter) &&
parsedTradeAggressor &&
parsedDayCode;
var tradeConditions = values[indexBase + Field_TradeConditions];
if (parsed)
{
tickMessage = new TickMessage(
timestamp,
last,
lastSize,
totalVolume,
bid,
ask,
tickId,
basisForLast,
tradeMarketCenter,
tradeConditions,
tradeAggressor,
dayCode,
hasRequestId ? values[0] : null);
}
return(parsed);
}
public static bool TryParse(string message, out TickMessage tickMessage)
{
DateTime timestamp = default;
double last = default;
int lastSize = default;
int totalVolume = default;
double bid = default;
double ask = default;
long tickId = default;
char basisForLast = default;
int tradeMarketCenter = default;
int tradeAggressor = default;
int dayCode = default;
var values = message.SplitFeedMessage();
bool parsed;
if (values.Length <= 11)
{
// old protocol < 6.1 data
parsed = values.Length >= 10 &&
DateTime.TryParseExact(values[0], TickDateTimeFormat, CultureInfo.InvariantCulture, DateTimeStyles.None, out timestamp) &
double.TryParse(values[1], NumberStyles.Any, CultureInfo.InvariantCulture, out last) &
int.TryParse(values[2], NumberStyles.Any, CultureInfo.InvariantCulture, out lastSize) &
int.TryParse(values[3], NumberStyles.Any, CultureInfo.InvariantCulture, out totalVolume) &
double.TryParse(values[4], NumberStyles.Any, CultureInfo.InvariantCulture, out bid) &
double.TryParse(values[5], NumberStyles.Any, CultureInfo.InvariantCulture, out ask) &
long.TryParse(values[6], NumberStyles.Any, CultureInfo.InvariantCulture, out tickId) &
char.TryParse(values[7], out basisForLast) &
int.TryParse(values[8], NumberStyles.Any, CultureInfo.InvariantCulture, out tradeMarketCenter);
tickMessage = new TickMessage(timestamp, last, lastSize, totalVolume, bid, ask, tickId, basisForLast, tradeMarketCenter, values[9]);
return(parsed);
}
parsed = values.Length >= 12 &&
DateTime.TryParseExact(values[0], TickDateTimeFormat, CultureInfo.InvariantCulture, DateTimeStyles.None, out timestamp) &
double.TryParse(values[1], NumberStyles.Any, CultureInfo.InvariantCulture, out last) &
int.TryParse(values[2], NumberStyles.Any, CultureInfo.InvariantCulture, out lastSize) &
int.TryParse(values[3], NumberStyles.Any, CultureInfo.InvariantCulture, out totalVolume) &
double.TryParse(values[4], NumberStyles.Any, CultureInfo.InvariantCulture, out bid) &
double.TryParse(values[5], NumberStyles.Any, CultureInfo.InvariantCulture, out ask) &
long.TryParse(values[6], NumberStyles.Any, CultureInfo.InvariantCulture, out tickId) &
char.TryParse(values[7], out basisForLast) &
int.TryParse(values[8], NumberStyles.Any, CultureInfo.InvariantCulture, out tradeMarketCenter) &
int.TryParse(values[10], NumberStyles.Any, CultureInfo.InvariantCulture, out tradeAggressor) &
int.TryParse(values[11], NumberStyles.Any, CultureInfo.InvariantCulture, out dayCode);
tickMessage = new TickMessage(timestamp, last, lastSize, totalVolume, bid, ask, tickId, basisForLast, tradeMarketCenter, values[9], tradeAggressor, dayCode);
return(parsed);
}
private static bool TryParseInner(string message, out TickMessage tickMessage, bool hasRequestId)
{
var messageDataIdIndex = hasRequestId ? 1 : 0;
var indexBase = messageDataIdIndex;
bool parsedTradeAggressor = false;
bool parsedDayCode = false;
int tradeAggressor = default;
int dayCode = default;
var values = message.SplitFeedMessage();
if (values[messageDataIdIndex] == HistoricalMessageHandler.HistoricalDataId)
{
// protocol ==6.2
indexBase++;
parsedTradeAggressor = int.TryParse(values[indexBase + Field_TradeAggressor], NumberStyles.Any, CultureInfo.InvariantCulture, out tradeAggressor);
parsedDayCode = int.TryParse(values[indexBase + Field_DayCode], NumberStyles.Any, CultureInfo.InvariantCulture, out dayCode);
}
// protocol <6.2
if ((!hasRequestId && values.Length == 12) || (hasRequestId && values.Length == 13))
{
// protocol ==6.1
parsedTradeAggressor = int.TryParse(values[indexBase + Field_TradeAggressor], NumberStyles.Any, CultureInfo.InvariantCulture, out tradeAggressor);
parsedDayCode = int.TryParse(values[indexBase + Field_DayCode], NumberStyles.Any, CultureInfo.InvariantCulture, out dayCode);
}
else
{
// protocol <=6.0
// doesn't have the extra fields
parsedTradeAggressor = true;
parsedDayCode = true;
}
return(TryParseInnerParser(values, out tickMessage, indexBase, hasRequestId, tradeAggressor, dayCode, parsedTradeAggressor, parsedDayCode));
}
public static bool TryParseWithRequestId(string message, out TickMessage tickMessage)
{
return(TryParseInner(message, out tickMessage, true));
}
public static bool TryParse(string message, out TickMessage tickMessage)
{
return(TryParseInner(message, out tickMessage, false));
}
